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 
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Asset 3
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Asset 4
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Portfolio Analysis Results (Jan 1998 - Sep 2021)

Portfolio Allocations

American Funds Europacific Growth A
Ticker Name Allocation
AEPGX American Funds Europacific Growth A 100.00%
Save portfolio »
Schwab International Index
Ticker Name Allocation
SWISX Schwab International Index 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
American Funds Europacific Growth A$10,000$62,656 8.03% 16.32%56.97%-40.53%-51.30% 0.450.650.88
Schwab International Index$10,000$32,150 5.04% 16.77%36.49%-41.89%-56.98% 0.270.380.87
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
American Funds Europacific Growth A-2.43%3.74%24.33%12.80%11.78%10.24%8.03%18.92%15.60%
Schwab International Index-1.00%7.87%25.04%7.60%8.74%8.24%5.04%17.98%14.80%
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
  • 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationAmerican Funds Europacific Growth ASchwab International IndexAmerican Funds Europacific Growth A (AEPGX)Schwab International Index (SWISX)
ReturnBalanceReturnBalance
19981.61%15.54%$11,55415.96%$11,59615.54%15.96%
19992.68%56.97%$18,13733.79%$15,51556.97%33.79%
20003.39%-17.84%$14,901-17.51%$12,798-17.84%-17.51%
20011.55%-12.17%$13,087-22.71%$9,891-12.17%-22.71%
20022.38%-13.61%$11,306-15.62%$8,347-13.61%-15.62%
20031.88%32.91%$15,02736.49%$11,39332.91%36.49%
20043.26%19.69%$17,98518.35%$13,48319.69%18.35%
20053.42%21.12%$21,78312.94%$15,22821.12%12.94%
20062.54%21.87%$26,54725.02%$19,03821.87%25.02%
20074.08%18.96%$31,57913.33%$21,57518.96%13.33%
20080.09%-40.53%$18,781-41.89%$12,538-40.53%-41.89%
20092.72%39.10%$26,12429.18%$16,19739.10%29.18%
20101.50%9.40%$28,5816.61%$17,2679.40%6.61%
20112.96%-13.58%$24,698-11.71%$15,245-13.58%-11.71%
20121.74%19.21%$29,44418.93%$18,13119.21%18.93%
20131.50%20.15%$35,37721.64%$22,05520.15%21.64%
20140.76%-2.64%$34,442-5.74%$20,789-2.64%-5.74%
20150.73%-0.82%$34,159-0.88%$20,607-0.82%-0.88%
20162.07%0.66%$34,3861.08%$20,8290.66%1.08%
20172.11%30.73%$44,95225.28%$26,09530.73%25.28%
20181.91%-15.19%$38,122-13.33%$22,616-15.19%-13.33%
20192.29%26.95%$48,39521.87%$27,56126.95%21.87%
20201.36%24.80%$60,3958.14%$29,80524.80%8.14%
20215.31%3.74%$62,6567.87%$32,1503.74%7.87%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthAmerican Funds Europacific Growth ASchwab International IndexAmerican Funds Europacific Growth A (AEPGX)Schwab International Index (SWISX)
ReturnBalanceReturnBalance
199812.27%$10,2273.68%$10,3682.27%3.68%
199826.99%$10,9425.80%$10,9696.99%5.80%
199833.83%$11,3602.60%$11,2553.83%2.60%
199841.18%$11,4950.67%$11,3301.18%0.67%
19985-1.24%$11,3530.00%$11,330-1.24%0.00%
19986-0.08%$11,3430.86%$11,427-0.08%0.86%
199870.45%$11,3940.33%$11,4650.45%0.33%
19988-13.36%$9,872-12.32%$10,053-13.36%-12.32%
19989-0.72%$9,801-3.21%$9,730-0.72%-3.21%
1998109.23%$10,7069.88%$10,6919.23%9.88%
1998114.78%$11,2175.13%$11,2404.78%5.13%
1998123.00%$11,5543.17%$11,5963.00%3.17%
199913.63%$11,973-0.33%$11,5583.63%-0.33%
19992-1.56%$11,786-2.23%$11,300-1.56%-2.23%
199934.28%$12,2904.57%$11,8164.28%4.57%
199944.24%$12,8114.05%$12,2944.24%4.05%
19995-3.18%$12,404-4.88%$11,695-3.18%-4.88%
199967.11%$13,2863.83%$12,1427.11%3.83%
199973.03%$13,6883.62%$12,5833.03%3.62%
199981.83%$13,9380.90%$12,6961.83%0.90%
199990.79%$14,0491.85%$12,9320.79%1.85%
1999105.08%$14,7635.40%$13,6305.08%5.40%
1999118.84%$16,0674.57%$14,2528.84%4.57%
19991212.88%$18,1378.86%$15,51512.88%8.86%
20001-3.45%$17,512-7.85%$14,297-3.45%-7.85%
200025.97%$18,5581.39%$14,4965.97%1.39%
200032.20%$18,9665.81%$15,3392.20%5.81%
20004-6.43%$17,746-5.44%$14,503-6.43%-5.44%
20005-3.33%$17,155-2.80%$14,097-3.33%-2.80%
200063.15%$17,6953.75%$14,6263.15%3.75%
20007-4.83%$16,840-3.82%$14,067-4.83%-3.82%
200081.82%$17,1461.80%$14,3201.82%1.80%
20009-5.60%$16,185-5.19%$13,576-5.60%-5.19%
200010-4.65%$15,433-3.27%$13,132-4.65%-3.27%
200011-4.16%$14,790-4.49%$12,542-4.16%-4.49%
2000120.75%$14,9012.04%$12,7980.75%2.04%
200112.84%$15,3240.79%$12,9002.84%0.79%
20012-5.99%$14,407-8.57%$11,793-5.99%-8.57%
20013-5.25%$13,651-6.67%$11,007-5.25%-6.67%
200145.57%$14,4126.86%$11,7625.57%6.86%
20015-0.23%$14,378-3.58%$11,342-0.23%-3.58%
20016-3.31%$13,903-4.26%$10,859-3.31%-4.26%
20017-2.70%$13,528-2.51%$10,586-2.70%-2.51%
20018-2.32%$13,214-2.80%$10,290-2.32%-2.80%
20019-9.53%$11,954-9.08%$9,355-9.53%-9.08%
2001103.10%$12,3251.83%$9,5273.10%1.83%
2001114.36%$12,8623.11%$9,8234.36%3.11%
2001121.75%$13,0870.70%$9,8911.75%0.70%
20021-3.28%$12,658-5.10%$9,387-3.28%-5.10%
200220.23%$12,6880.76%$9,4580.23%0.76%
200234.76%$13,2925.42%$9,9704.76%5.42%
200240.04%$13,2970.32%$10,0020.04%0.32%
200250.15%$13,3161.34%$10,1360.15%1.34%
20026-4.50%$12,717-4.05%$9,726-4.50%-4.05%
20027-9.31%$11,533-9.73%$8,779-9.31%-9.73%
20028-0.46%$11,480-0.27%$8,756-0.46%-0.27%
20029-8.70%$10,481-10.81%$7,809-8.70%-10.81%
2002105.67%$11,0765.76%$8,2595.67%5.76%
2002114.79%$11,6064.20%$8,6064.79%4.20%
200212-2.59%$11,306-3.01%$8,347-2.59%-3.01%
20031-3.18%$10,947-4.25%$7,992-3.18%-4.25%
20032-4.14%$10,494-2.02%$7,831-4.14%-2.02%
20033-2.67%$10,213-2.06%$7,669-2.67%-2.06%
200349.64%$11,1989.46%$8,3959.64%9.46%
200355.14%$11,7746.05%$8,9035.14%6.05%
200362.34%$12,0492.36%$9,1132.34%2.36%
200373.02%$12,4142.12%$9,3063.02%2.12%
200383.37%$12,8321.56%$9,4523.37%1.56%
200392.61%$13,1672.73%$9,7102.61%2.73%
2003105.98%$13,9545.90%$10,2825.98%5.90%
2003111.31%$14,1362.59%$10,5481.31%2.59%
2003126.30%$15,0278.01%$11,3936.30%8.01%
200412.42%$15,3900.79%$11,4832.42%0.79%
200422.91%$15,8382.22%$11,7382.91%2.22%
200431.32%$16,047-0.28%$11,7051.32%-0.28%
20044-3.60%$15,470-1.90%$11,483-3.60%-1.90%
200450.58%$15,5590.43%$11,5330.58%0.43%
200461.25%$15,7531.85%$11,7461.25%1.85%
20047-3.06%$15,271-2.52%$11,450-3.06%-2.52%
200481.47%$15,4940.07%$11,4591.47%0.07%
200492.15%$15,8282.80%$11,7792.15%2.80%
2004103.43%$16,3703.49%$12,1903.43%3.49%
2004115.65%$17,2956.20%$12,9465.65%6.20%
2004123.99%$17,9854.15%$13,4833.99%4.15%
20051-1.21%$17,768-2.43%$13,156-1.21%-2.43%
200523.86%$18,4554.46%$13,7433.86%4.46%
20053-2.54%$17,985-2.07%$13,458-2.54%-2.07%
20054-1.74%$17,672-1.99%$13,190-1.74%-1.99%
200550.86%$17,824-0.25%$13,1560.86%-0.25%
200561.70%$18,1271.21%$13,3161.70%1.21%
200574.34%$18,9143.27%$13,7524.34%3.27%
200583.42%$19,5603.48%$14,2303.42%3.48%
200594.03%$20,3483.24%$14,6914.03%3.24%
200510-2.95%$19,747-2.45%$14,330-2.95%-2.45%
2005114.91%$20,7161.64%$14,5654.91%1.64%
2005125.15%$21,7834.55%$15,2285.15%4.55%
200616.03%$23,0986.07%$16,1536.03%6.07%
20062-0.92%$22,886-0.69%$16,042-0.92%-0.69%
200632.36%$23,4263.20%$16,5562.36%3.20%
200645.18%$24,6404.97%$17,3785.18%4.97%
20065-5.81%$23,209-3.45%$16,778-5.81%-3.45%
200660.25%$23,267-0.10%$16,7610.25%-0.10%
200671.18%$23,5431.53%$17,0181.18%1.53%
200683.31%$24,3222.67%$17,4723.31%2.67%
200690.44%$24,428-0.20%$17,4380.44%-0.20%
2006102.34%$25,0013.83%$18,1062.34%3.83%
2006113.14%$25,7852.60%$18,5773.14%2.60%
2006122.96%$26,5472.48%$19,0382.96%2.48%
200710.77%$26,7521.25%$19,2770.77%1.25%
20072-0.55%$26,604-0.14%$19,250-0.55%-0.14%
200732.70%$27,3232.66%$19,7622.70%2.66%
200744.09%$28,4403.89%$20,5304.09%3.89%
200752.73%$29,2163.22%$21,1922.73%3.22%
200761.41%$29,6260.04%$21,2011.41%0.04%
20077-0.42%$29,501-2.21%$20,733-0.42%-2.21%
20078-0.68%$29,301-0.38%$20,653-0.68%-0.38%
200796.40%$31,1775.85%$21,8636.40%5.85%
2007106.07%$33,0704.76%$22,9046.07%4.76%
200711-3.36%$31,958-3.70%$22,057-3.36%-3.70%
200712-1.19%$31,579-2.18%$21,575-1.19%-2.18%
20081-7.53%$29,202-7.91%$19,869-7.53%-7.91%
200820.32%$29,295-0.50%$19,7700.32%-0.50%
20083-0.76%$29,071-0.37%$19,698-0.76%-0.37%
200844.31%$30,3255.87%$20,8534.31%5.87%
200851.68%$30,8341.73%$21,2141.68%1.73%
20086-7.93%$28,388-8.09%$19,499-7.93%-8.09%
20087-2.97%$27,544-3.24%$18,867-2.97%-3.24%
20088-4.94%$26,185-4.31%$18,055-4.94%-4.31%
20089-11.14%$23,267-11.95%$15,897-11.14%-11.95%
200810-20.30%$18,543-20.78%$12,593-20.30%-20.78%
200811-5.76%$17,475-6.74%$11,745-5.76%-6.74%
2008127.47%$18,7816.76%$12,5387.47%6.76%
20091-8.93%$17,105-12.11%$11,020-8.93%-12.11%
20092-5.84%$16,106-10.59%$9,852-5.84%-10.59%
200937.33%$17,2867.80%$10,6217.33%7.80%
2009410.24%$19,05611.62%$11,85510.24%11.62%
2009512.81%$21,49713.93%$13,50712.81%13.93%
20096-1.65%$21,141-2.04%$13,231-1.65%-2.04%
200979.96%$23,24710.04%$14,5609.96%10.04%
200982.91%$23,9244.17%$15,1682.91%4.17%
200995.61%$25,2654.38%$15,8325.61%4.38%
200910-2.07%$24,742-2.52%$15,433-2.07%-2.52%
2009114.36%$25,8223.81%$16,0224.36%3.81%
2009121.17%$26,1241.09%$16,1971.17%1.09%
20101-5.50%$24,686-5.78%$15,262-5.50%-5.78%
20102-0.25%$24,6250.38%$15,320-0.25%0.38%
201036.86%$26,3156.30%$16,2856.86%6.30%
20104-1.48%$25,926-2.57%$15,866-1.48%-2.57%
20105-9.99%$23,337-11.18%$14,092-9.99%-11.18%
20106-0.82%$23,146-1.80%$13,839-0.82%-1.80%
201079.18%$25,27210.99%$15,3599.18%10.99%
20108-2.97%$24,523-3.68%$14,794-2.97%-3.68%
2010910.28%$27,0449.82%$16,24610.28%9.82%
2010103.22%$27,9163.84%$16,8703.22%3.84%
201011-4.05%$26,785-5.08%$16,012-4.05%-5.08%
2010126.70%$28,5817.84%$17,2676.70%7.84%
201110.46%$28,7122.61%$17,7180.46%2.61%
201122.55%$29,4444.02%$18,4302.55%4.02%
201130.45%$29,576-2.28%$18,0090.45%-2.28%
201145.16%$31,1026.29%$19,1415.16%6.29%
20115-2.53%$30,315-2.93%$18,580-2.53%-2.93%
20116-1.48%$29,866-1.35%$18,330-1.48%-1.35%
20117-1.87%$29,306-2.35%$17,899-1.87%-2.35%
20118-9.24%$26,598-8.57%$16,365-9.24%-8.57%
20119-11.17%$23,627-10.96%$14,572-11.17%-10.96%
2011109.85%$25,95510.18%$16,0559.85%10.18%
201111-2.45%$25,320-2.56%$15,644-2.45%-2.56%
201112-2.46%$24,698-2.55%$15,245-2.46%-2.55%
201216.06%$26,1945.82%$16,1326.06%5.82%
201225.90%$27,7405.05%$16,9465.90%5.05%
20123-0.05%$27,7260.25%$16,987-0.05%0.25%
20124-0.43%$27,606-2.15%$16,622-0.43%-2.15%
20125-10.25%$24,775-11.05%$14,786-10.25%-11.05%
201264.96%$26,0057.13%$15,8404.96%7.13%
201271.86%$26,4890.26%$15,8811.86%0.26%
201281.56%$26,9043.22%$16,3931.56%3.22%
201293.66%$27,8872.80%$16,8523.66%2.80%
2012100.00%$27,8871.05%$17,0290.00%1.05%
2012112.75%$28,6532.39%$17,4362.75%2.39%
2012122.76%$29,4443.99%$18,1312.76%3.99%
201313.74%$30,5444.29%$18,9093.74%4.29%
20132-1.38%$30,122-1.37%$18,650-1.38%-1.37%
201330.50%$30,2721.45%$18,9200.50%1.45%
201343.45%$31,3155.03%$19,8713.45%5.03%
20135-1.05%$30,987-3.10%$19,255-1.05%-3.10%
20136-3.09%$30,029-2.69%$18,736-3.09%-2.69%
201374.19%$31,2875.36%$19,7414.19%5.36%
20138-1.71%$30,751-1.64%$19,417-1.71%-1.64%
201396.88%$32,8657.46%$20,8656.88%7.46%
2013103.67%$34,0723.16%$21,5243.67%3.16%
2013111.95%$34,7370.65%$21,6651.95%0.65%
2013121.84%$35,3771.80%$22,0551.84%1.80%
20141-4.08%$33,935-4.63%$21,034-4.08%-4.63%
201425.71%$35,8746.07%$22,3105.71%6.07%
20143-0.78%$35,593-0.60%$22,177-0.78%-0.60%
20144-0.20%$35,5211.65%$22,543-0.20%1.65%
201452.15%$36,2851.53%$22,8872.15%1.53%
201460.91%$36,6170.87%$23,0860.91%0.87%
20147-2.07%$35,860-2.50%$22,509-2.07%-2.50%
201480.68%$36,1050.30%$22,5760.68%0.30%
20149-2.94%$35,045-3.98%$21,677-2.94%-3.98%
2014100.33%$35,161-0.61%$21,5440.33%-0.61%
2014112.03%$35,8740.36%$21,6222.03%0.36%
201412-3.99%$34,442-3.85%$20,789-3.99%-3.85%
201511.02%$34,7930.77%$20,9501.02%0.77%
201524.62%$36,4016.08%$22,2244.62%6.08%
201530.20%$36,474-1.50%$21,8910.20%-1.50%
201542.74%$37,4753.88%$22,7402.74%3.88%
201550.18%$37,541-0.05%$22,7280.18%-0.05%
20156-1.85%$36,847-2.83%$22,086-1.85%-2.83%
201570.12%$36,8901.61%$22,4420.12%1.61%
20158-6.72%$34,413-7.26%$20,812-6.72%-7.26%
20159-3.50%$33,207-4.47%$19,883-3.50%-4.47%
2015105.74%$35,1156.69%$21,2145.74%6.69%
201511-0.37%$34,983-0.97%$21,007-0.37%-0.97%
201512-2.36%$34,159-1.91%$20,607-2.36%-1.91%
20161-6.08%$32,081-5.72%$19,428-6.08%-5.72%
20162-2.93%$31,140-3.22%$18,803-2.93%-3.22%
201637.06%$33,3386.58%$20,0417.06%6.58%
201641.31%$33,7752.29%$20,5011.31%2.29%
201650.36%$33,896-0.23%$20,4540.36%-0.23%
20166-2.04%$33,203-2.54%$19,935-2.04%-2.54%
201675.53%$35,0404.20%$20,7725.53%4.20%
201681.27%$35,4840.51%$20,8781.27%0.51%
201691.19%$35,9061.30%$21,1491.19%1.30%
201610-2.12%$35,145-2.34%$20,654-2.12%-2.34%
201611-2.59%$34,234-1.77%$20,289-2.59%-1.77%
2016120.44%$34,3862.66%$20,8290.44%2.66%
201714.41%$35,9033.39%$21,5354.41%3.39%
201721.15%$36,3141.07%$21,7661.15%1.07%
201733.48%$37,5803.13%$22,4483.48%3.13%
201743.12%$38,7542.66%$23,0443.12%2.66%
201753.36%$40,0573.54%$23,8593.36%3.54%
201760.93%$40,4280.20%$23,9080.93%0.20%
201774.27%$42,1562.75%$24,5654.27%2.75%
201780.90%$42,5370.05%$24,5770.90%0.05%
201791.46%$43,1592.33%$25,1491.46%2.33%
2017103.05%$44,4751.64%$25,5623.05%1.64%
2017110.00%$44,4750.81%$25,7690.00%0.81%
2017121.07%$44,9521.27%$26,0951.07%1.27%
201816.10%$47,6945.27%$27,4706.10%5.27%
20182-4.09%$45,743-5.10%$26,070-4.09%-5.10%
20183-0.80%$45,376-0.67%$25,895-0.80%-0.67%
201840.25%$45,4881.54%$26,2950.25%1.54%
20185-0.77%$45,136-1.95%$25,783-0.77%-1.95%
20186-2.37%$44,067-1.31%$25,445-2.37%-1.31%
201872.09%$44,9882.75%$26,1452.09%2.75%
20188-2.40%$43,910-2.20%$25,570-2.40%-2.20%
20189-0.58%$43,6550.93%$25,808-0.58%0.93%
201810-9.22%$39,631-7.99%$23,746-9.22%-7.99%
2018111.41%$40,1910.32%$23,8211.41%0.32%
201812-5.15%$38,122-5.06%$22,616-5.15%-5.06%
201918.16%$41,2346.56%$24,0998.16%6.56%
201922.48%$42,2582.36%$24,6672.48%2.36%
201932.04%$43,1200.84%$24,8732.04%0.84%
201942.98%$44,4063.11%$25,6472.98%3.11%
20195-5.47%$41,979-5.08%$24,344-5.47%-5.08%
201966.62%$44,7585.99%$25,8026.62%5.99%
20197-0.87%$44,369-2.10%$25,260-0.87%-2.10%
20198-2.57%$43,227-1.84%$24,796-2.57%-1.84%
201991.78%$43,9973.02%$25,5441.78%3.02%
2019103.42%$45,5033.43%$26,4213.42%3.43%
2019112.01%$46,4171.22%$26,7442.01%1.22%
2019124.26%$48,3953.05%$27,5614.26%3.05%
20201-3.05%$46,916-2.61%$26,843-3.05%-2.61%
20202-6.21%$44,004-7.58%$24,807-6.21%-7.58%
20203-14.78%$37,500-14.69%$21,163-14.78%-14.69%
202049.02%$40,8826.60%$22,5599.02%6.60%
202056.57%$43,5695.48%$23,7976.57%5.48%
202065.57%$45,9953.30%$24,5815.57%3.30%
202075.71%$48,6212.00%$25,0735.71%2.00%
202085.49%$51,2904.88%$26,2975.49%4.88%
20209-1.75%$50,394-2.23%$25,712-1.75%-2.23%
202010-0.98%$49,899-3.98%$24,688-0.98%-3.98%
20201113.42%$56,59414.92%$28,37213.42%14.92%
2020126.72%$60,3955.05%$29,8056.72%5.05%
20211-1.56%$59,454-1.36%$29,399-1.56%-1.36%
202122.18%$60,7522.40%$30,1042.18%2.40%
20213-1.10%$60,0812.39%$30,822-1.10%2.39%
202143.61%$62,2502.95%$31,7303.61%2.95%
202152.91%$64,0613.76%$32,9232.91%3.76%
202160.24%$64,218-1.36%$32,4760.24%-1.36%
20217-1.53%$63,2370.83%$32,747-1.53%0.83%
202183.36%$65,3621.53%$33,2483.36%1.53%
20219-4.14%$62,656-3.30%$32,150-4.14%-3.30%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryAmerican Funds Europacific Growth ASchwab International Index
Large-cap Value0.00%0.00%
Large-cap Growth14.17%2.49%
Mid-cap Value0.00%0.00%
Mid-cap Growth2.52%0.54%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets56.77%95.09%
Emerging Markets21.81%1.87%
Corporate Bonds4.29%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.43%0.00%
R Squared96.85%99.46%
Style analysis is based on monthly returns from April 2005 to September 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for American Funds Europacific Growth A

Holdings Based Style Analysis for American Funds Europacific Growth A
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
AEPGXAmerican Funds Europacific Growth AForeign Large Growth100.00%0.21%0.82%20.96$52,656100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Schwab International Index

Holdings Based Style Analysis for Schwab International Index
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SWISXSchwab International IndexForeign Large Blend100.00%1.75%0.06%15.37$22,150100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricAmerican Funds Europacific Growth ASchwab International Index
Arithmetic Mean (monthly)0.76%0.53%
Arithmetic Mean (annualized)9.49%6.54%
Geometric Mean (monthly)0.65%0.41%
Geometric Mean (annualized)8.03%5.04%
Volatility (monthly)4.71%4.84%
Volatility (annualized)16.32%16.77%
Downside Deviation (monthly)3.17%3.39%
Max. Drawdown-51.30%-56.98%
US Market Correlation0.880.87
Beta(*)0.910.93
Alpha (annualized)0.41%-2.54%
R276.70%76.02%
Sharpe Ratio0.450.27
Sortino Ratio0.650.38
Treynor Ratio (%)8.054.91
Calmar Ratio0.570.33
Active Return-0.63%-3.63%
Tracking Error8.02%8.30%
Information Ratio-0.08-0.44
Skewness-0.57-0.57
Excess Kurtosis1.591.57
Historical Value-at-Risk (5%)-7.37%-8.07%
Analytical Value-at-Risk (5%)-6.99%-7.44%
Conditional Value-at-Risk (5%)-10.76%-11.37%
Upside Capture Ratio (%)90.4084.26
Downside Capture Ratio (%)91.2498.56
Safe Withdrawal Rate7.91%5.46%
Perpetual Withdrawal Rate5.51%2.73%
Positive Periods172 out of 285 (60.35%)169 out of 285 (59.30%)
Gain/Loss Ratio0.980.90
* 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 PeriodStartEndAmerican Funds Europacific Growth ASchwab International Index
Russian Debt DefaultJul 1998Oct 1998-13.98%-15.14%
Dotcom CrashMar 2000Oct 2002-44.74%-49.09%
Subprime CrisisNov 2007Mar 2009-51.30%-56.98%
COVID-19 StartJan 2020Mar 2020-22.51%-23.21%

Drawdowns for American Funds Europacific Growth A

Drawdowns for American Funds Europacific Growth A (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20134 years 8 months6 years-51.30%
2Apr 2000Mar 20033 yearsAug 20052 years 5 months5 years 5 months-46.15%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-22.51%
4Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-20.07%
5Jun 2015Feb 20169 monthsMar 20171 year 1 month1 year 10 months-17.05%
6May 1998Sep 19985 monthsDec 19983 months8 months-14.74%
7Jul 2014Dec 20146 monthsApr 20154 months10 months-5.94%
8May 2006May 20061 monthOct 20065 months6 months-5.81%
9Sep 2021Sep 20211 month-4.14%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-4.08%
Worst 10 drawdowns included above

Drawdowns for Schwab International Index

Drawdowns for Schwab International Index (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJun 20145 years 4 months6 years 8 months-56.98%
2Jan 2000Mar 20033 years 3 monthsJan 20062 years 10 months6 years 1 month-50.57%
3Jan 2020Mar 20203 monthsNov 20208 months11 months-23.21%
4Jul 2014Feb 20161 year 8 monthsMay 20171 year 3 months2 years 11 months-18.55%
5Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-17.67%
6Aug 1998Sep 19982 monthsDec 19983 months5 months-15.14%
7May 1999May 19991 monthJul 19992 months3 months-4.88%
8May 2006Jun 20062 monthsAug 20062 months4 months-3.55%
9Sep 2021Sep 20211 month-3.30%
10Jul 2007Aug 20072 monthsSep 20071 month3 months-2.58%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
AEPGXAmerican Funds Europacific Growth A8.03%16.32%56.97%-40.53%-51.30%0.450.650.88
SWISXSchwab International Index5.04%16.77%36.49%-41.89%-56.98%0.270.380.87

Monthly Correlations

Correlations for the portfolio assets
TickerNameAEPGXSWISXAmerican Funds Europacific Growth ASchwab International Index
AEPGXAmerican Funds Europacific Growth A1.000.961.000.96
SWISXSchwab International Index0.961.000.961.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameAmerican Funds Europacific Growth ASchwab International Index
AEPGXAmerican Funds Europacific Growth A$52,656
SWISXSchwab International Index$22,150

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameAmerican Funds Europacific Growth ASchwab International Index
AEPGXAmerican Funds Europacific Growth A100.00%
SWISXSchwab International Index100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodAmerican Funds Europacific Growth ASchwab International Index
AverageHighLowAverageHighLow
1 year9.85%60.22%-45.32%6.60%55.50%-50.17%
3 years6.79%31.88%-18.64%4.23%29.24%-20.63%
5 years6.96%24.46%-3.35%4.60%22.86%-7.38%
7 years7.11%14.48%0.88%4.81%11.36%-0.87%
10 years6.63%12.19%2.62%4.34%9.61%-1.36%
15 years6.98%10.45%4.37%4.72%8.58%1.97%