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 Analysis Results (Sep 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PSPAX PIMCO StocksPLUS A 50.00%
GLD SPDR Gold Shares 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
GLD SPDR Gold Shares 40.00%
NTSX WisdomTree 90/60 US Balanced 60.00%
Save portfolio »
Portfolio 3
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
Portfolio 1$10,000$12,058 15.07% 9.59%24.94%-3.49%-3.49% 1.293.150.79
Portfolio 2$10,000$12,136 15.62% 9.27%26.43%-4.01%-4.01% 1.393.380.81
Portfolio 3$10,000$11,415 10.44% 16.34%31.22%-13.01%-13.52% 0.560.791.00
Vanguard Balanced Index Inv$10,000$11,165 8.62% 10.09%21.67%-8.23%-8.23% 0.660.970.99
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 16.06%24.94%15.07%
Portfolio 25.45%26.43%15.62%
Portfolio 38.99%31.22%10.44%
Vanguard Balanced Index Inv5.36%21.67%8.62%
Trailing returns are for full months ending in December 2019 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.
  • The annual results for 2018 are based on monthly returns from September to December
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalancePIMCO StocksPLUS A (PSPAX)SPDR Gold Shares (GLD)WisdomTree 90/60 US Balanced (NTSX)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index InvPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Inv
2018-0.36%-3.49%-4.01%-13.01%-8.23%$9,651$9,599$8,699$9,177-13.81%6.82%-11.24%-13.01%
20192.29%24.94%26.43%31.22%21.67%$12,058$12,136$11,415$11,16532.03%17.86%32.15%31.22%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO StocksPLUS A (PSPAX)SPDR Gold Shares (GLD)WisdomTree 90/60 US Balanced (NTSX)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index InvPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Inv
20189-0.03%-0.33%0.59%-0.13%$9,997$9,967$10,059$9,9870.60%-0.66%-0.12%0.59%
201810-2.45%-2.73%-6.91%-4.76%$9,752$9,694$9,364$9,511-6.96%2.12%-5.95%-6.91%
2018110.94%1.01%1.85%1.48%$9,844$9,792$9,538$9,6521.59%0.34%1.49%1.85%
201812-1.96%-1.98%-8.79%-4.93%$9,651$9,599$8,699$9,177-9.35%4.94%-6.90%-8.79%
201915.62%5.87%8.01%5.55%$10,193$10,162$9,396$9,6868.35%2.89%7.86%8.01%
201921.37%1.28%3.24%2.10%$10,332$10,292$9,700$9,8893.24%-0.61%2.48%3.24%
201930.37%1.16%1.81%1.65%$10,371$10,412$9,876$10,0522.17%-1.60%2.86%1.81%
201941.86%1.92%4.09%2.39%$10,563$10,612$10,279$10,2924.08%-0.66%3.45%4.09%
20195-2.67%-2.09%-6.38%-3.21%$10,281$10,390$9,624$9,962-6.39%1.76%-4.27%-6.38%
201967.58%7.15%6.96%4.63%$11,060$11,132$10,293$10,4247.18%8.00%6.63%6.96%
201970.71%0.83%1.51%0.97%$11,139$11,224$10,449$10,5251.36%0.01%1.33%1.51%
201982.84%3.22%-1.67%-0.11%$11,456$11,586$10,274$10,514-1.76%7.91%0.40%-1.67%
20199-0.76%-0.67%1.95%0.80%$11,369$11,508$10,474$10,5971.88%-3.39%1.09%1.95%
2019102.33%2.00%2.21%1.39%$11,634$11,738$10,706$10,7442.12%2.56%1.65%2.21%
2019110.24%0.66%3.62%2.24%$11,663$11,815$11,093$10,9853.52%-3.21%3.07%3.62%
2019123.39%2.71%2.90%1.64%$12,058$12,136$11,415$11,1653.15%3.66%2.16%2.90%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
PSPAXPIMCO StocksPLUS ALarge Blend50.00%0.96%$85570.19%
GLDSPDR Gold SharesCommodities Focused50.00%0.40%$1,20329.81%
100.00%0.68%$2,058100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
GLDSPDR Gold SharesCommodities Focused40.00%0.40%$95823.08%
NTSXWisdomTree 90/60 US BalancedLarge Blend60.00%0.20%26.00$1,17776.92%
100.00%0.28%26.00$2,136100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%0.09%25.89$1,415100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (c) 2020 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
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Inv
Arithmetic Mean (monthly)1.21%1.25%0.94%0.73%
Arithmetic Mean (annualized)15.54%16.07%11.84%9.14%
Geometric Mean (monthly)1.18%1.22%0.83%0.69%
Geometric Mean (annualized)15.07%15.62%10.44%8.62%
Volatility (monthly)2.77%2.68%4.72%2.91%
Volatility (annualized)9.59%9.27%16.34%10.09%
Downside Deviation (monthly)1.05%1.01%3.25%1.89%
Max. Drawdown-3.49%-4.01%-13.52%-8.23%
US Market Correlation0.790.811.000.99
Beta(*)0.790.781.601.00
Alpha (annualized)7.61%8.11%-2.81%0.00%
R269.01%72.99%97.77%100.00%
Sharpe Ratio1.291.390.560.66
Sortino Ratio3.153.380.790.97
Treynor Ratio (%)15.7116.395.696.64
Active Return6.45%7.01%1.82%N/A
Tracking Error5.74%5.28%6.54%N/A
Information Ratio1.121.330.28N/A
Skewness0.750.68-0.85-0.70
Excess Kurtosis0.660.550.250.40
Historical Value-at-Risk (5%)-2.67%-2.73%-8.79%-4.93%
Analytical Value-at-Risk (5%)-3.20%-3.04%-6.82%-4.06%
Conditional Value-at-Risk (5%)N/AN/AN/AN/A
Upside Capture Ratio (%)93.9995.28160.29100.00
Downside Capture Ratio (%)33.8331.13172.22100.00
Safe Withdrawal Rate53.26%53.25%49.06%50.03%
Perpetual Withdrawal Rate8.07%8.36%5.51%4.46%
Positive Periods11 out of 16 (68.75%)11 out of 16 (68.75%)12 out of 16 (75.00%)11 out of 16 (68.75%)
Gain/Loss Ratio1.571.620.540.86
* Vanguard Balanced Index Inv 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
1Sep 2018Dec 20184 monthsJan 20191 month5 months-3.49%
2May 2019May 20191 monthJun 20191 month2 months-2.67%
3Sep 2019Sep 20191 monthOct 20191 month2 months-0.76%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsJan 20191 month5 months-4.01%
2May 2019May 20191 monthJun 20191 month2 months-2.09%
3Sep 2019Sep 20191 monthOct 20191 month2 months-0.67%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
2May 2019May 20191 monthJun 20191 month2 months-6.38%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
2May 2019May 20191 monthJun 20191 month2 months-3.21%
3Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSPAXPIMCO StocksPLUS A10.18%16.84%32.03%-13.81%-14.32%0.530.751.00
GLDSPDR Gold Shares18.85%11.88%17.86%6.82%-4.10%1.343.40-0.15
NTSXWisdomTree 90/60 US Balanced12.71%13.76%32.15%-11.24%-11.24%0.781.200.98
SPYSPDR S&P 500 ETF Trust10.44%16.34%31.22%-13.01%-13.52%0.560.791.00

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSPAXGLDNTSXSPYPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Inv
PSPAXPIMCO StocksPLUS A1.00-0.140.991.000.800.811.000.99
GLDSPDR Gold Shares-0.141.00-0.05-0.150.480.45-0.15-0.07
NTSXWisdomTree 90/60 US Balanced0.99-0.051.000.980.840.870.981.00
SPYSPDR S&P 500 ETF Trust1.00-0.150.981.000.800.811.000.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PSPAXPIMCO StocksPLUS A$855
GLDSPDR Gold Shares$1,203$958
NTSXWisdomTree 90/60 US Balanced$1,177
SPYSPDR S&P 500 ETF Trust$1,415

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PSPAXPIMCO StocksPLUS A70.19%
GLDSPDR Gold Shares29.81%23.08%
NTSXWisdomTree 90/60 US Balanced76.92%
SPYSPDR S&P 500 ETF Trust100.00%

Annual Asset Returns