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% |
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Asset Class | Allocation |
---|---|
Intermediate Term Treasury | 100.00% |
Save portfolio » |
Asset Class | Allocation |
---|---|
US Stock Market | 50.00% |
Intermediate Term Treasury | 50.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market 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 | $250,778 | 6.94% | 5.80% | 31.13% | -4.33% | -10.70% | 0.39 | 0.60 | 0.06 |
Portfolio 3 | $10,000 | $635,647 | 9.04% | 8.38% | 27.97% | -14.60% | -24.12% | 0.52 | 0.79 | 0.94 |
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 | -0.57% | 6.29% | 6.29% | 2.93% | 2.29% | 3.20% | 6.94% | 3.06% | 3.48% |
Portfolio 3 | 4.13% | 18.22% | 18.22% | 8.79% | 6.86% | 8.43% | 9.04% | 5.83% | 5.66% |
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 | Intermediate Term Treasury | |||
---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | ||||
1972 | 3.41% | 17.62% | $11,762 | 2.72% | $10,272 | 10.01% | $11,001 | 17.62% | 2.72% |
1973 | 8.71% | -18.18% | $9,623 | 4.47% | $10,732 | -7.12% | $10,218 | -18.18% | 4.47% |
1974 | 12.34% | -27.81% | $6,947 | 5.70% | $11,343 | -11.92% | $9,000 | -27.81% | 5.70% |
1975 | 6.94% | 37.82% | $9,574 | 7.36% | $12,178 | 22.17% | $10,996 | 37.82% | 7.36% |
1976 | 4.86% | 26.47% | $12,108 | 13.75% | $13,852 | 20.25% | $13,222 | 26.47% | 13.75% |
1977 | 6.70% | -3.36% | $11,701 | 1.04% | $13,996 | -1.12% | $13,074 | -3.36% | 1.04% |
1978 | 9.02% | 8.45% | $12,691 | 1.15% | $14,156 | 5.06% | $13,735 | 8.45% | 1.15% |
1979 | 13.29% | 24.25% | $15,768 | 5.35% | $14,914 | 14.58% | $15,738 | 24.25% | 5.35% |
1980 | 12.52% | 33.15% | $20,995 | 2.88% | $15,344 | 18.02% | $18,575 | 33.15% | 2.88% |
1981 | 8.92% | -4.15% | $20,124 | 9.41% | $16,788 | 2.58% | $19,054 | -4.15% | 9.41% |
1982 | 3.83% | 20.50% | $24,249 | 31.13% | $22,015 | 26.04% | $24,016 | 20.50% | 31.13% |
1983 | 3.79% | 22.66% | $29,743 | 5.22% | $23,165 | 13.75% | $27,317 | 22.66% | 5.22% |
1984 | 3.95% | 2.19% | $30,394 | 15.01% | $26,643 | 8.67% | $29,686 | 2.19% | 15.01% |
1985 | 3.80% | 31.27% | $39,898 | 22.24% | $32,570 | 26.88% | $37,666 | 31.27% | 22.24% |
1986 | 1.10% | 14.57% | $45,713 | 15.10% | $37,489 | 15.12% | $43,361 | 14.57% | 15.10% |
1987 | 4.43% | 2.61% | $46,908 | 1.55% | $38,072 | 3.56% | $44,905 | 2.61% | 1.55% |
1988 | 4.42% | 17.32% | $55,031 | 5.26% | $40,073 | 11.18% | $49,926 | 17.32% | 5.26% |
1989 | 4.65% | 28.12% | $70,505 | 14.52% | $45,892 | 21.32% | $60,573 | 28.12% | 14.52% |
1990 | 6.11% | -6.08% | $66,220 | 9.46% | $50,234 | 1.69% | $61,596 | -6.08% | 9.46% |
1991 | 3.06% | 32.39% | $87,670 | 15.97% | $58,255 | 24.19% | $76,497 | 32.39% | 15.97% |
1992 | 2.90% | 9.11% | $95,654 | 7.78% | $62,786 | 8.53% | $83,022 | 9.11% | 7.78% |
1993 | 2.75% | 10.62% | $105,817 | 11.43% | $69,964 | 11.09% | $92,229 | 10.62% | 11.43% |
1994 | 2.67% | -0.17% | $105,638 | -4.33% | $66,937 | -2.21% | $90,190 | -0.17% | -4.33% |
1995 | 2.54% | 35.79% | $143,441 | 20.44% | $80,620 | 27.97% | $115,417 | 35.79% | 20.44% |
1996 | 3.32% | 20.96% | $173,510 | 1.92% | $82,166 | 11.21% | $128,356 | 20.96% | 1.92% |
1997 | 1.70% | 30.99% | $227,288 | 8.96% | $89,529 | 19.73% | $153,684 | 30.99% | 8.96% |
1998 | 1.61% | 23.26% | $280,165 | 10.61% | $99,024 | 17.73% | $180,935 | 23.26% | 10.61% |
1999 | 2.68% | 23.81% | $346,880 | -3.52% | $95,536 | 9.57% | $198,257 | 23.81% | -3.52% |
2000 | 3.39% | -10.57% | $310,199 | 14.03% | $108,942 | 1.37% | $200,975 | -10.57% | 14.03% |
2001 | 1.55% | -10.97% | $276,183 | 7.55% | $117,164 | -1.43% | $198,108 | -10.97% | 7.55% |
2002 | 2.38% | -20.96% | $218,293 | 14.15% | $133,742 | -4.18% | $189,820 | -20.96% | 14.15% |
2003 | 1.88% | 31.35% | $286,736 | 2.37% | $136,908 | 16.28% | $220,717 | 31.35% | 2.37% |
2004 | 3.26% | 12.52% | $322,624 | 3.40% | $141,567 | 7.98% | $238,329 | 12.52% | 3.40% |
2005 | 3.42% | 5.98% | $341,918 | 2.31% | $144,843 | 4.26% | $248,480 | 5.98% | 2.31% |
2006 | 2.54% | 15.51% | $394,954 | 3.14% | $149,386 | 9.22% | $271,394 | 15.51% | 3.14% |
2007 | 4.08% | 5.49% | $416,635 | 9.98% | $164,294 | 7.92% | $292,897 | 5.49% | 9.98% |
2008 | 0.09% | -37.04% | $262,323 | 13.32% | $186,178 | -14.60% | $250,138 | -37.04% | 13.32% |
2009 | 2.72% | 28.70% | $337,604 | -1.69% | $183,023 | 13.15% | $283,040 | 28.70% | -1.69% |
2010 | 1.50% | 17.09% | $395,313 | 7.35% | $196,474 | 12.82% | $319,330 | 17.09% | 7.35% |
2011 | 2.96% | 0.96% | $399,116 | 9.79% | $215,708 | 5.73% | $337,618 | 0.96% | 9.79% |
2012 | 1.74% | 16.25% | $463,985 | 2.67% | $221,476 | 9.46% | $369,559 | 16.25% | 2.67% |
2013 | 1.50% | 33.35% | $618,722 | -3.09% | $214,638 | 13.88% | $420,865 | 33.35% | -3.09% |
2014 | 0.76% | 12.43% | $695,625 | 4.32% | $223,905 | 8.39% | $456,193 | 12.43% | 4.32% |
2015 | 0.73% | 0.29% | $697,654 | 1.50% | $227,269 | 1.16% | $461,504 | 0.29% | 1.50% |
2016 | 2.07% | 12.53% | $785,093 | 1.19% | $229,963 | 6.96% | $493,631 | 12.53% | 1.19% |
2017 | 2.11% | 21.05% | $950,367 | 1.58% | $233,599 | 10.95% | $547,703 | 21.05% | 1.58% |
2018 | 1.91% | -5.26% | $900,414 | 1.00% | $235,942 | -1.83% | $537,697 | -5.26% | 1.00% |
2019 | 2.29% | 30.65% | $1,176,380 | 6.29% | $250,778 | 18.22% | $635,647 | 30.65% | 6.29% |
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 0.93% | 0.57% | 0.75% |
Arithmetic Mean (annualized) | 11.75% | 7.12% | 9.41% |
Geometric Mean (monthly) | 0.83% | 0.56% | 0.72% |
Geometric Mean (annualized) | 10.44% | 6.94% | 9.04% |
Standard Deviation (monthly) | 4.43% | 1.68% | 2.42% |
Standard Deviation (annualized) | 15.34% | 5.80% | 8.38% |
Downside Deviation (monthly) | 2.88% | 0.86% | 1.38% |
Maximum Drawdown | -50.89% | -10.70% | -24.12% |
Stock Market Correlation | 1.00 | 0.06 | 0.94 |
Beta(*) | 1.00 | 0.02 | 0.51 |
Alpha (annualized) | 0.00% | 6.63% | 3.31% |
R2 | 100.00% | 0.41% | 88.04% |
Sharpe Ratio | 0.42 | 0.39 | 0.52 |
Sortino Ratio | 0.61 | 0.60 | 0.79 |
Treynor Ratio (%) | 6.50 | 91.74 | 8.52 |
Calmar Ratio | 1.01 | 0.83 | 1.42 |
Active Return | 0.00% | -3.50% | -1.41% |
Tracking Error | 0.00% | 16.05% | 8.03% |
Information Ratio | N/A | -0.22 | -0.18 |
Skewness | -0.55 | 0.41 | -0.17 |
Excess Kurtosis | 2.20 | 4.05 | 1.42 |
Historical Value-at-Risk (5%) | -6.79% | -2.07% | -3.31% |
Analytical Value-at-Risk (5%) | -6.36% | -2.18% | -3.22% |
Conditional Value-at-Risk (5%) | -9.86% | -2.95% | -4.74% |
Upside Capture Ratio (%) | 100.00 | 15.78 | 56.24 |
Downside Capture Ratio (%) | 100.00 | -15.01 | 43.93 |
Safe Withdrawal Rate | 4.33% | 3.43% | 4.14% |
Perpetual Withdrawal Rate | 5.93% | 2.85% | 4.71% |
Positive Periods | 361 out of 576 (62.67%) | 375 out of 576 (65.10%) | 379 out of 576 (65.80%) |
Gain/Loss Ratio | 1.02 | 1.39 | 1.18 |
* 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% | -2.16% | -6.59% |
Black Monday Period | Sep 1987 | Nov 1987 | -29.34% | -2.01% | -13.91% |
Asian Crisis | Jul 1997 | Jan 1998 | -3.72% | -0.99% | -2.36% |
Russian Debt Default | Jul 1998 | Oct 1998 | -17.57% | -0.77% | -7.19% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.11% | -4.03% | -13.35% |
Subprime Crisis | Nov 2007 | Mar 2009 | -50.89% | -3.43% | -24.12% |
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 | Jul 1979 | Feb 1980 | 8 months | Apr 1980 | 2 months | 10 months | -10.70% |
2 | Jul 1980 | Aug 1981 | 1 year 2 months | Nov 1981 | 3 months | 1 year 5 months | -8.66% |
3 | Feb 1994 | Nov 1994 | 10 months | Apr 1995 | 5 months | 1 year 3 months | -6.47% |
4 | Mar 1987 | Sep 1987 | 7 months | Dec 1987 | 3 months | 10 months | -5.46% |
5 | Feb 1996 | May 1996 | 4 months | Oct 1996 | 5 months | 9 months | -4.86% |
6 | Oct 1998 | Jan 2000 | 1 year 4 months | Jun 2000 | 5 months | 1 year 9 months | -4.67% |
7 | Feb 1984 | May 1984 | 4 months | Jul 1984 | 2 months | 6 months | -4.66% |
8 | Aug 2016 | Apr 2018 | 1 year 9 months | Mar 2019 | 11 months | 2 years 8 months | -4.48% |
9 | May 2013 | Aug 2013 | 4 months | Nov 2014 | 1 year 3 months | 1 year 7 months | -4.30% |
10 | Jun 2003 | Jul 2003 | 2 months | Feb 2004 | 7 months | 9 months | -4.29% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2010 | 1 year 2 months | 2 years 6 months | -24.12% |
2 | Jan 1973 | Sep 1974 | 1 year 9 months | Jan 1976 | 1 year 4 months | 3 years 1 month | -23.76% |
3 | Sep 1987 | Nov 1987 | 3 months | Oct 1988 | 11 months | 1 year 2 months | -13.91% |
4 | Sep 2000 | Sep 2002 | 2 years 1 month | Oct 2003 | 1 year 1 month | 3 years 2 months | -13.35% |
5 | Feb 1980 | Mar 1980 | 2 months | May 1980 | 2 months | 4 months | -8.60% |
6 | Jun 1981 | Sep 1981 | 4 months | Nov 1981 | 2 months | 6 months | -7.83% |
7 | Jul 1998 | Aug 1998 | 2 months | Oct 1998 | 2 months | 4 months | -7.19% |
8 | Aug 1990 | Sep 1990 | 2 months | Jan 1991 | 4 months | 6 months | -6.98% |
9 | Feb 1994 | Jun 1994 | 5 months | Feb 1995 | 8 months | 1 year 1 month | -6.72% |
10 | Sep 1978 | Oct 1978 | 2 months | Mar 1979 | 5 months | 7 months | -6.61% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 10.44% | 15.34% | 37.82% | -37.04% | -50.89% | 0.42 | 0.61 | 1.00 |
Intermediate Term Treasury | 6.94% | 5.80% | 31.13% | -4.33% | -10.70% | 0.39 | 0.60 | 0.06 |
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% |
Intermediate Term Treasury | -0.57% | 6.29% | 6.29% | 2.93% | 2.29% | 3.20% |
Trailing returns as of last calendar month ending December 2019 |
Name | US Stock Market | Intermediate Term Treasury | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|
US Stock Market | 1.00 | 0.06 | 1.00 | 0.06 | 0.94 |
Intermediate Term Treasury | 0.06 | 1.00 | 0.06 | 1.00 | 0.41 |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Stock Market | $1,166,380 | $430,835 | |
Intermediate Term Treasury | $240,778 | $194,812 | |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
US Stock Market | 100.00% | 85.95% | |
Intermediate Term Treasury | 100.00% | 14.05% | |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
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% | 7.24% | 34.57% | -5.92% | 9.40% | 46.69% | -21.90% |
3 years | 11.12% | 30.70% | -16.27% | 7.27% | 19.06% | -0.09% | 9.42% | 23.06% | -3.95% |
5 years | 11.15% | 27.25% | -6.23% | 7.41% | 20.18% | 0.43% | 9.56% | 21.24% | -0.29% |
7 years | 11.19% | 21.23% | -3.02% | 7.54% | 15.92% | 1.01% | 9.68% | 18.39% | 1.87% |
10 years | 11.05% | 18.89% | -2.57% | 7.85% | 13.85% | 2.40% | 9.79% | 15.51% | 2.28% |
15 years | 11.05% | 18.21% | 4.25% | 7.95% | 11.81% | 3.41% | 9.85% | 14.76% | 5.28% |