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 |
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US Small Cap Value | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Small Cap Growth | 100.00% |
Save asset allocation » |
Asset Class | Allocation |
---|---|
US Large Cap Growth | 100.00% |
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 | $4,246,503 | 13.74% | 17.79% | 54.78% | -32.05% | -56.13% | 0.56 | 0.82 | 0.89 |
Portfolio 2 | $10,000 | $728,306 | 9.55% | 21.09% | 56.63% | -40.26% | -64.07% | 0.32 | 0.46 | 0.90 |
Portfolio 3 | $10,000 | $774,047 | 9.69% | 16.63% | 44.61% | -38.32% | -53.60% | 0.37 | 0.54 | 0.96 |
Year | Inflation | Return | Balance | US Small Cap Value | US Small Cap Growth | US Large Cap Growth | ||||
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||
1972 | 3.41% | 11.15% | 6.36% | 22.97% | $11,115 | $10,636 | $12,297 | 11.15% | 6.36% | 22.97% |
1973 | 8.71% | -24.12% | -40.26% | -23.09% | $8,434 | $6,354 | $9,458 | -24.12% | -40.26% | -23.09% |
1974 | 12.34% | -21.09% | -33.72% | -32.34% | $6,656 | $4,212 | $6,399 | -21.09% | -33.72% | -32.34% |
1975 | 6.94% | 53.94% | 56.63% | 33.10% | $10,246 | $6,597 | $8,517 | 53.94% | 56.63% | 33.10% |
1976 | 4.86% | 54.78% | 36.40% | 14.85% | $15,859 | $8,998 | $9,781 | 54.78% | 36.40% | 14.85% |
1977 | 6.70% | 15.88% | 15.36% | -8.66% | $18,377 | $10,379 | $8,935 | 15.88% | 15.36% | -8.66% |
1978 | 9.02% | 19.25% | 16.60% | 7.11% | $21,914 | $12,102 | $9,570 | 19.25% | 16.60% | 7.11% |
1979 | 13.29% | 37.80% | 45.21% | 17.44% | $30,199 | $17,573 | $11,238 | 37.80% | 45.21% | 17.44% |
1980 | 12.52% | 25.77% | 46.32% | 35.59% | $37,981 | $25,712 | $15,238 | 25.77% | 46.32% | 35.59% |
1981 | 8.92% | 15.69% | -5.82% | -6.20% | $43,940 | $24,216 | $14,293 | 15.69% | -5.82% | -6.20% |
1982 | 3.83% | 36.87% | 22.36% | 20.33% | $60,141 | $29,630 | $17,198 | 36.87% | 22.36% | 20.33% |
1983 | 3.79% | 42.61% | 20.54% | 16.92% | $85,766 | $35,717 | $20,108 | 42.61% | 20.54% | 16.92% |
1984 | 3.95% | 5.69% | -13.51% | 1.56% | $90,646 | $30,891 | $20,421 | 5.69% | -13.51% | 1.56% |
1985 | 3.80% | 37.46% | 31.17% | 33.57% | $124,602 | $40,519 | $27,277 | 37.46% | 31.17% | 33.57% |
1986 | 1.10% | 13.99% | 5.71% | 16.96% | $142,032 | $42,834 | $31,902 | 13.99% | 5.71% | 16.96% |
1987 | 4.43% | -3.51% | -9.10% | 6.44% | $137,050 | $38,936 | $33,956 | -3.51% | -9.10% | 6.44% |
1988 | 4.42% | 29.00% | 18.42% | 13.21% | $176,788 | $46,110 | $38,442 | 29.00% | 18.42% | 13.21% |
1989 | 4.65% | 19.21% | 19.62% | 35.83% | $210,741 | $55,159 | $52,216 | 19.21% | 19.62% | 35.83% |
1990 | 6.11% | -19.05% | -14.26% | 1.54% | $170,604 | $47,296 | $53,020 | -19.05% | -14.26% | 1.54% |
1991 | 3.06% | 42.96% | 49.22% | 44.61% | $243,893 | $70,574 | $76,670 | 42.96% | 49.22% | 44.61% |
1992 | 2.90% | 28.23% | 10.18% | 6.61% | $312,743 | $77,761 | $81,741 | 28.23% | 10.18% | 6.61% |
1993 | 2.75% | 21.10% | 11.25% | 1.53% | $378,729 | $86,511 | $82,990 | 21.10% | 11.25% | 1.53% |
1994 | 2.67% | -0.07% | -3.63% | 2.89% | $378,468 | $83,375 | $85,388 | -0.07% | -3.63% | 2.89% |
1995 | 2.54% | 30.32% | 30.07% | 38.06% | $493,216 | $108,449 | $117,890 | 30.32% | 30.07% | 38.06% |
1996 | 3.32% | 21.41% | 10.24% | 23.74% | $598,809 | $119,551 | $145,876 | 21.41% | 10.24% | 23.74% |
1997 | 1.70% | 35.44% | 14.37% | 36.34% | $811,015 | $136,736 | $198,888 | 35.44% | 14.37% | 36.34% |
1998 | 1.61% | -2.68% | 3.52% | 42.21% | $789,318 | $141,554 | $282,830 | -2.68% | 3.52% | 42.21% |
1999 | 2.68% | 3.35% | 19.80% | 28.76% | $815,757 | $169,582 | $364,170 | 3.35% | 19.80% | 28.76% |
2000 | 3.39% | 21.88% | 1.59% | -22.21% | $994,230 | $172,276 | $283,293 | 21.88% | 1.59% | -22.21% |
2001 | 1.55% | 13.70% | -0.78% | -12.93% | $1,130,412 | $170,940 | $246,667 | 13.70% | -0.78% | -12.93% |
2002 | 2.38% | -14.20% | -15.41% | -23.68% | $969,916 | $144,599 | $188,265 | -14.20% | -15.41% | -23.68% |
2003 | 1.88% | 37.19% | 42.88% | 25.92% | $1,330,637 | $206,605 | $237,069 | 37.19% | 42.88% | 25.92% |
2004 | 3.26% | 23.55% | 16.06% | 7.20% | $1,644,026 | $239,780 | $254,138 | 23.55% | 16.06% | 7.20% |
2005 | 3.42% | 6.07% | 8.64% | 5.09% | $1,743,854 | $260,489 | $267,066 | 6.07% | 8.64% | 5.09% |
2006 | 2.54% | 19.24% | 11.95% | 9.01% | $2,079,438 | $291,630 | $291,138 | 19.24% | 11.95% | 9.01% |
2007 | 4.08% | -7.07% | 9.63% | 12.56% | $1,932,371 | $319,709 | $327,719 | -7.07% | 9.63% | 12.56% |
2008 | 0.09% | -32.05% | -40.00% | -38.32% | $1,312,955 | $191,825 | $202,136 | -32.05% | -40.00% | -38.32% |
2009 | 2.72% | 30.34% | 41.85% | 36.29% | $1,711,248 | $272,101 | $275,492 | 30.34% | 41.85% | 36.29% |
2010 | 1.50% | 24.82% | 30.69% | 16.96% | $2,135,946 | $355,615 | $322,211 | 24.82% | 30.69% | 16.96% |
2011 | 2.96% | -4.16% | -1.58% | 1.71% | $2,047,023 | $350,013 | $327,716 | -4.16% | -1.58% | 1.71% |
2012 | 1.74% | 18.56% | 17.52% | 16.89% | $2,427,052 | $411,333 | $383,054 | 18.56% | 17.52% | 16.89% |
2013 | 1.50% | 36.41% | 37.98% | 32.16% | $3,310,671 | $567,540 | $506,262 | 36.41% | 37.98% | 32.16% |
2014 | 0.76% | 10.39% | 3.88% | 13.47% | $3,654,657 | $589,543 | $574,430 | 10.39% | 3.88% | 13.47% |
2015 | 0.73% | -4.77% | -2.64% | 3.17% | $3,480,171 | $573,991 | $592,622 | -4.77% | -2.64% | 3.17% |
2016 | 2.07% | 24.65% | 10.61% | 5.99% | $4,337,971 | $634,880 | $628,149 | 24.65% | 10.61% | 5.99% |
2017 | 2.11% | 11.67% | 21.78% | 27.65% | $4,844,253 | $773,168 | $801,808 | 11.67% | 21.78% | 27.65% |
2018 | 1.91% | -12.34% | -5.80% | -3.46% | $4,246,503 | $728,306 | $774,047 | -12.34% | -5.80% | -3.46% |
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 1.21% | 0.95% | 0.89% |
Arithmetic Mean (annualized) | 15.56% | 12.04% | 11.22% |
Geometric Mean (monthly) | 1.08% | 0.76% | 0.77% |
Geometric Mean (annualized) | 13.74% | 9.55% | 9.69% |
Volatility (monthly) | 5.14% | 6.09% | 4.80% |
Volatility (annualized) | 17.79% | 21.09% | 16.63% |
Downside Deviation (monthly) | 3.33% | 4.07% | 3.08% |
Max. Drawdown | -56.13% | -64.07% | -53.60% |
US Market Correlation | 0.89 | 0.90 | 0.96 |
Beta(*) | 1.03 | 1.23 | 1.04 |
Alpha (annualized) | 3.47% | -1.86% | -0.56% |
R2 | 78.50% | 80.37% | 92.50% |
Sharpe Ratio | 0.56 | 0.32 | 0.37 |
Sortino Ratio | 0.82 | 0.46 | 0.54 |
Treynor Ratio (%) | 9.74 | 5.58 | 5.88 |
Calmar Ratio | 0.36 | 0.40 | 0.57 |
Active Return | 3.69% | -0.50% | -0.35% |
Tracking Error | 8.26% | 9.99% | 4.59% |
Information Ratio | 0.45 | -0.05 | -0.08 |
Skewness | -0.58 | -0.52 | -0.33 |
Excess Kurtosis | 3.75 | 2.47 | 2.01 |
Historical Value-at-Risk (5%) | -7.12% | -9.07% | -7.29% |
Analytical Value-at-Risk (5%) | -7.23% | -9.06% | -7.00% |
Conditional Value-at-Risk (5%) | -11.79% | -13.45% | -10.49% |
Upside Capture Ratio (%) | 111.60 | 122.55 | 101.80 |
Downside Capture Ratio (%) | 95.87 | 130.34 | 104.10 |
Sustainable Withdrawal Rate | 7.73% | 3.62% | 3.42% |
Positive Periods | 366 out of 564 (64.89%) | 341 out of 564 (60.46%) | 333 out of 564 (59.04%) |
Gain/Loss Ratio | 1.02 | 0.98 | 1.12 |
* 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 | Portfolio 3 |
---|---|---|---|---|---|
Oil Crisis | Oct 1973 | Mar 1974 | -15.17% | -23.01% | -17.33% |
Black Monday Period | Sep 1987 | Nov 1987 | -29.46% | -37.41% | -31.48% |
Asian Crisis | Jul 1997 | Jan 1998 | -3.14% | -8.89% | -6.64% |
Russian Debt Default | Jul 1998 | Oct 1998 | -23.66% | -27.58% | -13.04% |
Dotcom Crash | Mar 2000 | Oct 2002 | -28.62% | -32.15% | -53.58% |
Subprime Crisis | Nov 2007 | Mar 2009 | -53.25% | -53.52% | -47.19% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -56.13% |
2 | Dec 1972 | Dec 1974 | 2 years 1 month | Jan 1976 | 1 year 1 month | 3 years 2 months | -41.10% |
3 | May 2002 | Mar 2003 | 11 months | Dec 2003 | 9 months | 1 year 8 months | -31.28% |
4 | Sep 1989 | Oct 1990 | 1 year 2 months | May 1991 | 7 months | 1 year 9 months | -30.82% |
5 | Sep 1987 | Nov 1987 | 3 months | Jan 1989 | 1 year 2 months | 1 year 5 months | -29.46% |
6 | May 1998 | Aug 1998 | 4 months | Aug 2000 | 2 years | 2 years 4 months | -27.15% |
7 | May 2011 | Sep 2011 | 5 months | Sep 2012 | 1 year | 1 year 5 months | -23.97% |
8 | Sep 2018 | Dec 2018 | 4 months | -18.94% | |||
9 | Feb 1980 | Mar 1980 | 2 months | Jul 1980 | 4 months | 6 months | -18.53% |
10 | Sep 1978 | Oct 1978 | 2 months | Mar 1979 | 5 months | 7 months | -18.52% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | May 1972 | Sep 1974 | 2 years 5 months | Apr 1978 | 3 years 7 months | 6 years | -64.07% |
2 | Nov 2007 | Feb 2009 | 1 year 4 months | Dec 2010 | 1 year 10 months | 3 years 2 months | -53.52% |
3 | Sep 1987 | Nov 1987 | 3 months | Aug 1989 | 1 year 9 months | 2 years | -37.41% |
4 | Mar 2000 | Feb 2003 | 3 years | Nov 2003 | 9 months | 3 years 9 months | -32.59% |
5 | May 1998 | Aug 1998 | 4 months | Dec 1999 | 1 year 4 months | 1 year 8 months | -31.18% |
6 | Jul 1983 | Jul 1984 | 1 year 1 month | Feb 1986 | 1 year 7 months | 2 years 8 months | -30.96% |
7 | Jul 1990 | Oct 1990 | 4 months | Mar 1991 | 5 months | 9 months | -28.96% |
8 | Jun 1981 | Jul 1982 | 1 year 2 months | Nov 1982 | 4 months | 1 year 6 months | -28.72% |
9 | May 2011 | Sep 2011 | 5 months | Dec 2012 | 1 year 3 months | 1 year 8 months | -25.14% |
10 | Sep 1978 | Oct 1978 | 2 months | Apr 1979 | 6 months | 8 months | -22.67% |
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 | Jul 1980 | 5 years 10 months | 7 years 7 months | -53.60% |
2 | Apr 2000 | Sep 2002 | 2 years 6 months | Aug 2012 | 9 years 11 months | 12 years 5 months | -53.58% |
3 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -31.48% |
4 | Dec 1980 | Jul 1982 | 1 year 8 months | Oct 1982 | 3 months | 1 year 11 months | -19.54% |
5 | Oct 2018 | Dec 2018 | 3 months | -16.34% | |||
6 | Jul 1990 | Sep 1990 | 3 months | Feb 1991 | 5 months | 8 months | -15.81% |
7 | Jul 1983 | May 1984 | 11 months | Jan 1985 | 8 months | 1 year 7 months | -15.00% |
8 | Aug 1998 | Aug 1998 | 1 month | Oct 1998 | 2 months | 3 months | -13.04% |
9 | Jul 1986 | Sep 1986 | 3 months | Jan 1987 | 4 months | 7 months | -11.66% |
10 | Aug 2015 | Feb 2016 | 7 months | Jul 2016 | 5 months | 1 year | -9.21% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Small Cap Value | 13.74% | 17.79% | 54.78% | -32.05% | -56.13% | 0.56 | 0.82 | 0.89 |
US Small Cap Growth | 9.55% | 21.09% | 56.63% | -40.26% | -64.07% | 0.32 | 0.46 | 0.90 |
US Large Cap Growth | 9.69% | 16.63% | 44.61% | -38.32% | -53.60% | 0.37 | 0.54 | 0.96 |
Name | US Small Cap Value | US Small Cap Growth | US Large Cap Growth | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|---|
US Small Cap Value | - | 0.91 | 0.78 | 1.00 | 0.91 | 0.78 |
US Small Cap Growth | 0.91 | - | 0.84 | 0.91 | 1.00 | 0.84 |
US Large Cap Growth | 0.78 | 0.84 | - | 0.78 | 0.84 | 1.00 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Small Cap Value | $4,236,503 | ||
US Small Cap Growth | $718,306 | ||
US Large Cap Growth | $764,047 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Small Cap Value | 100.00% | ||
US Small Cap Growth | 100.00% | ||
US Large Cap Growth | 100.00% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 15.64% | 54.78% | -32.05% | 11.87% | 56.63% | -40.26% | 11.60% | 44.61% | -38.32% |
3 years | 15.10% | 40.29% | -12.69% | 10.84% | 35.31% | -25.04% | 10.52% | 35.66% | -19.74% |
5 years | 15.55% | 35.32% | -0.31% | 11.34% | 33.07% | -2.09% | 10.86% | 33.65% | -6.94% |
7 years | 15.46% | 30.95% | 2.16% | 11.31% | 28.39% | 1.66% | 10.92% | 23.79% | -3.15% |
10 years | 15.23% | 29.84% | 5.22% | 10.91% | 22.05% | 3.09% | 10.96% | 22.09% | -3.30% |
15 years | 15.04% | 25.90% | 7.58% | 10.57% | 18.71% | 5.45% | 11.18% | 21.18% | 3.09% |
Result statistics are based on annualized rolling returns over full calendar year periods |