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 | 33.33% |
Global ex-US Stock Market | 16.67% |
Global Bonds (Unhedged) | 50.00% |
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Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $46,336 | 6.07% | 10.36% | 27.80% | -23.97% | -34.47% | 0.44 | 0.62 | 0.91 |
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 | 7.23% | -17.80% | -17.80% | 0.70% | 2.51% | 4.67% | 6.07% | 13.83% | 11.78% |
Trailing return and volatility are as of last calendar month ending December 2022 |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | US Stock Market | Global ex-US Stock Market | Global Bonds (Unhedged) |
---|---|---|---|---|---|---|
1997 | 1.70% | 11.35% | $11,135 | 30.99% | -0.77% | 2.31% |
1998 | 1.61% | 15.65% | $12,878 | 23.26% | 15.60% | 10.59% |
1999 | 2.68% | 14.83% | $14,789 | 23.81% | 29.92% | 3.82% |
2000 | 3.39% | -6.30% | $13,858 | -10.57% | -15.61% | -0.34% |
2001 | 1.55% | -4.46% | $13,240 | -10.97% | -20.15% | 5.11% |
2002 | 2.38% | 0.70% | $13,332 | -20.96% | -15.08% | 20.39% |
2003 | 1.88% | 27.80% | $17,038 | 31.35% | 40.34% | 21.25% |
2004 | 3.26% | 12.54% | $19,175 | 12.52% | 20.84% | 9.80% |
2005 | 3.42% | 2.42% | $19,639 | 5.98% | 15.57% | -4.34% |
2006 | 2.54% | 13.73% | $22,336 | 15.51% | 26.64% | 8.24% |
2007 | 4.08% | 8.64% | $24,265 | 5.49% | 15.52% | 8.44% |
2008 | 0.09% | -23.97% | $18,448 | -37.04% | -44.10% | -8.56% |
2009 | 2.72% | 27.06% | $23,440 | 28.70% | 36.73% | 22.75% |
2010 | 1.50% | 11.55% | $26,148 | 17.09% | 11.12% | 8.00% |
2011 | 2.96% | -0.22% | $26,092 | 0.96% | -14.56% | 3.78% |
2012 | 1.74% | 12.46% | $29,343 | 16.25% | 18.14% | 8.04% |
2013 | 1.50% | 12.25% | $32,938 | 33.35% | 15.04% | -2.74% |
2014 | 0.76% | 3.60% | $34,125 | 12.43% | -4.24% | 0.34% |
2015 | 0.73% | -3.16% | $33,047 | 0.29% | -4.38% | -5.05% |
2016 | 2.07% | 6.76% | $35,280 | 12.53% | 4.65% | 3.61% |
2017 | 2.11% | 16.02% | $40,931 | 21.05% | 27.40% | 8.87% |
2018 | 1.91% | -5.40% | $38,719 | -5.26% | -14.44% | -2.49% |
2019 | 2.29% | 17.20% | $45,378 | 30.65% | 21.43% | 6.82% |
2020 | 1.36% | 15.56% | $52,439 | 20.87% | 11.16% | 13.49% |
2021 | 7.04% | 7.50% | $56,371 | 25.59% | 8.61% | -4.93% |
2022 | 6.45% | -17.80% | $46,336 | -19.60% | -16.05% | -17.18% |
Metric | Portfolio 1 |
---|---|
Arithmetic Mean (monthly) | 0.54% |
Arithmetic Mean (annualized) | 6.65% |
Geometric Mean (monthly) | 0.49% |
Geometric Mean (annualized) | 6.07% |
Standard Deviation (monthly) | 2.99% |
Standard Deviation (annualized) | 10.36% |
Downside Deviation (monthly) | 2.02% |
Maximum Drawdown | -34.47% |
Stock Market Correlation | 0.91 |
Beta(*) | 0.58 |
Alpha (annualized) | 0.92% |
R2 | 82.72% |
Sharpe Ratio | 0.44 |
Sortino Ratio | 0.62 |
Treynor Ratio (%) | 7.76 |
Calmar Ratio | 0.03 |
Active Return | -2.39% |
Tracking Error | 7.98% |
Information Ratio | -0.30 |
Skewness | -0.74 |
Excess Kurtosis | 2.38 |
Historical Value-at-Risk (5%) | 4.51% |
Analytical Value-at-Risk (5%) | 4.38% |
Conditional Value-at-Risk (5%) | 7.00% |
Upside Capture Ratio (%) | 56.61 |
Downside Capture Ratio (%) | 56.36 |
Safe Withdrawal Rate | 6.77% |
Perpetual Withdrawal Rate | 3.43% |
Positive Periods | 198 out of 312 (63.46%) |
Gain/Loss Ratio | 0.93 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Portfolio 1 |
---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -3.38% |
Russian Debt Default | Jul 1998 | Oct 1998 | -10.84% |
Dotcom Crash | Mar 2000 | Oct 2002 | -16.76% |
Subprime Crisis | Nov 2007 | Mar 2009 | -34.47% |
COVID-19 Start | Jan 2020 | Mar 2020 | -12.49% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Sep 2010 | 1 year 7 months | 2 years 11 months | -34.47% |
2 | Jan 2022 | Sep 2022 | 9 months | -23.34% | |||
3 | Apr 2000 | Sep 2002 | 2 years 6 months | May 2003 | 8 months | 3 years 2 months | -16.76% |
4 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -12.49% |
5 | May 1998 | Aug 1998 | 4 months | Nov 1998 | 3 months | 7 months | -11.88% |
6 | May 2011 | Sep 2011 | 5 months | Mar 2012 | 6 months | 11 months | -11.84% |
7 | Feb 2018 | Dec 2018 | 11 months | Apr 2019 | 4 months | 1 year 3 months | -8.59% |
8 | Sep 2014 | Jan 2016 | 1 year 5 months | Jul 2016 | 6 months | 1 year 11 months | -8.18% |
9 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -4.94% |
10 | Jan 2000 | Jan 2000 | 1 month | Mar 2000 | 2 months | 3 months | -3.70% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 8.47% | 16.14% | 33.35% | -37.04% | -50.89% | 0.47 | 0.67 | 1.00 |
Global ex-US Stock Market | 4.45% | 17.36% | 40.34% | -44.10% | -58.50% | 0.23 | 0.32 | 0.86 |
Global Bonds (Unhedged) | 4.22% | 7.41% | 22.75% | -17.18% | -25.35% | 0.34 | 0.50 | 0.45 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
US Stock Market | 7.12% | -19.60% | -19.60% | 6.87% | 8.60% | 11.96% |
Global ex-US Stock Market | 14.69% | -16.05% | -16.05% | 0.45% | 1.04% | 3.99% |
Global Bonds (Unhedged) | 4.99% | -17.18% | -17.18% | -3.68% | -1.43% | -0.28% |
Trailing returns as of last calendar month ending December 2022 |
Name | US Stock Market | Global ex-US Stock Market | Global Bonds (Unhedged) | Portfolio 1 |
---|---|---|---|---|
US Stock Market | 1.00 | 0.86 | 0.45 | 0.91 |
Global ex-US Stock Market | 0.86 | 1.00 | 0.64 | 0.94 |
Global Bonds (Unhedged) | 0.45 | 0.64 | 1.00 | 0.77 |
Name | Portfolio 1 |
---|---|
US Stock Market | $22,177 |
Global ex-US Stock Market | $5,715 |
Global Bonds (Unhedged) | $8,445 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | Portfolio 1 |
---|---|
US Stock Market | 46.77% |
Global ex-US Stock Market | 26.05% |
Global Bonds (Unhedged) | 27.18% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 6.85% | 42.78% | -30.82% |
3 years | 6.48% | 19.62% | -6.90% |
5 years | 6.40% | 15.48% | -1.38% |
7 years | 6.54% | 10.27% | 3.26% |
10 years | 6.49% | 9.72% | 2.42% |
15 years | 6.39% | 8.04% | 3.91% |