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 Stock Market | 100.00% |
| Save portfolio » | |
| Asset Class | Allocation |
|---|---|
| US Stock Market | 50.00% |
| Gold | 50.00% |
| Save portfolio » | |
| Asset Class | Allocation |
|---|---|
| Gold | 100.00% |
| Save portfolio » | |
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $1,176,380 | 10.44% | 15.34% | 37.82% | -37.04% | -50.89% | 0.42 | 0.61 | 1.00 |
| Portfolio 2 | $10,000 | $1,083,268 | 10.25% | 12.90% | 75.40% | -18.37% | -33.29% | 0.46 | 0.73 | 0.59 |
| Portfolio 3 | $10,000 | $326,332 | 7.53% | 20.08% | 126.55% | -32.60% | -61.78% | 0.23 | 0.37 | 0.01 |
| 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 | |
| Portfolio 1 | 8.97% | 30.65% | 30.65% | 14.43% | 11.08% | 13.30% | 10.44% | 12.37% | 12.22% |
| Portfolio 2 | 6.00% | 24.25% | 24.25% | 11.88% | 7.93% | 8.59% | 10.25% | 7.95% | 8.54% |
| Portfolio 3 | 2.90% | 17.86% | 17.86% | 9.24% | 4.70% | 2.91% | 7.53% | 10.43% | 13.88% |
| Trailing return and volatility are as of last full calendar month ending December 2019 | |||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | US Stock Market | Gold | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 1972 | 3.41% | 17.62% | $11,762 | 33.32% | $13,332 | 49.02% | $14,902 | 17.62% | 49.02% |
| 1973 | 8.71% | -18.18% | $9,623 | 27.39% | $16,984 | 72.96% | $25,775 | -18.18% | 72.96% |
| 1974 | 12.34% | -27.81% | $6,947 | 19.17% | $20,239 | 66.15% | $42,824 | -27.81% | 66.15% |
| 1975 | 6.94% | 37.82% | $9,574 | 6.51% | $21,556 | -24.80% | $32,204 | 37.82% | -24.80% |
| 1976 | 4.86% | 26.47% | $12,108 | 11.18% | $23,968 | -4.10% | $30,884 | 26.47% | -4.10% |
| 1977 | 6.70% | -3.36% | $11,701 | 9.64% | $26,278 | 22.64% | $37,876 | -3.36% | 22.64% |
| 1978 | 9.02% | 8.45% | $12,691 | 22.73% | $32,252 | 37.01% | $51,894 | 8.45% | 37.01% |
| 1979 | 13.29% | 24.25% | $15,768 | 75.40% | $56,569 | 126.55% | $117,566 | 24.25% | 126.55% |
| 1980 | 12.52% | 33.15% | $20,995 | 24.17% | $70,241 | 15.19% | $135,419 | 33.15% | 15.19% |
| 1981 | 8.92% | -4.15% | $20,124 | -18.37% | $57,335 | -32.60% | $91,274 | -4.15% | -32.60% |
| 1982 | 3.83% | 20.50% | $24,249 | 17.72% | $67,495 | 14.94% | $104,914 | 20.50% | 14.94% |
| 1983 | 3.79% | 22.66% | $29,743 | 3.18% | $69,639 | -16.31% | $87,807 | 22.66% | -16.31% |
| 1984 | 3.95% | 2.19% | $30,394 | -8.60% | $63,653 | -19.38% | $70,792 | 2.19% | -19.38% |
| 1985 | 3.80% | 31.27% | $39,898 | 18.64% | $75,516 | 6.00% | $75,040 | 31.27% | 6.00% |
| 1986 | 1.10% | 14.57% | $45,713 | 16.77% | $88,176 | 18.96% | $89,265 | 14.57% | 18.96% |
| 1987 | 4.43% | 2.61% | $46,908 | 13.57% | $100,142 | 24.53% | $111,160 | 2.61% | 24.53% |
| 1988 | 4.42% | 17.32% | $55,031 | 1.03% | $101,174 | -15.26% | $94,202 | 17.32% | -15.26% |
| 1989 | 4.65% | 28.12% | $70,505 | 12.64% | $113,962 | -2.84% | $91,527 | 28.12% | -2.84% |
| 1990 | 6.11% | -6.08% | $66,220 | -4.59% | $108,727 | -3.11% | $88,680 | -6.08% | -3.11% |
| 1991 | 3.06% | 32.39% | $87,670 | 11.92% | $121,684 | -8.56% | $81,091 | 32.39% | -8.56% |
| 1992 | 2.90% | 9.11% | $95,654 | 1.69% | $123,736 | -5.73% | $76,441 | 9.11% | -5.73% |
| 1993 | 2.75% | 10.62% | $105,817 | 14.15% | $141,246 | 17.68% | $89,954 | 10.62% | 17.68% |
| 1994 | 2.67% | -0.17% | $105,638 | -1.17% | $139,594 | -2.17% | $88,002 | -0.17% | -2.17% |
| 1995 | 2.54% | 35.79% | $143,441 | 18.38% | $165,255 | 0.98% | $88,863 | 35.79% | 0.98% |
| 1996 | 3.32% | 20.96% | $173,510 | 8.19% | $178,785 | -4.59% | $84,788 | 20.96% | -4.59% |
| 1997 | 1.70% | 30.99% | $227,288 | 4.79% | $187,355 | -21.41% | $66,636 | 30.99% | -21.41% |
| 1998 | 1.61% | 23.26% | $280,165 | 11.22% | $208,373 | -0.83% | $66,085 | 23.26% | -0.83% |
| 1999 | 2.68% | 23.81% | $346,880 | 12.33% | $234,070 | 0.85% | $66,648 | 23.81% | 0.85% |
| 2000 | 3.39% | -10.57% | $310,199 | -8.01% | $215,323 | -5.44% | $63,020 | -10.57% | -5.44% |
| 2001 | 1.55% | -10.97% | $276,183 | -5.11% | $204,321 | 0.75% | $63,490 | -10.97% | 0.75% |
| 2002 | 2.38% | -20.96% | $218,293 | 2.30% | $209,030 | 25.57% | $79,724 | -20.96% | 25.57% |
| 2003 | 1.88% | 31.35% | $286,736 | 25.62% | $262,585 | 19.89% | $95,580 | 31.35% | 19.89% |
| 2004 | 3.26% | 12.52% | $322,624 | 8.58% | $285,121 | 4.65% | $100,023 | 12.52% | 4.65% |
| 2005 | 3.42% | 5.98% | $341,918 | 11.87% | $318,968 | 17.76% | $117,789 | 5.98% | 17.76% |
| 2006 | 2.54% | 15.51% | $394,954 | 19.03% | $379,666 | 22.55% | $144,348 | 15.51% | 22.55% |
| 2007 | 4.08% | 5.49% | $416,635 | 17.97% | $447,899 | 30.45% | $188,308 | 5.49% | 30.45% |
| 2008 | 0.09% | -37.04% | $262,323 | -16.06% | $375,980 | 4.92% | $197,580 | -37.04% | 4.92% |
| 2009 | 2.72% | 28.70% | $337,604 | 26.36% | $475,101 | 24.03% | $245,056 | 28.70% | 24.03% |
| 2010 | 1.50% | 17.09% | $395,313 | 23.18% | $585,240 | 29.27% | $316,785 | 17.09% | 29.27% |
| 2011 | 2.96% | 0.96% | $399,116 | 5.26% | $616,047 | 9.57% | $347,089 | 0.96% | 9.57% |
| 2012 | 1.74% | 16.25% | $463,985 | 11.43% | $686,438 | 6.60% | $369,995 | 16.25% | 6.60% |
| 2013 | 1.50% | 33.35% | $618,722 | 2.51% | $703,667 | -28.33% | $265,176 | 33.35% | -28.33% |
| 2014 | 0.76% | 12.43% | $695,625 | 5.12% | $739,702 | -2.19% | $259,376 | 12.43% | -2.19% |
| 2015 | 0.73% | 0.29% | $697,654 | -5.19% | $701,314 | -10.67% | $231,698 | 0.29% | -10.67% |
| 2016 | 2.07% | 12.53% | $785,093 | 10.28% | $773,431 | 8.03% | $250,310 | 12.53% | 8.03% |
| 2017 | 2.11% | 21.05% | $950,367 | 16.93% | $904,375 | 12.81% | $282,372 | 21.05% | 12.81% |
| 2018 | 1.91% | -5.26% | $900,414 | -3.60% | $871,830 | -1.94% | $276,892 | -5.26% | -1.94% |
| 2019 | 2.29% | 30.65% | $1,176,380 | 24.25% | $1,083,268 | 17.86% | $326,332 | 30.65% | 17.86% |
| Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Arithmetic Mean (monthly) | 0.93% | 0.89% | 0.77% |
| Arithmetic Mean (annualized) | 11.75% | 11.16% | 9.64% |
| Geometric Mean (monthly) | 0.83% | 0.82% | 0.61% |
| Geometric Mean (annualized) | 10.44% | 10.25% | 7.53% |
| Standard Deviation (monthly) | 4.43% | 3.72% | 5.80% |
| Standard Deviation (annualized) | 15.34% | 12.90% | 20.08% |
| Downside Deviation (monthly) | 2.88% | 2.14% | 3.28% |
| Max. Drawdown | -50.89% | -33.29% | -61.78% |
| US Market Correlation | 1.00 | 0.59 | 0.01 |
| Beta(*) | 1.00 | 0.50 | 0.01 |
| Alpha (annualized) | 0.00% | 5.09% | 9.10% |
| R2 | 100.00% | 34.76% | 0.01% |
| Sharpe Ratio | 0.42 | 0.46 | 0.23 |
| Sortino Ratio | 0.61 | 0.73 | 0.37 |
| Treynor Ratio (%) | 6.50 | 12.02 | 388.00 |
| Calmar Ratio | 1.01 | 1.57 | 0.79 |
| Active Return | 0.00% | -0.19% | -2.91% |
| Tracking Error | 0.00% | 12.98% | 25.17% |
| Information Ratio | N/A | -0.01 | -0.12 |
| Skewness | -0.55 | 0.17 | 0.88 |
| Excess Kurtosis | 2.20 | 3.83 | 4.23 |
| Historical Value-at-Risk (5%) | -6.79% | -4.41% | -6.80% |
| Analytical Value-at-Risk (5%) | -6.36% | -5.24% | -8.77% |
| Conditional Value-at-Risk (5%) | -9.86% | -7.28% | -10.58% |
| Upside Capture Ratio (%) | 100.00 | 58.46 | 17.04 |
| Downside Capture Ratio (%) | 100.00 | 40.33 | -16.53 |
| Safe Withdrawal Rate | 4.33% | 7.85% | 5.86% |
| Perpetual Withdrawal Rate | 5.93% | 5.77% | 3.38% |
| Positive Periods | 361 out of 576 (62.67%) | 349 out of 576 (60.59%) | 298 out of 576 (51.74%) |
| Gain/Loss Ratio | 1.02 | 1.27 | 1.36 |
| * 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 | -12.61% | -3.90% | -2.00% |
| Black Monday Period | Sep 1987 | Nov 1987 | -29.34% | -11.77% | 0.00% |
| Asian Crisis | Jul 1997 | Jan 1998 | -3.72% | -4.56% | -13.26% |
| Russian Debt Default | Jul 1998 | Oct 1998 | -17.57% | -12.95% | -7.73% |
| Dotcom Crash | Mar 2000 | Oct 2002 | -44.11% | -16.85% | -12.24% |
| Subprime Crisis | Nov 2007 | Mar 2009 | -50.89% | -26.02% | -25.83% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2012 | 3 years 1 month | 4 years 5 months | -50.89% |
| 2 | Jan 1973 | Sep 1974 | 1 year 9 months | Dec 1976 | 2 years 3 months | 4 years | -45.86% |
| 3 | Sep 2000 | Sep 2002 | 2 years 1 month | Apr 2006 | 3 years 7 months | 5 years 8 months | -44.11% |
| 4 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -29.34% |
| 5 | Dec 1980 | Jul 1982 | 1 year 8 months | Oct 1982 | 3 months | 1 year 11 months | -17.85% |
| 6 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -17.57% |
| 7 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -16.20% |
| 8 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -14.28% |
| 9 | Mar 1980 | Mar 1980 | 1 month | Jun 1980 | 3 months | 4 months | -11.98% |
| 10 | Sep 1978 | Oct 1978 | 2 months | Mar 1979 | 5 months | 7 months | -11.64% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Dec 1980 | Jun 1982 | 1 year 7 months | Nov 1985 | 3 years 5 months | 5 years | -33.29% |
| 2 | Mar 2008 | Oct 2008 | 8 months | Nov 2009 | 1 year 1 month | 1 year 9 months | -26.02% |
| 3 | Apr 1974 | Sep 1974 | 6 months | Feb 1975 | 5 months | 11 months | -20.36% |
| 4 | Feb 1980 | Mar 1980 | 2 months | Jun 1980 | 3 months | 5 months | -18.61% |
| 5 | Jan 2000 | Sep 2002 | 2 years 9 months | Aug 2003 | 11 months | 3 years 8 months | -16.91% |
| 6 | May 1998 | Aug 1998 | 4 months | Dec 1998 | 4 months | 8 months | -14.57% |
| 7 | Jul 1973 | Nov 1973 | 5 months | Jan 1974 | 2 months | 7 months | -14.01% |
| 8 | Jul 1975 | Sep 1975 | 3 months | Dec 1976 | 1 year 3 months | 1 year 6 months | -13.00% |
| 9 | Sep 1987 | Nov 1987 | 3 months | Nov 1989 | 2 years | 2 years 3 months | -11.77% |
| 10 | Nov 1978 | Nov 1978 | 1 month | Jan 1979 | 2 months | 3 months | -10.50% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Oct 1980 | Aug 1999 | 18 years 11 months | Apr 2007 | 7 years 8 months | 26 years 7 months | -61.78% |
| 2 | Jan 1975 | Aug 1976 | 1 year 8 months | Jul 1978 | 1 year 11 months | 3 years 7 months | -44.24% |
| 3 | Sep 2011 | Dec 2015 | 4 years 4 months | -42.91% | |||
| 4 | Mar 2008 | Oct 2008 | 8 months | May 2009 | 7 months | 1 year 3 months | -25.83% |
| 5 | Feb 1980 | Mar 1980 | 2 months | Jun 1980 | 3 months | 5 months | -24.27% |
| 6 | Jul 1973 | Oct 1973 | 4 months | Jan 1974 | 3 months | 7 months | -20.49% |
| 7 | Nov 1978 | Nov 1978 | 1 month | Feb 1979 | 3 months | 4 months | -20.28% |
| 8 | Apr 1974 | Jun 1974 | 3 months | Nov 1974 | 5 months | 8 months | -16.62% |
| 9 | Dec 2009 | Jan 2010 | 2 months | May 2010 | 4 months | 6 months | -8.37% |
| 10 | Aug 1972 | Nov 1972 | 4 months | Feb 1973 | 3 months | 7 months | -6.88% |
| Worst 10 drawdowns included above | |||||||
| Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|
| US Stock Market | 10.44% | 15.34% | 37.82% | -37.04% | -50.89% | 0.42 | 0.61 | 1.00 |
| Gold | 7.53% | 20.08% | 126.55% | -32.60% | -61.78% | 0.23 | 0.37 | 0.01 |
| Name | Total Return | Annualized Return | ||||
|---|---|---|---|---|---|---|
| 3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
| US Stock Market | 8.97% | 30.65% | 30.65% | 14.43% | 11.08% | 13.30% |
| Gold | 2.90% | 17.86% | 17.86% | 9.24% | 4.70% | 2.91% |
| Trailing returns as of last calendar month ending December 2019 | ||||||
| Name | US Stock Market | Gold | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|
| US Stock Market | 1.00 | 0.01 | 1.00 | 0.59 | 0.01 |
| Gold | 0.01 | 1.00 | 0.01 | 0.81 | 1.00 |
| Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| US Stock Market | $1,166,380 | $719,305 | |
| Gold | $353,963 | $316,332 | |
| Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings. | |||
| Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| US Stock Market | 100.00% | 35.84% | |
| Gold | 64.16% | 100.00% | |
| Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings. | |||
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 11.63% | 66.73% | -43.18% | 10.80% | 97.09% | -25.74% | 9.72% | 179.42% | -37.71% |
| 3 years | 11.12% | 30.70% | -16.27% | 9.76% | 41.70% | -4.66% | 6.90% | 70.26% | -15.32% |
| 5 years | 11.15% | 27.25% | -6.23% | 9.53% | 28.22% | -0.52% | 6.22% | 36.39% | -14.69% |
| 7 years | 11.19% | 21.23% | -3.02% | 9.51% | 25.81% | 2.34% | 6.11% | 38.74% | -6.75% |
| 10 years | 11.05% | 18.89% | -2.57% | 9.14% | 19.08% | 3.86% | 5.51% | 24.75% | -5.99% |
| 15 years | 11.05% | 18.21% | 4.25% | 8.78% | 16.10% | 3.84% | 4.80% | 15.89% | -3.63% |