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 
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 2014 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
^BTC Bitcoin Market Price USD 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100$458,592 196.79% 69.14%105.80%80.80%1,271.42%-71.75%-73.81%
(-73.25%)
1.022.160.24
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 125.43%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.
Annual returns for the configured portfolios
YearInflationPortfolio 1Bitcoin Market Price USD (^BTC)
ReturnBalanceCashflow
20140.76%-58.36%$842$1,200-58.36%
20150.73%37.13%$3,075$1,20037.13%
20162.07%124.13%$8,968$1,200124.13%
20172.11%1,271.42%$130,370$1,2001,271.42%
20181.91%-71.75%$37,504$1,200-71.75%
20192.29%94.60%$74,352$1,20094.60%
20201.36%305.46%$304,757$1,200305.46%
20215.31%50.18%$458,592$90050.18%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceBitcoin Market Price USD (^BTC)
2014113.08%$21313.08%
20142-32.58%$244-32.58%
20143-16.71%$303-16.71%
20144-5.85%$385-5.85%
2014537.60%$63037.60%
20146-2.39%$715-2.39%
20147-5.51%$776-5.51%
20148-11.07%$790-11.07%
20149-25.09%$692-25.09%
201410-8.65%$732-8.65%
2014119.69%$9039.69%
201412-17.77%$842-17.77%
20151-26.77%$717-26.77%
2015210.62%$89310.62%
20153-1.50%$980-1.50%
20154-8.60%$995-8.60%
201553.25%$1,1283.25%
2015610.74%$1,34910.74%
2015710.98%$1,59710.98%
20158-20.77%$1,365-20.77%
201594.79%$1,5304.79%
20151037.61%$2,20637.61%
20151114.54%$2,62714.54%
20151213.26%$3,07513.26%
20161-11.01%$2,836-11.01%
2016215.89%$3,38715.89%
20163-5.44%$3,303-5.44%
201649.63%$3,7219.63%
2016518.24%$4,50018.24%
2016618.22%$5,41918.22%
201670.08%$5,5240.08%
20168-9.72%$5,086-9.72%
201695.36%$5,4595.36%
20161014.78%$6,36614.78%
2016115.44%$6,8125.44%
20161230.18%$8,96830.18%
20171-3.27%$8,775-3.27%
2017229.15%$11,43429.15%
20173-11.86%$10,178-11.86%
2017425.05%$12,82725.05%
2017565.52%$21,33265.52%
2017617.34%$25,13017.34%
201776.72%$26,9206.72%
2017872.00%$46,40472.00%
20179-10.02%$41,857-10.02%
20171045.69%$61,08345.69%
20171171.97%$105,14371.97%
20171223.90%$130,37023.90%
20181-24.10%$99,054-24.10%
201829.97%$109,0319.97%
20183-36.07%$69,804-36.07%
2018432.97%$92,92132.97%
20185-19.64%$74,772-19.64%
20186-14.83%$63,784-14.83%
2018721.39%$77,52721.39%
20188-8.73%$70,858-8.73%
20189-6.43%$66,403-6.43%
201810-3.88%$63,929-3.88%
201811-37.48%$40,070-37.48%
201812-6.65%$37,504-6.65%
20191-7.29%$34,871-7.29%
2019211.08%$38,83511.08%
201937.76%$41,9507.76%
2019428.88%$54,16728.88%
2019561.31%$87,47961.31%
2019628.42%$112,43728.42%
20197-8.48%$103,003-8.48%
20198-3.80%$99,187-3.80%
20199-14.38%$85,029-14.38%
20191010.80%$94,31210.80%
201911-17.40%$77,998-17.40%
201912-4.80%$74,352-4.80%
2020130.77%$97,32630.77%
20202-7.98%$89,659-7.98%
20203-25.39%$66,999-25.39%
2020436.01%$91,22436.01%
202057.53%$98,1917.53%
20206-2.96%$95,383-2.96%
2020724.32%$118,68024.32%
202082.68%$121,9632.68%
20209-8.02%$112,280-8.02%
20201029.32%$145,30229.32%
20201139.53%$202,84039.53%
20201250.20%$304,75750.20%
2021113.66%$346,47913.66%
2021236.28%$472,29636.28%
2021330.23%$615,17430.23%
20214-2.42%$600,378-2.42%
20215-35.55%$387,022-35.55%
20216-5.62%$365,388-5.62%
2021720.12%$439,01420.12%
2021812.06%$492,06412.06%
20219-6.82%$458,592-6.82%
* End-of-month balance includes the monthly contribution/withdrawal
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)6.92%
Arithmetic Mean (annualized)123.14%
Geometric Mean (monthly)4.48%
Geometric Mean (annualized)69.14%
Volatility (monthly)23.32%
Volatility (annualized)80.80%
Downside Deviation (monthly)10.95%
Max. Drawdown-73.81%
US Market Correlation0.24
Beta(*)1.34
Alpha (annualized)64.80%
R25.60%
Sharpe Ratio1.02
Sortino Ratio2.16
Treynor Ratio (%)61.61
Calmar Ratio1.83
Active Return55.77%
Tracking Error78.65%
Information Ratio0.71
Skewness0.62
Excess Kurtosis0.44
Historical Value-at-Risk (5%)-25.94%
Analytical Value-at-Risk (5%)-31.45%
Conditional Value-at-Risk (5%)-33.69%
Upside Capture Ratio (%)274.68
Downside Capture Ratio (%)45.67
Safe Withdrawal Rate18.43%
Perpetual Withdrawal Rate42.80%
Positive Periods51 out of 93 (54.84%)
Gain/Loss Ratio1.80
* 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
COVID-19 StartJan 2020Mar 2020-31.34%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2018Jan 20191 year 1 monthOct 20201 year 9 months2 years 10 months-73.81%
2Feb 2014Apr 20151 year 3 monthsDec 20161 year 8 months2 years 11 months-73.14%
3Apr 2021Jun 20213 months-40.65%
4Mar 2017Mar 20171 monthApr 20171 month2 months-11.86%
5Sep 2017Sep 20171 monthOct 20171 month2 months-10.02%
6Jan 2017Jan 20171 monthFeb 20171 month2 months-3.27%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
^BTCBitcoin Market Price USD69.14%80.80%1,271.42%-71.75%-73.81%1.022.160.24

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year186.91%1,340.96%-73.03%
3 years111.81%252.20%3.07%
5 years103.42%169.32%32.38%
7 years85.59%100.18%68.84%