Backtest Portfolio Asset Class Allocation
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.
Portfolio Analysis Results (Jan 2013 - Dec 2014)
|Intermediate Term Treasury
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Portfolio performance statistics
|Portfolio||Initial Balance||Final Balance||CAGR||Stdev||Best Year||Worst Year||Max. Drawdown||Sharpe Ratio||Sortino Ratio||US Mkt Correlation|
|Portfolio 1||$10,000||$10,110 ||0.55% ||3.35%||4.32%||-3.09%||-4.30% ||0.17||0.24||0.18|
|Portfolio 2||$10,000||$10,115 ||0.58% ||6.24%||10.63%||-8.57%||-9.79% ||0.12||0.16||0.02|
|Portfolio 3||$10,000||$10,896 ||4.38% ||9.92%||25.27%||-13.03%||-14.54% ||0.48||0.74||-0.14|
|Name||3 Month||1 year||Full|
|Trailing annualized returns are for full months ending in December 2014 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
Drawdowns for Portfolio 1
Drawdowns for Portfolio 2
Drawdowns for Portfolio 3
Portfolio Return Decomposition
Portfolio Risk Decomposition
Annual Asset Returns