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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1996 - Dec 2016)

Portfolio Allocations

SPDR S&P 500 ETF Trust
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPDR S&P 500 ETF Trust$10,000$52,984 8.26% 15.04%33.48%-36.81%-50.80% 0.450.660.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
SPDR S&P 500 ETF Trust3.95%12.00%12.00%8.77%14.58%6.87%8.26%10.75%10.40%
Trailing return and volatility are as of last full calendar quarter ending December 2016
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.
  • 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
YearInflationSPDR S&P 500 ETF Trust ReturnSPDR S&P 500 ETF Trust BalanceSPDR S&P 500 ETF Trust (SPY)
19963.32%22.49%$12,24922.49%
19971.70%33.48%$16,35033.48%
19981.61%28.69%$21,04028.69%
19992.68%20.39%$25,32920.39%
20003.39%-9.73%$22,865-9.73%
20011.55%-11.75%$20,178-11.75%
20022.38%-21.59%$15,822-21.59%
20031.88%28.18%$20,28028.18%
20043.26%10.70%$22,45010.70%
20053.42%4.83%$23,5344.83%
20062.54%15.85%$27,26315.85%
20074.08%5.14%$28,6645.14%
20080.09%-36.81%$18,113-36.81%
20092.72%26.36%$22,88926.36%
20101.50%15.06%$26,33515.06%
20112.96%1.89%$26,8321.89%
20121.74%15.99%$31,12315.99%
20131.50%32.31%$41,17832.31%
20140.76%13.46%$46,72213.46%
20150.73%1.25%$47,3071.25%
20162.07%12.00%$52,98412.00%
Monthly returns for the configured portfolios
YearMonthSPDR S&P 500 ETF Trust ReturnSPDR S&P 500 ETF Trust BalanceSPDR S&P 500 ETF Trust (SPY)
199613.56%$10,3563.56%
199620.32%$10,3890.32%
199631.72%$10,5681.72%
199641.09%$10,6831.09%
199652.27%$10,9252.27%
199660.88%$11,0210.88%
19967-4.49%$10,526-4.49%
199681.93%$10,7281.93%
199695.59%$11,3285.59%
1996103.23%$11,6943.23%
1996117.30%$12,5487.30%
199612-2.38%$12,249-2.38%
199716.18%$13,0066.18%
199720.96%$13,1300.96%
19973-4.41%$12,551-4.41%
199746.26%$13,3366.26%
199756.32%$14,1796.32%
199764.11%$14,7624.11%
199777.93%$15,9327.93%
19978-5.18%$15,107-5.18%
199794.81%$15,8334.81%
199710-2.45%$15,445-2.45%
1997113.87%$16,0433.87%
1997121.91%$16,3501.91%
199811.29%$16,5601.29%
199826.93%$17,7086.93%
199834.88%$18,5714.88%
199841.28%$18,8091.28%
19985-2.08%$18,418-2.08%
199864.26%$19,2024.26%
19987-1.35%$18,943-1.35%
19988-14.12%$16,268-14.12%
199896.36%$17,3046.36%
1998108.11%$18,7078.11%
1998115.57%$19,7485.57%
1998126.54%$21,0406.54%
199913.52%$21,7813.52%
19992-3.21%$21,082-3.21%
199934.15%$21,9584.15%
199943.80%$22,7913.80%
19995-2.29%$22,270-2.29%
199965.54%$23,5045.54%
19997-3.10%$22,774-3.10%
19998-0.52%$22,656-0.52%
19999-2.24%$22,150-2.24%
1999106.41%$23,5696.41%
1999111.67%$23,9611.67%
1999125.71%$25,3295.71%
20001-4.98%$24,068-4.98%
20002-1.52%$23,702-1.52%
200039.69%$25,9989.69%
20004-3.51%$25,085-3.51%
20005-1.57%$24,691-1.57%
200061.97%$25,1771.97%
20007-1.57%$24,782-1.57%
200086.53%$26,4016.53%
20009-5.48%$24,954-5.48%
200010-0.47%$24,838-0.47%
200011-7.47%$22,983-7.47%
200012-0.52%$22,865-0.52%
200114.45%$23,8814.45%
20012-9.54%$21,603-9.54%
20013-5.60%$20,394-5.60%
200148.54%$22,1368.54%
20015-0.56%$22,012-0.56%
20016-2.38%$21,488-2.38%
20017-1.02%$21,269-1.02%
20018-5.93%$20,007-5.93%
20019-8.16%$18,374-8.16%
2001101.30%$18,6141.30%
2001117.80%$20,0657.80%
2001120.56%$20,1780.56%
20021-0.98%$19,980-0.98%
20022-1.79%$19,622-1.79%
200233.32%$20,2743.32%
20024-5.82%$19,095-5.82%
20025-0.59%$18,982-0.59%
20026-7.38%$17,582-7.38%
20027-7.88%$16,196-7.88%
200280.68%$16,3060.68%
20029-10.49%$14,596-10.49%
2002108.23%$15,7978.23%
2002116.17%$16,7726.17%
200212-5.66%$15,822-5.66%
20031-2.46%$15,433-2.46%
20032-1.35%$15,225-1.35%
200330.21%$15,2560.21%
200348.46%$16,5478.46%
200355.48%$17,4545.48%
200361.07%$17,6401.07%
200371.80%$17,9581.80%
200382.06%$18,3292.06%
20039-1.09%$18,129-1.09%
2003105.35%$19,0995.35%
2003111.09%$19,3081.09%
2003125.03%$20,2805.03%
200411.98%$20,6811.98%
200421.36%$20,9611.36%
20043-1.32%$20,685-1.32%
20044-1.89%$20,293-1.89%
200451.71%$20,6411.71%
200461.85%$21,0231.85%
20047-3.22%$20,345-3.22%
200480.24%$20,3950.24%
200491.00%$20,5991.00%
2004101.29%$20,8651.29%
2004114.45%$21,7934.45%
2004123.02%$22,4503.02%
20051-2.24%$21,947-2.24%
200522.09%$22,4062.09%
20053-1.83%$21,996-1.83%
20054-1.87%$21,584-1.87%
200553.22%$22,2803.22%
200560.15%$22,3130.15%
200573.83%$23,1673.83%
20058-0.94%$22,950-0.94%
200590.80%$23,1330.80%
200510-2.37%$22,586-2.37%
2005114.40%$23,5794.40%
200512-0.19%$23,534-0.19%
200612.40%$24,0992.40%
200620.57%$24,2370.57%
200631.65%$24,6371.65%
200641.26%$24,9481.26%
20065-3.01%$24,197-3.01%
200660.26%$24,2610.26%
200670.45%$24,3690.45%
200682.18%$24,9012.18%
200692.70%$25,5732.70%
2006103.15%$26,3793.15%
2006111.99%$26,9041.99%
2006121.34%$27,2631.34%
200711.50%$27,6741.50%
20072-1.96%$27,131-1.96%
200731.16%$27,4451.16%
200744.43%$28,6614.43%
200753.39%$29,6333.39%
20076-1.46%$29,199-1.46%
20077-3.13%$28,285-3.13%
200781.28%$28,6481.28%
200793.87%$29,7573.87%
2007101.36%$30,1601.36%
200711-3.87%$28,992-3.87%
200712-1.13%$28,664-1.13%
20081-6.05%$26,931-6.05%
20082-2.58%$26,235-2.58%
20083-0.90%$25,998-0.90%
200844.77%$27,2374.77%
200851.51%$27,6491.51%
20086-8.35%$25,340-8.35%
20087-0.90%$25,112-0.90%
200881.55%$25,5001.55%
20089-9.44%$23,094-9.44%
200810-16.52%$19,279-16.52%
200811-6.96%$17,937-6.96%
2008120.98%$18,1130.98%
20091-8.21%$16,626-8.21%
20092-10.74%$14,840-10.74%
200938.35%$16,0788.35%
200949.93%$17,6769.93%
200955.85%$18,7095.85%
20096-0.07%$18,696-0.07%
200977.46%$20,0917.46%
200983.69%$20,8333.69%
200993.55%$21,5723.55%
200910-1.92%$21,157-1.92%
2009116.16%$22,4616.16%
2009121.91%$22,8891.91%
20101-3.63%$22,057-3.63%
201023.12%$22,7453.12%
201036.09%$24,1306.09%
201041.55%$24,5041.55%
20105-7.95%$22,557-7.95%
20106-5.17%$21,389-5.17%
201076.83%$22,8506.83%
20108-4.50%$21,823-4.50%
201098.96%$23,7778.96%
2010103.82%$24,6853.82%
2010110.00%$24,6850.00%
2010126.68%$26,3356.68%
201112.33%$26,9492.33%
201123.47%$27,8853.47%
201130.01%$27,8880.01%
201142.90%$28,6962.90%
20115-1.12%$28,374-1.12%
20116-1.69%$27,895-1.69%
20117-2.00%$27,337-2.00%
20118-5.50%$25,834-5.50%
20119-6.94%$24,040-6.94%
20111010.91%$26,66410.91%
201111-0.41%$26,555-0.41%
2011121.04%$26,8321.04%
201214.64%$28,0774.64%
201224.34%$29,2954.34%
201233.22%$30,2373.22%
20124-0.67%$30,036-0.67%
20125-6.01%$28,232-6.01%
201264.05%$29,3764.05%
201271.18%$29,7231.18%
201282.51%$30,4682.51%
201292.54%$31,2412.54%
201210-1.82%$30,672-1.82%
2012110.57%$30,8460.57%
2012120.90%$31,1230.90%
201315.12%$32,7165.12%
201321.28%$33,1341.28%
201333.80%$34,3923.80%
201341.92%$35,0531.92%
201352.36%$35,8812.36%
20136-1.34%$35,401-1.34%
201375.17%$37,2315.17%
20138-3.00%$36,114-3.00%
201393.17%$37,2583.17%
2013104.63%$38,9834.63%
2013112.96%$40,1392.96%
2013122.59%$41,1782.59%
20141-3.52%$39,727-3.52%
201424.55%$41,5354.55%
201430.83%$41,8800.83%
201440.70%$42,1710.70%
201452.32%$43,1502.32%
201462.06%$44,0402.06%
20147-1.34%$43,449-1.34%
201483.95%$45,1633.95%
20149-1.38%$44,540-1.38%
2014102.36%$45,5892.36%
2014112.75%$46,8422.75%
201412-0.26%$46,722-0.26%
20151-2.96%$45,337-2.96%
201525.62%$47,8865.62%
20153-1.57%$47,132-1.57%
201540.98%$47,5950.98%
201551.29%$48,2071.29%
20156-2.03%$47,229-2.03%
201572.26%$48,2962.26%
20158-6.10%$45,352-6.10%
20159-2.54%$44,199-2.54%
2015108.51%$47,9588.51%
2015110.37%$48,1340.37%
201512-1.72%$47,307-1.72%
20161-4.98%$44,952-4.98%
20162-0.08%$44,914-0.08%
201636.72%$47,9356.72%
201640.39%$48,1240.39%
201651.70%$48,9421.70%
201660.35%$49,1130.35%
201673.65%$50,9053.65%
201680.12%$50,9650.12%
201690.01%$50,9690.01%
201610-1.73%$50,086-1.73%
2016113.68%$51,9313.68%
2016122.03%$52,9842.03%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategorySPDR S&P 500 ETF Trust
Large-cap Value46.49%
Large-cap Growth52.06%
Mid-cap Value0.00%
Mid-cap Growth0.92%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.04%
Corporate Bonds0.50%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.89%
Style analysis is based on monthly returns from April 2005 to December 2016 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 SPDR S&P 500 ETF Trust

Holdings Based Style Analysis for SPDR S&P 500 ETF Trust
TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.17%1.24%0.09%0.09%24.03$42,984100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/03/2021. (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
MetricSPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)0.76%
Arithmetic Mean (annualized)9.50%
Geometric Mean (monthly)0.66%
Geometric Mean (annualized)8.26%
Standard Deviation (monthly)4.34%
Standard Deviation (annualized)15.04%
Downside Deviation (monthly)2.91%
Max. Drawdown-50.80%
US Market Correlation0.99
Beta(*)0.96
Alpha (annualized)0.17%
R297.27%
Sharpe Ratio0.45
Sortino Ratio0.66
Treynor Ratio (%)7.14
Calmar Ratio1.03
Active Return-0.17%
Tracking Error2.57%
Information Ratio-0.07
Skewness-0.60
Excess Kurtosis1.00
Historical Value-at-Risk (5%)-7.15%
Analytical Value-at-Risk (5%)-6.38%
Conditional Value-at-Risk (5%)-9.71%
Upside Capture Ratio (%)94.35
Downside Capture Ratio (%)94.21
Safe Withdrawal Rate8.97%
Perpetual Withdrawal Rate5.62%
Positive Periods156 out of 252 (61.90%)
Gain/Loss Ratio0.95
* 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 PeriodStartEndSPDR S&P 500 ETF Trust
Asian CrisisJul 1997Jan 1998-5.18%
Russian Debt DefaultJul 1998Oct 1998-15.28%
Dotcom CrashMar 2000Oct 2002-44.71%
Subprime CrisisNov 2007Mar 2009-50.80%

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.71%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.28%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.43%
7Jul 1999Sep 19993 monthsOct 19991 month4 months-5.76%
8Aug 1997Aug 19971 monthNov 19973 months4 months-5.18%
9Apr 2000May 20002 monthsAug 20003 months5 months-5.03%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust8.26%15.04%33.48%-36.81%-50.80%0.450.660.99

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
SPDR S&P 500 ETF Trust3.95%12.00%12.00%8.77%14.58%6.87%0.09%0.09%
Trailing returns as of last calendar quarter ending December 2016

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year9.44%53.27%-43.44%
3 years7.45%29.34%-16.28%
5 years5.67%22.86%-6.67%
7 years5.04%17.14%-3.91%
10 years4.94%8.94%-3.45%
15 years5.10%7.04%3.67%