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. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. 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.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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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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Portfolio Analysis Results (Oct 2014 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
^BTC Bitcoin Market Price USD 10.00%
CASHX Cash 90.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,121 9.52% 8.04%39.58%-8.37%-8.90% 1.052.320.09
Vanguard 500 Index Investor$10,000$18,116 11.98% 11.74%31.33%-4.52%-13.55% 0.941.481.00
   
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 2014 are based on monthly returns from October to December
  • 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 (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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceBitcoin Market Price USD (^BTC)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
2014-1.35%-1.62%4.89%$9,838$10,489-17.25%0.00%
20150.73%4.80%1.25%$10,310$10,62034.47%0.05%
20162.07%9.96%11.82%$11,337$11,875123.83%0.30%
20172.11%39.58%21.67%$15,825$14,4481,368.90%0.88%
20181.91%-8.37%-4.52%$14,501$13,795-73.56%1.90%
20192.29%11.18%31.33%$16,121$18,11692.20%2.13%
Annual returns for 2014 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceBitcoin Market Price USD (^BTC)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
201410-1.26%2.42%$9,874$10,242-12.57%0.00%
2014111.17%2.68%$9,991$10,51711.74%0.00%
201412-1.53%-0.26%$9,838$10,489-15.30%0.00%
20151-3.21%-3.02%$9,522$10,173-32.08%0.00%
201521.69%5.74%$9,684$10,75716.92%0.00%
20153-0.39%-1.59%$9,646$10,585-3.95%0.00%
20154-0.33%0.95%$9,614$10,686-3.31%0.00%
20155-0.25%1.27%$9,590$10,822-2.52%0.00%
201561.43%-1.93%$9,727$10,61214.28%0.00%
201570.82%2.08%$9,807$10,8338.20%0.00%
20158-1.91%-6.04%$9,619$10,179-19.18%0.01%
201590.27%-2.49%$9,645$9,9252.61%0.01%
2015103.31%8.42%$9,964$10,76133.09%0.00%
2015112.02%0.29%$10,165$10,79220.10%0.01%
2015121.43%-1.59%$10,310$10,62014.11%0.02%
20161-1.42%-4.98%$10,163$10,092-14.35%0.01%
201621.89%-0.15%$10,356$10,07718.69%0.03%
20163-0.45%6.78%$10,309$10,760-4.79%0.03%
201640.77%0.37%$10,388$10,8007.58%0.02%
201651.87%1.78%$10,583$10,99318.53%0.02%
201662.70%0.25%$10,868$11,02026.71%0.03%
20167-0.70%3.68%$10,792$11,425-7.23%0.02%
20168-0.77%0.13%$10,709$11,440-7.88%0.02%
201690.62%0.01%$10,775$11,4415.95%0.03%
2016101.52%-1.83%$10,939$11,23114.96%0.02%
2016110.66%3.70%$11,011$11,6476.38%0.03%
2016122.96%1.96%$11,337$11,87529.24%0.04%
201710.11%1.88%$11,349$12,0990.69%0.04%
201722.20%3.96%$11,599$12,57821.60%0.04%
20173-0.88%0.10%$11,497$12,591-9.17%0.04%
201742.63%1.02%$11,800$12,71925.76%0.06%
201757.02%1.39%$12,628$12,89669.63%0.07%
201760.92%0.61%$12,745$12,9758.50%0.08%
201771.67%2.04%$12,957$13,24015.90%0.08%
201786.44%0.29%$13,791$13,27963.58%0.09%
20179-0.70%2.06%$13,695$13,552-7.75%0.08%
2017104.99%2.32%$14,378$13,86749.09%0.09%
2017115.91%3.06%$15,227$14,29158.21%0.09%
2017123.93%1.10%$15,825$14,44838.33%0.10%
20181-2.68%5.71%$15,401$15,274-27.80%0.11%
201820.28%-3.69%$15,444$14,7091.73%0.12%
20183-3.17%-2.56%$14,955$14,333-32.93%0.14%
201843.38%0.37%$15,460$14,38732.51%0.14%
20185-1.75%2.39%$15,189$14,731-18.90%0.15%
20186-1.31%0.61%$14,990$14,821-14.55%0.16%
201872.29%3.71%$15,333$15,37021.49%0.16%
20188-0.81%3.25%$15,210$15,869-9.55%0.17%
20189-0.43%0.55%$15,144$15,957-5.85%0.17%
201810-0.30%-6.85%$15,099$14,864-4.65%0.18%
201811-3.47%2.03%$14,575$15,166-36.41%0.19%
201812-0.51%-9.04%$14,501$13,795-6.83%0.19%
20191-0.58%8.00%$14,417$14,898-7.61%0.20%
201921.33%3.20%$14,608$15,37511.48%0.20%
201930.83%1.94%$14,729$15,6736.50%0.20%
201943.21%4.04%$15,202$16,30630.33%0.20%
201956.20%-6.36%$16,145$15,26960.25%0.20%
201962.79%7.03%$16,595$16,34226.15%0.19%
20197-0.52%1.43%$16,509$16,575-6.76%0.17%
20198-0.30%-1.59%$16,460$16,312-4.51%0.17%
20199-1.24%1.86%$16,256$16,615-13.88%0.16%
2019101.23%2.15%$16,456$16,97310.92%0.15%
201911-1.66%3.62%$16,183$17,587-17.72%0.13%
201912-0.38%3.01%$16,121$18,116-4.97%0.13%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
^BTCBitcoin Market Price USDIndex10.00%$5,432100.01%
CASHXCashCash90.00%$690-0.01%

Asset Allocation

Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.79%1.00%
Arithmetic Mean (annualized)9.86%12.74%
Geometric Mean (monthly)0.76%0.95%
Geometric Mean (annualized)9.52%11.98%
Volatility (monthly)2.32%3.39%
Volatility (annualized)8.04%11.74%
Downside Deviation (monthly)1.00%2.11%
Max. Drawdown-8.90%-13.55%
US Market Correlation0.091.00
Beta(*)0.081.00
Alpha (annualized)8.48%0.00%
R21.38%100.00%
Sharpe Ratio1.050.94
Sortino Ratio2.321.48
Treynor Ratio (%)105.2111.06
Calmar Ratio1.401.12
Active Return-2.46%N/A
Tracking Error13.43%N/A
Information Ratio-0.18N/A
Skewness0.71-0.54
Excess Kurtosis0.501.07
Historical Value-at-Risk (5%)-3.07%-6.30%
Analytical Value-at-Risk (5%)-3.00%-4.57%
Conditional Value-at-Risk (5%)-3.28%-7.42%
Upside Capture Ratio (%)39.02100.00
Downside Capture Ratio (%)0.20100.00
Safe Withdrawal Rate20.35%20.80%
Perpetual Withdrawal Rate6.47%8.27%
Positive Periods35 out of 63 (55.56%)47 out of 63 (74.60%)
Gain/Loss Ratio2.010.74
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2018Jan 20191 year 1 monthMay 20194 months1 year 5 months-8.90%
2Oct 2014Jan 20154 monthsNov 201510 months1 year 2 months-4.78%
3Jul 2019Dec 20196 months-2.86%
4Jul 2016Aug 20162 monthsOct 20162 months4 months-1.47%
5Jan 2016Jan 20161 monthFeb 20161 month2 months-1.42%
6Mar 2017Mar 20171 monthApr 20171 month2 months-0.88%
7Sep 2017Sep 20171 monthOct 20171 month2 months-0.70%
8Mar 2016Mar 20161 monthApr 20161 month2 months-0.45%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3May 2019May 20191 monthJun 20191 month2 months-6.36%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
6Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
7Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
8Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
9Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
^BTCBitcoin Market Price USD74.49%80.40%1,368.90%-73.56%-75.57%1.052.320.09
CASHXCash1.00%0.25%2.13%0.00%0.00%N/AN/A0.03

Monthly Correlations

Correlations for the portfolio assets
TickerName^BTCCASHXPortfolio 1Vanguard 500 Index Investor
^BTCBitcoin Market Price USD1.00-0.031.000.12
CASHXCash-0.031.00-0.000.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
^BTCBitcoin Market Price USD$5,432
CASHXCash$690

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
^BTCBitcoin Market Price USD100.01%
CASHXCash-0.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year11.43%39.58%-8.37%12.31%31.33%-4.52%
3 years13.89%17.17%12.04%11.83%15.12%9.11%
5 years10.38%10.38%10.38%11.55%11.55%11.55%
Result statistics are based on annualized rolling returns over full calendar year periods