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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

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Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

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Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

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Enter percentage allocation for asset 3 in portfolio 1 %

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Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 1 %

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Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

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Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

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Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

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Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2006 - Dec 2010)

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	90.00%
VBIIX	Vanguard Interm-Term Bond Index Inv	60.00%
CASHX	Cash	-50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$12,670	4.85%	16.86%	28.03%	-32.42%	-46.06%	0.24	0.32	0.97
SPDR S&P 500 ETF Trust	$10,000	$11,190	2.27%	17.76%	26.36%	-36.81%	-50.80%	0.09	0.12	1.00

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	7.82%	20.06%	1.28%	4.85%	4.85%	21.15%	16.86%
SPDR S&P 500 ETF Trust	10.76%	15.06%	-2.78%	2.27%	2.27%	22.10%	17.76%
Trailing annualized return and volatility are for full months ending in December 2010 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.
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 bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1		SPDR S&P 500 ETF Trust		SPDR S&P 500 ETF Trust (SPY)	Vanguard Interm-Term Bond Index Inv (VBIIX)	Cash (CASHX)
Year	Inflation	Return	Balance	Return	Balance	SPDR S&P 500 ETF Trust (SPY)	Vanguard Interm-Term Bond Index Inv (VBIIX)	Cash (CASHX)
2006	2.54%	14.03%	$11,403	15.85%	$11,585	15.85%	3.91%	4.82%
2007	4.08%	6.96%	$12,197	5.14%	$12,180	5.14%	7.61%	4.56%
2008	0.09%	-32.42%	$8,243	-36.81%	$7,697	-36.81%	4.93%	1.53%
2009	2.72%	28.03%	$10,553	26.36%	$9,726	26.36%	6.79%	0.16%
2010	1.50%	20.06%	$12,670	15.06%	$11,190	15.06%	9.37%	0.14%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1		SPDR S&P 500 ETF Trust		SPDR S&P 500 ETF Trust (SPY)	Vanguard Interm-Term Bond Index Inv (VBIIX)	Cash (CASHX)
Year	Month	Return	Balance	Return	Balance	SPDR S&P 500 ETF Trust (SPY)	Vanguard Interm-Term Bond Index Inv (VBIIX)	Cash (CASHX)
2006	1	1.83%	$10,183	2.40%	$10,240	2.40%	-0.28%	0.33%
2006	2	0.38%	$10,222	0.57%	$10,299	0.57%	0.07%	0.37%
2006	3	0.64%	$10,287	1.65%	$10,469	1.65%	-1.15%	0.38%
2006	4	0.69%	$10,358	1.26%	$10,601	1.26%	-0.49%	0.38%
2006	5	-2.99%	$10,047	-3.01%	$10,282	-3.01%	-0.08%	0.39%
2006	6	0.05%	$10,052	0.26%	$10,309	0.26%	0.01%	0.40%
2006	7	1.10%	$10,163	0.45%	$10,355	0.45%	1.54%	0.41%
2006	8	2.90%	$10,457	2.18%	$10,581	2.18%	1.92%	0.42%
2006	9	2.87%	$10,757	2.70%	$10,867	2.70%	1.09%	0.41%
2006	10	3.05%	$11,085	3.15%	$11,209	3.15%	0.71%	0.40%
2006	11	2.31%	$11,341	1.99%	$11,432	1.99%	1.28%	0.42%
2006	12	0.55%	$11,403	1.34%	$11,585	1.34%	-0.74%	0.41%
2007	1	1.00%	$11,517	1.50%	$11,759	1.50%	-0.26%	0.41%
2007	2	-0.79%	$11,426	-1.96%	$11,528	-1.96%	2.05%	0.42%
2007	3	0.68%	$11,504	1.16%	$11,662	1.16%	-0.26%	0.42%
2007	4	4.14%	$11,980	4.43%	$12,179	4.43%	0.60%	0.41%
2007	5	2.22%	$12,245	3.39%	$12,592	3.39%	-1.14%	0.40%
2007	6	-1.78%	$12,028	-1.46%	$12,407	-1.46%	-0.48%	0.39%
2007	7	-2.47%	$11,731	-3.13%	$12,019	-3.13%	1.03%	0.39%
2007	8	1.96%	$11,960	1.28%	$12,173	1.28%	1.71%	0.40%
2007	9	3.67%	$12,399	3.87%	$12,644	3.87%	0.60%	0.33%
2007	10	1.64%	$12,602	1.36%	$12,816	1.36%	1.00%	0.31%
2007	11	-2.18%	$12,327	-3.87%	$12,319	-3.87%	2.44%	0.32%
2007	12	-1.05%	$12,197	-1.13%	$12,180	-1.13%	0.13%	0.26%
2008	1	-3.89%	$11,723	-6.05%	$11,443	-6.05%	2.50%	0.28%
2008	2	-2.02%	$11,487	-2.58%	$11,148	-2.58%	0.65%	0.16%
2008	3	-0.87%	$11,387	-0.90%	$11,047	-0.90%	0.02%	0.15%
2008	4	3.68%	$11,806	4.77%	$11,573	4.77%	-0.83%	0.11%
2008	5	0.53%	$11,869	1.51%	$11,748	1.51%	-1.30%	0.12%
2008	6	-7.73%	$10,951	-8.35%	$10,767	-8.35%	-0.08%	0.15%
2008	7	-0.88%	$10,855	-0.90%	$10,671	-0.90%	0.03%	0.16%
2008	8	1.77%	$11,046	1.55%	$10,836	1.55%	0.70%	0.14%
2008	9	-10.70%	$9,864	-9.44%	$9,813	-9.44%	-3.37%	0.14%
2008	10	-17.49%	$8,139	-16.52%	$8,192	-16.52%	-4.30%	0.08%
2008	11	-2.80%	$7,911	-6.96%	$7,622	-6.96%	5.80%	0.04%
2008	12	4.19%	$8,243	0.98%	$7,697	0.98%	5.52%	0.00%
2009	1	-7.97%	$7,586	-8.21%	$7,065	-8.21%	-1.32%	0.01%
2009	2	-10.40%	$6,797	-10.74%	$6,306	-10.74%	-1.19%	0.02%
2009	3	8.57%	$7,380	8.35%	$6,832	8.35%	1.78%	0.02%
2009	4	9.02%	$8,045	9.93%	$7,511	9.93%	0.19%	0.02%
2009	5	5.78%	$8,511	5.85%	$7,950	5.85%	0.88%	0.01%
2009	6	0.54%	$8,556	-0.07%	$7,944	-0.07%	1.06%	0.01%
2009	7	8.16%	$9,255	7.46%	$8,537	7.46%	2.60%	0.02%
2009	8	4.11%	$9,635	3.69%	$8,852	3.69%	1.32%	0.02%
2009	9	3.98%	$10,019	3.55%	$9,166	3.55%	1.38%	0.01%
2009	10	-1.41%	$9,878	-1.92%	$8,990	-1.92%	0.55%	0.01%
2009	11	6.64%	$10,533	6.16%	$9,544	6.16%	2.01%	0.00%
2009	12	0.19%	$10,553	1.91%	$9,726	1.91%	-2.54%	0.01%
2010	1	-2.13%	$10,328	-3.63%	$9,372	-3.63%	2.05%	0.01%
2010	2	3.01%	$10,638	3.12%	$9,665	3.12%	0.33%	0.01%
2010	3	5.38%	$11,211	6.09%	$10,253	6.09%	-0.19%	0.01%
2010	4	2.27%	$11,465	1.55%	$10,412	1.55%	1.55%	0.01%
2010	5	-6.52%	$10,718	-7.95%	$9,585	-7.95%	1.17%	0.01%
2010	6	-3.09%	$10,386	-5.17%	$9,089	-5.17%	2.51%	0.01%
2010	7	6.93%	$11,106	6.83%	$9,710	6.83%	1.57%	0.02%
2010	8	-2.39%	$10,841	-4.50%	$9,273	-4.50%	2.51%	0.01%
2010	9	8.39%	$11,751	8.96%	$10,103	8.96%	0.56%	0.01%
2010	10	3.72%	$12,188	3.82%	$10,489	3.82%	0.48%	0.01%
2010	11	-0.64%	$12,110	0.00%	$10,489	0.00%	-1.06%	0.01%
2010	12	4.63%	$12,670	6.68%	$11,190	6.68%	-2.38%	0.01%

Portfolio return and risk metrics
Metric	Portfolio 1	SPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)	0.52%	0.32%
Arithmetic Mean (annualized)	6.37%	3.91%
Geometric Mean (monthly)	0.40%	0.19%
Geometric Mean (annualized)	4.85%	2.27%
Volatility (monthly)	4.87%	5.13%
Volatility (annualized)	16.86%	17.76%
Downside Deviation (monthly)	3.58%	3.82%
Max. Drawdown	-46.06%	-50.80%
US Market Correlation	0.97	1.00
Beta^(*)	0.93	1.00
Alpha (annualized)	2.62%	-0.00%
R²	95.50%	100.00%
Sharpe Ratio	0.24	0.09
Sortino Ratio	0.32	0.12
Treynor Ratio (%)	4.30	1.65
Calmar Ratio	0.03	-0.06
Active Return	2.57%	N/A
Tracking Error	3.80%	N/A
Information Ratio	0.68	N/A
Skewness	-1.09	-0.80
Excess Kurtosis	2.56	1.08
Historical Value-at-Risk (5%)	-8.09%	-8.40%
Analytical Value-at-Risk (5%)	-7.44%	-8.11%
Conditional Value-at-Risk (5%)	-12.86%	-12.23%
Upside Capture Ratio (%)	95.55	100.00
Downside Capture Ratio (%)	85.58	100.00
Safe Withdrawal Rate	20.04%	18.97%
Perpetual Withdrawal Rate	2.55%	0.09%
Positive Periods	38 out of 60 (63.33%)	37 out of 60 (61.67%)
Gain/Loss Ratio	0.77	0.70
^* SPDR S&P 500 ETF Trust 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 Period	Start	End	Portfolio 1	SPDR S&P 500 ETF Trust
Subprime Crisis	Nov 2007	Mar 2009	-46.06%	-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Dec 2010	1 year 10 months	3 years 2 months	-46.06%
2	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-4.20%
3	May 2006	May 2006	1 month	Aug 2006	3 months	4 months	-2.99%
4	Feb 2007	Feb 2007	1 month	Apr 2007	2 months	3 months	-0.79%

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months				-50.80%
2	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-4.55%
3	May 2006	May 2006	1 month	Sep 2006	4 months	5 months	-3.01%
4	Feb 2007	Feb 2007	1 month	Apr 2007	2 months	3 months	-1.96%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
SPY	SPDR S&P 500 ETF Trust	2.27%	17.76%	26.36%	-36.81%	-50.80%	0.09	0.12	1.00
VBIIX	Vanguard Interm-Term Bond Index Inv	6.50%	5.97%	9.37%	3.91%	-8.92%	0.71	1.23	0.14
CASHX	Cash	2.22%	0.60%	4.82%	0.14%	0.00%	N/A	N/A	-0.02

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	SPY	VBIIX	CASHX	Portfolio 1	SPDR S&P 500 ETF Trust
SPY	SPDR S&P 500 ETF Trust	1.00	0.15	-0.00	0.98	1.00
VBIIX	Vanguard Interm-Term Bond Index Inv	0.15	1.00	-0.08	0.35	0.15
CASHX	Cash	-0.00	-0.08	1.00	-0.04	-0.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1
SPY	SPDR S&P 500 ETF Trust	$1,447
VBIIX	Vanguard Interm-Term Bond Index Inv	$1,821
CASHX	Cash	-$599

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1
SPY	SPDR S&P 500 ETF Trust	92.44%
VBIIX	Vanguard Interm-Term Bond Index Inv	7.49%
CASHX	Cash	0.07%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			SPDR S&P 500 ETF Trust
Roll Period	Average	High	Low	Average	High	Low
1 year	4.83%	56.51%	-40.83%	1.58%	53.27%	-43.44%
3 years	-3.96%	1.28%	-12.72%	-7.60%	-2.78%	-15.09%