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 |
---|---|
US Small Cap Value | 20.00% |
US Stock Market | 20.00% |
Gold | 20.00% |
Cash | 20.00% |
Long Term Treasury | 20.00% |
Save portfolio » |
Asset Class | Allocation |
---|---|
US Stock Market | 25.00% |
Gold | 25.00% |
Cash | 25.00% |
Long Term Treasury | 25.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
GB | $10,000 | $8,849 | -11.51% | 12.00% | -16.23% | -1.12 | -1.30 | 0.92 |
PP | $10,000 | $8,797 | -12.03% | 9.65% | -15.58% | -1.49 | -1.64 | 0.81 |
Year | Inflation | GB | PP | US Small Cap Value | US Stock Market | Gold | Cash | Long Term Treasury | ||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | |||||||
2022 | 6.45% | -11.51% | $8,849 | -12.03% | $8,797 | -9.43% | -19.60% | -0.77% | 1.82% | -29.58% |
Metric | GB | PP |
---|---|---|
Arithmetic Mean (monthly) | -0.96% | -1.03% |
Arithmetic Mean (annualized) | -10.92% | -11.65% |
Geometric Mean (monthly) | -1.01% | -1.06% |
Geometric Mean (annualized) | -11.51% | -12.03% |
Standard Deviation (monthly) | 3.46% | 2.79% |
Standard Deviation (annualized) | 12.00% | 9.65% |
Downside Deviation (monthly) | 2.86% | 2.40% |
Maximum Drawdown | -16.23% | -15.58% |
Stock Market Correlation | 0.92 | 0.81 |
Beta(*) | 0.48 | 0.34 |
Alpha (annualized) | -2.33% | -5.84% |
R2 | 85.43% | 65.91% |
Sharpe Ratio | -1.12 | -1.49 |
Sortino Ratio | -1.30 | -1.64 |
Treynor Ratio (%) | -27.80 | -41.78 |
Active Return | 8.09% | 7.57% |
Tracking Error | 12.91% | 16.33% |
Information Ratio | 0.63 | 0.46 |
Skewness | 0.34 | 0.68 |
Excess Kurtosis | -0.92 | 0.59 |
Historical Value-at-Risk (5%) | -5.38% | -4.69% |
Analytical Value-at-Risk (5%) | -6.66% | -5.61% |
Conditional Value-at-Risk (5%) | -5.70% | -4.79% |
Upside Capture Ratio (%) | 40.97 | 24.89 |
Downside Capture Ratio (%) | 55.47 | 47.71 |
Safe Withdrawal Rate | 83.12% | 82.63% |
Perpetual Withdrawal Rate | 0.00% | 0.00% |
Positive Periods | 5 out of 12 (41.67%) | 4 out of 12 (33.33%) |
Gain/Loss Ratio | 0.72 | 0.77 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 2022 | Sep 2022 | 9 months | -16.23% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 2022 | Sep 2022 | 9 months | -15.58% |
Name | CAGR | Stdev | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|
US Small Cap Value | -9.43% | 25.21% | -18.82% | -0.35 | -0.49 | 0.96 |
US Stock Market | -19.60% | 23.16% | -24.94% | -0.91 | -1.13 | 1.00 |
Gold | -0.77% | 13.49% | -15.91% | -0.13 | -0.24 | 0.20 |
Cash | 1.82% | 0.44% | 0.00% | N/A | N/A | 0.21 |
Long Term Treasury | -29.58% | 15.12% | -32.66% | -2.35 | -2.19 | 0.52 |
Name | US Small Cap Value | US Stock Market | Gold | Cash | Long Term Treasury | GB | PP |
---|---|---|---|---|---|---|---|
US Small Cap Value | 1.00 | 0.96 | 0.21 | 0.15 | 0.45 | 0.91 | 0.76 |
US Stock Market | 0.96 | 1.00 | 0.20 | 0.21 | 0.52 | 0.92 | 0.81 |
Gold | 0.21 | 0.20 | 1.00 | 0.28 | 0.58 | 0.53 | 0.68 |
Cash | 0.15 | 0.21 | 0.28 | 1.00 | 0.30 | 0.28 | 0.35 |
Long Term Treasury | 0.45 | 0.52 | 0.58 | 0.30 | 1.00 | 0.74 | 0.85 |
Name | GB | PP |
---|---|---|
US Small Cap Value | -$189 | |
US Stock Market | -$392 | -$490 |
Gold | -$15.44 | -$19.30 |
Cash | $36.39 | $45.49 |
Long Term Treasury | -$592 | -$739 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | GB | PP |
---|---|---|
US Small Cap Value | 36.56% | |
US Stock Market | 34.15% | 45.81% |
Gold | 11.35% | 22.40% |
Cash | 0.20% | 0.38% |
Long Term Treasury | 17.74% | 31.41% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |