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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jun 2000 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
DIA SPDR Dow Jones Industrial Avrg ETF Tr -50.00%
IWM iShares Russell 2000 ETF -50.00%
QQQ Invesco QQQ Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,896 0.42% 13.13%33.98%-31.72%-69.58% -0.01-0.020.28
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-1.56%33.98%17.82%10.03%8.23%0.42%9.39%10.41%
Trailing annualized return and volatility are for full months ending in December 2020 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 2000 are based on monthly returns from June 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 annual 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceSPDR Dow Jones Industrial Avrg ETF Tr (DIA)iShares Russell 2000 ETF (IWM)Invesco QQQ Trust (QQQ)
20001.46%-31.64%$6,8362.22%1.50%-29.77%
20011.55%-31.72%$4,668-4.96%1.78%-33.34%
20022.38%-19.93%$3,737-14.69%-20.37%-37.37%
20031.88%12.07%$4,18827.89%47.90%49.67%
20043.26%-0.89%$4,1515.02%18.05%10.54%
20053.42%-1.42%$4,0921.61%4.46%1.57%
20062.54%-11.30%$3,62918.91%18.27%7.14%
20074.08%15.51%$4,1928.79%-1.78%19.02%
20080.09%-8.87%$3,821-32.16%-34.13%-41.73%
20092.72%29.49%$4,94722.75%28.51%54.68%
20101.50%-0.11%$4,94214.01%26.93%20.14%
20112.96%1.71%$5,0268.06%-4.44%3.47%
20121.74%4.87%$5,2719.94%16.70%18.12%
20131.50%2.72%$5,41429.64%38.69%36.63%
20140.76%11.84%$6,0559.82%5.03%19.18%
20150.73%11.60%$6,7580.10%-4.47%9.45%
20162.07%-11.63%$5,97216.37%21.60%7.10%
20172.11%11.56%$6,66228.08%14.59%32.66%
20181.91%7.17%$7,139-3.74%-11.11%-0.12%
20192.29%13.91%$8,13325.02%25.39%38.96%
20201.36%33.98%$10,8969.61%20.03%48.40%
Annual return for 2000 is from 06/01/2000 to 12/31/2000
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnSPDR Dow Jones Industrial Avrg ETF Tr (DIA)iShares Russell 2000 ETF (IWM)Invesco QQQ Trust (QQQ)
200068.48%-0.84%8.68%12.41%
20007-3.39%0.74%-2.77%-4.28%
200087.04%7.23%6.97%13.63%
20009-9.75%-5.07%-3.27%-12.67%
200010-7.34%2.74%-4.46%-7.94%
200011-16.01%-4.45%-9.97%-22.91%
200012-13.25%2.39%7.93%-7.32%
200116.52%1.88%5.38%10.15%
20012-22.25%-3.23%-6.69%-26.21%
20013-11.19%-5.44%-4.64%-17.49%
200145.85%8.24%8.26%17.88%
20015-5.76%1.90%2.16%-3.08%
200162.45%-3.42%3.11%2.17%
20017-4.98%-0.09%-5.56%-8.62%
20018-7.29%-4.79%-2.43%-12.28%
20019-0.98%-11.34%-14.58%-20.88%
2001106.98%2.75%6.50%16.98%
2001113.83%8.87%7.64%16.96%
200112-6.25%1.44%5.49%-1.87%
20021-0.71%-0.47%-0.16%-1.03%
20022-11.68%2.01%-3.12%-12.28%
200230.95%2.74%7.53%6.75%
20024-10.94%-3.99%1.20%-12.01%
20025-2.28%-0.11%-4.74%-5.33%
20026-5.11%-6.60%-5.81%-13.12%
200274.27%-5.65%-13.35%-8.62%
20028-0.53%-0.60%-0.64%-1.51%
200291.71%-11.95%-8.03%-11.79%
2002105.68%10.34%4.12%18.48%
2002112.69%6.40%8.47%12.91%
200212-4.32%-5.83%-5.72%-12.09%
200312.89%-3.13%-2.07%0.29%
200325.05%-1.59%-3.00%2.95%
20033-0.09%0.77%0.21%0.36%
200340.99%6.45%10.28%8.71%
200351.33%4.85%10.87%8.52%
20036-0.73%1.47%1.16%0.54%
200371.98%2.99%6.50%6.18%
200382.06%2.23%4.78%5.00%
20039-1.81%-1.16%-1.95%-2.91%
2003102.45%5.40%8.71%8.51%
200311-1.74%0.37%3.74%0.57%
200312-0.69%6.77%1.80%3.09%
20041-0.77%0.55%4.33%1.67%
20042-2.49%1.20%0.95%-1.35%
20043-1.58%-1.91%0.96%-2.00%
200440.75%-1.46%-5.52%-2.99%
200453.90%0.13%2.15%5.12%
20046-0.12%2.49%4.23%3.26%
20047-2.89%-2.67%-6.77%-7.55%
20048-1.91%0.43%-1.51%-2.49%
200490.95%-0.90%5.33%3.29%
2004104.14%-0.40%2.06%5.01%
200411-0.89%4.49%9.20%6.02%
2004120.28%3.21%2.39%3.02%
20051-3.07%-2.43%-4.06%-6.31%
20052-2.78%2.99%1.64%-0.48%
200530.99%-2.36%-2.84%-1.75%
200540.10%-2.89%-5.66%-4.35%
200553.63%3.03%6.46%8.86%
20056-4.34%-1.69%4.08%-3.32%
200572.05%3.87%6.58%7.61%
200580.22%-1.34%-2.00%-1.52%
200590.71%0.97%0.09%1.23%
2005101.36%-1.61%-3.93%-1.50%
2005110.99%4.42%5.75%6.10%
200512-1.00%-0.95%-0.70%-1.77%
20061-0.96%1.35%8.44%3.93%
20062-3.29%1.69%0.32%-2.14%
20063-1.37%1.51%4.91%2.09%
20064-1.72%2.42%0.30%-0.19%
20065-3.64%-1.64%-5.68%-7.24%
20066-0.15%0.20%-0.04%-0.06%
20067-3.05%0.24%-2.86%-4.31%
200682.09%1.93%3.00%4.77%
200693.00%2.76%0.64%4.64%
200610-0.35%3.54%5.87%4.75%
2006111.51%1.55%2.41%3.43%
200612-3.71%2.01%0.37%-1.88%
200710.49%1.54%1.69%2.11%
20072-0.03%-2.66%-0.66%-1.68%
20073-0.45%0.99%0.98%0.52%
200741.92%5.82%1.62%5.58%
20075-1.28%4.57%4.37%3.15%
200762.06%-1.41%-1.44%0.48%
200774.19%-1.40%-7.00%-0.15%
200781.35%1.15%2.13%2.82%
200792.48%4.31%1.90%5.25%
2007106.18%0.14%2.85%7.04%
200711-2.74%-3.17%-6.89%-6.76%
2007120.64%-0.96%-0.64%-0.07%
20081-6.20%-4.83%-6.53%-11.89%
20082-1.97%-2.19%-2.93%-4.83%
200832.16%-0.26%-0.67%1.87%
200842.69%4.86%4.55%7.98%
200854.12%-1.36%4.58%5.93%
20086-0.99%-9.87%-7.53%-9.61%
20087-1.27%0.39%3.68%0.64%
20088-1.16%1.75%3.58%1.45%
20089-7.97%-5.87%-7.75%-15.58%
2008103.53%-13.56%-20.96%-15.47%
200811-1.43%-5.16%-11.93%-11.46%
2008120.00%-0.57%4.82%2.28%
200916.72%-8.34%-9.67%-2.29%
200925.04%-11.20%-11.98%-5.26%
200933.09%7.44%7.77%10.32%
200942.91%7.86%15.39%13.06%
20095-0.20%4.87%3.40%3.21%
200962.40%-0.53%1.81%2.95%
200971.26%8.44%9.18%8.44%
20098-1.48%4.05%2.93%1.47%
200992.58%2.33%5.56%5.65%
200910-0.34%0.06%-6.49%-3.05%
2009112.48%7.07%3.12%6.35%
2009121.94%0.86%7.92%5.20%
20101-2.91%-3.38%-3.73%-6.47%
201020.72%3.00%4.48%4.60%
201030.77%5.34%8.23%7.71%
20104-1.50%1.46%5.68%2.24%
201050.33%-7.49%-7.54%-7.39%
20106-0.15%-3.51%-7.74%-5.98%
201070.14%7.23%6.73%7.26%
201080.71%-3.94%-7.44%-5.13%
201092.84%7.89%12.45%13.17%
2010102.90%3.24%4.15%6.34%
201011-1.72%-0.71%3.49%-0.17%
201012-2.05%5.42%8.03%4.76%
201111.67%2.69%-0.37%2.83%
20112-1.16%3.24%5.54%3.16%
20113-2.26%0.90%2.52%-0.45%
20114-0.61%4.18%2.64%2.87%
201150.60%-1.66%-1.79%-1.22%
20116-0.24%-1.16%-2.40%-2.02%
201174.76%-2.09%-3.41%1.67%
201181.14%-3.90%-8.89%-5.07%
201193.43%-5.88%-11.15%-4.49%
201110-0.66%9.73%15.10%10.40%
201111-2.99%0.96%-0.38%-2.69%
201112-1.70%1.69%0.51%-0.62%
201213.05%3.60%7.15%8.42%
201223.99%2.82%2.57%6.41%
201233.11%2.14%2.48%5.05%
20124-0.52%0.11%-1.62%-1.17%
20125-1.50%-5.82%-6.58%-7.04%
20126-0.56%4.02%5.05%3.62%
201271.28%1.13%-1.52%1.00%
201283.24%1.18%3.54%5.19%
20129-1.89%2.63%3.26%0.89%
201210-3.59%-2.44%-2.17%-5.28%
2012111.22%-0.13%0.55%1.31%
201212-2.71%0.68%3.62%-0.46%
20131-3.50%6.11%6.24%2.67%
20132-1.07%1.61%1.00%0.34%
20133-1.50%3.81%4.66%3.03%
201341.92%1.96%-0.35%2.54%
201350.37%2.37%3.93%3.58%
20136-1.42%-1.49%-0.82%-2.39%
201370.27%4.37%7.33%6.31%
201384.22%-4.27%-3.16%-0.40%
201390.45%2.33%6.49%4.83%
2013102.83%2.95%2.42%4.96%
201311-0.20%3.69%3.96%3.55%
2013120.54%3.21%2.02%2.92%
201412.06%-5.19%-2.77%-1.92%
201420.69%4.28%4.78%5.15%
20143-2.81%0.92%-0.75%-2.73%
201441.17%0.82%-3.75%-0.32%
201453.49%1.15%0.79%4.49%
201460.28%0.77%5.27%3.12%
201474.87%-1.44%-6.05%1.18%
201481.23%3.57%4.83%5.01%
201492.02%-0.24%-5.93%-0.76%
201410-1.05%2.08%6.59%2.64%
2014113.30%2.94%0.11%4.55%
201412-3.66%0.09%2.89%-2.24%
201511.32%-3.53%-3.28%-2.08%
201521.30%5.97%5.95%7.22%
20153-2.40%-1.82%1.78%-2.36%
201543.10%0.40%-2.56%1.92%
201550.54%1.31%2.24%2.25%
20156-1.91%-2.12%0.78%-2.48%
201574.94%0.58%-1.10%4.56%
20158-1.04%-6.20%-6.31%-6.82%
201590.72%-1.35%-4.93%-2.20%
2015104.50%8.58%5.62%11.37%
201511-1.14%0.74%3.26%0.61%
2015121.39%-1.59%-5.03%-1.59%
201610.12%-5.48%-8.58%-6.91%
20162-1.70%0.73%-0.22%-1.57%
20163-0.85%7.31%8.02%6.85%
20164-4.36%0.61%1.67%-3.19%
201653.03%0.38%2.24%4.37%
20166-2.84%0.96%-0.02%-2.27%
201672.59%2.94%5.87%7.15%
20168-0.01%0.25%1.78%1.05%
201692.05%-0.44%1.08%2.21%
2016101.42%-0.78%-4.60%-1.46%
201611-8.52%5.95%11.06%0.44%
201612-2.61%3.42%2.89%1.13%
201714.74%0.53%0.28%5.14%
201721.01%5.14%1.93%4.38%
201732.39%-0.59%0.03%2.03%
201741.60%1.42%1.15%2.73%
201754.65%0.73%-1.97%3.90%
20176-4.68%1.73%3.37%-2.32%
201772.60%2.67%0.86%4.06%
201782.52%0.62%-1.26%2.07%
20179-4.19%2.17%6.30%-0.29%
2017102.50%4.46%0.73%4.61%
201711-1.37%4.19%2.94%1.97%
201712-0.24%2.10%-0.40%0.60%
201814.61%5.74%2.56%8.76%
201822.59%-4.05%-3.84%-1.29%
20183-3.07%-3.34%1.22%-4.08%
20184-0.02%0.11%0.98%0.51%
201852.02%1.38%6.16%5.67%
201861.08%-0.44%0.61%1.15%
20187-0.16%4.85%1.65%2.80%
201882.78%2.45%4.31%5.78%
20189-0.05%1.96%-2.32%-0.28%
201810-1.45%-4.94%-10.99%-8.60%
201811-1.97%1.96%1.73%-0.26%
2018120.85%-8.48%-11.97%-8.65%
20191-0.32%7.33%11.32%9.01%
20192-1.74%3.94%5.18%2.99%
201935.66%0.15%-2.09%3.92%
201942.91%2.63%3.40%5.50%
20195-1.74%-6.38%-7.85%-8.23%
201960.82%7.36%6.98%7.59%
201971.73%1.09%0.68%2.33%
201981.23%-1.38%-4.93%-1.90%
20199-1.14%2.16%2.04%0.92%
2019103.30%0.55%2.72%4.38%
2019110.46%4.06%4.07%4.07%
2019122.19%1.79%2.78%3.89%
202015.04%-0.89%-3.10%3.04%
202022.66%-9.61%-8.85%-6.06%
202037.91%-13.61%-21.48%-7.29%
202043.80%11.00%13.85%14.97%
202051.82%4.76%6.59%6.60%
202063.84%1.70%3.42%6.28%
202074.82%2.59%2.92%7.35%
202085.75%7.77%5.48%10.94%
20209-3.84%-2.15%-3.25%-5.78%
202010-2.08%-4.44%2.20%-3.04%
2020110.15%12.16%18.24%11.23%
2020120.38%3.29%8.65%4.90%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.11%
Arithmetic Mean (annualized)1.32%
Geometric Mean (monthly)0.03%
Geometric Mean (annualized)0.42%
Volatility (monthly)3.79%
Volatility (annualized)13.13%
Downside Deviation (monthly)3.00%
Max. Drawdown-69.58%
US Market Correlation0.28
Beta(*)0.24
Alpha (annualized)-0.66%
R27.96%
Sharpe Ratio-0.01
Sortino Ratio-0.02
Treynor Ratio (%)-0.83
Calmar Ratio3.05
Active Return-6.94%
Tracking Error17.37%
Information Ratio-0.40
Skewness-1.63
Excess Kurtosis6.42
Historical Value-at-Risk (5%)-6.07%
Analytical Value-at-Risk (5%)-6.46%
Conditional Value-at-Risk (5%)-10.67%
Upside Capture Ratio (%)21.97
Downside Capture Ratio (%)32.54
Safe Withdrawal Rate1.97%
Perpetual Withdrawal Rate0.00%
Positive Periods136 out of 247 (55.06%)
Gain/Loss Ratio0.89
* 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
Subprime CrisisNov 2007Mar 2009-12.58%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Jun 20021 year 10 monthsAug 202018 years 2 months20 years-69.58%
2Sep 2020Oct 20202 months-5.84%
3Jul 2000Jul 20001 monthAug 20001 month2 months-3.39%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DIASPDR Dow Jones Industrial Avrg ETF Tr7.72%14.61%29.64%-32.16%-47.05%0.480.700.95
IWMiShares Russell 2000 ETF8.56%20.08%47.90%-34.13%-52.46%0.440.630.92
QQQInvesco QQQ Trust7.39%23.13%54.68%-41.73%-79.61%0.360.510.87

Monthly Correlations

Correlations for the portfolio assets
TickerNameDIAIWMQQQPortfolio 1
DIASPDR Dow Jones Industrial Avrg ETF Tr1.000.840.790.15
IWMiShares Russell 2000 ETF0.841.000.770.11
QQQInvesco QQQ Trust0.790.771.000.67

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
DIASPDR Dow Jones Industrial Avrg ETF Tr-$4,885
IWMiShares Russell 2000 ETF-$5,663
QQQInvesco QQQ Trust$11,445

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
DIASPDR Dow Jones Industrial Avrg ETF Tr-8.20%
IWMiShares Russell 2000 ETF-8.51%
QQQInvesco QQQ Trust116.71%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year2.70%48.40%-59.65%
3 years2.96%18.78%-27.70%
5 years3.16%12.44%-18.60%
7 years3.57%11.95%-14.15%
10 years3.73%9.03%-8.04%
15 years3.18%7.29%-3.69%