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.
Asset Class | Allocation |
---|---|
US Stock Market | 33.34% |
Long Term Treasury | 33.33% |
Gold | 33.33% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $458,835 | 8.87% | 9.62% | 49.56% | -16.65% | -21.06% | 0.49 | 0.77 | 0.59 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 5.58% | -16.65% | -16.65% | 2.20% | 4.59% | 4.82% | 8.87% | 11.75% | 10.11% |
Trailing return and volatility are as of last calendar month ending December 2022 |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | US Stock Market | Long Term Treasury | Gold |
---|---|---|---|---|---|---|
1978 | 9.02% | 14.64% | $11,464 | 8.45% | -1.55% | 37.01% |
1979 | 13.29% | 49.56% | $17,146 | 24.25% | -2.10% | 126.55% |
1980 | 12.52% | 14.45% | $19,623 | 33.15% | -4.99% | 15.19% |
1981 | 8.92% | -12.03% | $17,263 | -4.15% | 0.65% | -32.60% |
1982 | 3.83% | 27.51% | $22,012 | 20.50% | 47.10% | 14.94% |
1983 | 3.79% | 1.69% | $22,384 | 22.66% | -1.29% | -16.31% |
1984 | 3.95% | -0.32% | $22,313 | 2.19% | 16.24% | -19.38% |
1985 | 3.80% | 24.72% | $27,829 | 31.27% | 36.90% | 6.00% |
1986 | 1.10% | 21.47% | $33,803 | 14.57% | 30.87% | 18.96% |
1987 | 4.43% | 8.07% | $36,531 | 2.61% | -2.92% | 24.53% |
1988 | 4.42% | 3.74% | $37,897 | 17.32% | 9.15% | -15.26% |
1989 | 4.65% | 14.41% | $43,357 | 28.12% | 17.93% | -2.84% |
1990 | 6.11% | -1.14% | $42,864 | -6.08% | 5.78% | -3.11% |
1991 | 3.06% | 13.76% | $48,761 | 32.39% | 17.43% | -8.56% |
1992 | 2.90% | 3.59% | $50,513 | 9.11% | 7.41% | -5.73% |
1993 | 2.75% | 15.03% | $58,104 | 10.62% | 16.78% | 17.68% |
1994 | 2.67% | -3.13% | $56,288 | -0.17% | -7.04% | -2.17% |
1995 | 2.54% | 22.29% | $68,833 | 35.79% | 30.09% | 0.98% |
1996 | 3.32% | 5.04% | $72,303 | 20.96% | -1.26% | -4.59% |
1997 | 1.70% | 7.83% | $77,966 | 30.99% | 13.90% | -21.41% |
1998 | 1.61% | 11.83% | $87,190 | 23.26% | 13.05% | -0.83% |
1999 | 2.68% | 5.34% | $91,843 | 23.81% | -8.66% | 0.85% |
2000 | 3.39% | 1.23% | $92,976 | -10.57% | 19.72% | -5.44% |
2001 | 1.55% | -1.97% | $91,143 | -10.97% | 4.31% | 0.75% |
2002 | 2.38% | 7.09% | $97,607 | -20.96% | 16.67% | 25.57% |
2003 | 1.88% | 17.97% | $115,151 | 31.35% | 2.68% | 19.89% |
2004 | 3.26% | 8.10% | $124,473 | 12.52% | 7.12% | 4.65% |
2005 | 3.42% | 10.12% | $137,064 | 5.98% | 6.61% | 17.76% |
2006 | 2.54% | 13.27% | $155,248 | 15.51% | 1.74% | 22.55% |
2007 | 4.08% | 15.06% | $178,629 | 5.49% | 9.24% | 30.45% |
2008 | 0.09% | -3.20% | $172,906 | -37.04% | 22.51% | 4.92% |
2009 | 2.72% | 13.56% | $196,349 | 28.70% | -12.06% | 24.03% |
2010 | 1.50% | 18.43% | $232,538 | 17.09% | 8.93% | 29.27% |
2011 | 2.96% | 13.27% | $263,389 | 0.96% | 29.28% | 9.57% |
2012 | 1.74% | 8.77% | $286,494 | 16.25% | 3.46% | 6.60% |
2013 | 1.50% | -2.67% | $278,859 | 33.35% | -13.03% | -28.33% |
2014 | 0.76% | 11.84% | $311,872 | 12.43% | 25.27% | -2.19% |
2015 | 0.73% | -3.97% | $299,486 | 0.29% | -1.54% | -10.67% |
2016 | 2.07% | 7.26% | $321,225 | 12.53% | 1.21% | 8.03% |
2017 | 2.11% | 14.15% | $366,683 | 21.05% | 8.59% | 12.81% |
2018 | 1.91% | -3.03% | $355,557 | -5.26% | -1.90% | -1.94% |
2019 | 2.29% | 20.88% | $429,789 | 30.65% | 14.13% | 17.86% |
2020 | 1.36% | 21.32% | $521,441 | 20.87% | 18.29% | 24.81% |
2021 | 7.04% | 5.57% | $550,499 | 25.59% | -4.73% | -4.15% |
2022 | 6.45% | -16.65% | $458,835 | -19.60% | -29.58% | -0.77% |
Metric | Portfolio 1 |
---|---|
Arithmetic Mean (monthly) | 0.75% |
Arithmetic Mean (annualized) | 9.37% |
Geometric Mean (monthly) | 0.71% |
Geometric Mean (annualized) | 8.87% |
Standard Deviation (monthly) | 2.78% |
Standard Deviation (annualized) | 9.62% |
Downside Deviation (monthly) | 1.57% |
Maximum Drawdown | -21.06% |
Stock Market Correlation | 0.59 |
Beta(*) | 0.37 |
Alpha (annualized) | 4.61% |
R2 | 35.22% |
Sharpe Ratio | 0.49 |
Sortino Ratio | 0.77 |
Treynor Ratio (%) | 12.98 |
Calmar Ratio | 0.10 |
Active Return | -2.41% |
Tracking Error | 12.57% |
Information Ratio | -0.19 |
Skewness | 0.05 |
Excess Kurtosis | 2.74 |
Historical Value-at-Risk (5%) | 3.25% |
Analytical Value-at-Risk (5%) | 3.82% |
Conditional Value-at-Risk (5%) | 5.11% |
Upside Capture Ratio (%) | 43.63 |
Downside Capture Ratio (%) | 26.92 |
Safe Withdrawal Rate | 6.28% |
Perpetual Withdrawal Rate | 4.90% |
Positive Periods | 334 out of 540 (61.85%) |
Gain/Loss Ratio | 1.28 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Portfolio 1 |
---|---|---|---|
Black Monday Period | Sep 1987 | Nov 1987 | -7.94% |
Asian Crisis | Jul 1997 | Jan 1998 | -2.40% |
Russian Debt Default | Jul 1998 | Oct 1998 | -7.30% |
Dotcom Crash | Mar 2000 | Oct 2002 | -8.30% |
Subprime Crisis | Nov 2007 | Mar 2009 | -18.23% |
COVID-19 Start | Jan 2020 | Mar 2020 | -2.62% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 2022 | Sep 2022 | 9 months | -21.06% | |||
2 | Dec 1980 | Mar 1982 | 1 year 4 months | Oct 1982 | 7 months | 1 year 11 months | -20.95% |
3 | Mar 2008 | Oct 2008 | 8 months | Sep 2009 | 11 months | 1 year 7 months | -18.23% |
4 | Feb 1980 | Mar 1980 | 2 months | Jun 1980 | 3 months | 5 months | -15.54% |
5 | May 1983 | Jul 1984 | 1 year 3 months | Mar 1985 | 8 months | 1 year 11 months | -10.16% |
6 | Oct 2012 | Jun 2013 | 9 months | Feb 2014 | 8 months | 1 year 5 months | -8.79% |
7 | Aug 2016 | Dec 2016 | 5 months | Aug 2017 | 8 months | 1 year 1 month | -8.74% |
8 | Feb 2015 | Dec 2015 | 11 months | Apr 2016 | 4 months | 1 year 3 months | -8.51% |
9 | Sep 2000 | Mar 2001 | 7 months | May 2002 | 1 year 2 months | 1 year 9 months | -8.30% |
10 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -7.94% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 11.28% | 15.62% | 35.79% | -37.04% | -50.89% | 0.49 | 0.71 | 1.00 |
Long Term Treasury | 7.30% | 11.35% | 47.10% | -29.58% | -40.02% | 0.31 | 0.48 | 0.05 |
Gold | 5.30% | 18.56% | 126.55% | -32.60% | -61.78% | 0.14 | 0.22 | 0.05 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
US Stock Market | 7.12% | -19.60% | -19.60% | 6.87% | 8.60% | 11.96% |
Long Term Treasury | -1.24% | -29.58% | -29.58% | -7.41% | -2.34% | 0.47% |
Gold | 9.68% | -0.77% | -0.77% | 5.88% | 6.53% | 0.46% |
Trailing returns as of last calendar month ending December 2022 |
Name | US Stock Market | Long Term Treasury | Gold | Portfolio 1 |
---|---|---|---|---|
US Stock Market | 1.00 | 0.05 | 0.05 | 0.59 |
Long Term Treasury | 0.05 | 1.00 | 0.08 | 0.48 |
Gold | 0.05 | 0.08 | 1.00 | 0.73 |
Name | Portfolio 1 |
---|---|
US Stock Market | $236,626 |
Long Term Treasury | $88,058 |
Gold | $124,150 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | Portfolio 1 |
---|---|
US Stock Market | 32.89% |
Long Term Treasury | 19.34% |
Gold | 47.77% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 9.57% | 57.38% | -19.38% |
3 years | 8.98% | 25.20% | 0.70% |
5 years | 8.84% | 18.99% | 3.00% |
7 years | 8.77% | 14.86% | 3.98% |
10 years | 8.68% | 13.97% | 4.02% |
15 years | 8.62% | 11.77% | 5.83% |