This online portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.
Asset Class | Allocation |
---|---|
US Large Cap | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Large Cap | 40.00% |
10-year Treasury | 60.00% |
Save asset allocation » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $875,903 | 9.98% | 15.07% | 37.45% | -37.02% | -50.97% | 0.41 | 0.59 | 0.99 |
Portfolio 2 | $10,000 | $505,893 | 8.71% | 8.01% | 32.13% | -8.34% | -18.52% | 0.52 | 0.80 | 0.77 |
Year | Inflation | Return | Balance | US Large Cap | 10-year Treasury | ||
---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 1 | Portfolio 2 | ||||
1972 | 3.41% | 18.95% | 8.99% | $11,895 | $10,899 | 18.95% | 2.35% |
1973 | 8.71% | -16.18% | -4.50% | $9,971 | $10,409 | -16.18% | 3.29% |
1974 | 12.34% | -26.93% | -8.34% | $7,286 | $9,540 | -26.93% | 4.05% |
1975 | 6.94% | 36.95% | 18.09% | $9,978 | $11,267 | 36.95% | 5.52% |
1976 | 4.86% | 24.18% | 18.85% | $12,391 | $13,390 | 24.18% | 15.29% |
1977 | 6.70% | -7.84% | -2.82% | $11,419 | $13,013 | -7.84% | 0.53% |
1978 | 9.02% | 5.87% | 1.90% | $12,089 | $13,261 | 5.87% | -0.74% |
1979 | 13.29% | 18.05% | 8.32% | $14,271 | $14,363 | 18.05% | 1.83% |
1980 | 12.52% | 31.92% | 11.99% | $18,826 | $16,086 | 31.92% | -1.29% |
1981 | 8.92% | -5.21% | 1.09% | $17,846 | $16,260 | -5.21% | 5.28% |
1982 | 3.83% | 20.97% | 32.13% | $21,589 | $21,485 | 20.97% | 39.57% |
1983 | 3.79% | 21.29% | 9.89% | $26,186 | $23,611 | 21.29% | 2.30% |
1984 | 3.95% | 6.21% | 11.41% | $27,812 | $26,305 | 6.21% | 14.87% |
1985 | 3.80% | 31.23% | 30.40% | $36,498 | $34,302 | 31.23% | 29.85% |
1986 | 1.10% | 18.06% | 20.03% | $43,089 | $41,174 | 18.06% | 21.35% |
1987 | 4.43% | 4.71% | 0.30% | $45,117 | $41,296 | 4.71% | -2.64% |
1988 | 4.42% | 16.22% | 10.63% | $52,435 | $45,685 | 16.22% | 6.90% |
1989 | 4.65% | 31.36% | 23.25% | $68,881 | $56,308 | 31.36% | 17.84% |
1990 | 6.11% | -3.32% | 3.29% | $66,591 | $58,160 | -3.32% | 7.70% |
1991 | 3.06% | 30.22% | 23.43% | $86,716 | $71,789 | 30.22% | 18.91% |
1992 | 2.90% | 7.42% | 7.31% | $93,153 | $77,035 | 7.42% | 7.23% |
1993 | 2.75% | 9.89% | 11.74% | $102,369 | $86,080 | 9.89% | 12.97% |
1994 | 2.67% | 1.18% | -3.85% | $103,572 | $82,770 | 1.18% | -7.19% |
1995 | 2.54% | 37.45% | 30.31% | $142,356 | $107,856 | 37.45% | 25.55% |
1996 | 3.32% | 22.88% | 9.15% | $174,923 | $117,725 | 22.88% | -0.00% |
1997 | 1.70% | 33.19% | 20.46% | $232,981 | $141,806 | 33.19% | 11.97% |
1998 | 1.61% | 28.62% | 20.23% | $299,653 | $170,493 | 28.62% | 14.64% |
1999 | 2.68% | 21.07% | 3.73% | $362,785 | $176,854 | 21.07% | -7.83% |
2000 | 3.39% | -9.06% | 6.74% | $329,930 | $188,781 | -9.06% | 17.28% |
2001 | 1.55% | -12.02% | -1.57% | $290,263 | $185,821 | -12.02% | 5.40% |
2002 | 2.38% | -22.15% | 0.41% | $225,984 | $186,585 | -22.15% | 15.45% |
2003 | 1.88% | 28.50% | 11.49% | $290,393 | $208,028 | 28.50% | 0.15% |
2004 | 3.26% | 10.74% | 6.99% | $321,582 | $222,578 | 10.74% | 4.50% |
2005 | 3.42% | 4.77% | 3.72% | $336,937 | $230,855 | 4.77% | 3.01% |
2006 | 2.54% | 15.64% | 7.57% | $389,639 | $248,334 | 15.64% | 2.19% |
2007 | 4.08% | 5.39% | 8.41% | $410,628 | $269,216 | 5.39% | 10.42% |
2008 | 0.09% | -37.02% | -2.49% | $258,611 | $262,518 | -37.02% | 20.53% |
2009 | 2.72% | 26.49% | 4.49% | $327,105 | $274,307 | 26.49% | -10.17% |
2010 | 1.50% | 14.91% | 10.72% | $375,889 | $303,708 | 14.91% | 7.92% |
2011 | 2.96% | 1.97% | 10.53% | $383,278 | $335,697 | 1.97% | 16.24% |
2012 | 1.74% | 15.82% | 7.97% | $443,932 | $362,449 | 15.82% | 2.73% |
2013 | 1.50% | 32.18% | 7.73% | $586,769 | $390,462 | 32.18% | -8.57% |
2014 | 0.76% | 13.51% | 11.78% | $666,034 | $436,476 | 13.51% | 10.63% |
2015 | 0.73% | 1.25% | 1.17% | $674,367 | $441,600 | 1.25% | 1.12% |
2016 | 2.07% | 11.82% | 5.33% | $754,057 | $465,135 | 11.82% | 1.00% |
2017 | 2.11% | 21.67% | 10.10% | $917,443 | $512,129 | 21.67% | 2.39% |
2018 | 1.91% | -4.53% | -1.22% | $875,903 | $505,893 | -4.53% | 0.99% |
Metric | Portfolio 1 | Portfolio 2 |
---|---|---|
Arithmetic Mean (monthly) | 0.89% | 0.72% |
Arithmetic Mean (annualized) | 11.24% | 9.05% |
Geometric Mean (monthly) | 0.80% | 0.70% |
Geometric Mean (annualized) | 9.98% | 8.71% |
Volatility (monthly) | 4.35% | 2.31% |
Volatility (annualized) | 15.07% | 8.01% |
Downside Deviation (monthly) | 2.79% | 1.26% |
Max. Drawdown | -50.97% | -18.52% |
US Market Correlation | 0.99 | 0.77 |
Beta(*) | 0.97 | 0.40 |
Alpha (annualized) | 0.22% | 4.35% |
R2 | 97.87% | 59.55% |
Sharpe Ratio | 0.41 | 0.52 |
Sortino Ratio | 0.59 | 0.80 |
Treynor Ratio (%) | 6.32 | 10.28 |
Calmar Ratio | 0.67 | 1.14 |
Active Return | -0.06% | -1.34% |
Tracking Error | 2.25% | 10.51% |
Information Ratio | -0.03 | -0.13 |
Skewness | -0.43 | 0.09 |
Excess Kurtosis | 2.21 | 1.30 |
Historical Value-at-Risk (5%) | -6.71% | -3.16% |
Analytical Value-at-Risk (5%) | -6.26% | -3.08% |
Conditional Value-at-Risk (5%) | -9.59% | -4.40% |
Upside Capture Ratio (%) | 96.35 | 47.74 |
Downside Capture Ratio (%) | 95.58 | 30.95 |
Sustainable Withdrawal Rate | 4.20% | 3.92% |
Positive Periods | 351 out of 564 (62.23%) | 362 out of 564 (64.18%) |
Gain/Loss Ratio | 1.02 | 1.30 |
* 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 |
---|---|---|---|---|
Oil Crisis | Oct 1973 | Mar 1974 | -13.05% | -6.20% |
Black Monday Period | Sep 1987 | Nov 1987 | -29.78% | -13.64% |
Asian Crisis | Jul 1997 | Jan 1998 | -5.61% | -3.53% |
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -4.30% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.82% | -6.23% |
Subprime Crisis | Nov 2007 | Mar 2009 | -50.97% | -13.55% |
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 | Jan 1973 | Sep 1974 | 1 year 9 months | Sep 1976 | 2 years | 3 years 9 months | -44.87% |
3 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
4 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -29.78% |
5 | Dec 1980 | Jul 1982 | 1 year 8 months | Oct 1982 | 3 months | 1 year 11 months | -17.00% |
6 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
7 | Jan 1977 | Feb 1978 | 1 year 2 months | Aug 1978 | 6 months | 1 year 8 months | -14.86% |
8 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -14.70% |
9 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
10 | Mar 1980 | Mar 1980 | 1 month | Jun 1980 | 3 months | 4 months | -9.81% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 1973 | Sep 1974 | 1 year 9 months | Jun 1975 | 9 months | 2 years 6 months | -18.52% |
2 | Sep 1987 | Nov 1987 | 3 months | Oct 1988 | 11 months | 1 year 2 months | -13.64% |
3 | Dec 2007 | Feb 2009 | 1 year 3 months | Sep 2009 | 7 months | 1 year 10 months | -13.55% |
4 | Sep 1979 | Mar 1980 | 7 months | May 1980 | 2 months | 9 months | -9.54% |
5 | Dec 1980 | Sep 1981 | 10 months | Nov 1981 | 2 months | 1 year | -9.08% |
6 | Feb 1994 | Jun 1994 | 5 months | Mar 1995 | 9 months | 1 year 2 months | -7.91% |
7 | Feb 1984 | May 1984 | 4 months | Aug 1984 | 3 months | 7 months | -7.35% |
8 | Jul 1975 | Sep 1975 | 3 months | Dec 1975 | 3 months | 6 months | -6.52% |
9 | Aug 1990 | Sep 1990 | 2 months | Dec 1990 | 3 months | 5 months | -6.37% |
10 | Feb 2001 | Jul 2002 | 1 year 6 months | May 2003 | 10 months | 2 years 4 months | -6.23% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Large Cap | 9.98% | 15.07% | 37.45% | -37.02% | -50.97% | 0.41 | 0.59 | 0.99 |
10-year Treasury | 7.07% | 8.11% | 39.57% | -10.17% | -15.76% | 0.32 | 0.51 | 0.05 |
Name | US Large Cap | 10-year Treasury | Portfolio 1 | Portfolio 2 |
---|---|---|---|---|
US Large Cap | - | 0.07 | 1.00 | 0.79 |
10-year Treasury | 0.07 | - | 0.07 | 0.66 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Large Cap | $865,903 | $274,966 |
10-year Treasury | $220,927 |
Name | Portfolio 1 | Portfolio 2 |
---|---|---|
US Large Cap | 100.00% | 59.65% |
10-year Treasury | 40.35% |
Roll Period | Portfolio 1 | Portfolio 2 | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 11.45% | 37.45% | -37.02% | 9.09% | 32.13% | -8.34% |
3 years | 10.69% | 31.03% | -14.60% | 9.07% | 20.37% | -1.56% |
5 years | 10.97% | 28.49% | -2.38% | 9.35% | 20.42% | 3.61% |
7 years | 10.95% | 21.44% | -1.64% | 9.45% | 16.24% | 4.02% |
10 years | 10.93% | 19.04% | -1.46% | 9.66% | 16.01% | 4.41% |
15 years | 11.15% | 18.68% | 4.13% | 9.90% | 14.11% | 5.68% |
Result statistics are based on annualized rolling returns over full calendar year periods |