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.
Trailing returns are for full months ending in December 2007 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
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
Annual returns for the configured portfolios
Year
Inflation
Return
Balance
US Stock Market
Global ex-US Stock Market
US
International
US
International
2003
1.88%
31.35%
40.34%
$13,135
$14,034
31.35%
40.34%
2004
3.26%
12.52%
20.84%
$14,779
$16,958
12.52%
20.84%
2005
3.42%
5.98%
15.57%
$15,663
$19,599
5.98%
15.57%
2006
2.54%
15.51%
26.64%
$18,093
$24,819
15.51%
26.64%
2007
4.08%
5.49%
15.52%
$19,086
$28,672
5.49%
15.52%
Portfolio return and risk metrics
Metric
US
International
Arithmetic Mean (monthly)
1.12%
1.82%
Arithmetic Mean (annualized)
14.26%
24.22%
Geometric Mean (monthly)
1.08%
1.77%
Geometric Mean (annualized)
13.80%
23.45%
Volatility (monthly)
2.63%
3.29%
Volatility (annualized)
9.11%
11.40%
Downside Deviation (monthly)
1.28%
1.41%
Max. Drawdown
-5.06%
-7.90%
US Market Correlation
1.00
0.83
Beta(*)
1.00
1.03
Alpha (annualized)
-0.00%
8.04%
R2
100.00%
68.06%
Sharpe Ratio
1.14
1.66
Sortino Ratio
2.15
3.60
Treynor Ratio (%)
10.47
18.35
Calmar Ratio
1.76
2.83
Active Return
0.00%
9.65%
Tracking Error
0.00%
6.45%
Information Ratio
N/A
1.50
Skewness
0.07
-0.03
Excess Kurtosis
-0.05
-0.47
Historical Value-at-Risk (5%)
-3.40%
-3.74%
Analytical Value-at-Risk (5%)
-3.21%
-3.59%
Conditional Value-at-Risk (5%)
-3.90%
-4.26%
Upside Capture Ratio (%)
100.00
135.38
Downside Capture Ratio (%)
100.00
74.79
Safe Withdrawal Rate
29.35%
36.29%
Perpetual Withdrawal Rate
9.46%
16.54%
Positive Periods
41 out of 60 (68.33%)
44 out of 60 (73.33%)
Gain/Loss Ratio
1.23
1.39
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.