Use our free ETF and stock backtesting tool to analyze historical performance of your investment portfolio. Whether you're backtesting individual stocks or ETF allocations, compare different asset allocations, test rebalancing strategies, and see how your portfolio would have performed against benchmarks. No signup required.
Analyzing historical performance...
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Download the complete backtest data including metrics, equity curve, and yearly returns.
Portfolio backtesting is a method of testing an investment strategy using historical data to see how it would have performed in the past. Instead of risking real money to validate your investment approach, you can use a free stock backtesting tool or portfolio backtesting tool to simulate how your chosen asset allocation would have behaved over different market conditions.
By analyzing historical performance, you can gain insights into potential returns, risk levels, and drawdowns before committing capital. This makes backtesting your portfolio or individual stocks an essential step in developing a sound investment strategy. Our stock backtesting free tool lets you test everything from individual equities to complete diversified portfolios.
Our free stock backtesting tool and portfolio backtest engine work by taking your specified asset allocation and simulating how it would have performed using real historical price data. Here's the process:
Our portfolio backtesting tool provides several key metrics to help you evaluate performance:
Compound Annual Growth Rate
The average annual return, accounting for compounding. A 10% CAGR means your portfolio grew 10% per year on average.
Return Variability
Measures how much returns fluctuate. Higher volatility means more ups and downs. Expressed as annualized standard deviation.
Risk-Adjusted Return
Calculated as (Return - Risk-Free Rate) / Volatility. Above 1.0 is considered good, above 2.0 is excellent.
Worst Peak-to-Trough
The largest peak-to-trough decline. Shows the worst-case loss you would have experienced during the backtest period.
Compare different ETF allocations to find the optimal mix. Test combinations of US stocks (VTI), international (VXUS), and bonds (BND). Use our backtest ETF portfolio feature to analyze how different ETF combinations would have performed.
Test classic allocations like 60/40 (stocks/bonds), 80/20, or the three-fund portfolio to see historical performance. Compare aggressive vs conservative allocations across different market cycles.
Compare yearly vs quarterly vs monthly rebalancing to see how frequency affects returns and risk. Many investors find that annual rebalancing provides a good balance between maintaining target weights and minimizing transaction activity.
Not just for ETFs - our free stock backtesting tool lets you test individual stocks or combinations to see how concentrated positions would have performed historically. Analyze any ticker completely free.
Test how regular monthly contributions would have affected your portfolio growth over time. See the power of dollar-cost averaging during both bull and bear markets.
A drawdown represents the decline from a portfolio's peak value to its subsequent trough before recovering. Understanding drawdowns is crucial for assessing the true risk of your investment strategy - volatility tells you about day-to-day fluctuations, but drawdowns show you the real pain you might experience during market downturns.
Our backtesting tool provides detailed drawdown analysis including:
For example, during the 2008 financial crisis, a 100% stock portfolio experienced drawdowns exceeding 50%. Understanding this helps you set realistic expectations and potentially adjust your allocation if such drawdowns would cause you to panic sell.
Rolling returns show you how your portfolio performed over overlapping time periods, giving a much clearer picture of performance consistency than simple average returns. While average returns can be misleading, rolling returns reveal the range of outcomes an investor might have experienced.
Our tool calculates rolling returns for 1-year, 3-year, and 5-year windows:
For instance, the S&P 500 has had 5-year rolling returns ranging from -7% to +28% annually over the past few decades. Understanding this range helps set realistic expectations for your own portfolio.
Contribution analysis breaks down your portfolio's total return to show how much each individual holding contributed to overall performance. This helps you understand which assets drove returns and which were a drag on performance.
The contribution of each asset depends on two factors:
A small position in a high-flying stock might contribute less than a large position in a moderate performer. This analysis helps you identify whether your best ideas are actually sized appropriately to make a meaningful impact on your portfolio.
Benchmark comparison is essential for understanding whether your portfolio strategy is adding value. Our portfolio backtest tool lets you compare against popular benchmarks including S&P 500 (SPY), Total US Market (VTI), and global stock indexes.
When analyzing benchmark comparison, consider:
Remember that choosing an appropriate benchmark matters. Comparing a bond-heavy portfolio to the S&P 500 isn't meaningful - instead compare to a similar allocation like a 60/40 fund.
Important: This tool is for educational purposes only and does not constitute financial advice. Past performance does not guarantee future results.
While portfolio backtesting is a valuable analysis tool, it has inherent limitations you should understand:
Always consult with a qualified financial advisor before making investment decisions based on backtesting results.
To get the most out of your portfolio backtest analysis, follow these best practices:
Don't just test during bull markets. Include periods of market stress like 2008 or 2020 to understand how your portfolio behaves during crises.
Compare your portfolio to a relevant benchmark. A bond-heavy portfolio should be compared to a balanced fund, not the S&P 500.
Don't cherry-pick assets or time periods that happened to work well. Use out-of-sample testing and realistic assumptions.
Can you actually execute this strategy? Consider fund availability, minimum investments, and your ability to rebalance consistently.
Portfolio backtesting is one of several methods for analyzing investment strategies. Understanding when to use each approach helps you make better decisions:
| Method | Best For | Limitations |
|---|---|---|
| Backtesting | Testing how a strategy would have performed historically | Assumes past patterns repeat, doesn't account for future changes |
| Monte Carlo Simulation | Understanding range of possible outcomes, retirement planning | Relies on statistical assumptions, doesn't capture market regimes |
| Forward Testing (Paper Trading) | Validating a strategy in real-time without risking capital | Requires patience, doesn't include emotional/behavioral factors |
For comprehensive analysis, combine backtesting with Monte Carlo simulation to understand both historical performance and the range of future possibilities.