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 Large Cap | 100.00% |
Save portfolio » |
Asset Class | Allocation |
---|---|
Gold | 100.00% |
Save portfolio » |
Asset Class | Allocation |
---|---|
European Stocks | 100.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
US Large Cap | $1,000 | $25,137 | 10.60% | 14.87% | 37.45% | -37.02% | -50.97% | 0.54 | 0.77 | 0.99 |
Gold | $1,000 | $3,763 | 4.23% | 15.32% | 30.45% | -28.33% | -48.26% | 0.13 | 0.20 | -0.06 |
European Stocks | $1,000 | $16,376 | 9.13% | 17.54% | 40.96% | -44.73% | -59.72% | 0.40 | 0.58 | 0.78 |
Vanguard 500 Index Investor | $1,000 | $25,136 | 10.60% | 14.87% | 37.45% | -37.02% | -50.97% | 0.54 | 0.77 | 0.99 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
US Large Cap | 6.61% | 21.67% | 21.67% | 11.27% | 15.63% | 8.37% | 10.60% | 10.07% | 9.49% |
Gold | 1.70% | 12.81% | 12.81% | 2.87% | -5.26% | 4.13% | 4.23% | 15.53% | 16.06% |
European Stocks | 2.00% | 26.82% | 26.82% | 7.23% | 7.49% | 1.60% | 9.13% | 12.17% | 12.43% |
Vanguard 500 Index Investor | 6.61% | 21.67% | 21.67% | 11.26% | 15.62% | 8.37% | 10.60% | 10.07% | 9.49% |
Trailing return and volatility are as of last full calendar month ending December 2017 |
Year | Inflation | US Large Cap | Gold | European Stocks | Vanguard 500 Index Investor | US Large Cap | Gold | European Stocks | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||
1986 | 1.10% | 18.06% | $1,181 | 18.96% | $1,190 | 40.96% | $1,410 | 18.06% | $1,181 | 18.06% | 18.96% | 40.96% |
1987 | 4.43% | 4.71% | $1,236 | 24.53% | $1,481 | 7.06% | $1,509 | 4.71% | $1,236 | 4.71% | 24.53% | 7.06% |
1988 | 4.42% | 16.22% | $1,437 | -15.26% | $1,255 | 13.69% | $1,716 | 16.22% | $1,437 | 16.22% | -15.26% | 13.69% |
1989 | 4.65% | 31.36% | $1,887 | -2.84% | $1,220 | 28.18% | $2,199 | 31.36% | $1,887 | 31.36% | -2.84% | 28.18% |
1990 | 6.11% | -3.32% | $1,825 | -3.11% | $1,182 | -3.87% | $2,114 | -3.32% | $1,825 | -3.32% | -3.11% | -3.87% |
1991 | 3.06% | 30.22% | $2,376 | -8.56% | $1,081 | 12.40% | $2,376 | 30.22% | $2,376 | 30.22% | -8.56% | 12.40% |
1992 | 2.90% | 7.42% | $2,552 | -5.73% | $1,019 | -3.32% | $2,297 | 7.42% | $2,552 | 7.42% | -5.73% | -3.32% |
1993 | 2.75% | 9.89% | $2,805 | 17.68% | $1,199 | 29.13% | $2,966 | 9.89% | $2,805 | 9.89% | 17.68% | 29.13% |
1994 | 2.67% | 1.18% | $2,838 | -2.17% | $1,173 | 1.88% | $3,022 | 1.18% | $2,838 | 1.18% | -2.17% | 1.88% |
1995 | 2.54% | 37.45% | $3,900 | 0.98% | $1,184 | 22.28% | $3,695 | 37.45% | $3,900 | 37.45% | 0.98% | 22.28% |
1996 | 3.32% | 22.88% | $4,793 | -4.59% | $1,130 | 21.25% | $4,481 | 22.88% | $4,793 | 22.88% | -4.59% | 21.25% |
1997 | 1.70% | 33.19% | $6,383 | -21.41% | $888 | 24.23% | $5,567 | 33.19% | $6,383 | 33.19% | -21.41% | 24.23% |
1998 | 1.61% | 28.62% | $8,210 | -0.83% | $881 | 28.86% | $7,173 | 28.62% | $8,210 | 28.62% | -0.83% | 28.86% |
1999 | 2.68% | 21.07% | $9,940 | 0.85% | $888 | 16.66% | $8,368 | 21.07% | $9,940 | 21.07% | 0.85% | 16.66% |
2000 | 3.39% | -9.06% | $9,040 | -5.44% | $840 | -8.21% | $7,681 | -9.06% | $9,040 | -9.06% | -5.44% | -8.21% |
2001 | 1.55% | -12.02% | $7,953 | 0.75% | $846 | -20.30% | $6,122 | -12.02% | $7,953 | -12.02% | 0.75% | -20.30% |
2002 | 2.38% | -22.15% | $6,192 | 25.57% | $1,062 | -17.95% | $5,023 | -22.15% | $6,192 | -22.15% | 25.57% | -17.95% |
2003 | 1.88% | 28.50% | $7,956 | 19.89% | $1,274 | 38.70% | $6,967 | 28.50% | $7,956 | 28.50% | 19.89% | 38.70% |
2004 | 3.26% | 10.74% | $8,811 | 4.65% | $1,333 | 20.86% | $8,420 | 10.74% | $8,811 | 10.74% | 4.65% | 20.86% |
2005 | 3.42% | 4.77% | $9,232 | 17.76% | $1,570 | 9.26% | $9,200 | 4.77% | $9,232 | 4.77% | 17.76% | 9.26% |
2006 | 2.54% | 15.64% | $10,676 | 22.55% | $1,924 | 33.42% | $12,274 | 15.64% | $10,676 | 15.64% | 22.55% | 33.42% |
2007 | 4.08% | 5.39% | $11,251 | 30.45% | $2,509 | 13.82% | $13,971 | 5.39% | $11,251 | 5.39% | 30.45% | 13.82% |
2008 | 0.09% | -37.02% | $7,086 | 4.92% | $2,633 | -44.73% | $7,722 | -37.02% | $7,086 | -37.02% | 4.92% | -44.73% |
2009 | 2.72% | 26.49% | $8,962 | 24.03% | $3,266 | 31.91% | $10,187 | 26.49% | $8,962 | 26.49% | 24.03% | 31.91% |
2010 | 1.50% | 14.91% | $10,299 | 29.27% | $4,222 | 4.91% | $10,687 | 14.91% | $10,299 | 14.91% | 29.27% | 4.91% |
2011 | 2.96% | 1.97% | $10,501 | 9.57% | $4,625 | -11.60% | $9,447 | 1.97% | $10,501 | 1.97% | 9.57% | -11.60% |
2012 | 1.74% | 15.82% | $12,163 | 6.60% | $4,931 | 20.80% | $11,412 | 15.82% | $12,163 | 15.82% | 6.60% | 20.80% |
2013 | 1.50% | 32.18% | $16,077 | -28.33% | $3,534 | 24.70% | $14,231 | 32.18% | $16,077 | 32.18% | -28.33% | 24.70% |
2014 | 0.76% | 13.51% | $18,249 | -2.19% | $3,456 | -6.67% | $13,282 | 13.51% | $18,248 | 13.51% | -2.19% | -6.67% |
2015 | 0.73% | 1.25% | $18,477 | -10.67% | $3,088 | -2.00% | $13,017 | 1.25% | $18,476 | 1.25% | -10.67% | -2.00% |
2016 | 2.07% | 11.82% | $20,660 | 8.03% | $3,336 | -0.80% | $12,912 | 11.82% | $20,660 | 11.82% | 8.03% | -0.80% |
2017 | 2.11% | 21.67% | $25,137 | 12.81% | $3,763 | 26.82% | $16,376 | 21.67% | $25,136 | 21.67% | 12.81% | 26.82% |
Metric | US Large Cap | Gold | European Stocks | Vanguard 500 Index Investor |
---|---|---|---|---|
Arithmetic Mean (monthly) | 0.94% | 0.44% | 0.86% | 0.94% |
Arithmetic Mean (annualized) | 11.84% | 5.44% | 10.83% | 11.84% |
Geometric Mean (monthly) | 0.84% | 0.35% | 0.73% | 0.84% |
Geometric Mean (annualized) | 10.60% | 4.23% | 9.13% | 10.60% |
Standard Deviation (monthly) | 4.29% | 4.42% | 5.06% | 4.29% |
Standard Deviation (annualized) | 14.87% | 15.32% | 17.54% | 14.87% |
Downside Deviation (monthly) | 2.86% | 2.76% | 3.41% | 2.86% |
Maximum Drawdown | -50.97% | -48.26% | -59.72% | -50.97% |
Stock Market Correlation | 0.99 | -0.06 | 0.78 | 0.99 |
Beta(*) | 1.00 | -0.08 | 0.91 | 1.00 |
Alpha (annualized) | 0.00% | 6.25% | 0.08% | -0.00% |
R2 | 100.00% | 0.66% | 59.75% | 100.00% |
Sharpe Ratio | 0.54 | 0.13 | 0.40 | 0.54 |
Sortino Ratio | 0.77 | 0.20 | 0.58 | 0.77 |
Treynor Ratio (%) | 7.97 | -24.32 | 7.74 | 7.96 |
Calmar Ratio | 1.34 | 0.16 | 0.42 | 1.34 |
Active Return | 0.00% | -6.37% | -1.47% | N/A |
Tracking Error | 0.02% | 22.20% | 11.20% | N/A |
Information Ratio | 0.01 | -0.29 | -0.13 | N/A |
Skewness | -0.82 | 0.24 | -0.63 | -0.82 |
Excess Kurtosis | 2.70 | 0.85 | 1.70 | 2.70 |
Historical Value-at-Risk (5%) | 6.66% | 6.27% | 8.03% | 6.66% |
Analytical Value-at-Risk (5%) | 6.12% | 6.83% | 7.47% | 6.12% |
Conditional Value-at-Risk (5%) | 9.74% | 8.34% | 11.85% | 9.74% |
Upside Capture Ratio (%) | 100.00 | 3.17 | 87.41 | 100.00 |
Downside Capture Ratio (%) | 100.00 | -22.88 | 89.10 | 100.00 |
Safe Withdrawal Rate | 9.80% | 2.99% | 9.92% | 9.80% |
Perpetual Withdrawal Rate | 7.26% | 1.58% | 6.01% | 7.26% |
Positive Periods | 252 out of 384 (65.63%) | 197 out of 384 (51.30%) | 234 out of 384 (60.94%) | 252 out of 384 (65.63%) |
Gain/Loss Ratio | 0.92 | 1.23 | 0.97 | 0.92 |
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | US Large Cap | Gold | European Stocks | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|
Black Monday Period | Sep 1987 | Nov 1987 | -29.78% | 0.00% | -23.15% | -29.78% |
Asian Crisis | Jul 1997 | Jan 1998 | -5.61% | -13.26% | -5.68% | -5.61% |
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -7.73% | -16.03% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.82% | -12.24% | -45.88% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -50.97% | -25.83% | -59.72% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -29.78% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
5 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -14.70% |
6 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
7 | Sep 1986 | Sep 1986 | 1 month | Jan 1987 | 4 months | 5 months | -8.31% |
8 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -6.98% |
9 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
10 | Jan 1990 | Jan 1990 | 1 month | May 1990 | 4 months | 5 months | -6.72% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Dec 1987 | Aug 1999 | 11 years 9 months | Dec 2005 | 6 years 4 months | 18 years 1 month | -48.26% |
2 | Sep 2011 | Dec 2015 | 4 years 4 months | -42.91% | |||
3 | Mar 2008 | Oct 2008 | 8 months | May 2009 | 7 months | 1 year 3 months | -25.83% |
4 | May 2006 | Sep 2006 | 5 months | Feb 2007 | 5 months | 10 months | -8.63% |
5 | Dec 2009 | Jan 2010 | 2 months | May 2010 | 4 months | 6 months | -8.37% |
6 | Oct 1986 | Dec 1986 | 3 months | Apr 1987 | 4 months | 7 months | -8.14% |
7 | Jan 2011 | Jan 2011 | 1 month | Mar 2011 | 2 months | 3 months | -6.38% |
8 | Jun 2009 | Jun 2009 | 1 month | Sep 2009 | 3 months | 4 months | -5.22% |
9 | Jul 2010 | Jul 2010 | 1 month | Aug 2010 | 1 month | 2 months | -5.09% |
10 | May 2007 | Jun 2007 | 2 months | Sep 2007 | 3 months | 5 months | -4.20% |
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 2014 | 5 years 2 months | 6 years 6 months | -59.72% |
2 | Apr 2000 | Sep 2002 | 2 years 6 months | Dec 2004 | 2 years 3 months | 4 years 9 months | -45.88% |
3 | Oct 1987 | Nov 1987 | 2 months | Jul 1989 | 1 year 8 months | 1 year 10 months | -23.15% |
4 | Jun 2014 | Feb 2016 | 1 year 9 months | May 2017 | 1 year 3 months | 3 years | -20.77% |
5 | Aug 1990 | Sep 1990 | 2 months | May 1992 | 1 year 8 months | 1 year 10 months | -20.21% |
6 | Aug 1998 | Sep 1998 | 2 months | Apr 1999 | 7 months | 9 months | -16.03% |
7 | Jun 1992 | Nov 1992 | 6 months | Aug 1993 | 9 months | 1 year 3 months | -12.85% |
8 | May 1986 | May 1986 | 1 month | Aug 1986 | 3 months | 4 months | -8.83% |
9 | Jan 2000 | Jan 2000 | 1 month | Mar 2000 | 2 months | 3 months | -7.18% |
10 | Feb 1994 | Jun 1994 | 5 months | Aug 1994 | 2 months | 7 months | -7.00% |
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 | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -29.78% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
5 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -14.70% |
6 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
7 | Sep 1986 | Sep 1986 | 1 month | Jan 1987 | 4 months | 5 months | -8.31% |
8 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -6.98% |
9 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
10 | Jan 1990 | Jan 1990 | 1 month | May 1990 | 4 months | 5 months | -6.72% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Large Cap | 10.60% | 14.87% | 37.45% | -37.02% | -50.97% | 0.54 | 0.77 | 0.99 |
Gold | 4.23% | 15.32% | 30.45% | -28.33% | -48.26% | 0.13 | 0.20 | -0.06 |
European Stocks | 9.13% | 17.54% | 40.96% | -44.73% | -59.72% | 0.40 | 0.58 | 0.78 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
US Large Cap | 6.61% | 21.67% | 21.67% | 11.27% | 15.63% | 8.37% |
Gold | 1.70% | 12.81% | 12.81% | 2.87% | -5.26% | 4.13% |
European Stocks | 2.00% | 26.82% | 26.82% | 7.23% | 7.49% | 1.60% |
Trailing returns as of last calendar month ending December 2017 |
Name | US Large Cap | Gold | European Stocks | US Large Cap | Gold | European Stocks | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|
US Large Cap | 1.00 | -0.08 | 0.77 | 1.00 | -0.08 | 0.77 | 1.00 |
Gold | -0.08 | 1.00 | 0.06 | -0.08 | 1.00 | 0.06 | -0.08 |
European Stocks | 0.77 | 0.06 | 1.00 | 0.77 | 0.06 | 1.00 | 0.77 |
Name | US Large Cap | Gold | European Stocks |
---|---|---|---|
US Large Cap | $24,137 | ||
Gold | $2,763 | ||
European Stocks | $15,376 | ||
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | US Large Cap | Gold | European Stocks |
---|---|---|---|
US Large Cap | 100.00% | ||
Gold | 100.00% | ||
European Stocks | 100.00% | ||
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | US Large Cap | Gold | European Stocks | Vanguard 500 Index Investor | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 11.51% | 53.61% | -43.32% | 5.01% | 54.21% | -28.33% | 10.24% | 58.49% | -52.92% | 11.51% | 53.61% | -43.32% |
3 years | 10.43% | 32.68% | -16.14% | 4.20% | 32.87% | -15.02% | 8.56% | 30.68% | -18.37% | 10.43% | 32.68% | -16.14% |
5 years | 10.08% | 28.49% | -6.73% | 4.59% | 23.37% | -8.25% | 8.33% | 25.49% | -8.16% | 10.08% | 28.49% | -6.73% |
7 years | 9.62% | 21.51% | -3.94% | 5.28% | 23.33% | -5.72% | 8.12% | 20.28% | -1.18% | 9.62% | 21.51% | -3.94% |
10 years | 9.16% | 19.37% | -3.51% | 5.55% | 20.54% | -4.99% | 8.12% | 16.50% | -1.50% | 9.16% | 19.37% | -3.51% |
15 years | 8.34% | 16.05% | 3.64% | 5.58% | 12.12% | -2.85% | 7.74% | 14.56% | 3.13% | 8.34% | 16.05% | 3.64% |