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.
asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972. Portfolio Analysis Results
(Jan 2014 - Sep 2021)
Close Note: The time period was constrained by the available data for Bitcoin Market Price USD (^BTC) [Oct 2013 - Sep 2021].
Bitcoin Market Price USD
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Portfolio performance statistics Portfolio Initial Balance Final Balance CAGR TWRR MWRR Stdev Best Year Worst Year Max. Drawdown Sharpe Ratio Sortino Ratio US Mkt Correlation Portfolio 1 $100 $458,592 196.79% 69.14% 105.80% 80.80% 1,271.42% -71.75% -73.81% (-73.25%) 1.02 2.16 0.24 * The number in parentheses shows the calculated value taking into account the periodic contributions.
Trailing Returns Name Annualized Return Annualized Volatility 3 Month YTD 1 year 3 year 5 year Full 3 year 5 year Portfolio 1 25.43% 50.18% 307.00% 88.03% 135.42% 69.14% 79.78% 89.27% Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on monthly returns from January to September
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
Monthly contribution of $100 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Drawdowns for Historical Market Stress Periods
Drawdowns for Historical Market Stress Periods Stress Period Start End Portfolio 1 COVID-19 Start Jan 2020 Mar 2020 -31.34% Drawdowns for Portfolio 1
Annual Asset Returns
Rolling returns summary Roll Period Average High Low 1 year 186.91% 1,340.96% -73.03% 3 years 111.81% 252.20% 3.07% 5 years 103.42% 169.32% 32.38% 7 years 85.59% 100.18% 68.84%