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 |
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US Stock Market | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
10-year Treasury | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Stock Market | 60.00% |
10-year Treasury | 40.00% |
Save asset allocation » |
Portfolio | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $1,000,000 | $65,929 | -11.15% | 8.30% | 5.64% | 15.96% | 33.35% | -37.04% | -50.89% (-95.31%) | 0.46 | 0.66 | 1.00 |
Portfolio 2 | $1,000,000 | $153,141 | -7.83% | 5.26% | 5.88% | 7.20% | 20.53% | -10.17% | -10.21% (-86.48%) | 0.49 | 0.80 | -0.33 |
Portfolio 3 | $1,000,000 | $579,854 | -2.34% | 7.78% | 6.88% | 8.82% | 21.60% | -14.01% | -26.40% (-57.68%) | 0.68 | 1.02 | 0.94 |
* The number in parentheses shows the calculated value taking into account the periodic withdrawals. |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | 14.65% | 20.87% | 14.37% | 15.30% | 13.66% | 8.30% | 19.67% | 16.01% |
Portfolio 2 | -1.28% | 10.01% | 6.27% | 4.42% | 4.25% | 5.26% | 5.49% | 5.35% |
Portfolio 3 | 8.07% | 16.52% | 11.28% | 11.05% | 10.14% | 7.78% | 10.68% | 8.66% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Cashflow | Portfolio 1 | Portfolio 2 | Portfolio 3 | US Stock Market | 10-year Treasury | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
1998 | 1.61% | -$60,635 | 23.26% | $1,164,385 | 14.64% | $1,081,557 | 19.81% | $1,131,349 | 23.26% | 14.64% |
1999 | 2.68% | -$61,962 | 23.81% | $1,370,898 | -7.83% | $936,676 | 11.16% | $1,190,766 | 23.81% | -7.83% |
2000 | 3.39% | -$64,055 | -10.57% | $1,166,873 | 17.28% | $1,028,341 | 0.57% | $1,133,843 | -10.57% | 17.28% |
2001 | 1.55% | -$65,865 | -10.97% | $973,861 | 5.40% | $1,016,966 | -4.42% | $1,018,047 | -10.97% | 5.40% |
2002 | 2.38% | -$66,910 | -20.96% | $708,799 | 15.45% | $1,101,711 | -6.40% | $887,243 | -20.96% | 15.45% |
2003 | 1.88% | -$68,429 | 31.35% | $850,370 | 0.15% | $1,035,172 | 18.87% | $978,918 | 31.35% | 0.15% |
2004 | 3.26% | -$70,261 | 12.52% | $880,320 | 4.50% | $1,009,913 | 9.31% | $995,432 | 12.52% | 4.50% |
2005 | 3.42% | -$72,644 | 5.98% | $856,698 | 3.01% | $967,012 | 4.79% | $968,080 | 5.98% | 3.01% |
2006 | 2.54% | -$74,988 | 15.51% | $908,459 | 2.19% | $911,101 | 10.18% | $987,090 | 15.51% | 2.19% |
2007 | 4.08% | -$77,127 | 5.49% | $881,194 | 10.42% | $923,836 | 7.46% | $981,635 | 5.49% | 10.42% |
2008 | 0.09% | -$80,088 | -37.04% | $493,349 | 20.53% | $1,022,071 | -14.01% | $769,553 | -37.04% | 20.53% |
2009 | 2.72% | -$79,803 | 28.70% | $537,907 | -10.17% | $840,833 | 13.15% | $781,489 | 28.70% | -10.17% |
2010 | 1.50% | -$81,112 | 17.09% | $537,673 | 7.92% | $826,338 | 13.42% | $798,901 | 17.09% | 7.92% |
2011 | 2.96% | -$83,673 | 0.96% | $460,309 | 16.24% | $869,253 | 7.07% | $769,519 | 0.96% | 16.24% |
2012 | 1.74% | -$85,404 | 16.25% | $446,063 | 2.73% | $807,118 | 10.84% | $765,143 | 16.25% | 2.73% |
2013 | 1.50% | -$86,655 | 33.35% | $496,267 | -8.57% | $655,231 | 16.58% | $799,240 | 33.35% | -8.57% |
2014 | 0.76% | -$88,061 | 12.43% | $464,172 | 10.63% | $633,296 | 11.71% | $799,945 | 12.43% | 10.63% |
2015 | 0.73% | -$88,165 | 0.29% | $377,704 | 1.12% | $552,681 | 0.62% | $717,181 | 0.29% | 1.12% |
2016 | 2.07% | -$89,278 | 12.53% | $328,379 | 1.00% | $472,301 | 7.92% | $681,727 | 12.53% | 1.00% |
2017 | 2.11% | -$91,179 | 21.05% | $297,715 | 2.39% | $392,313 | 13.59% | $677,859 | 21.05% | 2.39% |
2018 | 1.91% | -$93,406 | -5.26% | $196,326 | 0.99% | $299,816 | -2.76% | $569,351 | -5.26% | 0.99% |
2019 | 2.29% | -$95,099 | 30.65% | $151,339 | 8.03% | $226,870 | 21.60% | $590,257 | 30.65% | 8.03% |
2020 | 1.36% | -$96,272 | 20.87% | $65,929 | 10.01% | $153,141 | 16.52% | $579,854 | 20.87% | 10.01% |
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 0.77% | 0.45% | 0.66% |
Arithmetic Mean (annualized) | 9.69% | 5.53% | 8.20% |
Geometric Mean (monthly) | 0.67% | 0.43% | 0.63% |
Geometric Mean (annualized) | 8.30% | 5.26% | 7.78% |
Volatility (monthly) | 4.61% | 2.08% | 2.55% |
Volatility (annualized) | 15.96% | 7.20% | 8.82% |
Downside Deviation (monthly) | 3.16% | 1.21% | 1.62% |
Max. Drawdown | -50.89% | -10.21% | -26.40% |
US Market Correlation | 1.00 | -0.33 | 0.94 |
Beta(*) | 1.00 | -0.15 | 0.52 |
Alpha (annualized) | -0.00% | 6.77% | 3.07% |
R2 | 100.00% | 10.78% | 88.90% |
Sharpe Ratio | 0.46 | 0.49 | 0.68 |
Sortino Ratio | 0.66 | 0.80 | 1.02 |
Treynor Ratio (%) | 7.42 | -23.78 | 11.58 |
Calmar Ratio | 0.69 | 1.96 | 1.18 |
Active Return | 0.00% | -3.04% | -0.52% |
Tracking Error | 0.00% | 19.54% | 8.19% |
Information Ratio | N/A | -0.16 | -0.06 |
Skewness | -0.66 | 0.13 | -0.62 |
Excess Kurtosis | 1.30 | 1.73 | 1.38 |
Historical Value-at-Risk (5%) | -8.01% | -2.67% | -3.66% |
Analytical Value-at-Risk (5%) | -6.80% | -2.97% | -3.53% |
Conditional Value-at-Risk (5%) | -10.51% | -4.17% | -5.56% |
Upside Capture Ratio (%) | 100.00 | 0.42 | 57.60 |
Downside Capture Ratio (%) | 100.00 | -31.38 | 48.04 |
Safe Withdrawal Rate | 6.29% | 6.44% | 6.95% |
Perpetual Withdrawal Rate | 5.72% | 2.99% | 5.26% |
Positive Periods | 178 out of 276 (64.49%) | 160 out of 276 (57.97%) | 187 out of 276 (67.75%) |
Gain/Loss Ratio | 0.84 | 1.30 | 0.92 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|
Russian Debt Default | Jul 1998 | Oct 1998 | -17.57% | -1.22% | -9.43% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.11% | -6.60% | -18.41% |
Subprime Crisis | Nov 2007 | Mar 2009 | -50.89% | -6.16% | -26.40% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2012 | 3 years 1 month | 4 years 5 months | -50.89% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Apr 2006 | 3 years 7 months | 5 years 8 months | -44.11% |
3 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -20.89% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -17.57% |
5 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -14.28% |
6 | Jun 2015 | Sep 2015 | 4 months | May 2016 | 8 months | 1 year | -8.88% |
7 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -8.44% |
8 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.85% |
9 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.45% |
10 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.42% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Aug 2012 | Dec 2013 | 1 year 5 months | Jan 2015 | 1 year 1 month | 2 years 6 months | -10.21% |
2 | Jan 2009 | Dec 2009 | 1 year | Aug 2010 | 8 months | 1 year 8 months | -10.17% |
3 | Oct 1998 | Jan 2000 | 1 year 4 months | Aug 2000 | 7 months | 1 year 11 months | -9.34% |
4 | Jun 2003 | Jul 2003 | 2 months | Oct 2004 | 1 year 3 months | 1 year 5 months | -8.35% |
5 | Aug 2016 | Apr 2018 | 1 year 9 months | May 2019 | 1 year 1 month | 2 years 10 months | -7.32% |
6 | Sep 2010 | Jan 2011 | 5 months | Aug 2011 | 7 months | 1 year | -6.82% |
7 | Nov 2001 | Mar 2002 | 5 months | Jul 2002 | 4 months | 9 months | -6.60% |
8 | Sep 2005 | Apr 2006 | 8 months | Sep 2006 | 5 months | 1 year 1 month | -5.26% |
9 | Feb 2015 | Jun 2015 | 5 months | Feb 2016 | 8 months | 1 year 1 month | -5.11% |
10 | Apr 2008 | May 2008 | 2 months | Nov 2008 | 6 months | 8 months | -4.36% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2010 | 1 year 2 months | 2 years 6 months | -26.40% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Dec 2003 | 1 year 3 months | 3 years 4 months | -18.41% |
3 | Feb 2020 | Mar 2020 | 2 months | Jun 2020 | 3 months | 5 months | -9.55% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -9.43% |
5 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -7.90% |
6 | Jun 2011 | Sep 2011 | 4 months | Dec 2011 | 3 months | 7 months | -5.81% |
7 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -5.45% |
8 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -5.40% |
9 | Jun 2015 | Sep 2015 | 4 months | Mar 2016 | 6 months | 10 months | -4.88% |
10 | Feb 1999 | Feb 1999 | 1 month | Apr 1999 | 2 months | 3 months | -4.01% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 8.30% | 15.96% | 33.35% | -37.04% | -50.89% | 0.46 | 0.66 | 1.00 |
10-year Treasury | 5.26% | 7.20% | 20.53% | -10.17% | -10.21% | 0.49 | 0.80 | -0.33 |
Name | US Stock Market | 10-year Treasury | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|
US Stock Market | 1.00 | -0.33 | 1.00 | -0.33 | 0.94 |
10-year Treasury | -0.33 | 1.00 | -0.33 | 1.00 | -0.01 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Stock Market | $887,000 | $945,997 | |
10-year Treasury | $974,211 | $454,928 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Stock Market | 100.00% | 100.17% | |
10-year Treasury | 100.00% | -0.17% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 8.76% | 56.25% | -43.18% | 5.39% | 20.53% | -10.17% | 7.58% | 31.49% | -22.70% |
3 years | 7.11% | 26.60% | -16.27% | 5.07% | 13.19% | -0.75% | 6.88% | 18.65% | -5.26% |
5 years | 7.19% | 23.85% | -6.23% | 5.00% | 9.11% | 0.21% | 7.00% | 15.93% | -0.42% |
7 years | 7.45% | 17.28% | -3.02% | 4.95% | 7.81% | 0.90% | 7.21% | 12.39% | 1.87% |
10 years | 6.96% | 16.73% | -2.57% | 5.18% | 7.00% | 2.15% | 7.08% | 11.41% | 2.06% |
15 years | 7.30% | 10.87% | 4.25% | 4.98% | 6.56% | 3.45% | 7.18% | 8.79% | 5.68% |