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 2013 - Jun 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
XIU.TO iShares S&P/TSX 60 Index ETF 15.00%
ZSP.TO BMO S&P 500 Index ETF 15.00%
XBB.TO iShares Core Canadian Universe Bond Index ETF 50.00%
MNT.TO Royal Canadian Mint - Gold Reserves 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,953 7.29% 6.00%13.31%0.98%-4.87% 1.082.240.41
   
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 2020 are based on monthly returns from January to June
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceiShares S&P/TSX 60 Index ETF (XIU.TO)BMO S&P 500 Index ETF (ZSP.TO)iShares Core Canadian Universe Bond Index ETF (XBB.TO)Royal Canadian Mint - Gold Reserves (MNT.TO)
20131.50%2.67%$10,26713.08%42.09%-1.31%-24.74%
20140.76%10.87%$11,38311.94%23.63%8.29%6.95%
20150.73%4.80%$11,929-7.82%20.29%3.31%6.36%
20162.07%5.95%$12,64021.21%7.77%1.25%4.90%
20172.11%5.78%$13,3719.58%13.55%2.42%5.52%
20181.91%0.98%$13,502-7.82%3.22%1.00%5.87%
20192.29%13.31%$15,29821.80%24.70%7.27%13.47%
2020-0.23%10.81%$16,953-6.33%0.75%7.28%40.07%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceiShares S&P/TSX 60 Index ETF (XIU.TO)BMO S&P 500 Index ETF (ZSP.TO)iShares Core Canadian Universe Bond Index ETF (XBB.TO)Royal Canadian Mint - Gold Reserves (MNT.TO)
201310.65%$10,0652.18%6.38%-0.66%-1.53%
201321.05%$10,1701.64%4.85%0.98%-2.32%
201330.37%$10,208-0.56%1.97%0.34%-0.17%
20134-1.38%$10,067-2.62%1.03%1.16%-9.19%
20135-0.06%$10,0612.24%5.47%-1.53%-3.25%
20136-3.47%$9,711-3.63%-0.10%-2.25%-10.59%
201372.13%$9,9182.81%2.90%0.27%6.58%
201381.02%$10,0191.95%-0.78%-0.71%7.53%
20139-0.54%$9,9651.23%0.89%0.58%-6.81%
2013102.50%$10,2144.90%6.03%1.14%0.20%
2013110.39%$10,2540.88%4.75%-0.26%-3.44%
2013120.13%$10,2671.64%2.60%-0.30%-3.43%
201413.05%$10,5810.46%1.15%2.37%8.11%
201422.55%$10,8503.94%3.38%0.37%6.16%
20143-0.53%$10,7921.20%1.07%-0.13%-3.72%
201440.40%$10,8362.18%-0.35%0.46%-0.46%
20145-0.08%$10,8270.05%1.41%1.18%-4.21%
201461.65%$11,0063.66%0.44%0.40%4.12%
201470.45%$11,0562.44%0.78%0.49%-1.39%
201481.33%$11,2021.62%3.48%1.00%0.27%
20149-1.16%$11,072-3.38%1.84%-0.74%-2.74%
2014100.05%$11,077-1.29%2.83%0.63%-2.61%
2014111.48%$11,2421.16%3.94%1.48%-0.35%
2014121.26%$11,383-0.46%1.53%0.50%4.46%
201516.92%$12,1710.98%6.03%4.64%17.74%
20152-0.25%$12,1413.83%4.04%-0.10%-6.10%
20153-0.84%$12,039-2.05%-0.28%-0.29%-1.71%
20154-2.01%$11,7962.05%-3.91%-1.58%-4.49%
201551.32%$11,953-1.07%4.61%0.21%3.39%
20156-1.42%$11,783-2.92%-1.67%-0.73%-1.77%
201571.57%$11,9680.89%6.65%1.72%-2.25%
20158-1.14%$11,832-4.56%-5.38%-1.20%5.12%
20159-0.83%$11,734-3.16%-1.10%-0.24%-0.44%
2015101.06%$11,8591.47%6.23%-0.30%0.13%
201511-0.56%$11,793-0.15%2.40%0.11%-4.76%
2015121.16%$11,929-3.06%1.90%1.17%3.42%
201610.62%$12,003-1.56%-4.10%0.21%6.81%
201621.23%$12,1510.42%-3.14%0.30%6.91%
201630.20%$12,1755.35%1.83%0.68%-5.18%
201640.55%$12,2423.37%-3.05%0.01%2.12%
201650.96%$12,3600.88%6.43%0.70%-1.78%
201662.09%$12,618-0.04%-1.43%1.90%6.51%
201672.46%$12,9283.84%4.92%0.81%3.63%
20168-0.34%$12,8840.61%0.45%0.07%-2.39%
201690.41%$12,9371.27%0.06%0.13%0.65%
201610-0.35%$12,8921.30%0.41%-0.98%-0.65%
201611-1.97%$12,6372.39%3.87%-2.05%-8.87%
2016120.02%$12,6401.75%1.85%-0.48%-1.61%
201710.37%$12,6861.15%-1.33%-0.16%2.37%
201722.49%$13,0020.08%6.00%0.97%5.45%
201730.20%$13,0281.10%0.50%0.26%-0.79%
201742.16%$13,3100.61%3.46%1.44%4.02%
201750.09%$13,322-1.27%0.25%0.92%-0.98%
20176-2.46%$12,994-1.23%-3.41%-1.24%-5.45%
20177-1.50%$12,7990.09%-1.91%-1.77%-1.69%
201781.70%$13,0170.25%0.32%1.35%4.67%
20179-0.82%$12,9113.58%1.96%-1.43%-4.47%
2017102.69%$13,2573.11%5.88%1.56%2.66%
2017111.06%$13,3980.67%2.95%0.92%0.17%
201712-0.20%$13,3711.17%-1.41%-0.34%0.06%
201810.08%$13,381-1.49%3.38%-0.89%1.21%
201820.00%$13,381-2.97%0.47%0.05%1.70%
201830.11%$13,396-0.22%-2.14%0.60%0.84%
20184-0.43%$13,3371.57%-0.05%-0.64%-1.61%
201851.47%$13,5343.32%3.40%0.81%0.34%
201860.47%$13,5981.89%2.00%0.63%-2.13%
20187-0.40%$13,5431.44%2.62%-0.84%-3.15%
201880.37%$13,593-0.83%3.50%0.87%-2.61%
20189-1.02%$13,454-1.28%-0.52%-1.07%-1.16%
201810-1.51%$13,250-5.85%-5.10%-0.72%3.14%
2018111.79%$13,4862.36%2.85%1.08%2.27%
2018120.11%$13,502-5.55%-6.58%1.14%7.35%
201912.41%$13,8278.46%4.13%1.50%-1.14%
201921.10%$13,9792.68%3.25%0.34%0.05%
201931.99%$14,2571.09%3.47%2.15%1.10%
201941.19%$14,4263.81%4.23%-0.05%-0.33%
20195-0.19%$14,399-3.08%-5.44%1.77%1.80%
201962.28%$14,7272.15%3.56%0.93%4.87%
201970.79%$14,8430.28%2.39%0.04%1.79%
201982.71%$15,2450.46%-0.92%2.05%9.08%
20199-0.58%$15,1572.03%1.47%-0.88%-3.31%
2019100.39%$15,215-1.03%1.52%-0.17%1.95%
2019111.16%$15,3923.63%4.52%0.51%-1.77%
201912-0.61%$15,298-0.16%0.56%-1.08%-0.81%
202013.28%$15,8002.03%1.84%2.66%6.85%
20202-1.07%$15,631-5.44%-6.88%0.53%2.37%
20203-3.84%$15,031-15.65%-8.78%-3.34%6.00%
202047.57%$16,1689.30%11.89%5.26%9.21%
202052.57%$16,5842.84%3.65%0.37%6.39%
202062.22%$16,9532.39%0.42%1.79%3.98%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.60%
Arithmetic Mean (annualized)7.48%
Geometric Mean (monthly)0.59%
Geometric Mean (annualized)7.29%
Volatility (monthly)1.73%
Volatility (annualized)6.00%
Downside Deviation (monthly)0.81%
Max. Drawdown-4.87%
US Market Correlation0.41
Beta(*)0.18
Alpha (annualized)4.89%
R216.99%
Sharpe Ratio1.08
Sortino Ratio2.24
Treynor Ratio (%)35.63
Calmar Ratio1.90
Active Return-5.39%
Tracking Error12.40%
Information Ratio-0.43
Skewness0.92
Excess Kurtosis3.81
Historical Value-at-Risk (5%)-1.99%
Analytical Value-at-Risk (5%)-2.27%
Conditional Value-at-Risk (5%)-2.95%
Upside Capture Ratio (%)23.79
Downside Capture Ratio (%)-6.40
Safe Withdrawal Rate16.87%
Perpetual Withdrawal Rate5.79%
Positive Periods60 out of 90 (66.67%)
Gain/Loss Ratio1.36
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-4.87%
2Apr 2013Jun 20133 monthsOct 20134 months7 months-4.87%
3Jun 2017Jul 20172 monthsNov 20174 months6 months-3.92%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-3.59%
5Jul 2018Oct 20184 monthsJan 20193 months7 months-2.56%
6Oct 2016Nov 20162 monthsFeb 20173 months5 months-2.32%
7Sep 2014Sep 20141 monthNov 20142 months3 months-1.16%
8Dec 2019Dec 20191 monthJan 20201 month2 months-0.61%
9Sep 2019Sep 20191 monthNov 20192 months3 months-0.58%
10Mar 2014Mar 20141 monthJun 20143 months4 months-0.53%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
XIU.TOiShares S&P/TSX 60 Index ETF6.73%10.94%21.80%-7.82%-20.23%0.580.810.80
ZSP.TOBMO S&P 500 Index ETF17.51%11.91%42.09%0.75%-15.06%1.352.370.78
XBB.TOiShares Core Canadian Universe Bond Index ETF3.88%4.46%8.29%-1.31%-4.18%0.711.260.22
MNT.TORoyal Canadian Mint - Gold Reserves6.42%15.85%40.07%-24.74%-24.74%0.420.72-0.23

Monthly Correlations

Correlations for the portfolio assets
TickerNameXIU.TOZSP.TOXBB.TOMNT.TOPortfolio 1
XIU.TOiShares S&P/TSX 60 Index ETF1.000.660.37-0.050.57
ZSP.TOBMO S&P 500 Index ETF0.661.000.40-0.070.60
XBB.TOiShares Core Canadian Universe Bond Index ETF0.370.401.000.510.85
MNT.TORoyal Canadian Mint - Gold Reserves-0.05-0.070.511.000.67

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
XIU.TOiShares S&P/TSX 60 Index ETF$947
ZSP.TOBMO S&P 500 Index ETF$2,320
XBB.TOiShares Core Canadian Universe Bond Index ETF$1,890
MNT.TORoyal Canadian Mint - Gold Reserves$1,796

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
XIU.TOiShares S&P/TSX 60 Index ETF15.55%
ZSP.TOBMO S&P 500 Index ETF17.61%
XBB.TOiShares Core Canadian Universe Bond Index ETF31.52%
MNT.TORoyal Canadian Mint - Gold Reserves35.33%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.34%13.31%0.98%
3 years5.91%7.17%4.21%
5 years5.90%6.09%5.63%
7 years6.26%6.26%6.26%
Result statistics are based on annualized rolling returns over full calendar year periods