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.
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.
The annual results for 2020 are based on monthly returns from January to July
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
0.32%
0.06%
$2,531,798
$0.00
2.01%
-6.98%
7.95%
Annual returns for 2020 are based on partial year data
Portfolio return and risk metrics
Metric
Portfolio 1
Arithmetic Mean (monthly)
0.81%
Arithmetic Mean (annualized)
10.15%
Geometric Mean (monthly)
0.72%
Geometric Mean (annualized)
9.03%
Volatility (monthly)
4.11%
Volatility (annualized)
14.25%
Downside Deviation (monthly)
2.83%
Max. Drawdown
-50.57%
US Market Correlation
0.98
Beta(*)
0.91
Alpha (annualized)
-0.28%
R2
95.80%
Sharpe Ratio
0.47
Sortino Ratio
0.65
Treynor Ratio (%)
7.28
Calmar Ratio
0.41
Active Return
-1.19%
Tracking Error
3.22%
Information Ratio
-0.37
Skewness
-0.89
Excess Kurtosis
2.56
Historical Value-at-Risk (5%)
-7.07%
Analytical Value-at-Risk (5%)
-5.96%
Conditional Value-at-Risk (5%)
-9.92%
Upside Capture Ratio (%)
88.68
Downside Capture Ratio (%)
91.17
Safe Withdrawal Rate
7.75%
Perpetual Withdrawal Rate
6.04%
Positive Periods
266 out of 403 (66.00%)
Gain/Loss Ratio
0.86
* US stock market 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
Black Monday Period
Sep 1987
Nov 1987
-23.82%
Asian Crisis
Jul 1997
Jan 1998
-4.73%
Russian Debt Default
Jul 1998
Oct 1998
-15.48%
Dotcom Crash
Mar 2000
Oct 2002
-41.71%
Subprime Crisis
Nov 2007
Mar 2009
-50.57%
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
Dec 2012
3 years 10 months
5 years 2 months
-50.57%
2
Apr 2000
Sep 2002
2 years 6 months
Nov 2005
3 years 2 months
5 years 8 months
-41.71%
3
Sep 1987
Nov 1987
3 months
Jan 1989
1 year 2 months
1 year 5 months
-23.82%
4
Jan 2020
Mar 2020
3 months
Jul 2020
4 months
7 months
-20.54%
5
Jan 1990
Sep 1990
9 months
Feb 1991
5 months
1 year 2 months
-16.87%
6
Jul 1998
Aug 1998
2 months
Nov 1998
3 months
5 months
-15.48%
7
Oct 2018
Dec 2018
3 months
Apr 2019
4 months
7 months
-12.96%
8
Jun 2015
Feb 2016
9 months
Jul 2016
5 months
1 year 2 months
-10.79%
9
May 2019
May 2019
1 month
Jun 2019
1 month
2 months
-5.86%
10
Feb 1994
Mar 1994
2 months
Aug 1994
5 months
7 months
-5.42%
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
US Mkt Correlation
US Stock Market
10.22%
15.31%
35.79%
-37.04%
-50.89%
0.52
0.73
1.00
Global ex-US Stock Market
5.34%
17.69%
40.34%
-44.10%
-58.50%
0.21
0.30
0.73
Total US Bond Market
6.00%
3.80%
18.18%
-2.66%
-5.86%
0.75
1.21
0.07
Monthly Correlations
Correlations for the portfolio assets
Name
US Stock Market
Global ex-US Stock Market
Total US Bond Market
Portfolio 1
US Stock Market
1.00
0.73
0.07
0.98
Global ex-US Stock Market
0.73
1.00
0.03
0.86
Total US Bond Market
0.07
0.03
1.00
0.07
Portfolio Return Decomposition
Portfolio return decomposition
Name
Portfolio 1
US Stock Market
$1,630,116
Global ex-US Stock Market
$273,604
Total US Bond Market
$57,649
Portfolio Risk Decomposition
Portfolio risk decomposition
Name
Portfolio 1
US Stock Market
73.39%
Global ex-US Stock Market
26.52%
Total US Bond Market
0.09%
Annual Asset Returns
Rolling returns summary
Roll Period
Average
High
Low
1 year
10.45%
32.23%
-36.70%
3 years
9.25%
22.22%
-13.74%
5 years
8.86%
21.88%
-0.80%
7 years
8.73%
17.93%
1.09%
10 years
8.40%
13.98%
0.47%
15 years
7.67%
10.81%
4.56%
Result statistics are based on annualized rolling returns over full calendar year periods