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 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 37.00%
GLD SPDR Gold Shares 32.00%
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 40.00%
VGTSX Vanguard Total Intl Stock Index Inv 20.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
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$16,311 17.71% 12.57%30.12%-4.96%-11.35% 1.272.570.86
Portfolio 2$10,000$13,885 11.56% 10.60%20.22%-7.07%-11.49% 0.981.530.98
Portfolio 3$10,000$16,428 17.99% 18.35%31.22%-13.01%-19.43% 0.931.451.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 yearFull3 year
Portfolio 12.41%6.66%13.37%17.71%17.71%12.57%
Portfolio 23.99%10.36%17.25%11.56%11.56%10.60%
Portfolio 37.86%21.57%31.21%17.99%17.99%18.35%
Trailing annualized return and volatility are for full months ending in August 2021 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
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 2Portfolio 3WisdomTree 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)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
2018-0.36%-4.96%$9,504-7.07%$9,293-13.01%$8,699-11.24%6.82%-6.68%-11.38%-13.88%-6.43%-13.01%-11.43%1.04%
20192.29%23.67%$11,75320.22%$11,17131.22%$11,41532.15%17.86%18.28%19.04%20.60%20.92%31.22%21.43%8.61%
20201.36%30.12%$15,29312.63%$12,58218.37%$13,51324.85%24.81%38.88%29.71%68.33%33.74%18.37%11.16%7.61%
20215.03%6.66%$16,31110.36%$13,88521.57%$16,42818.24%-4.86%7.22%7.57%0.26%1.90%21.57%10.16%-0.75%
Annual return for 2018 is from 09/01/2018 to 12/31/2018 and annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3WisdomTree 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)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
20189-0.28%$9,9720.08%$10,0080.59%$10,059-0.12%-0.66%-0.85%1.41%1.56%-3.16%0.59%0.30%-0.54%
201810-4.15%$9,558-4.74%$9,533-6.91%$9,364-5.95%2.12%-8.03%-8.03%-9.66%-8.15%-6.91%-8.35%-0.73%
2018111.08%$9,6621.19%$9,6471.85%$9,5381.49%0.34%2.88%-0.51%-1.26%5.51%1.85%1.26%0.53%
201812-1.63%$9,504-3.67%$9,293-8.79%$8,699-6.90%4.94%-0.53%-4.50%-4.93%-0.30%-8.79%-4.85%1.80%
201915.79%$10,0545.12%$9,7688.01%$9,3967.86%2.89%5.01%6.73%8.21%5.45%8.01%7.58%1.01%
201921.48%$10,2031.66%$9,9313.24%$9,7002.48%-0.61%2.86%2.25%2.63%1.44%3.24%1.72%-0.06%
201931.45%$10,3521.64%$10,0941.81%$9,8762.86%-1.60%4.30%2.92%-0.49%3.84%1.81%0.72%1.96%
201941.68%$10,5262.28%$10,3244.09%$10,2793.45%-0.66%1.70%0.31%2.70%2.74%4.09%2.76%0.04%
20195-2.24%$10,290-3.17%$9,997-6.38%$9,624-4.27%1.76%-5.25%-3.18%-2.81%-1.49%-6.38%-5.55%1.83%
201966.40%$10,9484.47%$10,4446.96%$10,2936.63%8.00%4.28%5.63%2.71%5.64%6.96%5.83%1.15%
201970.29%$10,9800.34%$10,4801.51%$10,4491.33%0.01%0.56%-1.19%-1.20%-1.35%1.51%-1.89%0.23%
201981.85%$11,183-0.13%$10,467-1.67%$10,2740.40%7.91%-3.36%-2.29%-1.52%-1.83%-1.67%-2.35%2.78%
20199-0.74%$11,1001.11%$10,5831.95%$10,4741.09%-3.39%0.75%-0.53%-0.43%-0.85%1.95%2.72%-0.60%
2019101.99%$11,3211.68%$10,7602.21%$10,7061.65%2.56%0.99%1.86%3.28%1.33%2.21%3.38%0.21%
2019110.77%$11,4081.74%$10,9473.62%$11,0933.07%-3.21%1.38%3.35%3.35%-0.62%3.62%1.11%-0.06%
2019123.02%$11,7532.05%$11,1712.90%$11,4152.16%3.66%4.22%2.19%2.93%5.30%2.90%4.27%-0.15%
202011.88%$11,9740.17%$11,190-0.04%$11,4112.03%4.50%-1.10%0.25%0.51%-4.56%-0.04%-3.30%2.11%
20202-4.62%$11,420-3.76%$10,769-7.92%$10,507-6.55%-0.64%-4.53%-7.93%-10.30%-3.13%-7.92%-6.72%1.71%
20203-7.05%$10,615-8.03%$9,905-12.46%$9,198-8.64%-0.22%-15.83%-8.39%-15.81%-12.44%-12.46%-16.11%-0.59%
2020410.56%$11,7366.79%$10,57712.70%$10,36611.76%7.26%14.75%10.14%19.60%9.69%12.70%8.09%1.69%
202055.36%$12,3652.90%$10,8834.76%$10,8605.04%2.59%9.75%8.00%15.83%2.61%4.76%4.80%0.54%
202063.27%$12,7691.74%$11,0731.78%$11,0521.34%2.74%7.00%3.77%6.89%8.44%1.78%4.24%0.70%
202078.38%$13,8393.71%$11,4835.89%$11,7036.08%10.79%3.60%5.94%13.94%12.17%5.89%4.10%1.55%
202083.97%$14,3883.13%$11,8436.98%$12,5206.26%-0.32%5.11%3.43%11.22%6.06%6.98%4.31%-1.02%
20209-2.66%$14,006-1.88%$11,621-3.74%$12,052-3.17%-4.17%1.28%0.22%-1.95%-1.65%-3.74%-1.96%0.08%
202010-1.08%$13,854-1.67%$11,427-2.49%$11,752-3.22%-0.52%-0.87%-2.65%4.17%3.17%-2.49%-2.21%-0.61%
2020114.57%$14,4877.19%$12,24910.88%$13,03010.43%-5.41%7.66%11.98%9.06%5.01%10.88%12.93%1.11%
2020125.57%$15,2932.72%$12,5823.71%$13,5133.29%7.01%10.19%3.82%6.10%6.78%3.71%5.82%0.15%
20211-1.69%$15,035-0.75%$12,488-1.02%$13,375-1.42%-3.22%-1.20%0.00%-1.24%1.06%-1.02%-0.10%-0.80%
20212-1.53%$14,8060.97%$12,6092.78%$13,7470.61%-6.26%0.93%0.07%1.11%0.83%2.78%2.32%-1.51%
202130.34%$14,8561.65%$12,8184.54%$14,3713.09%-1.14%-1.44%0.20%-2.34%-3.18%4.54%1.69%-1.38%
202144.25%$15,4883.14%$13,2205.29%$15,1324.93%3.56%4.32%3.03%7.63%1.13%5.29%2.78%0.95%
202152.84%$15,9281.01%$13,3530.66%$15,2310.74%7.68%0.45%1.38%-1.49%4.04%0.66%3.14%0.24%
20216-0.90%$15,7841.14%$13,5062.25%$15,5733.21%-7.15%2.39%-0.60%-1.55%0.16%2.25%-0.46%0.77%
202171.74%$16,0581.23%$13,6722.44%$15,9533.25%2.53%-0.54%0.35%0.47%-5.06%2.44%-1.28%1.21%
202181.58%$16,3111.56%$13,8852.98%$16,4282.67%-0.08%2.24%2.97%-1.96%3.23%2.98%1.73%-0.20%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.60%16.64%45.55%
Large-cap Growth42.99%22.68%54.45%
Mid-cap Value0.00%1.78%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%13.21%0.00%
Emerging Markets15.16%5.51%0.00%
Corporate Bonds29.33%13.08%0.00%
Long-Term Treasuries0.00%3.33%0.00%
Intermediate-Term Treasuries11.92%2.98%0.00%
Short-Term Treasuries0.00%20.78%0.00%
R Squared84.02%99.90%99.96%
Style analysis is based on monthly returns from September 2018 to August 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend37.00%0.87%0.20%25.78$2,82840.58%
GLDSPDR Gold SharesCommodities Focused32.00%0.40%$1,45720.61%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts9.00%1.09%1.62%21.25$60710.97%
JOHIXJOHCM International Select InstitutionalForeign Large Growth9.00%0.31%0.98%25.66$4799.62%
WIGTXSeven Canyons World Innovators InstlForeign Small/Mid Growth7.00%1.56%40.58$60511.75%
GQGPXGQG Partners Emerging Markets Equity InvDiversified Emerging Mkts6.00%0.15%1.18%18.45$3366.46%
100.00%0.46%0.62%26.04$6,311100.00%

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/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.23%0.09%25.30$2,54766.45%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend20.00%2.34%0.17%15.90$67531.70%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.83%0.15%6.79$6641.85%
100.00%1.69%0.13%22.176.79$3,885100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.23%0.09%25.30$6,428100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (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 2Portfolio 3
Arithmetic Mean (monthly)1.43%0.96%1.53%
Arithmetic Mean (annualized)18.59%12.17%19.93%
Geometric Mean (monthly)1.37%0.92%1.39%
Geometric Mean (annualized)17.71%11.56%17.99%
Volatility (monthly)3.63%3.06%5.30%
Volatility (annualized)12.57%10.60%18.35%
Downside Deviation (monthly)1.75%1.91%3.37%
Max. Drawdown-11.35%-11.49%-19.43%
US Market Correlation0.860.981.00
Beta(*)0.560.540.95
Alpha (annualized)7.00%1.66%1.00%
R273.19%96.98%99.39%
Sharpe Ratio1.270.980.93
Sortino Ratio2.571.531.45
Treynor Ratio (%)28.9319.3518.21
Calmar Ratio1.561.010.93
Active Return-0.06%-6.21%0.22%
Tracking Error10.79%9.11%1.78%
Information Ratio-0.01-0.680.12
Skewness0.16-0.66-0.61
Excess Kurtosis0.501.440.83
Historical Value-at-Risk (5%)-4.27%-4.01%-8.14%
Analytical Value-at-Risk (5%)-4.54%-4.12%-7.19%
Conditional Value-at-Risk (5%)-5.84%-6.39%-10.63%
Upside Capture Ratio (%)63.7554.0398.21
Downside Capture Ratio (%)41.6753.0996.49
Safe Withdrawal Rate38.60%35.64%35.68%
Perpetual Withdrawal Rate12.71%7.89%12.92%
Positive Periods24 out of 36 (66.67%)27 out of 36 (75.00%)26 out of 36 (72.22%)
Gain/Loss Ratio1.400.750.80
* US stock market 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 2Portfolio 3
COVID-19 StartJan 2020Mar 2020-11.35%-11.49%-19.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-11.35%
2Sep 2018Dec 20184 monthsJan 20191 month5 months-4.96%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-3.71%
4Jan 2021Feb 20212 monthsApr 20212 months4 months-3.19%
5May 2019May 20191 monthJun 20191 month2 months-2.24%
6Jun 2021Jun 20211 monthJul 20211 month2 months-0.90%
7Sep 2019Sep 20191 monthOct 20191 month2 months-0.74%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-11.49%
2Oct 2018Dec 20183 monthsMar 20193 months6 months-7.15%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-3.51%
4May 2019May 20191 monthJun 20191 month2 months-3.17%
5Jan 2021Jan 20211 monthFeb 20211 month2 months-0.75%
6Aug 2019Aug 20191 monthSep 20191 month2 months-0.13%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
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%
6Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund20.08%15.79%32.15%-11.24%-14.63%1.172.020.98
GLDSPDR Gold Shares14.34%14.82%24.81%-4.86%-13.74%0.911.740.08
VIESXVirtus KAR Emerging Markets Small-Cap I18.02%18.47%38.88%-6.68%-20.54%0.931.510.85
JOHIXJOHCM International Select Institutional13.75%15.62%29.71%-11.38%-15.66%0.831.420.92
WIGTXSeven Canyons World Innovators Instl20.57%24.21%68.33%-13.88%-24.48%0.841.560.84
GQGPXGQG Partners Emerging Markets Equity Inv15.53%17.16%33.74%-6.43%-19.04%0.861.440.72
SPYSPDR S&P 500 ETF Trust17.99%18.35%31.22%-13.01%-19.43%0.931.451.00
VGTSXVanguard Total Intl Stock Index Inv9.61%17.99%21.43%-11.43%-24.33%0.540.770.93
VBMFXVanguard Total Bond Market Index Inv5.43%3.67%8.61%-0.75%-3.94%1.182.470.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVIESXJOHIXWIGTXGQGPXSPYVGTSXVBMFXPortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund1.000.160.810.920.830.670.980.880.150.890.980.98
GLDSPDR Gold Shares0.161.000.180.160.290.330.100.110.490.560.160.10
VIESXVirtus KAR Emerging Markets Small-Cap I0.810.181.000.870.860.830.830.880.170.840.870.83
JOHIXJOHCM International Select Institutional0.920.160.871.000.870.740.910.910.140.870.930.91
WIGTXSeven Canyons World Innovators Instl0.830.290.860.871.000.770.830.810.140.890.840.83
GQGPXGQG Partners Emerging Markets Equity Inv0.670.330.830.740.771.000.700.800.170.800.750.70
SPYSPDR S&P 500 ETF Trust0.980.100.830.910.830.701.000.920.010.860.981.00
VGTSXVanguard Total Intl Stock Index Inv0.880.110.880.910.810.800.921.000.020.830.960.92
VBMFXVanguard Total Bond Market Index Inv0.150.490.170.140.140.170.010.021.000.320.140.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund$2,828
GLDSPDR Gold Shares$1,457
VIESXVirtus KAR Emerging Markets Small-Cap I$607
JOHIXJOHCM International Select Institutional$479
WIGTXSeven Canyons World Innovators Instl$605
GQGPXGQG Partners Emerging Markets Equity Inv$336
SPYSPDR S&P 500 ETF Trust$2,547$6,428
VGTSXVanguard Total Intl Stock Index Inv$675
VBMFXVanguard Total Bond Market Index Inv$664

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund40.58%
GLDSPDR Gold Shares20.61%
VIESXVirtus KAR Emerging Markets Small-Cap I10.97%
JOHIXJOHCM International Select Institutional9.62%
WIGTXSeven Canyons World Innovators Instl11.75%
GQGPXGQG Partners Emerging Markets Equity Inv6.46%
SPYSPDR S&P 500 ETF Trust66.45%100.00%
VGTSXVanguard Total Intl Stock Index Inv31.70%
VBMFXVanguard Total Bond Market Index Inv1.85%

Annual Asset Returns