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 
Portfolio #1
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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
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,670 4.85% 16.86%28.03%-32.42%-46.06% 0.240.320.97
SPDR S&P 500 ETF Trust$10,000$11,190 2.27% 17.76%26.36%-36.81%-50.80% 0.090.121.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 17.82%20.06%1.28%4.85%4.85%21.15%16.86%
SPDR S&P 500 ETF Trust10.76%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
YearInflationPortfolio 1SPDR S&P 500 ETF TrustSPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Bond Index Inv (VBIIX)Cash (CASHX)
ReturnBalanceReturnBalance
20062.54%14.03%$11,40315.85%$11,58515.85%3.91%4.82%
20074.08%6.96%$12,1975.14%$12,1805.14%7.61%4.56%
20080.09%-32.42%$8,243-36.81%$7,697-36.81%4.93%1.53%
20092.72%28.03%$10,55326.36%$9,72626.36%6.79%0.16%
20101.50%20.06%$12,67015.06%$11,19015.06%9.37%0.14%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnSPDR S&P 500 ETF Trust ReturnSPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Bond Index Inv (VBIIX)Cash (CASHX)
200611.83%2.40%2.40%-0.28%0.33%
200620.38%0.57%0.57%0.07%0.37%
200630.64%1.65%1.65%-1.15%0.38%
200640.69%1.26%1.26%-0.49%0.38%
20065-2.99%-3.01%-3.01%-0.08%0.39%
200660.05%0.26%0.26%0.01%0.40%
200671.10%0.45%0.45%1.54%0.41%
200682.90%2.18%2.18%1.92%0.42%
200692.87%2.70%2.70%1.09%0.41%
2006103.05%3.15%3.15%0.71%0.40%
2006112.31%1.99%1.99%1.28%0.42%
2006120.55%1.34%1.34%-0.74%0.41%
200711.00%1.50%1.50%-0.26%0.41%
20072-0.79%-1.96%-1.96%2.05%0.42%
200730.68%1.16%1.16%-0.26%0.42%
200744.14%4.43%4.43%0.60%0.41%
200752.22%3.39%3.39%-1.14%0.40%
20076-1.78%-1.46%-1.46%-0.48%0.39%
20077-2.47%-3.13%-3.13%1.03%0.39%
200781.96%1.28%1.28%1.71%0.40%
200793.67%3.87%3.87%0.60%0.33%
2007101.64%1.36%1.36%1.00%0.31%
200711-2.18%-3.87%-3.87%2.44%0.32%
200712-1.05%-1.13%-1.13%0.13%0.26%
20081-3.89%-6.05%-6.05%2.50%0.28%
20082-2.02%-2.58%-2.58%0.65%0.16%
20083-0.87%-0.90%-0.90%0.02%0.15%
200843.68%4.77%4.77%-0.83%0.11%
200850.53%1.51%1.51%-1.30%0.12%
20086-7.73%-8.35%-8.35%-0.08%0.15%
20087-0.88%-0.90%-0.90%0.03%0.16%
200881.77%1.55%1.55%0.70%0.14%
20089-10.70%-9.44%-9.44%-3.37%0.14%
200810-17.49%-16.52%-16.52%-4.30%0.08%
200811-2.80%-6.96%-6.96%5.80%0.04%
2008124.19%0.98%0.98%5.52%0.00%
20091-7.97%-8.21%-8.21%-1.32%0.01%
20092-10.40%-10.74%-10.74%-1.19%0.02%
200938.57%8.35%8.35%1.78%0.02%
200949.02%9.93%9.93%0.19%0.02%
200955.78%5.85%5.85%0.88%0.01%
200960.54%-0.07%-0.07%1.06%0.01%
200978.16%7.46%7.46%2.60%0.02%
200984.11%3.69%3.69%1.32%0.02%
200993.98%3.55%3.55%1.38%0.01%
200910-1.41%-1.92%-1.92%0.55%0.01%
2009116.64%6.16%6.16%2.01%0.00%
2009120.19%1.91%1.91%-2.54%0.01%
20101-2.13%-3.63%-3.63%2.05%0.01%
201023.01%3.12%3.12%0.33%0.01%
201035.38%6.09%6.09%-0.19%0.01%
201042.27%1.55%1.55%1.55%0.01%
20105-6.52%-7.95%-7.95%1.17%0.01%
20106-3.09%-5.17%-5.17%2.51%0.01%
201076.93%6.83%6.83%1.57%0.02%
20108-2.39%-4.50%-4.50%2.51%0.01%
201098.39%8.96%8.96%0.56%0.01%
2010103.72%3.82%3.82%0.48%0.01%
201011-0.64%0.00%0.00%-1.06%0.01%
2010124.63%6.68%6.68%-2.38%0.01%
Portfolio return and risk metrics
MetricPortfolio 1SPDR 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 Correlation0.971.00
Beta(*)0.931.00
Alpha (annualized)2.62%-0.00%
R295.50%100.00%
Sharpe Ratio0.240.09
Sortino Ratio0.320.12
Treynor Ratio (%)4.301.65
Calmar Ratio0.03-0.06
Active Return2.57%N/A
Tracking Error3.80%N/A
Information Ratio0.68N/A
Skewness-1.09-0.80
Excess Kurtosis2.561.08
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 (%)95.55100.00
Downside Capture Ratio (%)85.58100.00
Safe Withdrawal Rate20.04%18.97%
Perpetual Withdrawal Rate2.55%0.09%
Positive Periods38 out of 60 (63.33%)37 out of 60 (61.67%)
Gain/Loss Ratio0.770.70
* 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 PeriodStartEndPortfolio 1SPDR S&P 500 ETF Trust
Subprime CrisisNov 2007Mar 2009-46.06%-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-46.06%
2Jun 2007Jul 20072 monthsSep 20072 months4 months-4.20%
3May 2006May 20061 monthAug 20063 months4 months-2.99%
4Feb 2007Feb 20071 monthApr 20072 months3 months-0.79%

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.80%
2Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
3May 2006May 20061 monthSep 20064 months5 months-3.01%
4Feb 2007Feb 20071 monthApr 20072 months3 months-1.96%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust2.27%17.76%26.36%-36.81%-50.80%0.090.121.00
VBIIXVanguard Interm-Term Bond Index Inv6.50%5.97%9.37%3.91%-8.92%0.711.230.14
CASHXCash2.22%0.60%4.82%0.14%0.00%N/AN/A-0.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVBIIXCASHXPortfolio 1SPDR S&P 500 ETF Trust
SPYSPDR S&P 500 ETF Trust1.000.15-0.000.981.00
VBIIXVanguard Interm-Term Bond Index Inv0.151.00-0.080.350.15
CASHXCash-0.00-0.081.00-0.04-0.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
SPYSPDR S&P 500 ETF Trust$1,447
VBIIXVanguard Interm-Term Bond Index Inv$1,821
CASHXCash-$599

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
SPYSPDR S&P 500 ETF Trust92.44%
VBIIXVanguard Interm-Term Bond Index Inv7.49%
CASHXCash0.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1SPDR S&P 500 ETF Trust
AverageHighLowAverageHighLow
1 year4.83%56.51%-40.83%1.58%53.27%-43.44%
3 years-3.96%1.28%-12.72%-7.60%-2.78%-15.09%