This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.
Portfolio Analysis Results (Jan 1978 - Jul 2022)
Note: The time period was constrained by the available data for Long Term Treasury [Jan 1978 - Jul 2022].
Trailing return and volatility are as of last full calendar month ending July 2022
Notes on results:
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
The annual results for 2022 are based on monthly returns from January to July.
Portfolio returns reflect simulated leverage with 300.00% leverage ratio and 0.00% annual debt interest paid monthly.
The results assume annual rebalancing of portfolio assets to match the specified allocation.
Annual returns for the configured portfolios
Year
Inflation
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard 500 Index Investor
US Stock Market
Long Term Treasury
Return
Balance
Return
Balance
Return
Balance
Return
Balance
1978
9.02%
6.68%
$10,668
7.61%
$10,761
8.45%
$10,845
5.87%
$10,587
8.45%
-1.55%
1979
13.29%
39.18%
$14,849
45.36%
$15,642
51.68%
$16,450
18.05%
$12,498
24.25%
-2.10%
1980
12.52%
49.42%
$22,187
58.76%
$24,834
68.05%
$27,644
31.92%
$16,487
33.15%
-4.99%
1981
8.92%
-17.62%
$18,278
-18.16%
$20,325
-18.74%
$22,463
-5.21%
$15,628
-4.15%
0.65%
1982
3.83%
182.42%
$51,620
170.64%
$55,006
159.11%
$58,204
20.97%
$18,906
20.50%
47.10%
1983
3.79%
41.88%
$73,239
48.12%
$81,478
54.50%
$89,926
21.29%
$22,932
22.66%
-1.29%
1984
3.95%
32.61%
$97,122
29.22%
$105,283
25.82%
$113,147
6.21%
$24,356
2.19%
16.24%
1985
3.80%
194.03%
$285,571
191.59%
$306,989
189.04%
$327,039
31.23%
$31,962
31.27%
36.90%
1986
1.10%
96.95%
$562,435
91.74%
$588,615
86.52%
$610,002
18.06%
$37,735
14.57%
30.87%
1987
4.43%
-16.92%
$467,288
-19.87%
$471,675
-23.39%
$467,347
4.71%
$39,510
2.61%
-2.92%
1988
4.42%
57.22%
$734,670
59.38%
$751,763
61.55%
$754,992
16.22%
$45,919
17.32%
9.15%
1989
4.65%
118.99%
$1,608,827
122.15%
$1,670,040
125.25%
$1,700,605
31.36%
$60,321
28.12%
17.93%
1990
6.11%
-10.41%
$1,441,383
-13.14%
$1,450,615
-15.84%
$1,431,209
-3.32%
$58,316
-6.08%
5.78%
1991
3.06%
127.06%
$3,272,738
131.22%
$3,354,097
135.35%
$3,368,289
30.22%
$75,940
32.39%
17.43%
1992
2.90%
34.47%
$4,400,770
34.86%
$4,523,329
35.23%
$4,554,899
7.42%
$81,577
9.11%
7.41%
1993
2.75%
63.34%
$7,188,196
61.62%
$7,310,538
59.89%
$7,282,662
9.89%
$89,647
10.62%
16.78%
1994
2.67%
-16.89%
$5,973,961
-15.79%
$6,155,900
-14.70%
$6,211,997
1.18%
$90,701
-0.17%
-7.04%
1995
2.54%
198.26%
$17,818,074
200.74%
$18,513,100
203.17%
$18,832,764
37.45%
$124,665
35.79%
30.09%
1996
3.32%
40.12%
$24,965,937
45.55%
$26,945,580
51.06%
$28,449,022
22.88%
$153,185
20.96%
-1.26%
1997
1.70%
108.59%
$52,076,248
113.27%
$57,467,661
117.95%
$62,004,719
33.19%
$204,027
30.99%
13.90%
1998
1.61%
81.79%
$94,670,618
81.68%
$104,409,489
80.98%
$112,214,778
28.62%
$262,414
23.26%
13.05%
1999
2.68%
28.25%
$121,414,862
35.40%
$141,374,021
42.76%
$160,202,518
21.07%
$317,701
23.81%
-8.66%
2000
3.39%
13.40%
$137,689,151
6.15%
$150,066,809
-0.85%
$158,834,212
-9.06%
$288,929
-10.57%
19.72%
2001
1.55%
-16.50%
$114,973,068
-19.97%
$120,105,952
-23.50%
$121,512,216
-12.02%
$254,191
-10.97%
4.31%
2002
2.38%
-9.80%
$103,710,335
-17.17%
$99,485,100
-24.29%
$92,002,073
-22.15%
$197,900
-20.96%
16.67%
2003
1.88%
78.91%
$185,545,780
87.65%
$186,685,704
96.52%
$180,800,043
28.50%
$254,305
31.35%
2.68%
2004
3.26%
41.69%
$262,906,946
43.07%
$267,086,537
44.40%
$261,079,817
10.74%
$281,618
12.52%
7.12%
2005
3.42%
25.80%
$330,729,367
25.59%
$335,440,833
25.33%
$327,209,954
4.77%
$295,064
5.98%
6.61%
2006
2.54%
37.20%
$453,751,855
40.61%
$471,675,940
44.06%
$471,362,336
15.64%
$341,217
15.51%
1.74%
2007
4.08%
31.44%
$596,392,067
30.31%
$614,645,647
29.12%
$608,613,096
5.39%
$359,597
5.49%
9.24%
2008
0.09%
-35.53%
$384,499,018
-44.43%
$341,553,103
-52.54%
$288,846,106
-37.02%
$226,472
-37.04%
22.51%
2009
2.72%
19.34%
$458,877,385
27.10%
$434,122,853
34.97%
$389,861,767
26.49%
$286,454
28.70%
-12.06%
2010
1.50%
59.26%
$730,813,731
60.41%
$696,378,140
61.15%
$628,276,790
14.91%
$329,175
17.09%
8.93%
2011
2.96%
72.02%
$1,257,136,379
63.78%
$1,140,519,391
55.48%
$976,829,050
1.97%
$335,647
0.96%
29.28%
2012
1.74%
44.01%
$1,810,427,343
47.21%
$1,678,984,750
50.29%
$1,468,054,415
15.82%
$388,762
16.25%
3.46%
2013
1.50%
43.30%
$2,594,430,654
55.44%
$2,609,797,301
68.19%
$2,469,109,518
32.18%
$513,848
33.35%
-13.03%
2014
0.76%
93.40%
$5,017,739,007
89.30%
$4,940,441,767
85.20%
$4,572,859,394
13.51%
$583,261
12.43%
25.27%
2015
0.73%
-5.50%
$4,741,695,026
-5.20%
$4,683,703,126
-5.01%
$4,343,959,011
1.25%
$590,542
0.29%
-1.54%
2016
2.07%
26.70%
$6,007,609,271
29.54%
$6,067,068,157
32.27%
$5,745,580,091
11.82%
$660,326
12.53%
1.21%
2017
2.11%
71.59%
$10,308,422,701
75.25%
$10,632,491,569
78.94%
$10,281,106,847
21.67%
$803,403
21.05%
8.59%
2018
1.91%
-17.16%
$8,539,837,907
-18.21%
$8,695,982,936
-19.36%
$8,290,514,234
-4.52%
$767,057
-5.26%
-1.90%
2019
2.29%
115.99%
$18,445,079,840
121.46%
$19,257,708,283
126.68%
$18,792,881,169
31.33%
$1,007,353
30.65%
14.13%
2020
1.36%
89.62%
$34,976,370,161
87.92%
$36,189,564,053
85.48%
$34,856,512,543
18.25%
$1,191,171
20.87%
18.29%
2021
7.04%
42.41%
$49,808,744,604
50.21%
$54,358,953,470
58.21%
$55,147,057,924
28.53%
$1,531,045
25.59%
-4.73%
2022
6.28%
-57.15%
$21,343,545,147
-56.87%
$23,443,898,830
-56.62%
$23,922,647,341
-12.65%
$1,337,350
-14.05%
-18.96%
Annual return for 2022 is from 01/01/2022 to 07/31/2022
Portfolio return and risk metrics
Metric
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard 500 Index Investor
Arithmetic Mean (monthly)
3.40%
3.47%
3.54%
1.02%
Arithmetic Mean (annualized)
49.42%
50.62%
51.81%
12.90%
Geometric Mean (monthly)
2.76%
2.78%
2.78%
0.92%
Geometric Mean (annualized)
38.66%
38.96%
39.02%
11.61%
Standard Deviation (monthly)
11.28%
11.65%
12.11%
4.37%
Standard Deviation (annualized)
39.07%
40.36%
41.95%
15.15%
Downside Deviation (monthly)
6.58%
6.92%
7.31%
2.82%
Maximum Drawdown
-67.75%
-73.37%
-78.22%
-50.97%
Stock Market Correlation
0.81
0.86
0.90
0.99
Beta(*)
2.09
2.28
2.48
1.00
Alpha (annualized)
15.37%
13.84%
12.29%
0.00%
R2
65.64%
73.41%
80.00%
100.00%
Sharpe Ratio
0.94
0.93
0.91
0.52
Sortino Ratio
1.56
1.52
1.47
0.77
Treynor Ratio (%)
17.51
16.39
15.44
7.94
Calmar Ratio
0.20
0.23
0.27
0.66
Active Return
27.06%
27.35%
27.41%
N/A
Tracking Error
28.22%
28.47%
29.19%
N/A
Information Ratio
0.96
0.96
0.94
N/A
Skewness
-0.24
-0.34
-0.42
-0.61
Excess Kurtosis
1.55
1.65
1.76
1.96
Historical Value-at-Risk (5%)
-14.66%
-15.44%
-16.56%
-6.76%
Analytical Value-at-Risk (5%)
-15.15%
-15.69%
-16.38%
-6.18%
Conditional Value-at-Risk (5%)
-22.80%
-23.95%
-25.32%
-9.64%
Upside Capture Ratio (%)
284.66
309.98
335.92
100.00
Downside Capture Ratio (%)
176.98
196.90
216.58
100.00
Safe Withdrawal Rate
23.69%
25.27%
26.79%
8.07%
Perpetual Withdrawal Rate
25.60%
25.76%
25.79%
7.30%
Positive Periods
343 out of 535 (64.11%)
352 out of 535 (65.79%)
350 out of 535 (65.42%)
348 out of 535 (65.05%)
Gain/Loss Ratio
1.24
1.14
1.14
0.97
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Drawdowns for Historical Market Stress Periods
Drawdowns for Historical Market Stress Periods
Stress Period
Start
End
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard 500 Index Investor
Black Monday Period
Sep 1987
Nov 1987
-56.86%
-61.48%
-65.85%
-29.78%
Asian Crisis
Jul 1997
Jan 1998
-12.77%
-13.00%
-13.22%
-5.61%
Russian Debt Default
Jul 1998
Oct 1998
-27.43%
-31.53%
-35.57%
-15.38%
Dotcom Crash
Mar 2000
Oct 2002
-44.37%
-52.86%
-61.25%
-44.82%
Subprime Crisis
Nov 2007
Mar 2009
-67.75%
-73.37%
-78.22%
-50.97%
COVID-19 Start
Jan 2020
Mar 2020
-13.84%
-20.13%
-26.29%
-19.63%
Drawdowns for Portfolio 1
Drawdowns for Portfolio 1 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Nov 2007
Feb 2009
1 year 4 months
Aug 2010
1 year 6 months
2 years 10 months
-67.75%
2
Jan 2022
Jun 2022
6 months
-65.44%
3
Sep 1987
Nov 1987
3 months
Apr 1989
1 year 5 months
1 year 8 months
-56.86%
4
Sep 1979
Mar 1980
7 months
Jun 1980
3 months
10 months
-46.62%
5
Sep 2000
Jul 2002
1 year 11 months
Nov 2003
1 year 4 months
3 years 3 months
-44.37%
6
Dec 1980
Sep 1981
10 months
Aug 1982
11 months
1 year 9 months
-44.17%
7
Jul 1983
May 1984
11 months
Oct 1984
5 months
1 year 4 months
-40.15%
8
Jan 1990
Sep 1990
9 months
Jan 1991
4 months
1 year 1 month
-34.48%
9
Feb 1994
Jun 1994
5 months
Apr 1995
10 months
1 year 3 months
-31.97%
10
Sep 1978
Oct 1978
2 months
Jun 1979
8 months
10 months
-29.68%
Worst 10 drawdowns included above
Drawdowns for Portfolio 2
Drawdowns for Portfolio 2 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Nov 2007
Feb 2009
1 year 4 months
Sep 2010
1 year 7 months
2 years 11 months
-73.37%
2
Jan 2022
Jun 2022
6 months
-65.60%
3
Sep 1987
Nov 1987
3 months
May 1989
1 year 6 months
1 year 9 months
-61.48%
4
Sep 2000
Sep 2002
2 years 1 month
Dec 2003
1 year 3 months
3 years 4 months
-52.86%
5
Sep 1979
Mar 1980
7 months
Jun 1980
3 months
10 months
-44.98%
6
Dec 1980
Sep 1981
10 months
Aug 1982
11 months
1 year 9 months
-44.78%
7
Jul 1983
May 1984
11 months
Oct 1984
5 months
1 year 4 months
-40.14%
8
Jan 1990
Sep 1990
9 months
Feb 1991
5 months
1 year 2 months
-36.35%
9
Feb 1994
Jun 1994
5 months
Mar 1995
9 months
1 year 2 months
-31.59%
10
Jul 1998
Aug 1998
2 months
Nov 1998
3 months
5 months
-31.53%
Worst 10 drawdowns included above
Drawdowns for Portfolio 3
Drawdowns for Portfolio 3 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Nov 2007
Feb 2009
1 year 4 months
Feb 2011
2 years
3 years 4 months
-78.22%
2
Sep 1987
Nov 1987
3 months
May 1989
1 year 6 months
1 year 9 months
-65.85%
3
Jan 2022
Jun 2022
6 months
-65.77%
4
Sep 2000
Sep 2002
2 years 1 month
Feb 2004
1 year 5 months
3 years 6 months
-61.25%
5
Dec 1980
Sep 1981
10 months
Sep 1982
1 year
1 year 10 months
-45.39%
6
Sep 1979
Mar 1980
7 months
Jun 1980
3 months
10 months
-43.41%
7
Jul 1983
May 1984
11 months
Oct 1984
5 months
1 year 4 months
-40.14%
8
Jan 1990
Sep 1990
9 months
Feb 1991
5 months
1 year 2 months
-38.20%
9
Jul 1998
Aug 1998
2 months
Nov 1998
3 months
5 months
-35.57%
10
Sep 1978
Oct 1978
2 months
Jun 1979
8 months
10 months
-33.05%
Worst 10 drawdowns included above
Drawdowns for Vanguard 500 Index Investor
Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Nov 2007
Feb 2009
1 year 4 months
Aug 2012
3 years 6 months
4 years 10 months
-50.97%
2
Sep 2000
Sep 2002
2 years 1 month
Nov 2006
4 years 2 months
6 years 3 months
-44.82%
3
Sep 1987
Nov 1987
3 months
May 1989
1 year 6 months
1 year 9 months
-29.78%
4
Jan 2022
Jun 2022
6 months
-20.02%
5
Jan 2020
Mar 2020
3 months
Jul 2020
4 months
7 months
-19.63%
6
Dec 1980
Jul 1982
1 year 8 months
Oct 1982
3 months
1 year 11 months
-17.00%
7
Jul 1998
Aug 1998
2 months
Nov 1998
3 months
5 months
-15.38%
8
Jun 1990
Oct 1990
5 months
Feb 1991
4 months
9 months
-14.70%
9
Oct 2018
Dec 2018
3 months
Apr 2019
4 months
7 months
-13.55%
10
Mar 1980
Mar 1980
1 month
Jun 1980
3 months
4 months
-9.81%
Worst 10 drawdowns included above
Portfolio Assets
Performance statistics for portfolio components
Name
CAGR
Stdev
Best Year
Worst Year
Max Drawdown
Sharpe Ratio
Sortino Ratio
Market Correlation
US Stock Market
11.56%
15.51%
35.79%
-37.04%
-50.89%
0.51
0.74
1.00
Long Term Treasury
7.71%
11.22%
47.10%
-18.96%
-29.66%
0.34
0.54
0.04
Portfolio Asset Performance
Performance of portfolio assets
Name
Total Return
Annualized Return
3 Month
Year To Date
1 year
3 year
5 year
10 year
US Stock Market
-0.04%
-14.05%
-7.86%
12.31%
11.99%
13.29%
Long Term Treasury
-0.91%
-18.96%
-19.34%
-2.02%
1.11%
1.45%
Trailing returns as of last calendar month ending July 2022
Monthly Correlations
Correlations for the portfolio assets
Name
US Stock Market
Long Term Treasury
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard 500 Index Investor
US Stock Market
1.00
0.04
0.81
0.86
0.90
0.99
Long Term Treasury
0.04
1.00
0.61
0.54
0.47
0.05
Portfolio Return Decomposition
Portfolio return decomposition
Name
Portfolio 1
Portfolio 2
Portfolio 3
US Stock Market
$28,612,653,670
$30,950,196,811
$30,933,649,588
Long Term Treasury
-$7,269,118,523
-$7,506,307,981
-$7,011,012,247
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.
Portfolio Risk Decomposition
Portfolio risk decomposition
Name
Portfolio 1
Portfolio 2
Portfolio 3
US Stock Market
64.83%
73.01%
79.98%
Long Term Treasury
35.17%
26.99%
20.02%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.