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.
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 90.00% |
VBIIX | Vanguard Interm-Term Bond Index Inv | 60.00% |
CASHX | Cash | -50.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $12,670 | 4.85% | 16.86% | 28.03% | -32.42% | -46.06% | 0.24 | 0.32 | 0.97 |
SPDR S&P 500 ETF Trust | $10,000 | $11,190 | 2.27% | 17.76% | 26.36% | -36.81% | -50.80% | 0.09 | 0.12 | 1.00 |
Name | Annualized Return | Annualized Volatility | |||||
---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
Portfolio 1 | 7.82% | 20.06% | 1.28% | 4.85% | 4.85% | 21.15% | 16.86% |
SPDR S&P 500 ETF Trust | 10.76% | 15.06% | -2.78% | 2.27% | 2.27% | 22.10% | 17.76% |
Trailing annualized return and volatility are for full months ending in December 2010 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 | SPDR S&P 500 ETF Trust | SPDR S&P 500 ETF Trust (SPY) | Vanguard Interm-Term Bond Index Inv (VBIIX) | Cash (CASHX) | ||
---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | |||||
2006 | 2.54% | 14.03% | $11,403 | 15.85% | $11,585 | 15.85% | 3.91% | 4.82% |
2007 | 4.08% | 6.96% | $12,197 | 5.14% | $12,180 | 5.14% | 7.61% | 4.56% |
2008 | 0.09% | -32.42% | $8,243 | -36.81% | $7,697 | -36.81% | 4.93% | 1.53% |
2009 | 2.72% | 28.03% | $10,553 | 26.36% | $9,726 | 26.36% | 6.79% | 0.16% |
2010 | 1.50% | 20.06% | $12,670 | 15.06% | $11,190 | 15.06% | 9.37% | 0.14% |
Year | Month | Portfolio 1 Return | SPDR S&P 500 ETF Trust Return | SPDR S&P 500 ETF Trust (SPY) | Vanguard Interm-Term Bond Index Inv (VBIIX) | Cash (CASHX) |
---|---|---|---|---|---|---|
2006 | 1 | 1.83% | 2.40% | 2.40% | -0.28% | 0.33% |
2006 | 2 | 0.38% | 0.57% | 0.57% | 0.07% | 0.37% |
2006 | 3 | 0.64% | 1.65% | 1.65% | -1.15% | 0.38% |
2006 | 4 | 0.69% | 1.26% | 1.26% | -0.49% | 0.38% |
2006 | 5 | -2.99% | -3.01% | -3.01% | -0.08% | 0.39% |
2006 | 6 | 0.05% | 0.26% | 0.26% | 0.01% | 0.40% |
2006 | 7 | 1.10% | 0.45% | 0.45% | 1.54% | 0.41% |
2006 | 8 | 2.90% | 2.18% | 2.18% | 1.92% | 0.42% |
2006 | 9 | 2.87% | 2.70% | 2.70% | 1.09% | 0.41% |
2006 | 10 | 3.05% | 3.15% | 3.15% | 0.71% | 0.40% |
2006 | 11 | 2.31% | 1.99% | 1.99% | 1.28% | 0.42% |
2006 | 12 | 0.55% | 1.34% | 1.34% | -0.74% | 0.41% |
2007 | 1 | 1.00% | 1.50% | 1.50% | -0.26% | 0.41% |
2007 | 2 | -0.79% | -1.96% | -1.96% | 2.05% | 0.42% |
2007 | 3 | 0.68% | 1.16% | 1.16% | -0.26% | 0.42% |
2007 | 4 | 4.14% | 4.43% | 4.43% | 0.60% | 0.41% |
2007 | 5 | 2.22% | 3.39% | 3.39% | -1.14% | 0.40% |
2007 | 6 | -1.78% | -1.46% | -1.46% | -0.48% | 0.39% |
2007 | 7 | -2.47% | -3.13% | -3.13% | 1.03% | 0.39% |
2007 | 8 | 1.96% | 1.28% | 1.28% | 1.71% | 0.40% |
2007 | 9 | 3.67% | 3.87% | 3.87% | 0.60% | 0.33% |
2007 | 10 | 1.64% | 1.36% | 1.36% | 1.00% | 0.31% |
2007 | 11 | -2.18% | -3.87% | -3.87% | 2.44% | 0.32% |
2007 | 12 | -1.05% | -1.13% | -1.13% | 0.13% | 0.26% |
2008 | 1 | -3.89% | -6.05% | -6.05% | 2.50% | 0.28% |
2008 | 2 | -2.02% | -2.58% | -2.58% | 0.65% | 0.16% |
2008 | 3 | -0.87% | -0.90% | -0.90% | 0.02% | 0.15% |
2008 | 4 | 3.68% | 4.77% | 4.77% | -0.83% | 0.11% |
2008 | 5 | 0.53% | 1.51% | 1.51% | -1.30% | 0.12% |
2008 | 6 | -7.73% | -8.35% | -8.35% | -0.08% | 0.15% |
2008 | 7 | -0.88% | -0.90% | -0.90% | 0.03% | 0.16% |
2008 | 8 | 1.77% | 1.55% | 1.55% | 0.70% | 0.14% |
2008 | 9 | -10.70% | -9.44% | -9.44% | -3.37% | 0.14% |
2008 | 10 | -17.49% | -16.52% | -16.52% | -4.30% | 0.08% |
2008 | 11 | -2.80% | -6.96% | -6.96% | 5.80% | 0.04% |
2008 | 12 | 4.19% | 0.98% | 0.98% | 5.52% | 0.00% |
2009 | 1 | -7.97% | -8.21% | -8.21% | -1.32% | 0.01% |
2009 | 2 | -10.40% | -10.74% | -10.74% | -1.19% | 0.02% |
2009 | 3 | 8.57% | 8.35% | 8.35% | 1.78% | 0.02% |
2009 | 4 | 9.02% | 9.93% | 9.93% | 0.19% | 0.02% |
2009 | 5 | 5.78% | 5.85% | 5.85% | 0.88% | 0.01% |
2009 | 6 | 0.54% | -0.07% | -0.07% | 1.06% | 0.01% |
2009 | 7 | 8.16% | 7.46% | 7.46% | 2.60% | 0.02% |
2009 | 8 | 4.11% | 3.69% | 3.69% | 1.32% | 0.02% |
2009 | 9 | 3.98% | 3.55% | 3.55% | 1.38% | 0.01% |
2009 | 10 | -1.41% | -1.92% | -1.92% | 0.55% | 0.01% |
2009 | 11 | 6.64% | 6.16% | 6.16% | 2.01% | 0.00% |
2009 | 12 | 0.19% | 1.91% | 1.91% | -2.54% | 0.01% |
2010 | 1 | -2.13% | -3.63% | -3.63% | 2.05% | 0.01% |
2010 | 2 | 3.01% | 3.12% | 3.12% | 0.33% | 0.01% |
2010 | 3 | 5.38% | 6.09% | 6.09% | -0.19% | 0.01% |
2010 | 4 | 2.27% | 1.55% | 1.55% | 1.55% | 0.01% |
2010 | 5 | -6.52% | -7.95% | -7.95% | 1.17% | 0.01% |
2010 | 6 | -3.09% | -5.17% | -5.17% | 2.51% | 0.01% |
2010 | 7 | 6.93% | 6.83% | 6.83% | 1.57% | 0.02% |
2010 | 8 | -2.39% | -4.50% | -4.50% | 2.51% | 0.01% |
2010 | 9 | 8.39% | 8.96% | 8.96% | 0.56% | 0.01% |
2010 | 10 | 3.72% | 3.82% | 3.82% | 0.48% | 0.01% |
2010 | 11 | -0.64% | 0.00% | 0.00% | -1.06% | 0.01% |
2010 | 12 | 4.63% | 6.68% | 6.68% | -2.38% | 0.01% |
Metric | Portfolio 1 | SPDR S&P 500 ETF Trust |
---|---|---|
Arithmetic Mean (monthly) | 0.52% | 0.32% |
Arithmetic Mean (annualized) | 6.37% | 3.91% |
Geometric Mean (monthly) | 0.40% | 0.19% |
Geometric Mean (annualized) | 4.85% | 2.27% |
Volatility (monthly) | 4.87% | 5.13% |
Volatility (annualized) | 16.86% | 17.76% |
Downside Deviation (monthly) | 3.58% | 3.82% |
Max. Drawdown | -46.06% | -50.80% |
US Market Correlation | 0.97 | 1.00 |
Beta(*) | 0.93 | 1.00 |
Alpha (annualized) | 2.62% | -0.00% |
R2 | 95.50% | 100.00% |
Sharpe Ratio | 0.24 | 0.09 |
Sortino Ratio | 0.32 | 0.12 |
Treynor Ratio (%) | 4.30 | 1.65 |
Calmar Ratio | 0.03 | -0.06 |
Active Return | 2.57% | N/A |
Tracking Error | 3.80% | N/A |
Information Ratio | 0.68 | N/A |
Skewness | -1.09 | -0.80 |
Excess Kurtosis | 2.56 | 1.08 |
Historical Value-at-Risk (5%) | -8.09% | -8.40% |
Analytical Value-at-Risk (5%) | -7.44% | -8.11% |
Conditional Value-at-Risk (5%) | -12.86% | -12.23% |
Upside Capture Ratio (%) | 95.55 | 100.00 |
Downside Capture Ratio (%) | 85.58 | 100.00 |
Safe Withdrawal Rate | 20.04% | 18.97% |
Perpetual Withdrawal Rate | 2.55% | 0.09% |
Positive Periods | 38 out of 60 (63.33%) | 37 out of 60 (61.67%) |
Gain/Loss Ratio | 0.77 | 0.70 |
* SPDR S&P 500 ETF Trust is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 | SPDR S&P 500 ETF Trust |
---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -46.06% | -50.80% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Dec 2010 | 1 year 10 months | 3 years 2 months | -46.06% |
2 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.20% |
3 | May 2006 | May 2006 | 1 month | Aug 2006 | 3 months | 4 months | -2.99% |
4 | Feb 2007 | Feb 2007 | 1 month | Apr 2007 | 2 months | 3 months | -0.79% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | -50.80% | |||
2 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.55% |
3 | May 2006 | May 2006 | 1 month | Sep 2006 | 4 months | 5 months | -3.01% |
4 | Feb 2007 | Feb 2007 | 1 month | Apr 2007 | 2 months | 3 months | -1.96% |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 2.27% | 17.76% | 26.36% | -36.81% | -50.80% | 0.09 | 0.12 | 1.00 |
VBIIX | Vanguard Interm-Term Bond Index Inv | 6.50% | 5.97% | 9.37% | 3.91% | -8.92% | 0.71 | 1.23 | 0.14 |
CASHX | Cash | 2.22% | 0.60% | 4.82% | 0.14% | 0.00% | N/A | N/A | -0.02 |
Ticker | Name | SPY | VBIIX | CASHX | Portfolio 1 | SPDR S&P 500 ETF Trust |
---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 1.00 | 0.15 | -0.00 | 0.98 | 1.00 |
VBIIX | Vanguard Interm-Term Bond Index Inv | 0.15 | 1.00 | -0.08 | 0.35 | 0.15 |
CASHX | Cash | -0.00 | -0.08 | 1.00 | -0.04 | -0.00 |
Ticker | Name | Portfolio 1 |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | $1,447 |
VBIIX | Vanguard Interm-Term Bond Index Inv | $1,821 |
CASHX | Cash | -$599 |
Ticker | Name | Portfolio 1 |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 92.44% |
VBIIX | Vanguard Interm-Term Bond Index Inv | 7.49% |
CASHX | Cash | 0.07% |
Roll Period | Portfolio 1 | SPDR S&P 500 ETF Trust | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 4.83% | 56.51% | -40.83% | 1.58% | 53.27% | -43.44% |
3 years | -3.96% | 1.28% | -12.72% | -7.60% | -2.78% | -15.09% |