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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Asset 6
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Asset 8
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Portfolio Analysis Results (Jan 2018 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ZAG.TO BMO Aggregate Bond Index ETF 40.00%
XAW.TO iShares Core MSCI All Country World ex Canada Index ETF 37.00%
VCN.TO Vanguard FTSE Canada All Cap Index ETF 20.00%
HUV.TO BetaPro S&P 500 VIX Short-Term Futures ETF 3.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VCN.TO Vanguard FTSE Canada All Cap Index ETF 18.00%
VCB.TO Vanguard Canadian Corporate Bond Index ETF 25.00%
CPD.TO iShares S&P/TSX Canadian Preferred Share Index ETF 15.00%
ZRE.TO BMO Equal Weight REITs Index ETF 2.00%
VXC.TO Vanguard FTSE Global All Cap ex Canada Index ETF 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
ZAG.TO BMO Aggregate Bond Index ETF 40.00%
ZRE.TO BMO Equal Weight REITs Index ETF 5.00%
XPF.TO iShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged) 10.00%
XIC.TO iShares Core S&P/TSX Capped Composite Index ETF 10.00%
VUN.TO Vanguard U.S. Total Market Index ETF 20.00%
XEF.TO iShares Core MSCI EAFE IMI Index ETF 10.00%
XEC.TO iShares Core MSCI Emerging Markets IMI Index ETF 5.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,808 6.65% 6.07%11.63%-0.39%-5.49% 0.801.310.86
Portfolio 2$10,000$11,002 3.77% 12.25%14.66%-4.18%-16.37% 0.220.290.93
Portfolio 3$10,000$11,463 5.43% 9.27%14.05%-1.57%-12.09% 0.430.590.91
   
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 July
  • 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 semi-annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceBMO Aggregate Bond Index ETF (ZAG.TO)iShares Core MSCI All Country World ex Canada Index ETF (XAW.TO)Vanguard FTSE Canada All Cap Index ETF (VCN.TO)BetaPro S&P 500 VIX Short-Term Futures ETF (HUV.TO)Vanguard Canadian Corporate Bond Index ETF (VCB.TO)iShares S&P/TSX Canadian Preferred Share Index ETF (CPD.TO)BMO Equal Weight REITs Index ETF (ZRE.TO)Vanguard FTSE Global All Cap ex Canada Index ETF (VXC.TO)iShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged) (XPF.TO)iShares Core S&P/TSX Capped Composite Index ETF (XIC.TO)Vanguard U.S. Total Market Index ETF (VUN.TO)iShares Core MSCI EAFE IMI Index ETF (XEF.TO)iShares Core MSCI Emerging Markets IMI Index ETF (XEC.TO)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20181.91%-0.39%-4.18%-1.57%$9,961$9,582$9,8431.11%-2.28%-9.12%68.78%0.31%-9.06%3.35%-3.35%-7.33%-8.71%2.36%-6.64%-8.30%
20192.29%11.63%14.66%14.05%$11,120$10,987$11,2266.84%19.83%22.09%-67.84%6.24%3.35%25.86%20.47%8.87%22.77%23.99%15.87%11.56%
20200.32%6.19%0.14%2.11%$11,808$11,002$11,4638.44%0.07%-3.95%93.61%6.95%-5.98%-17.37%0.70%-4.00%-3.34%5.08%-7.11%-0.36%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceBMO Aggregate Bond Index ETF (ZAG.TO)iShares Core MSCI All Country World ex Canada Index ETF (XAW.TO)Vanguard FTSE Canada All Cap Index ETF (VCN.TO)BetaPro S&P 500 VIX Short-Term Futures ETF (HUV.TO)Vanguard Canadian Corporate Bond Index ETF (VCB.TO)iShares S&P/TSX Canadian Preferred Share Index ETF (CPD.TO)BMO Equal Weight REITs Index ETF (ZRE.TO)Vanguard FTSE Global All Cap ex Canada Index ETF (VXC.TO)iShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged) (XPF.TO)iShares Core S&P/TSX Capped Composite Index ETF (XIC.TO)Vanguard U.S. Total Market Index ETF (VUN.TO)iShares Core MSCI EAFE IMI Index ETF (XEF.TO)iShares Core MSCI Emerging Markets IMI Index ETF (XEC.TO)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201810.72%1.27%0.60%$10,072$10,127$10,060-1.17%3.31%-1.25%7.14%-0.44%1.54%0.74%3.40%0.11%-1.28%2.96%2.67%5.76%
201820.92%-0.86%-0.41%$10,165$10,040$10,0180.12%-0.23%-2.98%48.57%-0.01%-1.16%-1.26%-0.33%-0.49%-2.88%0.60%-1.01%-1.60%
201830.39%-0.40%0.20%$10,204$10,001$10,0381.09%-0.78%-0.33%6.79%0.44%-0.76%2.21%-0.92%-0.22%-0.30%-1.75%0.13%1.07%
20184-0.71%0.11%-0.35%$10,132$10,012$10,003-1.05%0.00%1.96%-13.21%-0.51%-0.64%-0.16%0.00%-0.63%1.80%0.08%1.09%-2.98%
201850.92%1.47%1.33%$10,226$10,159$10,1370.63%1.34%3.12%-9.82%0.53%1.06%3.09%1.41%0.86%3.06%3.68%-1.30%-1.41%
201860.94%0.81%0.91%$10,322$10,241$10,2290.89%0.74%1.75%-0.61%0.71%0.21%1.10%0.65%0.75%1.63%2.13%-0.05%-3.43%
201870.09%0.78%0.47%$10,331$10,320$10,277-1.06%1.95%1.09%-14.35%-1.08%1.13%0.77%1.66%0.64%1.08%2.17%1.43%2.01%
201880.41%0.72%1.00%$10,373$10,395$10,3800.97%1.11%-0.93%-8.11%1.04%0.91%2.24%1.12%1.03%-0.65%3.76%-1.41%-3.03%
20189-1.14%-0.86%-1.00%$10,255$10,306$10,275-1.06%-0.83%-1.05%-8.04%-0.96%-0.50%-0.48%-0.86%-1.12%-0.97%-0.93%-0.52%-2.18%
201810-2.98%-3.95%-3.42%$9,950$9,899$9,924-0.81%-6.03%-6.20%40.30%0.16%-2.62%-1.66%-6.06%-2.46%-6.28%-5.67%-6.35%-6.85%
2018111.41%0.30%1.17%$10,091$9,929$10,0400.98%2.76%1.28%-7.90%-0.42%-6.33%1.29%2.86%-4.18%1.38%3.05%1.19%5.53%
201812-1.28%-3.49%-1.97%$9,961$9,582$9,8431.64%-5.17%-5.51%36.47%0.87%-2.03%-4.32%-5.84%-1.74%-5.21%-7.03%-2.41%-0.79%
201912.91%3.92%3.42%$10,251$9,958$10,1791.05%4.01%8.68%-24.30%1.52%-0.06%8.28%4.54%2.38%8.64%4.76%2.43%5.80%
201921.57%2.18%1.72%$10,412$10,174$10,3550.39%2.80%2.92%-11.34%0.72%1.87%3.99%2.74%1.08%3.15%3.57%2.58%-1.07%
201931.92%1.71%2.19%$10,612$10,349$10,5812.27%2.68%0.74%-6.85%1.73%-0.38%3.67%2.79%0.59%0.99%2.82%2.38%2.73%
201941.90%2.18%1.54%$10,813$10,574$10,744-0.06%3.73%3.42%-12.38%0.42%0.24%-2.96%3.59%0.28%3.16%4.38%3.39%2.40%
20195-1.89%-2.97%-1.72%$10,609$10,260$10,5601.59%-5.34%-3.34%18.98%0.78%-3.04%1.98%-5.18%-1.45%-2.95%-5.65%-4.50%-6.11%
201961.79%1.99%1.90%$10,799$10,464$10,7611.07%2.99%2.53%-15.58%1.16%0.42%0.45%2.86%1.08%2.40%3.60%2.57%2.28%
201970.12%0.75%0.52%$10,812$10,543$10,8170.00%0.84%0.36%-8.79%0.07%1.68%2.16%0.93%1.34%0.38%2.30%-1.27%-1.84%
201980.80%-0.86%0.36%$10,898$10,453$10,8562.06%-1.33%0.36%14.46%1.02%-4.46%3.55%-1.43%-1.96%0.46%-1.26%-0.88%-2.93%
201990.22%1.36%0.66%$10,923$10,595$10,928-0.92%1.74%1.68%-12.00%-0.31%3.29%2.75%1.50%1.98%1.70%1.15%2.49%1.17%
2019100.04%0.55%0.59%$10,927$10,654$10,993-0.31%2.16%-0.95%-16.27%-0.75%0.34%-0.69%2.20%0.90%-0.87%1.51%2.76%3.66%
2019111.88%2.52%2.11%$11,133$10,922$11,2250.56%3.53%3.64%-17.71%1.10%1.09%2.59%3.40%0.84%3.69%5.11%2.07%1.15%
201912-0.11%0.59%0.00%$11,120$10,987$11,226-1.00%0.80%0.55%-7.64%-1.36%2.58%-2.05%1.20%1.55%0.36%-0.05%1.09%4.38%
202011.70%0.97%1.62%$11,310$11,093$11,4082.71%0.22%1.57%7.52%2.36%0.07%4.15%0.00%0.87%1.81%1.90%-1.11%-4.09%
20202-2.17%-4.31%-3.15%$11,064$10,615$11,0490.49%-6.96%-5.84%41.96%0.09%-3.69%-2.70%-6.73%-4.69%-5.83%-6.83%-6.93%-2.40%
20203-3.39%-12.61%-9.23%$10,689$9,277$10,029-3.13%-9.79%-17.79%102.61%-7.92%-19.94%-26.98%-9.81%-14.17%-17.71%-9.73%-9.99%-12.86%
202045.15%9.65%7.32%$11,240$10,173$10,7634.69%9.53%11.19%-17.77%7.95%11.48%7.45%9.67%9.24%11.24%11.95%5.17%6.38%
202051.08%2.23%1.75%$11,361$10,399$10,9510.49%3.86%2.74%-11.87%0.92%-1.31%-1.49%4.31%-0.68%2.76%4.39%4.51%2.61%
202061.69%2.25%1.83%$11,553$10,633$11,1511.70%1.21%2.32%2.43%2.25%3.95%3.98%1.58%1.61%2.70%0.73%1.77%4.92%
202072.21%3.47%2.80%$11,808$11,002$11,4631.37%3.33%4.49%-15.66%1.77%6.54%1.47%3.01%5.53%4.38%4.15%0.24%6.65%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.55%0.37%0.48%
Arithmetic Mean (annualized)6.83%4.54%5.87%
Geometric Mean (monthly)0.54%0.31%0.44%
Geometric Mean (annualized)6.65%3.77%5.43%
Volatility (monthly)1.75%3.54%2.68%
Volatility (annualized)6.07%12.25%9.27%
Downside Deviation (monthly)1.02%2.64%1.93%
Max. Drawdown-5.49%-16.37%-12.09%
US Market Correlation0.860.930.91
Beta(*)0.270.590.44
Alpha (annualized)3.67%-2.00%0.96%
R274.18%86.69%82.22%
Sharpe Ratio0.800.220.43
Sortino Ratio1.310.290.59
Treynor Ratio (%)18.134.649.20
Active Return-2.80%-5.68%-4.02%
Tracking Error14.34%9.02%11.51%
Information Ratio-0.20-0.63-0.35
Skewness-0.16-1.25-1.25
Excess Kurtosis1.056.395.94
Historical Value-at-Risk (5%)-3.14%-7.63%-5.74%
Analytical Value-at-Risk (5%)-2.77%-5.36%-3.90%
Conditional Value-at-Risk (5%)-3.39%-12.61%-9.23%
Upside Capture Ratio (%)28.1745.9837.00
Downside Capture Ratio (%)15.9656.1635.49
Safe Withdrawal Rate51.01%49.69%50.92%
Perpetual Withdrawal Rate5.89%2.51%4.49%
Positive Periods23 out of 31 (74.19%)22 out of 31 (70.97%)23 out of 31 (74.19%)
Gain/Loss Ratio0.780.560.59
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-5.49%
2Sep 2018Oct 20182 monthsFeb 20194 months6 months-4.08%
3May 2019May 20191 monthAug 20193 months4 months-1.89%
4Apr 2018Apr 20181 monthMay 20181 month2 months-0.71%
5Dec 2019Dec 20191 monthJan 20201 month2 months-0.11%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 months-16.37%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-7.82%
3May 2019May 20191 monthSep 20194 months5 months-2.97%
4Feb 2018Mar 20182 monthsMay 20182 months4 months-1.25%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-12.09%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-5.17%
3May 2019May 20191 monthJun 20191 month2 months-1.72%
4Feb 2018Apr 20183 monthsMay 20181 month4 months-0.56%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ZAG.TOBMO Aggregate Bond Index ETF6.32%5.09%8.44%1.11%-3.13%0.891.630.37
XAW.TOiShares Core MSCI All Country World ex Canada Index ETF6.33%13.39%19.83%-2.28%-16.07%0.400.540.97
VCN.TOVanguard FTSE Canada All Cap Index ETF2.49%17.20%22.09%-9.12%-22.59%0.130.170.90
HUV.TOBetaPro S&P 500 VIX Short-Term Futures ETF1.94%92.69%93.61%-67.84%-68.07%0.350.87-0.87
VCB.TOVanguard Canadian Corporate Bond Index ETF5.19%7.81%6.95%0.31%-7.92%0.470.700.61
CPD.TOiShares S&P/TSX Canadian Preferred Share Index ETF-4.67%16.91%3.35%-9.06%-29.09%-0.29-0.360.75
ZRE.TOBMO Equal Weight REITs Index ETF2.84%20.16%25.86%-17.37%-28.95%0.170.190.66
VXC.TOVanguard FTSE Global All Cap ex Canada Index ETF6.35%13.56%20.47%-3.35%-15.88%0.390.540.97
XPF.TOiShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged)-1.23%12.61%8.87%-7.33%-18.43%-0.17-0.210.80
XIC.TOiShares Core S&P/TSX Capped Composite Index ETF3.15%17.10%22.77%-8.71%-22.51%0.170.220.90
VUN.TOVanguard U.S. Total Market Index ETF11.79%15.19%23.99%2.36%-15.89%0.701.030.95
XEF.TOiShares Core MSCI EAFE IMI Index ETF0.19%11.67%15.87%-7.11%-17.16%-0.07-0.090.88
XEC.TOiShares Core MSCI Emerging Markets IMI Index ETF0.74%15.44%11.56%-8.30%-21.10%0.010.020.78

Monthly Correlations

Correlations for the portfolio assets
TickerNameZAG.TOXAW.TOVCN.TOHUV.TOVCB.TOCPD.TOZRE.TOVXC.TOXPF.TOXIC.TOVUN.TOXEF.TOXEC.TOPortfolio 1Portfolio 2Portfolio 3
ZAG.TOBMO Aggregate Bond Index ETF1.000.410.57-0.320.880.500.640.400.570.580.430.320.340.650.580.67
XAW.TOiShares Core MSCI All Country World ex Canada Index ETF0.411.000.89-0.840.620.740.651.000.790.890.980.930.790.910.940.93
VCN.TOVanguard FTSE Canada All Cap Index ETF0.570.891.00-0.880.780.820.840.900.881.000.880.830.730.870.970.96
HUV.TOBetaPro S&P 500 VIX Short-Term Futures ETF-0.32-0.84-0.881.00-0.55-0.74-0.76-0.83-0.78-0.88-0.80-0.84-0.70-0.67-0.86-0.84
VCB.TOVanguard Canadian Corporate Bond Index ETF0.880.620.78-0.551.000.800.810.620.830.790.640.540.520.730.820.84
CPD.TOiShares S&P/TSX Canadian Preferred Share Index ETF0.500.740.82-0.740.801.000.790.730.970.820.720.690.670.670.890.84
ZRE.TOBMO Equal Weight REITs Index ETF0.640.650.84-0.760.810.791.000.650.820.850.640.620.570.650.820.84
VXC.TOVanguard FTSE Global All Cap ex Canada Index ETF0.401.000.90-0.830.620.730.651.000.790.890.980.930.800.910.940.93
XPF.TOiShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged)0.570.790.88-0.780.830.970.820.791.000.880.780.730.680.750.930.90
XIC.TOiShares Core S&P/TSX Capped Composite Index ETF0.580.891.00-0.880.790.820.850.890.881.000.880.830.730.880.970.97
VUN.TOVanguard U.S. Total Market Index ETF0.430.980.88-0.800.640.720.640.980.780.881.000.840.690.910.920.92
XEF.TOiShares Core MSCI EAFE IMI Index ETF0.320.930.83-0.840.540.690.620.930.730.830.841.000.810.810.870.85
XEC.TOiShares Core MSCI Emerging Markets IMI Index ETF0.340.790.73-0.700.520.670.570.800.680.730.690.811.000.720.780.76

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
ZAG.TOBMO Aggregate Bond Index ETF$691$689
XAW.TOiShares Core MSCI All Country World ex Canada Index ETF$654
VCN.TOVanguard FTSE Canada All Cap Index ETF$171$136
HUV.TOBetaPro S&P 500 VIX Short-Term Futures ETF$291
VCB.TOVanguard Canadian Corporate Bond Index ETF$344
CPD.TOiShares S&P/TSX Canadian Preferred Share Index ETF-$174
ZRE.TOBMO Equal Weight REITs Index ETF$17.66$45.67
VXC.TOVanguard FTSE Global All Cap ex Canada Index ETF$678
XPF.TOiShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged)-$24.70
XIC.TOiShares Core S&P/TSX Capped Composite Index ETF$98.70
VUN.TOVanguard U.S. Total Market Index ETF$630
XEF.TOiShares Core MSCI EAFE IMI Index ETF$9.72
XEC.TOiShares Core MSCI Emerging Markets IMI Index ETF$15.06

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
ZAG.TOBMO Aggregate Bond Index ETF19.00%14.61%
XAW.TOiShares Core MSCI All Country World ex Canada Index ETF64.66%
VCN.TOVanguard FTSE Canada All Cap Index ETF43.11%24.41%
HUV.TOBetaPro S&P 500 VIX Short-Term Futures ETF-26.78%
VCB.TOVanguard Canadian Corporate Bond Index ETF13.02%
CPD.TOiShares S&P/TSX Canadian Preferred Share Index ETF18.35%
ZRE.TOBMO Equal Weight REITs Index ETF2.70%9.02%
VXC.TOVanguard FTSE Global All Cap ex Canada Index ETF41.52%
XPF.TOiShares S&P/TSX North American Preferred Stock Index ETF (CAD-Hedged)12.14%
XIC.TOiShares Core S&P/TSX Capped Composite Index ETF17.63%
VUN.TOVanguard U.S. Total Market Index ETF29.69%
XEF.TOiShares Core MSCI EAFE IMI Index ETF10.61%
XEC.TOiShares Core MSCI Emerging Markets IMI Index ETF6.30%

Annual Asset Returns