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.
* The number in parentheses shows the calculated value taking into account the periodic contributions.
Trailing Returns
Trailing Returns
Name
Annualized Return
Annualized Volatility
3 Month
1 year
3 year
5 year
10 year
Full
3 year
5 year
Portfolio 1
14.44%
17.78%
11.58%
13.24%
11.08%
9.43%
18.15%
14.76%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
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.
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.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
CAGR = Compound Annual Growth Rate
TWRR = Annualized time weighted rate of return
MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
Stdev = Annualized standard deviation of monthly returns
Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdown analysis is calculated based on monthly returns excluding cashflows
The results assume annual rebalancing of portfolio assets to match the specified allocation
Inflation adjusted annual contribution of $10,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
Year
Inflation
Portfolio 1 Return
Portfolio 1 Balance
Portfolio 1 Adjustment
US Stock Market
Global ex-US Stock Market
Total US Bond Market
1987
4.43%
9.53%
$21,396
$10,443
2.61%
30.48%
1.54%
1988
4.42%
18.91%
$36,346
$10,905
17.32%
25.66%
7.35%
1989
4.65%
23.58%
$56,328
$11,412
28.12%
12.85%
13.64%
1990
6.11%
-10.02%
$62,794
$12,109
-6.08%
-24.79%
8.65%
1991
3.06%
25.81%
$91,478
$12,480
32.39%
9.48%
15.25%
1992
2.90%
3.03%
$107,096
$12,842
9.11%
-14.79%
7.14%
1993
2.75%
15.40%
$136,786
$13,195
10.62%
29.92%
9.68%
1994
2.67%
2.19%
$153,328
$13,548
-0.17%
9.76%
-2.66%
1995
2.54%
26.95%
$208,548
$13,891
35.79%
3.98%
18.18%
1996
3.32%
16.02%
$256,315
$14,353
20.96%
4.68%
3.58%
1997
1.70%
21.97%
$327,236
$14,597
30.99%
-0.77%
9.44%
1998
1.61%
20.61%
$409,528
$14,833
23.26%
15.60%
8.58%
1999
2.68%
24.11%
$523,499
$15,231
23.81%
29.92%
-0.76%
2000
3.39%
-10.74%
$483,043
$15,747
-10.57%
-15.61%
11.39%
2001
1.55%
-12.29%
$439,653
$15,991
-10.97%
-20.15%
8.43%
2002
2.38%
-18.03%
$376,754
$16,371
-20.96%
-15.08%
8.26%
2003
1.88%
32.23%
$514,865
$16,679
31.35%
40.34%
3.97%
2004
3.26%
14.18%
$605,106
$17,222
12.52%
20.84%
4.24%
2005
3.42%
8.20%
$672,527
$17,810
5.98%
15.57%
2.40%
2006
2.54%
17.73%
$810,032
$18,263
15.51%
26.64%
4.27%
2007
4.08%
8.07%
$894,405
$19,008
5.49%
15.52%
6.92%
2008
0.09%
-36.70%
$585,193
$19,025
-37.04%
-44.10%
5.05%
2009
2.72%
29.57%
$777,760
$19,543
28.70%
36.73%
5.93%
2010
1.50%
15.07%
$914,779
$19,835
17.09%
11.12%
6.42%
2011
2.96%
-2.59%
$911,510
$20,423
0.96%
-14.56%
7.56%
2012
1.74%
16.11%
$1,079,178
$20,778
16.25%
18.14%
4.05%
2013
1.50%
26.99%
$1,391,570
$21,090
33.35%
15.04%
-2.26%
2014
0.76%
7.93%
$1,523,157
$21,250
12.43%
-4.24%
5.76%
2015
0.73%
-0.87%
$1,531,238
$21,405
0.29%
-4.38%
0.30%
2016
2.07%
10.06%
$1,707,152
$21,849
12.53%
4.65%
2.50%
2017
2.11%
21.76%
$2,100,898
$22,310
21.05%
27.40%
3.45%
2018
1.91%
-7.30%
$1,970,345
$22,736
-5.26%
-14.44%
-0.13%
2019
2.29%
27.24%
$2,530,369
$23,256
30.65%
21.43%
8.61%
2020
1.36%
17.78%
$3,003,850
$23,572
20.87%
11.16%
7.61%
Portfolio return and risk metrics
Metric
Portfolio 1
Arithmetic Mean (monthly)
0.84%
Arithmetic Mean (annualized)
10.58%
Geometric Mean (monthly)
0.75%
Geometric Mean (annualized)
9.43%
Volatility (monthly)
4.14%
Volatility (annualized)
14.35%
Downside Deviation (monthly)
2.82%
Max. Drawdown
-50.57%
US Market Correlation
0.98
Beta(*)
0.91
Alpha (annualized)
-0.26%
R2
95.89%
Sharpe Ratio
0.49
Sortino Ratio
0.70
Treynor Ratio (%)
7.75
Calmar Ratio
0.56
Active Return
-1.20%
Tracking Error
3.21%
Information Ratio
-0.37
Skewness
-0.83
Excess Kurtosis
2.49
Historical Value-at-Risk (5%)
-6.81%
Analytical Value-at-Risk (5%)
-5.97%
Conditional Value-at-Risk (5%)
-9.77%
Upside Capture Ratio (%)
88.78
Downside Capture Ratio (%)
91.16
Safe Withdrawal Rate
7.69%
Perpetual Withdrawal Rate
6.29%
Positive Periods
269 out of 408 (65.93%)
Gain/Loss Ratio
0.88
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.