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 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 35.00%
GLD SPDR Gold Shares 34.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 9.00%
JOHIX JOHCM International Select Institutional 9.00%
WIGTX Seven Canyons World Innovators Instl 7.00%
GQGPX GQG Partners Emerging Markets Equity Inv 6.00%
Save portfolio »
Portfolio 2
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$15,316 20.05% 13.57%30.12%-4.60%-11.07% 1.312.670.89
Portfolio 2$10,000$13,513 13.77% 20.49%31.22%-13.01%-19.43% 0.661.011.00
Vanguard Balanced Index Inv$10,000$12,981 11.83% 13.15%21.67%-8.23%-12.34% 0.811.280.99
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 18.99%30.12%20.05%
Portfolio 212.12%18.37%13.77%
Vanguard Balanced Index Inv8.94%16.26%11.83%
Trailing annualized returns are for full months ending in December 2020 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
YearInflationPortfolio 1Portfolio 2Vanguard Balanced Index InvWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Seven Canyons World Innovators Instl (WIGTX)GQG Partners Emerging Markets Equity Inv (GQGPX)SPDR S&P 500 ETF Trust (SPY)
ReturnBalanceReturnBalanceReturnBalance
2018-0.36%-4.60%$9,540-13.01%$8,699-8.23%$9,177-11.24%6.82%-6.68%-11.38%-13.88%-6.43%-13.01%
20192.29%23.38%$11,77131.22%$11,41521.67%$11,16532.15%17.86%18.28%19.04%20.60%20.92%31.22%
20201.36%30.12%$15,31618.37%$13,51316.26%$12,98124.85%24.81%38.88%29.71%68.33%33.74%18.37%
Annual return for 2018 is from 09/01/2018 to 12/31/2018
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Balanced Index InvWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Seven Canyons World Innovators Instl (WIGTX)GQG Partners Emerging Markets Equity Inv (GQGPX)SPDR S&P 500 ETF Trust (SPY)
ReturnBalanceReturnBalanceReturnBalance
20189-0.29%$9,9710.59%$10,059-0.13%$9,987-0.12%-0.66%-0.85%1.41%1.56%-3.16%0.59%
201810-3.99%$9,573-6.91%$9,364-4.76%$9,511-5.95%2.12%-8.03%-8.03%-9.66%-8.15%-6.91%
2018111.06%$9,6741.85%$9,5381.48%$9,6521.49%0.34%2.88%-0.51%-1.26%5.51%1.85%
201812-1.39%$9,540-8.79%$8,699-4.93%$9,177-6.90%4.94%-0.53%-4.50%-4.93%-0.30%-8.79%
201915.69%$10,0838.01%$9,3965.55%$9,6867.86%2.89%5.01%6.73%8.21%5.45%8.01%
201921.42%$10,2263.24%$9,7002.10%$9,8892.48%-0.61%2.86%2.25%2.63%1.44%3.24%
201931.37%$10,3661.81%$9,8761.65%$10,0522.86%-1.60%4.30%2.92%-0.49%3.84%1.81%
201941.60%$10,5324.09%$10,2792.39%$10,2923.45%-0.66%1.70%0.31%2.70%2.74%4.09%
20195-2.13%$10,308-6.38%$9,624-3.21%$9,962-4.27%1.76%-5.25%-3.18%-2.81%-1.49%-6.38%
201966.42%$10,9706.96%$10,2934.63%$10,4246.63%8.00%4.28%5.63%2.71%5.64%6.96%
201970.26%$10,9991.51%$10,4490.97%$10,5251.33%0.01%0.56%-1.19%-1.20%-1.35%1.51%
201981.99%$11,219-1.67%$10,274-0.11%$10,5140.40%7.91%-3.36%-2.29%-1.52%-1.83%-1.67%
20199-0.83%$11,1251.95%$10,4740.80%$10,5971.09%-3.39%0.75%-0.53%-0.43%-0.85%1.95%
2019102.00%$11,3492.21%$10,7061.39%$10,7441.65%2.56%0.99%1.86%3.28%1.33%2.21%
2019110.65%$11,4223.62%$11,0932.24%$10,9853.07%-3.21%1.38%3.35%3.35%-0.62%3.62%
2019123.05%$11,7712.90%$11,4151.64%$11,1652.16%3.66%4.22%2.19%2.93%5.30%2.90%
202011.92%$11,997-0.04%$11,4110.82%$11,2562.03%4.50%-1.10%0.25%0.51%-4.56%-0.04%
20202-4.50%$11,457-7.92%$10,507-4.22%$10,781-6.55%-0.64%-4.53%-7.93%-10.30%-3.13%-7.92%
20203-6.88%$10,669-12.46%$9,198-8.48%$9,867-8.64%-0.22%-15.83%-8.39%-15.81%-12.44%-12.46%
2020410.46%$11,78612.70%$10,3668.55%$10,71011.76%7.26%14.75%10.14%19.60%9.69%12.70%
202055.30%$12,4104.76%$10,8603.45%$11,0805.04%2.59%9.75%8.00%15.83%2.61%4.76%
202063.30%$12,8201.78%$11,0521.73%$11,2721.34%2.74%7.00%3.77%6.89%8.44%1.78%
202078.47%$13,9065.89%$11,7033.99%$11,7216.08%10.79%3.60%5.94%13.94%12.17%5.89%
202083.83%$14,4396.98%$12,5203.86%$12,1736.26%-0.32%5.11%3.43%11.22%6.06%6.98%
20209-2.68%$14,052-3.74%$12,052-2.12%$11,916-3.17%-4.17%1.28%0.22%-1.95%-1.65%-3.74%
202010-1.03%$13,907-2.49%$11,752-1.48%$11,739-3.22%-0.52%-0.87%-2.65%4.17%3.17%-2.49%
2020114.25%$14,49810.88%$13,0307.66%$12,63910.43%-5.41%7.66%11.98%9.06%5.01%10.88%
2020125.64%$15,3163.71%$13,5132.70%$12,9813.29%7.01%10.19%3.82%6.10%6.78%3.71%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend35.00%0.93%0.20%24.49$1,70440.47%
GLDSPDR Gold SharesCommodities Focused34.00%0.40%$1,80418.73%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts9.00%1.15%1.62%21.25$50911.58%
JOHIXJOHCM International Select InstitutionalForeign Large Growth9.00%0.33%0.98%25.66$37610.08%
WIGTXSeven Canyons World Innovators InstlForeign Small/Mid Growth7.00%1.56%40.58$60312.23%
GQGPXGQG Partners Emerging Markets Equity InvDiversified Emerging Mkts6.00%0.16%1.18%18.45$3196.91%
100.00%0.47%0.62%25.36$5,316100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.32%0.09%24.09$3,513100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (c) 2021 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 2Vanguard Balanced Index Inv
Arithmetic Mean (monthly)1.61%1.25%1.01%
Arithmetic Mean (annualized)21.08%16.09%12.76%
Geometric Mean (monthly)1.53%1.08%0.94%
Geometric Mean (annualized)20.05%13.77%11.83%
Volatility (monthly)3.92%5.92%3.80%
Volatility (annualized)13.57%20.49%13.15%
Downside Deviation (monthly)1.88%3.81%2.34%
Max. Drawdown-11.07%-19.43%-12.34%
US Market Correlation0.891.000.99
Beta(*)0.931.551.00
Alpha (annualized)8.00%-3.65%0.00%
R282.15%98.54%100.00%
Sharpe Ratio1.310.660.81
Sortino Ratio2.671.011.28
Treynor Ratio (%)19.128.8010.66
Active Return8.22%1.94%N/A
Tracking Error5.80%7.60%N/A
Information Ratio1.420.26N/A
Skewness0.09-0.44-0.42
Excess Kurtosis0.170.120.56
Historical Value-at-Risk (5%)-4.32%-8.49%-4.87%
Analytical Value-at-Risk (5%)-4.80%-8.48%-5.24%
Conditional Value-at-Risk (5%)-5.69%-10.63%-6.70%
Upside Capture Ratio (%)115.68154.35100.00
Downside Capture Ratio (%)72.15164.21100.00
Safe Withdrawal Rate38.69%35.68%35.79%
Perpetual Withdrawal Rate12.30%8.56%7.33%
Positive Periods19 out of 28 (67.86%)19 out of 28 (67.86%)19 out of 28 (67.86%)
Gain/Loss Ratio1.370.800.93
* Vanguard Balanced Index Inv 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 1Portfolio 2Vanguard Balanced Index Inv
COVID-19 StartJan 2020Mar 2020-11.07%-19.43%-12.34%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-11.07%
2Sep 2018Dec 20184 monthsJan 20191 month5 months-4.60%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-3.68%
4May 2019May 20191 monthJun 20191 month2 months-2.13%
5Sep 2019Sep 20191 monthOct 20191 month2 months-0.83%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3May 2019May 20191 monthJun 20191 month2 months-6.38%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
5Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-3.56%
4May 2019May 20191 monthJun 20191 month2 months-3.21%
5Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund17.76%17.59%32.15%-11.24%-14.63%0.941.600.98
GLDSPDR Gold Shares21.37%13.85%24.81%6.82%-10.12%1.373.310.13
VIESXVirtus KAR Emerging Markets Small-Cap I20.09%20.69%38.88%-6.68%-20.54%0.921.480.87
JOHIXJOHCM International Select Institutional14.39%17.60%29.71%-11.38%-15.66%0.771.300.93
WIGTXSeven Canyons World Innovators Instl27.05%26.70%68.33%-13.88%-24.48%0.971.780.88
GQGPXGQG Partners Emerging Markets Equity Inv19.43%18.65%33.74%-6.43%-19.04%0.971.650.78
SPYSPDR S&P 500 ETF Trust13.77%20.49%31.22%-13.01%-19.43%0.661.011.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVIESXJOHIXWIGTXGQGPXSPYPortfolio 1Portfolio 2Vanguard Balanced Index Inv
NTSXWisdomTree U.S. Efficient Core Fund1.000.190.830.940.860.740.990.910.990.99
GLDSPDR Gold Shares0.191.000.200.140.290.360.140.550.140.18
VIESXVirtus KAR Emerging Markets Small-Cap I0.830.201.000.870.880.850.850.860.850.87
JOHIXJOHCM International Select Institutional0.940.140.871.000.890.760.930.880.930.94
WIGTXSeven Canyons World Innovators Instl0.860.290.880.891.000.820.870.900.870.88
GQGPXGQG Partners Emerging Markets Equity Inv0.740.360.850.760.821.000.770.850.770.79
SPYSPDR S&P 500 ETF Trust0.990.140.850.930.870.771.000.891.000.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
NTSXWisdomTree U.S. Efficient Core Fund$1,704
GLDSPDR Gold Shares$1,804
VIESXVirtus KAR Emerging Markets Small-Cap I$509
JOHIXJOHCM International Select Institutional$376
WIGTXSeven Canyons World Innovators Instl$603
GQGPXGQG Partners Emerging Markets Equity Inv$319
SPYSPDR S&P 500 ETF Trust$3,513

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
NTSXWisdomTree U.S. Efficient Core Fund40.47%
GLDSPDR Gold Shares18.73%
VIESXVirtus KAR Emerging Markets Small-Cap I11.58%
JOHIXJOHCM International Select Institutional10.08%
WIGTXSeven Canyons World Innovators Instl12.23%
GQGPXGQG Partners Emerging Markets Equity Inv6.91%
SPYSPDR S&P 500 ETF Trust100.00%

Annual Asset Returns