12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class
level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling
returns. 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.

You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds,
ETFs, and stocks.

Portfolio View

List View

Time Period

Year-to-Year

Start Year

1972

End Year

2021

Include YTD

No

Initial Amount

$ 10000 .00

Cashflows

None

Rebalancing

Rebalance annually

Leverage Type

None

Benchmark

Specify Ticker...

Benchmark Ticker

XAW.TO 

Portfolio Names

Default

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Asset Allocation 
Asset Class
Portfolio #1
Portfolio #2
Portfolio #3
Asset 1

US Large Cap Growth

27 %

Asset 2

European Stocks

25 %

Asset 3
Pacific Stocks

2 %

Asset 4
Emerging Markets

6 %

Asset 5
Global Bonds (USD Hedged)

15 %

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Asset 6
Corporate Bonds

5 %

Asset 7
High Yield Corporate Bonds

10 %

Asset 8
Short Term Treasury

5 %

Asset 9
Cash

2.5 %

Asset 10
Gold

2.5 %

Total

100 %

0 %

0 %

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Portfolio Analysis Results (Jan 2016 - Nov 2021)

Note: The time period was constrained by the available data for iShares Core MSCI All Country World
ex Canada Index ETF (XAW.TO) [Mar 2015 - Nov 2021] and Corporate Bonds [Jan 2003 - Nov 2021].

Portfolio Allocations

Portfolio 1

Asset Class Allocation

US Large Cap Growth 27.00%

European Stocks 25.00%

Pacific Stocks 2.00%

Emerging Markets 6.00%

Global Bonds (USD Hedged) 15.00%

Corporate Bonds 5.00%

High Yield Corporate Bonds 10.00%

Short Term Treasury 5.00%

Cash 2.50%

Gold 2.50%

10 % 27 %

15 %

25 %

US Large Cap Growth

European Stocks
Pacific Stocks
Emerging Markets
Global Bonds (USD Hedged)
Corporate Bonds
High Yield Corporate Bonds
Short Term Treasury
Cash
Gold

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Portfolio Returns
Initial Final Best Worst Max. Sharpe Sortino US M
Portfolio Balance Balance CAGR Stdev Year Year Drawdown Ratio Ratio Correlat

Portfolio 1 $10,000 $18,003 10.45% 9.97% 21.72% -6.30% -13.61% 0.95 1.51 0

iShares $10,000 $18,319 10.77% 11.69% 19.83% -2.28% -16.07% 0.85 1.32 0
Core
MSCI All
Country
World ex
Canada
Index
ETF

Portfolio Growth
$20,000

$17,500
Portfolio Balance ($)

$15,000

$12,500

$10,000

$7,500
2016 2017 2018 2019 2020 2021
Year

Portfolio 1 iShares Core MSCI All Country World ex Canada Index ETF

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Annual Returns
30.0%

20.0%
Annual Return

10.0%

0.0%

-10.0%
2016 2017 2018 2019 2020 2021
Year

Portfolio 1 iShares Core MSCI All Country World ex Canada Index ETF

Trailing Returns
Annualized
Standard
Total Return Annualized Return Deviation

3
Name Month YTD 1 year 3 year 5 year Full 3 year 5 year

Portfolio 1 -1.42% 8.81% 12.59% 14.11% 11.78% 10.45% 12.26% 10.32%

iShares Core MSCI All Country -0.31% 14.98% 18.01% 13.66% 12.33% 10.77% 13.31% 11.63%
World ex Canada Index ETF

Trailing return and volatility are as of last full calendar month ending November 2021

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

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 November
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

iShares Core
MSCI All
Country World
US Global
ex Canada Index
Large Bonds
Portfolio 1 ETF
Cap European Pacific Emerging (USD
Year Inflation Return Balance Return Balance Growth Stocks Stocks Markets Hedged)

2016 2.07% 4.82% $10,482 4.27% $10,427 5.99% -0.80% 5.19% 11.50% 6.17%

2017 2.11% 18.67% $12,440 16.11% $12,106 27.65% 26.82% 28.39% 31.15% 4.32%

2018 1.91% -6.30% $11,656 -2.28% $11,831 -3.46% -14.86% -13.98% -14.71% -0.46%

2019 2.29% 21.72% $14,188 19.83% $14,177 37.08% 24.06% 17.42% 20.13% 6.76%

2020 1.36% 16.61% $16,545 12.39% $15,933 40.01% 6.30% 16.37% 15.05% 7.31%

2021 6.71% 8.81% $18,003 14.98% $18,319 24.92% 9.78% -2.02% -1.22% -0.92%

Annual return for 2021 is from 01/01/2021 to 11/30/2021

iShares Core MSCI All Country World ex Canada

Metric Portfolio 1 Index ETF

*iShares Core MSCI All Country World ex Canada Index ETF is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.
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iShares Core MSCI All Country World ex Canada

Metric Portfolio 1 Index ETF

Arithmetic Mean (monthly) 0.87% 0.91%

Arithmetic Mean 10.99% 11.52%

(annualized)

Geometric Mean (monthly) 0.83% 0.86%

Geometric Mean 10.45% 10.77%

(annualized)

Standard Deviation 2.88% 3.37%

(monthly)

Standard Deviation 9.97% 11.69%

(annualized)

Downside Deviation 1.78% 2.14%

(monthly)

Max. Drawdown -13.61% -16.07%

US Market Correlation 0.94 0.87

Beta(*) 0.70 1.00

Alpha (annualized) 2.75% -0.00%

R2 68.32% 100.00%

Sharpe Ratio 0.95 0.85

Sortino Ratio 1.51 1.32

Treynor Ratio (%) 13.50 10.00

Calmar Ratio 1.04 0.85

Active Return -0.33% N/A

Tracking Error 6.59% N/A

Information Ratio -0.05 N/A

Skewness -0.62 -0.52

Excess Kurtosis 2.43 1.35

Historical Value-at-Risk -3.72% -5.25%

(5%)

Analytical Value-at-Risk -3.86% -4.64%

(5%)

*iShares Core MSCI All Country World ex Canada Index ETF is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.
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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

iShares Core MSCI All Country World ex Canada

Metric Portfolio 1 Index ETF

Conditional Value-at-Risk -5.82% -7.03%

(5%)

Upside Capture Ratio (%) 72.86 100.00

Downside Capture Ratio (%) 56.48 100.00

Safe Withdrawal Rate 24.07% 23.84%

Perpetual Withdrawal Rate 8.18% 8.50%

Positive Periods 50 out of 71 (70.42%) 49 out of 71 (69.01%)

Gain/Loss Ratio 0.96 0.86

*iShares Core MSCI All Country World ex Canada Index ETF is used as the benchmark for calculations.
Value-at-risk metrics are based on monthly values.

Drawdowns
0.0%

-5.0%
Drawdown

-10.0%

-15.0%

-20.0%
2016 2017 2018 2019 2020 2021
Year

Portfolio 1 iShares Core MSCI All Country World ex Canada Index ETF

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Drawdowns for Historical Market Stress Periods

iShares Core MSCI All Country World ex Canada Index
Stress Period Start End Portfolio 1 ETF

COVID-19 Jan Mar -13.61% -16.07%

Start 2020 2020

Drawdowns for Portfolio 1

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown

1 Feb 2020 Mar 2020 2 months Jul 2020 4 months 6 months -13.61%

2 Feb 2018 Dec 2018 11 months Apr 2019 4 months 1 year 3 months -9.76%

3 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -4.50%

4 Jan 2016 Feb 2016 2 months Mar 2016 1 month 3 months -3.79%

5 May 2019 May 2019 1 month Jun 2019 1 month 2 months -3.63%

6 Sep 2021 Sep 2021 1 month Oct 2021 1 month 2 months -3.37%

7 Oct 2016 Nov 2016 2 months Jan 2017 2 months 4 months -3.00%

8 Nov 2021 Nov 2021 1 month -1.51%

9 Jan 2021 Jan 2021 1 month Feb 2021 1 month 2 months -0.62%

10 Jun 2017 Jun 2017 1 month Jul 2017 1 month 2 months -0.29%

Worst 10 drawdowns included above

Drawdowns for iShares Core MSCI All Country World ex Canada Index ETF
Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown

1 Feb 2020 Mar 2020 2 months Aug 2020 5 months 7 months -16.07%

2 Sep 2018 Dec 2018 4 months Apr 2019 4 months 8 months -9.19%

3 Jan 2016 Feb 2016 2 months Sep 2016 7 months 9 months -8.50%

4 May 2019 May 2019 1 month Oct 2019 5 months 6 months -5.34%

5 Jun 2017 Jul 2017 2 months Oct 2017 3 months 5 months -4.56%

6 Sep 2021 Sep 2021 1 month -3.77%

7 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -2.98%

8 Dec 2017 Dec 2017 1 month Jan 2018 1 month 2 months -1.16%

9 Feb 2018 Mar 2018 2 months May 2018 2 months 4 months -1.02%

10 Jan 2017 Jan 2017 1 month Feb 2017 1 month 2 months -0.37%

Worst 10 drawdowns included above

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12/17/21, 8:42 PM Backtest Portfolio Asset Class Allocation

Portfolio Assets
Best Worst Max. Sharpe Sortino US Mkt
Name CAGR Stdev Year Year Drawdown Ratio Ratio Correlation

US Large Cap 21.28% 16.05% 40.01% -3.46% -16.34% 1.23 2.18 0.95
Growth

European Stocks 7.69% 16.47% 26.82% -14.86% -25.69% 0.47 0.70 0.85

Pacific Stocks 7.75% 13.64% 28.39% -13.98% -23.67% 0.54 0.83 0.84

Emerging Markets 9.41% 16.41% 31.15% -14.71% -28.72% 0.57 0.87 0.74

Global Bonds (USD 3.86% 2.88% 7.31% -0.92% -3.95% 0.99 1.49 0.47
Hedged)

Corporate Bonds 5.84% 6.30% 17.37% -3.79% -6.31% 0.78 1.28 0.45

High Yield Corporate 6.29% 6.34% 15.79% -2.96% -10.68% 0.84 1.20 0.75
Bonds

Short Term Treasury 1.62% 1.20% 3.96% -0.64% -1.15% 0.58 1.08 -0.40

Cash 0.96% 0.25% 2.13% 0.04% 0.00% N/A N/A -0.19

Gold 8.62% 14.23% 24.81% -7.21% -15.02% 0.59 1.05 0.03

Portfolio Asset Performance

Total Return Annualized Return

Name 3 Month Year To Date 1 year 3 year 5 year

US Large Cap Growth 3.03% 24.92% 30.18% 29.88% 24.46%

European Stocks -5.72% 9.78% 15.76% 11.33% 10.36%

Pacific Stocks -5.89% -2.02% 4.36% 8.11% 8.05%

Emerging Markets -5.44% -1.22% 4.59% 9.83% 8.80%

Global Bonds (USD Hedged) -1.05% -0.92% -0.03% 4.35% 3.50%

Corporate Bonds -1.10% -1.81% -1.66% 9.21% 5.84%

High Yield Corporate Bonds -1.33% 1.95% 3.18% 6.74% 5.53%

Short Term Treasury -0.54% -0.64% -0.56% 2.58% 1.72%

Cash 0.01% 0.04% 0.05% 0.93% 1.08%

Gold -2.47% -7.21% -0.70% 12.73% 8.17%

Trailing returns as of last calendar month ending November 2021

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Monthly Correlations

US Global High
Large Bonds Yield Short
Cap European Pacific Emerging (USD Corporate Corporate Term
Name Growth Stocks Stocks Markets Hedged) Bonds Bonds Treasury Cash G

US Large 1.00 0.79 0.77 0.69 0.47 0.50 0.70 -0.28 -0.17 0
Cap
Growth

European 0.79 1.00 0.88 0.77 0.51 0.50 0.75 -0.33 -0.18 0
Stocks

Pacific 0.77 0.88 1.00 0.83 0.50 0.41 0.70 -0.33 -0.20 0
Stocks

Emerging 0.69 0.77 0.83 1.00 0.61 0.54 0.75 -0.24 -0.19 0
Markets

Global 0.47 0.51 0.50 0.61 1.00 0.79 0.77 0.15 -0.08 0
Bonds
(USD
Hedged)

Corporate 0.50 0.50 0.41 0.54 0.79 1.00 0.71 0.31 0.05 0
Bonds

High 0.70 0.75 0.70 0.75 0.77 0.71 1.00 -0.22 -0.11 0
Yield
Corporate
Bonds

Short -0.28 -0.33 -0.33 -0.24 0.15 0.31 -0.22 1.00 0.31 0
Term
Treasury

Cash -0.17 -0.18 -0.20 -0.19 -0.08 0.05 -0.11 0.31 1.00 0

Gold 0.10 0.09 0.02 0.24 0.44 0.46 0.22 0.45 0.01 1

Portfolio Return Decomposition

Name Portfolio 1

US Large Cap Growth $4,641

European Stocks $1,549

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Pacific Stocks $115

Emerging Markets $412

Global Bonds (USD Hedged) $403

Corporate Bonds $209

High Yield Corporate Bonds $440

Short Term Treasury $59.23

Cash $16.89

Gold $158

Portfolio Risk Decomposition

Name Portfolio 1

US Large Cap Growth 40.51%

European Stocks 38.62%

Pacific Stocks 2.39%

Emerging Markets 8.18%

Global Bonds (USD Hedged) 2.64%

Corporate Bonds 1.90%

High Yield Corporate Bonds 5.23%

Short Term Treasury -0.16%

Cash -0.01%

Gold 0.69%

Annual Asset Returns

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