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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Asset 3
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Portfolio Analysis Results (Sep 2018 - Jul 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 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,139 11.39% 11.02%15.42%-3.49%-3.49% 0.922.170.89
Portfolio 2$10,000$11,224 12.24% 10.76%16.94%-4.01%-4.01% 1.022.420.91
Portfolio 3$10,000$10,449 4.49% 19.34%20.11%-13.01%-13.52% 0.220.311.00
Vanguard Balanced Index Inv$10,000$10,525 5.25% 12.12%14.69%-8.23%-8.23% 0.330.490.99
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2018 are based on full calendar months from September to December
  • The annual results for 2019 are based on full calendar months from January to July
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • 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 (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%
20192.12%15.42%16.94%20.11%14.69%$11,139$11,224$10,449$10,52520.98%9.86%21.66%20.11%
Annual returns for 2018 and 2019 are based on partial years
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 (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%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
PSPAXPIMCO StocksPLUS ALarge Blend0.98%50.00%$32281.12%
GLDSPDR Gold SharesCommodities Precious Metals0.40%50.00%$81718.88%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
GLDSPDR Gold SharesCommodities Precious Metals0.40%40.00%$65113.87%
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%60.00%$57386.13%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$449100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 08/05/2019. © 2019 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)1.03%1.10%0.54%0.52%
Arithmetic Mean (annualized)13.08%14.01%6.72%6.45%
Geometric Mean (monthly)0.99%1.06%0.40%0.47%
Geometric Mean (annualized)12.48%13.43%4.91%5.74%
Volatility (monthly)3.18%3.11%5.58%3.50%
Volatility (annualized)11.02%10.76%19.34%12.12%
Downside Deviation (monthly)1.24%1.20%3.88%2.28%
Max. Drawdown-3.49%-4.01%-13.52%-8.23%
US Market Correlation0.890.911.000.99
Beta(*)0.820.821.581.00
Alpha (annualized)7.23%8.05%-3.39%0.00%
R281.16%85.20%98.54%100.00%
Sharpe Ratio0.921.020.220.33
Sortino Ratio2.172.420.310.49
Treynor Ratio (%)12.3413.332.704.01
Active Return6.74%7.69%-0.83%N/A
Tracking Error5.26%4.68%7.45%N/A
Information Ratio1.281.64-0.11N/A
Skewness0.980.86-0.57-0.43
Excess Kurtosis0.670.30-0.77-0.75
Historical Value-at-Risk (5%)-2.67%-2.73%-8.79%-4.93%
Analytical Value-at-Risk (5%)-3.94%-3.78%-8.64%-5.24%
Conditional Value-at-Risk (5%)N/AN/AN/AN/A
Upside Capture Ratio (%)97.26101.92152.09100.00
Downside Capture Ratio (%)55.8255.91160.00100.00
Safe Withdrawal RateN/AN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/AN/A
Positive Periods7 out of 11 (63.64%)7 out of 11 (63.64%)8 out of 11 (72.73%)7 out of 11 (63.64%)
Gain/Loss Ratio1.481.540.480.82
* 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%

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%

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%

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%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSPAXPIMCO StocksPLUS A4.27%19.95%20.98%-13.81%-14.32%0.210.291.00
GLDSPDR Gold Shares17.36%10.01%9.86%6.82%-2.85%1.586.58-0.04
NTSXWisdomTree 90/60 US Balanced7.99%16.61%21.66%-11.24%-11.24%0.450.680.99
SPYSPDR S&P 500 ETF4.49%19.34%20.11%-13.01%-13.52%0.220.311.00

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSPAXGLDNTSXSPYPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Inv
PSPAXPIMCO StocksPLUS A--0.040.991.000.890.901.000.99
GLDSPDR Gold Shares-0.04-0.00-0.040.410.37-0.04-0.01
NTSXWisdomTree 90/60 US Balanced0.990.00-0.990.900.930.991.00
SPYSPDR S&P 500 ETF1.00-0.040.99-0.890.901.000.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PSPAXPIMCO StocksPLUS A$322
GLDSPDR Gold Shares$817$651
NTSXWisdomTree 90/60 US Balanced$573
SPYSPDR S&P 500 ETF$449

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PSPAXPIMCO StocksPLUS A81.12%
GLDSPDR Gold Shares18.88%13.87%
NTSXWisdomTree 90/60 US Balanced86.13%
SPYSPDR S&P 500 ETF100.00%

Annual Asset Returns