Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1989 - Sep 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
JMM Nuveen Multi-Market Income Fund 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$74,425 6.75% 10.68%41.30%-19.87%-23.68% 0.400.570.22
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to September
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceNuveen Multi-Market Income Fund (JMM)
19894.65%-4.73%$9,527-4.73%
19906.11%15.00%$10,95615.00%
19913.06%25.61%$13,76225.61%
19922.90%5.79%$14,5595.79%
19932.75%-2.45%$14,203-2.45%
19942.67%-12.30%$12,456-12.30%
19952.54%18.81%$14,79918.81%
19963.32%9.89%$16,2629.89%
19971.70%19.59%$19,44819.59%
19981.61%-0.58%$19,335-0.58%
19992.68%-10.96%$17,216-10.96%
20003.39%30.22%$22,41930.22%
20011.55%9.09%$24,4569.09%
20022.38%10.23%$26,95810.23%
20031.88%7.80%$29,0597.80%
20043.26%4.07%$30,2424.07%
20053.42%-1.83%$29,688-1.83%
20062.54%14.83%$34,09014.83%
20074.08%2.62%$34,9812.62%
20080.09%-19.87%$28,032-19.87%
20092.72%41.30%$39,60941.30%
20101.50%23.07%$48,74723.07%
20112.96%-0.45%$48,527-0.45%
20121.74%17.15%$56,84917.15%
20131.50%-6.31%$53,261-6.31%
20140.76%10.83%$59,03110.83%
20150.73%-1.17%$58,339-1.17%
20162.07%9.43%$63,8419.43%
20172.11%10.58%$70,59310.58%
20181.91%-5.37%$66,804-5.37%
20192.12%11.41%$74,42511.41%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceNuveen Multi-Market Income Fund (JMM)
19891-4.17%$9,583-4.17%
198920.00%$9,5830.00%
19893-6.67%$8,944-6.67%
198943.43%$9,2503.43%
198953.35%$9,5603.35%
198963.21%$9,8673.21%
198972.08%$10,0722.08%
19898-3.47%$9,722-3.47%
19899-4.82%$9,253-4.82%
1989102.18%$9,4552.18%
1989111.01%$9,5511.01%
198912-0.25%$9,527-0.25%
199010.92%$9,6150.92%
199020.93%$9,7040.93%
199030.95%$9,7970.95%
199040.98%$9,8920.98%
199053.46%$10,2343.46%
19906-0.19%$10,215-0.19%
199074.58%$10,6834.58%
19908-3.67%$10,291-3.67%
199090.98%$10,3920.98%
1990104.65%$10,8754.65%
1990112.14%$11,1082.14%
199012-1.37%$10,956-1.37%
199115.73%$11,5845.73%
199124.31%$12,0844.31%
199130.91%$12,1940.91%
199144.21%$12,7084.21%
199151.95%$12,9551.95%
19916-1.22%$12,797-1.22%
199173.03%$13,1853.03%
199182.96%$13,5752.96%
199193.95%$14,1123.95%
199110-4.17%$13,524-4.17%
1991110.88%$13,6420.88%
1991120.88%$13,7620.88%
199210.85%$13,8780.85%
199221.90%$14,1421.90%
199237.09%$15,1447.09%
19924-2.11%$14,825-2.11%
199252.85%$15,2482.85%
199262.81%$15,6762.81%
199273.70%$16,2563.70%
19928-9.55%$14,704-9.55%
199296.08%$15,5986.08%
199210-1.16%$15,418-1.16%
199211-7.35%$14,285-7.35%
1992121.92%$14,5591.92%
199312.96%$14,9892.96%
19932-0.31%$14,944-0.31%
199332.96%$15,3862.96%
199342.89%$15,8302.89%
19935-6.54%$14,795-6.54%
199360.76%$14,9070.76%
199372.99%$15,3522.99%
199380.74%$15,4650.74%
19939-4.74%$14,733-4.74%
199310-2.75%$14,327-2.75%
199311-1.64%$14,093-1.64%
1993120.78%$14,2030.78%
199413.23%$14,6613.23%
199420.75%$14,7720.75%
19943-12.43%$12,936-12.43%
199449.11%$14,1149.11%
199453.36%$14,5893.36%
19946-2.94%$14,160-2.94%
19947-3.07%$13,725-3.07%
19948-4.53%$13,104-4.53%
19949-3.37%$12,662-3.37%
199410-2.01%$12,407-2.01%
1994117.14%$13,2937.14%
199412-6.29%$12,456-6.29%
199515.60%$13,1535.60%
199523.86%$13,6613.86%
199533.78%$14,1783.78%
19954-2.01%$13,893-2.01%
199553.68%$14,4043.68%
19956-0.61%$14,316-0.61%
199570.78%$14,4270.78%
19958-2.03%$14,135-2.03%
199592.25%$14,4522.25%
1995101.52%$14,6721.52%
1995111.51%$14,8941.51%
199512-0.64%$14,799-0.64%
199613.68%$15,3433.68%
199624.97%$16,1054.97%
19963-1.92%$15,796-1.92%
19964-3.36%$15,265-3.36%
19965-0.63%$15,169-0.63%
199660.81%$15,2920.81%
199670.81%$15,4160.81%
199683.72%$15,9903.72%
199693.62%$16,5693.62%
199610-0.61%$16,467-0.61%
1996110.78%$16,5950.78%
199612-2.01%$16,262-2.01%
199712.24%$16,6262.24%
199725.04%$17,4635.04%
19973-1.95%$17,123-1.95%
199743.56%$17,7323.56%
199750.76%$17,8660.76%
199761.42%$18,1201.42%
199772.76%$18,6192.76%
19978-1.23%$18,390-1.23%
199792.10%$18,7772.10%
1997100.07%$18,7900.07%
1997111.41%$19,0551.41%
1997122.06%$19,4482.06%
199813.36%$20,1013.36%
199821.35%$20,3731.35%
19983-0.56%$20,260-0.56%
19984-9.67%$18,301-9.67%
19985-0.74%$18,166-0.74%
199860.70%$18,2930.70%
199872.86%$18,8162.86%
19988-4.32%$18,002-4.32%
199897.44%$19,3417.44%
199810-3.54%$18,657-3.54%
1998111.44%$18,9261.44%
1998122.16%$19,3352.16%
19991-1.46%$19,052-1.46%
19992-1.51%$18,764-1.51%
199931.47%$19,0411.47%
19994-1.52%$18,752-1.52%
19995-0.04%$18,745-0.04%
199961.50%$19,0271.50%
19997-3.83%$18,298-3.83%
19998-0.04%$18,292-0.04%
19999-2.45%$17,843-2.45%
1999100.80%$17,9860.80%
199911-1.73%$17,675-1.73%
199912-2.60%$17,216-2.60%
200010.83%$17,3580.83%
200023.47%$17,9613.47%
20003-0.87%$17,804-0.87%
200040.82%$17,9500.82%
200051.72%$18,2591.72%
200066.90%$19,5196.90%
200071.61%$19,8331.61%
200085.64%$20,9525.64%
20009-3.12%$20,299-3.12%
2000104.00%$21,1114.00%
2000111.52%$21,4311.52%
2000124.61%$22,4194.61%
200111.93%$22,8501.93%
20012-0.52%$22,731-0.52%
200132.06%$23,2002.06%
20014-3.09%$22,484-3.09%
200151.39%$22,7961.39%
200161.26%$23,0841.26%
200172.33%$23,6222.33%
200181.12%$23,8861.12%
20019-1.35%$23,564-1.35%
2001102.33%$24,1122.33%
2001112.05%$24,6052.05%
200112-0.61%$24,456-0.61%
200213.85%$25,3993.85%
20022-0.68%$25,225-0.68%
20023-2.45%$24,607-2.45%
200242.48%$25,2172.48%
200251.13%$25,5031.13%
20026-0.26%$25,438-0.26%
20027-0.49%$25,312-0.49%
200281.64%$25,7271.64%
200291.50%$26,1141.50%
200210-2.13%$25,557-2.13%
2002113.33%$26,4093.33%
2002122.08%$26,9582.08%
200311.97%$27,4871.97%
200320.44%$27,6100.44%
20033-0.36%$27,510-0.36%
200341.36%$27,8851.36%
200353.76%$28,9323.76%
200361.64%$29,4071.64%
20037-6.01%$27,640-6.01%
200380.18%$27,6890.18%
200392.55%$28,3942.55%
200310-0.52%$28,246-0.52%
2003113.00%$29,0933.00%
200312-0.12%$29,059-0.12%
200411.04%$29,3621.04%
200422.71%$30,1582.71%
20043-1.07%$29,835-1.07%
20044-3.19%$28,884-3.19%
20045-1.52%$28,446-1.52%
200460.16%$28,4910.16%
200471.14%$28,8151.14%
200483.82%$29,9153.82%
200490.24%$29,9860.24%
2004101.54%$30,4491.54%
200411-2.00%$29,839-2.00%
2004121.35%$30,2421.35%
200512.28%$30,9332.28%
200521.18%$31,2991.18%
20053-5.78%$29,490-5.78%
200540.73%$29,7040.73%
200552.44%$30,4292.44%
200560.55%$30,5960.55%
200572.01%$31,2102.01%
20058-1.53%$30,731-1.53%
20059-0.34%$30,628-0.34%
200510-2.95%$29,724-2.95%
200511-1.50%$29,277-1.50%
2005121.40%$29,6881.40%
200613.93%$30,8533.93%
20062-0.85%$30,590-0.85%
20063-1.12%$30,248-1.12%
200640.56%$30,4180.56%
200651.48%$30,8691.48%
20066-0.06%$30,850-0.06%
200672.54%$31,6332.54%
200682.37%$32,3822.37%
200690.94%$32,6870.94%
2006101.32%$33,1171.32%
2006113.13%$34,1543.13%
200612-0.19%$34,090-0.19%
200712.07%$34,7952.07%
20072-0.45%$34,640-0.45%
200731.12%$35,0291.12%
200740.51%$35,2090.51%
20075-1.17%$34,797-1.17%
20076-2.04%$34,086-2.04%
20077-1.22%$33,670-1.22%
200782.36%$34,4632.36%
20079-0.34%$34,347-0.34%
200710-1.87%$33,706-1.87%
2007110.69%$33,9400.69%
2007123.07%$34,9813.07%
200813.16%$36,0883.16%
20082-2.05%$35,348-2.05%
20083-3.76%$34,020-3.76%
200841.10%$34,3941.10%
200851.88%$35,0391.88%
20086-3.57%$33,790-3.57%
20087-2.77%$32,854-2.77%
200880.09%$32,8850.09%
20089-15.55%$27,771-15.55%
2008104.50%$29,0214.50%
200811-3.93%$27,881-3.93%
2008120.54%$28,0320.54%
200913.25%$28,9443.25%
200921.05%$29,2471.05%
20093-4.41%$27,956-4.41%
200948.68%$30,3818.68%
200955.00%$31,8995.00%
200965.44%$33,6335.44%
2009713.51%$38,17813.51%
20098-4.40%$36,498-4.40%
200995.49%$38,5035.49%
2009101.48%$39,0731.48%
200911-4.76%$37,212-4.76%
2009126.44%$39,6096.44%
201014.84%$41,5254.84%
201021.45%$42,1261.45%
201035.94%$44,6295.94%
201041.62%$45,3531.62%
20105-2.14%$44,382-2.14%
201064.03%$46,1694.03%
201071.61%$46,9131.61%
201083.51%$48,5593.51%
201094.82%$50,9024.82%
2010102.80%$52,3272.80%
201011-4.93%$49,746-4.93%
201012-2.01%$48,747-2.01%
201110.12%$48,8050.12%
20112-2.61%$47,532-2.61%
20113-1.07%$47,021-1.07%
201142.06%$47,9892.06%
201150.53%$48,2450.53%
201161.28%$48,8641.28%
20117-3.06%$47,371-3.06%
20118-0.74%$47,019-0.74%
20119-3.74%$45,258-3.74%
2011103.75%$46,9553.75%
201111-2.21%$45,918-2.21%
2011125.68%$48,5275.68%
201211.69%$49,3471.69%
201222.74%$50,6972.74%
201230.76%$51,0800.76%
20124-0.37%$50,890-0.37%
20125-0.51%$50,631-0.51%
201261.55%$51,4161.55%
201273.44%$53,1873.44%
201280.49%$53,4500.49%
201294.84%$56,0354.84%
2012102.50%$57,4342.50%
2012110.79%$57,8910.79%
201212-1.80%$56,849-1.80%
201314.30%$59,2944.30%
20132-2.55%$57,781-2.55%
20133-0.97%$57,218-0.97%
201344.44%$59,7594.44%
20135-3.63%$57,590-3.63%
20136-6.01%$54,130-6.01%
20137-0.87%$53,661-0.87%
20138-4.55%$51,219-4.55%
201392.83%$52,6672.83%
2013103.45%$54,4823.45%
201311-2.90%$52,901-2.90%
2013120.68%$53,2610.68%
201413.41%$55,0783.41%
201421.99%$56,1731.99%
20143-0.92%$55,659-0.92%
201441.32%$56,3951.32%
201452.50%$57,8032.50%
201460.26%$57,9510.26%
20147-0.13%$57,876-0.13%
20148-1.04%$57,275-1.04%
20149-0.14%$57,197-0.14%
2014100.80%$57,6540.80%
2014112.79%$59,2602.79%
201412-0.39%$59,031-0.39%
201511.83%$60,1141.83%
20152-0.65%$59,725-0.65%
20153-0.78%$59,258-0.78%
201540.13%$59,3350.13%
20155-0.93%$58,784-0.93%
20156-2.56%$57,277-2.56%
201571.25%$57,9911.25%
20158-1.10%$57,351-1.10%
20159-2.11%$56,139-2.11%
2015105.92%$59,4635.92%
201511-3.83%$57,188-3.83%
2015122.01%$58,3392.01%
20161-1.98%$57,186-1.98%
201620.15%$57,2700.15%
201635.23%$60,2645.23%
201642.37%$61,6912.37%
201652.05%$62,9562.05%
201660.90%$63,5190.90%
20167-0.72%$63,060-0.72%
201681.71%$64,1351.71%
201690.76%$64,6230.76%
201610-2.46%$63,032-2.46%
2016112.03%$64,3092.03%
201612-0.73%$63,841-0.73%
201711.59%$64,8571.59%
201721.04%$65,5291.04%
201730.09%$65,5900.09%
201743.89%$68,1393.89%
201751.54%$69,1871.54%
20176-2.51%$67,451-2.51%
201770.62%$67,8680.62%
201780.88%$68,4660.88%
201791.28%$69,3421.28%
201710-0.32%$69,123-0.32%
2017110.48%$69,4540.48%
2017121.64%$70,5931.64%
201810.96%$71,2710.96%
20182-2.31%$69,628-2.31%
20183-2.82%$67,664-2.82%
20184-0.98%$67,003-0.98%
201850.28%$67,1890.28%
20186-0.99%$66,524-0.99%
201870.86%$67,0960.86%
201880.57%$67,4800.57%
201890.14%$67,5750.14%
201810-0.57%$67,191-0.57%
201811-0.87%$66,609-0.87%
2018120.29%$66,8040.29%
201911.46%$67,7811.46%
201922.02%$69,1522.02%
201931.00%$69,8441.00%
201940.57%$70,2390.57%
201951.98%$71,6321.98%
201962.36%$73,3232.36%
201971.37%$74,3261.37%
20198-1.36%$73,317-1.36%
201991.51%$74,4251.51%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth6.09%
Mid-cap Value0.00%
Mid-cap Growth7.20%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets3.77%
Corporate Bonds55.16%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries27.78%
R Squared22.81%
Style analysis is based on monthly returns from Apr 2005 to Sep 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
JMMNuveen Multi-Market Income FundIntermediate-Term Bond100.00%$64,425100.00%

Asset Allocation

Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.59%
Arithmetic Mean (annualized)7.36%
Geometric Mean (monthly)0.55%
Geometric Mean (annualized)6.75%
Volatility (monthly)3.08%
Volatility (annualized)10.68%
Downside Deviation (monthly)2.04%
Max. Drawdown-23.68%
US Market Correlation0.22
Beta(*)0.16
Alpha (annualized)5.39%
R24.73%
Sharpe Ratio0.40
Sortino Ratio0.57
Treynor Ratio (%)26.46
Calmar Ratio0.72
Active Return-3.42%
Tracking Error15.99%
Information Ratio-0.21
Skewness-0.60
Excess Kurtosis3.42
Historical Value-at-Risk (5%)-4.41%
Analytical Value-at-Risk (5%)-4.48%
Conditional Value-at-Risk (5%)-6.92%
Upside Capture Ratio (%)26.37
Downside Capture Ratio (%)4.61
Safe Withdrawal Rate5.56%
Perpetual Withdrawal Rate4.09%
Positive Periods230 out of 369 (62.33%)
Gain/Loss Ratio1.00
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1
Asian CrisisJul 1997Jan 1998-1.23%
Russian Debt DefaultJul 1998Oct 1998-4.32%
Dotcom CrashMar 2000Oct 2002-3.12%
Subprime CrisisNov 2007Mar 2009-23.05%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 1992Oct 19942 years 3 monthsSep 19961 year 11 months4 years 2 months-23.68%
2Feb 2008Sep 20088 monthsJul 200910 months1 year 6 months-23.05%
3Mar 1998Dec 19991 year 10 monthsAug 20008 months2 years 6 months-15.50%
4May 2013Aug 20134 monthsJan 20151 year 5 months1 year 9 months-14.29%
5Nov 2010Sep 201111 monthsJul 201210 months1 year 9 months-13.51%
6Jan 1989Mar 19893 monthsJul 19894 months7 months-10.56%
7Aug 1989Sep 19892 monthsMay 19908 months10 months-8.13%
8Feb 2018Jun 20185 monthsMay 201911 months1 year 4 months-6.66%
9Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.61%
10Mar 2005Nov 20059 monthsJul 20068 months1 year 5 months-6.46%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
JMMNuveen Multi-Market Income Fund6.75%10.68%41.30%-19.87%-23.68%0.400.570.22

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.33%41.30%-19.87%
3 years7.11%20.07%-3.27%
5 years6.80%13.70%-0.72%
7 years7.01%11.04%1.97%
10 years7.08%9.28%3.78%
15 years6.97%8.56%4.64%
Result statistics are based on annualized rolling returns over full calendar year periods