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.
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
Trailing Returns
Trailing Returns
Name
Annualized Return
Annualized Volatility
3 Month
1 year
3 year
5 year
10 year
Full
3 year
5 year
Portfolio 1
4.77%
21.88%
10.72%
8.20%
9.92%
6.23%
6.81%
6.66%
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows.
Notes on results:
Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
The annual results for 1999 are based on monthly returns from December to December
CAGR = Compound Annual Growth Rate
TWRR = Annualized time weighted rate of return
MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
Stdev = Annualized standard deviation of monthly returns
Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdown analysis is calculated based on monthly returns excluding cashflows
The results assume monthly rebalancing of portfolio assets to match the specified allocation
Inflation adjusted monthly withdrawal of $3,333 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
Year
Inflation
Portfolio 1
US Large Cap
10-year Treasury
Return
Balance
Cashflow
1999
0.00%
3.01%
$1,026,723
-$3,333
5.98%
-1.45%
2000
3.39%
0.98%
$995,960
-$40,923
-9.06%
17.28%
2001
1.55%
-4.68%
$907,460
-$42,079
-12.02%
5.40%
2002
2.38%
-7.86%
$794,371
-$42,747
-22.15%
15.45%
2003
1.88%
16.72%
$879,272
-$43,717
28.50%
0.15%
2004
3.26%
8.33%
$905,125
-$44,888
10.74%
4.50%
2005
3.42%
4.21%
$895,462
-$46,411
4.77%
3.01%
2006
2.54%
10.14%
$935,298
-$47,908
15.64%
2.19%
2007
4.08%
7.62%
$955,862
-$49,274
5.39%
10.42%
2008
0.09%
-17.39%
$743,417
-$51,166
-37.02%
20.53%
2009
2.72%
10.96%
$768,597
-$50,984
26.49%
-10.17%
2010
1.50%
12.92%
$812,102
-$51,820
14.91%
7.92%
2011
2.96%
8.03%
$822,054
-$53,456
1.97%
16.24%
2012
1.74%
10.69%
$853,915
-$54,562
15.82%
2.73%
2013
1.50%
14.32%
$917,644
-$55,362
32.18%
-8.57%
2014
0.76%
12.46%
$972,408
-$56,260
13.51%
10.63%
2015
0.73%
1.53%
$930,847
-$56,326
1.25%
1.12%
2016
2.07%
7.63%
$943,148
-$57,037
11.82%
1.00%
2017
2.11%
13.62%
$1,010,048
-$58,252
21.67%
2.39%
2018
1.91%
-2.00%
$932,120
-$59,675
-4.53%
0.99%
2019
2.29%
21.88%
$1,070,678
-$60,756
31.33%
8.03%
Annual return for 1999 is from 12/01/1999 to 12/31/1999
Portfolio return and risk metrics
Metric
Portfolio 1
Arithmetic Mean (monthly)
0.53%
Arithmetic Mean (annualized)
6.59%
Geometric Mean (monthly)
0.51%
Geometric Mean (annualized)
6.23%
Volatility (monthly)
2.37%
Volatility (annualized)
8.21%
Downside Deviation (monthly)
1.55%
Max. Drawdown
-29.35%
US Market Correlation
0.93
Beta(*)
0.51
Alpha (annualized)
2.53%
R2
86.14%
Sharpe Ratio
0.57
Sortino Ratio
0.84
Treynor Ratio (%)
9.29
Calmar Ratio
1.56
Active Return
-0.42%
Tracking Error
7.95%
Information Ratio
-0.05
Skewness
-0.67
Excess Kurtosis
2.14
Historical Value-at-Risk (5%)
-3.59%
Analytical Value-at-Risk (5%)
-3.36%
Conditional Value-at-Risk (5%)
-5.27%
Upside Capture Ratio (%)
54.36
Downside Capture Ratio (%)
45.79
Safe Withdrawal Rate
5.72%
Perpetual Withdrawal Rate
3.70%
Positive Periods
158 out of 241 (65.56%)
Gain/Loss Ratio
0.95
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.