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 Assets 
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Portfolio Analysis Results (Nov 1991 - Dec 2021)

Portfolio Allocations

NTSX-SIM
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 90.00%
VFISX Vanguard Short-Term Treasury Inv 20.00%
VFITX Vanguard Interm-Term Treasury Inv 20.00%
VUSTX Vanguard Long-Term Treasury Inv 20.00%
CASHX Cash -50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSX-SIM$10,000$329,279 12.28% 12.86%44.46%-27.63%-42.81% 0.791.230.95
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
NTSX-SIM10.18%23.72%23.72%27.07%18.89%16.47%12.28%14.62%13.10%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 1991 are based on monthly returns from November 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 quarterly 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
YearInflationNTSX-SIM ReturnNTSX-SIM BalanceVanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
19910.36%8.58%$10,8586.94%2.62%4.77%6.28%0.77%
19922.90%9.28%$11,8667.42%6.75%7.78%7.41%3.57%
19932.75%14.42%$13,5779.89%6.41%11.43%16.79%3.05%
19942.67%-3.42%$13,1131.18%-0.57%-4.33%-7.04%4.20%
19952.54%44.46%$18,94437.45%12.11%20.44%30.09%5.71%
19963.32%18.68%$22,48222.88%4.39%1.92%-1.26%5.17%
19971.70%33.28%$29,96533.19%6.51%8.96%13.90%5.22%
19981.61%30.77%$39,18428.62%7.36%10.61%13.05%4.97%
19992.68%14.00%$44,67021.07%1.85%-3.52%-8.66%4.77%
20003.39%-3.18%$43,249-9.06%8.83%14.03%19.72%5.99%
20011.55%-8.16%$39,718-12.02%7.80%7.55%4.31%3.70%
20022.38%-13.48%$34,364-22.15%8.02%14.15%16.67%1.65%
20031.88%26.58%$43,49828.50%2.38%2.37%2.68%1.04%
20043.26%11.52%$48,50910.74%1.03%3.40%7.12%1.32%
20053.42%4.91%$50,8904.77%1.77%2.32%6.61%3.14%
20062.54%13.27%$57,64415.64%3.77%3.14%1.74%4.82%
20074.08%8.17%$62,3525.39%7.89%9.98%9.24%4.56%
20080.09%-27.63%$45,124-37.02%6.68%13.32%22.52%1.53%
20092.72%20.76%$54,49226.49%1.44%-1.69%-12.05%0.16%
20101.50%18.37%$64,50214.91%2.64%7.35%8.93%0.14%
20112.96%11.10%$71,6641.97%2.26%9.80%29.28%0.07%
20121.74%16.07%$83,18015.82%0.69%2.67%3.47%0.08%
20131.50%24.56%$103,61032.18%-0.10%-3.09%-13.03%0.05%
20140.76%18.34%$122,61413.51%0.71%4.32%25.28%0.03%
20150.73%1.45%$124,3931.25%0.45%1.50%-1.54%0.05%
20162.07%11.44%$138,62911.82%0.99%1.19%1.20%0.30%
20172.11%21.23%$168,05721.67%0.39%1.57%8.58%0.88%
20181.91%-4.51%$160,479-4.52%1.35%1.00%-1.90%1.90%
20192.29%32.46%$212,56431.33%3.59%6.29%14.13%2.13%
20201.36%25.21%$266,15118.25%3.96%8.21%18.29%0.44%
20217.04%23.72%$329,27928.53%-0.87%-2.29%-4.73%0.04%
Annual return for 1991 is from 11/01/1991 to 12/31/1991
Monthly returns for the configured portfolios
YearMonthNTSX-SIM ReturnNTSX-SIM BalanceVanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Interm-Term Treasury Inv (VFITX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
199111-3.44%$9,656-4.01%0.84%1.00%0.02%0.40%
19911212.45%$10,85811.41%1.76%3.73%6.26%0.37%
19921-3.02%$10,530-1.88%-0.46%-2.15%-3.21%0.33%
199221.25%$10,6611.24%0.24%0.52%0.64%0.32%
19923-2.37%$10,409-1.93%-0.25%-0.91%-1.10%0.33%
199242.74%$10,6942.91%0.95%0.57%-0.07%0.34%
199251.46%$10,8510.48%1.16%2.18%2.70%0.31%
19926-0.66%$10,779-1.49%1.23%1.82%1.12%0.31%
199275.21%$11,3414.04%1.52%3.07%4.02%0.30%
19928-1.36%$11,187-2.07%1.21%1.20%0.71%0.27%
199291.74%$11,3821.17%1.09%1.73%1.36%0.26%
199210-0.76%$11,2950.33%-1.11%-1.71%-1.89%0.23%
1992112.96%$11,6293.40%-0.10%-0.46%0.50%0.25%
1992122.04%$11,8661.21%1.11%1.80%2.63%0.27%
199311.99%$12,1020.81%1.40%2.72%2.85%0.26%
199322.50%$12,4051.36%1.30%2.53%3.20%0.24%
199331.89%$12,6402.11%0.21%0.40%0.19%0.25%
19934-1.79%$12,413-2.42%0.87%0.93%0.76%0.24%
199352.20%$12,6872.65%-0.45%-0.15%0.38%0.24%
199361.56%$12,8850.27%0.87%2.20%4.17%0.26%
19937-0.22%$12,856-0.42%0.01%0.02%1.39%0.25%
199384.73%$13,4643.79%1.06%2.18%3.99%0.25%
19939-0.57%$13,388-0.79%0.37%0.62%0.33%0.25%
1993101.91%$13,6442.08%0.10%0.09%0.62%0.24%
199311-1.76%$13,404-1.00%-0.10%-1.16%-2.48%0.25%
1993121.29%$13,5771.22%0.60%0.56%0.42%0.26%
199413.77%$14,0893.38%0.58%1.49%2.23%0.25%
19942-3.99%$13,527-2.71%-0.90%-2.46%-3.99%0.25%
19943-5.57%$12,774-4.39%-0.86%-2.62%-3.82%0.28%
199440.48%$12,8351.29%-0.48%-0.92%-1.29%0.29%
199451.28%$12,9991.63%0.13%0.18%-0.47%0.32%
19946-2.59%$12,662-2.47%0.22%-0.33%-0.81%0.35%
199473.89%$13,1553.28%0.95%1.70%2.94%0.35%
199483.44%$13,6084.08%0.25%0.30%-0.67%0.36%
19949-3.35%$13,153-2.45%-0.36%-1.79%-3.00%0.38%
1994101.76%$13,3832.25%0.27%-0.26%-0.36%0.39%
199411-3.57%$12,906-3.65%-0.55%-0.38%0.62%0.42%
1994121.61%$13,1131.46%0.20%0.79%1.62%0.47%
199513.32%$13,5482.58%1.56%1.94%2.62%0.47%
199524.59%$14,1703.88%1.60%2.58%2.73%0.49%
199532.74%$14,5592.95%0.54%0.57%0.72%0.48%
199543.25%$15,0322.94%1.02%1.56%1.65%0.48%
199556.12%$15,9523.95%2.02%4.74%7.52%0.48%
199562.30%$16,3192.31%0.60%0.81%1.13%0.47%
199572.39%$16,7093.30%0.23%-0.61%-1.40%0.46%
199580.77%$16,8380.25%0.62%1.31%2.05%0.46%
199594.24%$17,5524.23%0.60%0.90%1.81%0.44%
1995100.58%$17,654-0.36%0.91%1.76%2.97%0.44%
1995114.72%$18,4864.38%0.99%1.82%2.31%0.45%
1995122.48%$18,9441.93%0.80%1.44%2.70%0.45%
199613.14%$19,5393.39%0.88%0.69%-0.05%0.42%
19962-0.92%$19,3590.92%-0.70%-2.38%-4.93%0.41%
199630.08%$19,3750.98%-0.20%-1.09%-1.98%0.41%
199640.49%$19,4711.46%-0.22%-1.03%-1.78%0.42%
199651.94%$19,8492.54%0.09%-0.44%-0.46%0.42%
199661.01%$20,0480.38%0.87%1.51%2.14%0.42%
19967-4.11%$19,224-4.42%0.29%0.14%-0.05%0.42%
199681.37%$19,4872.10%0.29%-0.35%-1.29%0.44%
199695.98%$20,6535.61%0.97%1.91%2.79%0.43%
1996103.80%$21,4382.76%1.28%2.48%3.88%0.41%
1996117.74%$23,0997.56%0.87%2.04%3.24%0.42%
199612-2.67%$22,482-1.96%-0.10%-1.45%-2.38%0.42%
199715.34%$23,6836.22%0.40%0.06%-0.65%0.43%
199720.55%$23,8130.79%0.20%0.10%-0.11%0.42%
19973-4.67%$22,702-4.14%-0.20%-1.30%-2.29%0.43%
199746.11%$24,0895.96%0.88%1.61%2.35%0.44%
199755.75%$25,4746.09%0.74%0.83%0.98%0.43%
199764.46%$26,6094.45%0.67%1.00%1.78%0.40%
199778.83%$28,9597.97%1.18%2.85%5.34%0.43%
19978-5.88%$27,256-5.61%0.01%-0.99%-2.57%0.43%
199795.64%$28,7945.47%0.78%1.47%2.63%0.43%
199710-2.13%$28,179-3.35%0.79%1.66%2.99%0.41%
1997114.23%$29,3724.60%0.18%0.31%1.27%0.43%
1997122.02%$29,9651.72%0.69%1.09%1.66%0.43%
199811.72%$30,4811.11%1.07%1.73%1.91%0.44%
199825.97%$32,3027.19%-0.07%-0.38%-0.75%0.43%
199834.52%$33,7645.10%0.37%0.14%0.14%0.44%
199840.98%$34,0961.01%0.54%0.49%0.40%0.42%
19985-1.10%$33,720-1.74%0.56%0.98%1.83%0.41%
199864.21%$35,1404.07%0.54%0.95%2.35%0.41%
19987-1.14%$34,737-1.05%0.36%0.22%-0.51%0.42%
19988-11.28%$30,818-14.47%1.63%3.20%4.83%0.42%
199897.37%$33,0906.41%1.79%3.64%3.29%0.40%
1998106.73%$35,3168.16%0.25%-0.77%-1.69%0.36%
1998115.43%$37,2356.07%-0.15%-0.35%0.88%0.36%
1998125.23%$39,1845.81%0.25%0.38%-0.16%0.37%
199914.01%$40,7564.20%0.41%0.65%0.98%0.37%
19992-4.68%$38,850-3.12%-0.88%-3.07%-4.76%0.37%
199933.65%$40,2674.00%0.69%0.58%-0.34%0.38%
199943.44%$41,6533.85%0.31%0.28%0.19%0.37%
19995-2.99%$40,406-2.39%-0.34%-1.37%-1.68%0.37%
199964.62%$42,2745.56%0.16%-0.26%-1.05%0.38%
19997-3.19%$40,924-3.13%0.13%-0.45%-0.58%0.39%
19998-0.73%$40,624-0.50%0.14%-0.07%-0.49%0.39%
19999-2.09%$39,774-2.74%0.84%1.08%0.91%0.41%
1999105.60%$41,9996.33%0.26%0.12%0.12%0.40%
1999111.54%$42,6452.02%0.16%-0.08%-0.59%0.42%
1999124.75%$44,6705.98%-0.03%-0.94%-1.60%0.43%
20001-4.63%$42,601-5.03%-0.22%-0.46%1.25%0.43%
20002-0.96%$42,194-1.91%0.76%1.00%2.96%0.47%
200039.65%$46,2669.75%0.70%2.04%3.14%0.47%
20004-3.08%$44,838-3.00%0.19%-0.26%-0.66%0.48%
20005-2.08%$43,907-2.04%0.30%0.16%-0.46%0.48%
200063.21%$45,3172.49%1.30%2.20%2.30%0.46%
20007-1.04%$44,844-1.50%0.61%0.62%1.49%0.48%
200086.22%$47,6336.19%0.92%1.62%2.08%0.51%
20009-4.81%$45,342-5.29%0.79%0.89%-0.85%0.52%
200010-0.03%$45,330-0.43%0.60%0.90%1.57%0.51%
200011-6.04%$42,591-7.89%1.18%2.14%2.99%0.52%
2000121.55%$43,2490.51%1.38%2.39%2.45%0.51%
200113.52%$44,7733.55%1.26%1.33%0.28%0.48%
20012-7.66%$41,343-9.14%0.80%1.26%1.80%0.41%
20013-5.68%$38,996-6.36%0.77%0.50%-0.60%0.40%
200146.08%$41,3697.77%0.06%-1.16%-2.56%0.35%
200150.60%$41,6180.65%0.44%0.22%0.21%0.32%
20016-2.12%$40,738-2.45%0.33%0.30%0.76%0.30%
200170.50%$40,941-1.00%1.40%2.73%3.61%0.30%
20018-4.90%$38,936-6.27%0.79%1.11%2.02%0.29%
20019-6.12%$36,551-8.09%1.68%2.41%0.88%0.28%
2001103.30%$37,7571.90%1.13%2.22%5.12%0.20%
2001115.07%$39,6737.65%-0.83%-2.32%-4.98%0.17%
2001120.11%$39,7180.87%-0.27%-1.16%-1.91%0.15%
20021-0.98%$39,330-1.47%0.44%0.45%1.20%0.14%
20022-1.15%$38,876-1.94%0.67%1.29%1.24%0.14%
200231.79%$39,5733.74%-0.82%-2.30%-3.86%0.15%
20024-3.96%$38,005-6.07%1.54%2.62%3.73%0.15%
20025-0.31%$37,887-0.75%0.59%1.04%0.39%0.15%
20026-5.37%$35,853-7.13%0.93%1.72%1.76%0.14%
20027-5.59%$33,848-7.72%1.54%2.66%2.93%0.14%
200282.14%$34,5740.65%0.86%2.42%4.28%0.14%
20029-7.68%$31,918-10.87%1.21%3.03%4.02%0.14%
2002107.14%$34,1968.78%0.02%-0.70%-2.84%0.13%
2002114.77%$35,8265.88%-0.66%-1.32%-0.98%0.12%
200212-4.08%$34,364-5.89%1.46%2.58%4.05%0.10%
20031-2.63%$33,462-2.62%-0.13%-0.49%-0.45%0.10%
20032-0.30%$33,362-1.52%0.68%1.77%3.03%0.10%
200330.57%$33,5520.96%0.23%-0.19%-1.13%0.10%
200347.63%$36,1138.25%0.11%0.24%0.91%0.09%
200356.49%$38,4565.26%1.05%2.74%5.67%0.09%
200360.74%$38,7391.26%0.01%-0.43%-1.48%0.09%
20037-1.14%$38,2981.74%-0.91%-3.87%-8.57%0.07%
200382.05%$39,0851.93%0.02%0.19%1.43%0.08%
200390.72%$39,364-1.07%1.15%3.09%5.07%0.08%
2003104.18%$41,0105.64%-0.34%-1.36%-2.58%0.08%
2003110.80%$41,3370.86%-0.07%0.01%0.31%0.08%
2003125.23%$43,4985.22%0.59%0.85%1.23%0.08%
200412.16%$44,4361.82%0.22%0.81%1.74%0.08%
200421.94%$45,3001.38%0.58%1.23%1.96%0.08%
20043-0.81%$44,932-1.51%0.40%1.06%1.45%0.08%
20044-3.45%$43,381-1.58%-1.20%-3.25%-5.52%0.08%
200450.96%$43,7971.36%-0.16%-0.51%-0.56%0.08%
200462.01%$44,6781.93%0.02%0.54%0.87%0.09%
20047-2.49%$43,567-3.31%0.32%0.91%1.52%0.11%
200481.58%$44,2550.38%0.80%2.07%3.39%0.12%
200491.12%$44,7501.07%0.04%0.19%0.94%0.13%
2004101.83%$45,5701.51%0.33%0.91%1.46%0.14%
2004112.69%$46,7944.05%-0.63%-1.48%-2.25%0.16%
2004123.66%$48,5093.39%0.33%0.97%2.22%0.18%
20051-1.66%$47,703-2.45%0.04%0.56%2.59%0.18%
200521.23%$48,2902.09%-0.36%-0.98%-1.24%0.21%
20053-1.96%$47,343-1.76%-0.05%-0.51%-0.76%0.23%
20054-0.70%$47,013-1.91%0.72%1.75%3.22%0.23%
200553.56%$48,6863.17%0.44%1.20%2.55%0.24%
200560.49%$48,9230.13%0.24%0.55%1.64%0.25%
200572.33%$50,0633.71%-0.41%-1.41%-2.58%0.26%
200580.04%$50,083-0.91%0.75%1.65%2.87%0.28%
20059-0.25%$49,9570.79%-0.31%-1.14%-2.78%0.29%
200510-2.18%$48,866-1.68%-0.11%-0.79%-1.74%0.29%
2005113.53%$50,5893.76%0.39%0.48%0.57%0.33%
2005120.59%$50,8900.02%0.41%1.01%2.33%0.32%
200611.99%$51,9052.65%0.14%-0.34%-0.90%0.33%
200620.23%$52,0260.26%0.01%0.09%0.81%0.37%
200630.08%$52,0691.23%0.05%-0.99%-3.39%0.38%
200640.61%$52,3871.33%0.33%-0.37%-1.96%0.38%
20065-2.81%$50,916-2.90%0.05%0.02%-0.03%0.39%
200660.13%$50,9800.13%0.25%0.10%0.71%0.40%
200671.13%$51,5570.61%0.76%1.35%1.84%0.41%
200682.93%$53,0682.36%0.75%1.62%2.74%0.42%
200692.69%$54,4932.56%0.55%0.94%1.58%0.41%
2006103.09%$56,1753.25%0.46%0.57%0.77%0.40%
2006112.20%$57,4091.89%0.55%1.12%1.91%0.42%
2006120.41%$57,6441.39%-0.20%-0.98%-2.14%0.41%
200710.96%$58,1941.49%0.19%-0.26%-0.85%0.41%
20072-0.86%$57,693-1.97%0.93%1.86%2.93%0.42%
200730.61%$58,0471.11%0.28%0.03%-1.13%0.42%
200744.15%$60,4554.42%0.46%0.57%0.86%0.41%
200752.26%$61,8223.48%-0.40%-1.18%-1.93%0.40%
20076-1.84%$60,686-1.68%0.37%-0.18%-0.88%0.39%
20077-1.92%$59,520-3.08%1.06%1.81%2.39%0.39%
200782.18%$60,8181.50%1.15%1.97%1.97%0.40%
200793.41%$62,8893.72%0.74%0.46%0.21%0.33%
2007101.80%$64,0231.58%0.45%0.84%1.40%0.31%
200711-1.89%$62,814-4.19%2.16%3.46%4.59%0.32%
200712-0.74%$62,352-0.70%0.25%0.27%-0.48%0.26%
20081-4.00%$59,856-6.02%2.01%3.10%2.64%0.28%
20082-2.35%$58,450-3.25%1.09%1.35%0.35%0.16%
200830.02%$58,463-0.44%0.25%0.93%1.02%0.15%
200843.32%$60,4064.85%-0.96%-2.14%-1.84%0.11%
200850.37%$60,6311.29%-0.51%-1.32%-2.13%0.12%
20086-7.31%$56,200-8.44%0.33%0.77%1.80%0.15%
20087-0.51%$55,914-0.83%0.52%0.77%0.30%0.16%
200881.90%$56,9771.45%0.56%0.98%1.80%0.14%
20089-7.75%$52,561-8.91%0.53%0.51%0.28%0.14%
200810-16.05%$44,125-16.79%0.49%-1.36%-3.63%0.08%
200811-2.09%$43,202-7.17%1.03%5.58%12.07%0.04%
2008124.45%$45,1241.07%1.17%3.66%8.87%0.00%
20091-9.77%$40,717-8.41%-0.09%-2.39%-8.47%0.01%
20092-10.08%$36,613-10.66%-0.01%-0.58%-1.01%0.02%
2009310.10%$40,3118.76%0.90%3.20%5.27%0.02%
200947.20%$43,2129.56%-0.25%-1.76%-4.99%0.02%
200954.52%$45,1675.62%0.21%-1.10%-2.68%0.01%
200960.22%$45,2660.22%-0.17%-0.37%0.70%0.01%
200977.14%$48,4967.58%0.22%0.60%0.80%0.02%
200983.80%$50,3383.60%0.37%0.89%1.68%0.02%
200993.93%$52,3183.72%0.29%0.92%1.98%0.01%
200910-1.88%$51,335-1.87%0.24%0.25%-1.45%0.01%
2009116.34%$54,5905.98%0.87%1.96%1.91%0.00%
200912-0.18%$54,4921.95%-1.13%-3.13%-5.66%0.01%
20101-2.13%$53,332-3.60%0.95%1.97%2.66%0.01%
201022.82%$54,8343.09%0.19%0.40%-0.21%0.01%
201034.77%$57,4526.01%-0.36%-0.91%-1.51%0.01%
201042.29%$58,7671.58%0.39%1.23%2.76%0.01%
20105-5.85%$55,329-8.01%0.48%1.85%4.23%0.01%
20106-2.98%$53,678-5.24%0.56%2.07%4.67%0.01%
201076.54%$57,1927.00%0.38%1.07%-0.17%0.02%
20108-2.32%$55,862-4.53%0.37%2.00%7.08%0.01%
201097.60%$60,1108.92%0.18%0.36%-1.82%0.01%
2010102.89%$61,8453.79%0.26%0.45%-3.29%0.01%
201011-0.56%$61,5020.00%-0.30%-0.98%-1.60%0.01%
2010124.88%$64,5026.67%-0.48%-2.29%-3.58%0.01%
201111.75%$65,6312.36%0.25%0.29%-2.38%0.01%
201123.19%$67,7283.42%-0.22%-0.43%1.24%0.01%
20113-0.03%$67,7100.03%-0.13%-0.12%0.02%0.01%
201143.52%$70,0942.95%0.71%1.60%2.04%0.01%
201150.07%$70,143-1.15%0.52%1.77%3.29%0.00%
20116-1.93%$68,792-1.67%-0.04%-0.16%-2.00%0.01%
20117-0.47%$68,470-2.05%0.52%2.18%4.18%0.00%
20118-2.35%$66,860-5.45%0.52%2.70%8.68%0.01%
20119-3.56%$64,479-7.04%-0.22%0.73%10.16%0.00%
2011109.10%$70,34810.91%0.15%-0.42%-3.34%0.00%
2011110.15%$70,456-0.23%-0.04%0.29%1.82%0.00%
2011121.71%$71,6641.02%0.21%1.00%3.13%0.00%
201214.24%$74,7034.46%0.23%0.81%0.08%0.00%
201223.32%$77,1854.31%-0.14%-0.65%-2.11%0.01%
201232.13%$78,8273.28%-0.13%-0.79%-3.77%0.01%
201240.66%$79,347-0.64%0.32%1.50%4.37%0.01%
20125-3.47%$76,592-6.02%0.06%1.24%7.79%0.01%
201263.14%$79,0004.11%-0.13%-0.22%-1.44%0.01%
201272.12%$80,6781.37%0.29%0.86%3.32%0.01%
201281.82%$82,1482.24%0.11%0.10%-1.06%0.01%
201291.89%$83,7002.58%0.03%-0.06%-2.10%0.01%
201210-1.86%$82,143-1.86%-0.16%-0.32%-0.43%0.01%
2012110.92%$82,9010.56%0.12%0.62%1.35%0.01%
2012120.34%$83,1800.90%0.09%-0.41%-1.99%0.01%
201313.84%$86,3755.18%-0.06%-0.74%-3.27%0.00%
201321.61%$87,7671.34%0.12%0.71%1.26%0.01%
201333.46%$90,8023.74%0.03%0.27%0.03%0.01%
201342.66%$93,2141.91%0.12%0.71%3.87%0.01%
201350.39%$93,5762.33%-0.34%-1.84%-6.23%0.00%
20136-2.21%$91,510-1.35%-0.26%-1.62%-3.26%0.00%
201374.23%$95,3795.07%0.12%0.13%-1.93%0.00%
20138-3.11%$92,412-2.91%-0.16%-1.02%-1.28%0.00%
201393.37%$95,5303.12%0.40%1.47%0.88%0.00%
2013104.51%$99,8424.59%0.13%0.49%1.32%0.00%
2013112.24%$102,0803.03%0.13%-0.14%-2.49%0.00%
2013121.50%$103,6102.51%-0.33%-1.49%-2.37%0.01%
20141-1.48%$102,079-3.47%0.32%1.67%6.26%0.01%
201424.20%$106,3664.56%0.03%0.21%0.60%0.00%
201430.70%$107,1090.82%-0.21%-0.60%0.63%0.00%
201441.16%$108,3480.72%0.23%0.49%1.82%0.00%
201452.87%$111,4592.33%0.13%1.03%2.73%0.00%
201461.78%$113,4412.05%0.04%-0.13%-0.16%0.00%
20147-1.24%$112,035-1.39%-0.14%-0.39%0.59%0.00%
201484.67%$117,2723.98%0.14%1.03%4.23%0.00%
20149-1.82%$115,137-1.41%-0.14%-0.66%-1.99%0.00%
2014102.99%$118,5832.42%0.33%1.12%2.61%0.00%
2014113.18%$122,3572.68%0.23%0.84%2.86%0.00%
2014120.21%$122,614-0.26%-0.24%-0.35%2.82%0.00%
20151-0.26%$122,293-3.02%0.61%2.70%8.97%0.00%
201523.37%$126,4205.74%-0.42%-1.59%-5.66%0.00%
20153-0.99%$125,169-1.59%0.33%0.76%1.13%0.00%
201540.21%$125,4280.95%0.05%-0.21%-3.07%0.00%
201550.72%$126,3351.27%0.06%-0.12%-2.16%0.00%
20156-2.62%$123,030-1.93%-0.04%-0.74%-3.73%0.00%
201572.91%$126,6142.08%0.15%0.85%4.21%0.00%
20158-5.58%$119,553-6.05%-0.13%-0.03%-0.71%0.01%
20159-1.47%$117,798-2.48%0.43%1.19%1.91%0.01%
2015107.36%$126,4748.42%-0.13%-0.47%-0.48%0.00%
201511-0.02%$126,4440.29%-0.31%-0.39%-0.81%0.01%
201512-1.62%$124,393-1.59%-0.16%-0.38%-0.34%0.02%
20161-2.80%$120,906-4.98%0.82%2.36%5.24%0.01%
201620.68%$121,730-0.15%0.15%0.82%2.86%0.03%
201636.01%$129,0446.78%0.26%0.22%0.05%0.03%
201640.17%$129,2640.37%-0.03%-0.13%-0.63%0.02%
201651.67%$131,4281.78%-0.10%-0.21%0.69%0.02%
201662.05%$134,1220.25%0.75%2.05%6.57%0.03%
201673.69%$139,0703.68%-0.10%0.04%2.01%0.02%
20168-0.29%$138,6720.13%-0.29%-0.72%-1.00%0.02%
20169-0.16%$138,4450.01%0.23%0.29%-1.32%0.03%
201610-2.68%$134,736-1.83%-0.12%-0.73%-4.23%0.02%
2016111.14%$136,2693.70%-0.58%-2.65%-7.86%0.03%
2016121.73%$138,6291.96%-0.00%-0.05%-0.35%0.04%
201711.92%$141,2841.88%0.26%0.30%0.65%0.04%
201723.95%$146,8583.96%0.07%0.39%1.57%0.04%
20173-0.03%$146,8170.10%0.02%0.07%-0.59%0.04%
201741.39%$148,8651.02%0.19%0.77%1.58%0.06%
201751.70%$151,3931.39%0.09%0.59%1.73%0.07%
201760.52%$152,1860.61%-0.09%-0.47%0.63%0.08%
201771.82%$154,9512.04%0.28%0.42%-0.59%0.08%
201781.07%$156,6040.29%0.19%0.86%3.27%0.09%
201791.15%$158,3992.06%-0.20%-0.83%-2.27%0.08%
2017101.98%$161,5382.32%-0.08%-0.21%-0.02%0.09%
2017112.71%$165,9183.06%-0.27%-0.39%0.63%0.09%
2017121.29%$168,0571.10%-0.07%0.07%1.78%0.10%
201814.00%$174,7865.71%-0.44%-1.56%-3.40%0.11%
20182-4.08%$167,655-3.69%-0.08%-0.49%-2.89%0.12%
20183-1.69%$164,817-2.56%0.29%0.75%2.75%0.14%
20184-0.39%$164,1820.37%-0.30%-0.92%-2.04%0.14%
201852.67%$168,5632.39%0.36%0.76%1.79%0.15%
201860.64%$169,6380.61%0.10%0.11%0.66%0.16%
201872.91%$174,5813.71%-0.10%-0.35%-1.28%0.16%
201883.31%$180,3593.25%0.37%0.77%1.18%0.17%
20189-0.29%$179,8420.55%-0.20%-0.82%-2.74%0.17%
201810-6.81%$167,593-6.85%0.10%-0.06%-2.82%0.18%
2018112.38%$171,5822.03%0.38%0.96%1.78%0.19%
201812-6.47%$160,479-9.04%0.88%1.90%5.50%0.19%
201917.38%$172,3188.00%0.30%0.58%0.49%0.20%
201922.51%$176,6383.20%-0.01%-0.26%-1.31%0.20%
201933.12%$182,1531.94%0.78%1.78%5.47%0.20%
201943.18%$187,9534.04%0.15%-0.05%-1.88%0.20%
20195-4.04%$180,365-6.36%0.88%2.05%6.65%0.20%
201966.64%$192,3467.03%0.48%1.02%1.01%0.19%
201971.19%$194,6331.43%-0.09%-0.16%0.22%0.17%
201981.27%$197,097-1.59%0.92%2.48%10.68%0.17%
201990.80%$198,6751.86%-0.22%-0.70%-2.62%0.16%
2019101.73%$202,1032.15%0.25%0.16%-1.10%0.15%
2019113.05%$208,2693.62%-0.05%-0.37%-0.39%0.13%
2019122.06%$212,5643.01%0.14%-0.36%-3.00%0.13%
202011.91%$216,618-0.05%0.60%2.19%7.29%0.13%
20202-5.32%$205,097-8.24%1.04%2.12%6.58%0.13%
20203-8.58%$187,495-12.37%1.01%2.27%5.67%0.10%
2020412.03%$210,04712.81%0.22%0.46%1.81%0.01%
202054.15%$218,7554.76%0.38%0.42%-1.67%0.01%
202061.93%$222,9871.98%0.09%0.30%0.40%0.01%
202076.03%$236,4255.63%0.18%0.49%4.17%0.01%
202085.50%$249,4267.18%0.19%-0.22%-4.71%0.01%
20209-3.30%$241,202-3.81%0.06%0.16%0.78%0.01%
202010-3.18%$233,534-2.67%-0.06%-0.59%-3.19%0.01%
20201110.27%$257,50910.94%0.11%0.23%1.53%0.01%
2020123.36%$266,1513.84%0.08%0.14%-0.95%0.01%
20211-1.71%$261,603-1.02%0.02%-0.46%-3.49%0.01%
202121.05%$264,3602.75%-0.27%-1.32%-5.69%0.01%
202133.00%$272,2894.37%0.07%-0.88%-4.72%0.00%
202145.44%$287,1015.32%0.16%0.72%2.37%0.00%
202150.77%$289,3150.69%0.13%0.52%0.17%0.00%
202162.74%$297,2552.31%-0.34%-0.09%3.90%0.00%
202173.11%$306,4952.38%0.12%1.13%3.60%0.00%
202182.60%$314,4793.03%0.01%-0.28%-0.23%0.01%
20219-4.97%$298,858-4.66%-0.18%-0.97%-2.88%0.00%
2021106.48%$318,2096.99%-0.37%-0.72%2.00%0.00%
202111-0.05%$318,057-0.71%0.01%0.42%2.67%0.00%
2021123.53%$329,2794.47%-0.23%-0.35%-1.91%0.00%
Portfolio return and risk metrics
MetricNTSX-SIM
Arithmetic Mean (monthly)1.04%
Arithmetic Mean (annualized)13.20%
Geometric Mean (monthly)0.97%
Geometric Mean (annualized)12.28%
Standard Deviation (monthly)3.71%
Standard Deviation (annualized)12.86%
Downside Deviation (monthly)2.28%
Max. Drawdown-42.81%
US Market Correlation0.95
Beta(*)0.82
Alpha (annualized)3.13%
R290.71%
Sharpe Ratio0.79
Sortino Ratio1.23
Treynor Ratio (%)12.33
Calmar Ratio2.01
Active Return1.55%
Tracking Error4.73%
Information Ratio0.33
Skewness-0.47
Excess Kurtosis1.58
Historical Value-at-Risk (5%)-5.56%
Analytical Value-at-Risk (5%)-5.10%
Conditional Value-at-Risk (5%)-7.67%
Upside Capture Ratio (%)89.28
Downside Capture Ratio (%)76.63
Safe Withdrawal Rate9.83%
Perpetual Withdrawal Rate8.60%
Positive Periods241 out of 362 (66.57%)
Gain/Loss Ratio1.03
* 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 PeriodStartEndNTSX-SIM
Asian CrisisJul 1997Jan 1998-5.88%
Russian Debt DefaultJul 1998Oct 1998-12.30%
Dotcom CrashMar 2000Oct 2002-32.99%
Subprime CrisisNov 2007Mar 2009-42.81%
COVID-19 StartJan 2020Mar 2020-13.44%

Drawdowns for NTSX-SIM

Drawdowns for NTSX-SIM (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-42.81%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-32.99%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-13.44%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-12.30%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-11.02%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-10.13%
7Jun 2011Sep 20114 monthsOct 20111 month5 months-8.08%
8Aug 2015Sep 20152 monthsMar 20166 months8 months-6.96%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-6.37%
10Feb 2018Apr 20183 monthsAug 20184 months7 months-6.07%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.72%14.54%37.45%-37.02%-50.97%0.620.910.99
VFISXVanguard Short-Term Treasury Inv3.70%1.91%12.11%-0.87%-2.23%0.741.31-0.18
VFITXVanguard Interm-Term Treasury Inv5.32%4.64%20.44%-4.33%-6.47%0.651.08-0.16
VUSTXVanguard Long-Term Treasury Inv7.27%10.18%30.09%-13.03%-18.92%0.510.86-0.20
CASHXCash2.35%0.59%5.99%0.03%0.00%N/AN/A-0.02

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard 500 Index Investor10.99%28.53%28.53%25.91%18.32%16.39%0.14%0.14%
Vanguard Short-Term Treasury Inv-0.59%-0.87%-0.87%2.20%1.67%1.11%0.20%0.20%
Vanguard Interm-Term Treasury Inv-0.64%-2.29%-2.29%3.97%2.89%2.08%0.20%0.20%
Vanguard Long-Term Treasury Inv2.72%-4.73%-4.73%8.75%6.50%4.41%0.20%0.20%
Cash0.01%0.04%0.04%0.87%1.08%0.59%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFISXVFITXVUSTXCASHXNTSX-SIM
VFINXVanguard 500 Index Investor1.00-0.16-0.14-0.18-0.010.97
VFISXVanguard Short-Term Treasury Inv-0.161.000.900.640.350.03
VFITXVanguard Interm-Term Treasury Inv-0.140.901.000.860.150.09
VUSTXVanguard Long-Term Treasury Inv-0.180.640.861.000.050.07
CASHXCash-0.010.350.150.051.00-0.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameNTSX-SIM
VFINXVanguard 500 Index Investor$276,504
VFISXVanguard Short-Term Treasury Inv$10,623
VFITXVanguard Interm-Term Treasury Inv$17,037
VUSTXVanguard Long-Term Treasury Inv$30,843
CASHXCash-$15,727
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameNTSX-SIM
VFINXVanguard 500 Index Investor98.19%
VFISXVanguard Short-Term Treasury Inv0.09%
VFITXVanguard Interm-Term Treasury Inv0.68%
VUSTXVanguard Long-Term Treasury Inv1.04%
CASHXCash0.01%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year13.02%50.64%-37.36%
3 years11.90%32.37%-11.05%
5 years11.44%27.78%-4.17%
7 years10.75%21.56%-0.85%
10 years9.85%17.04%-0.59%
15 years9.30%12.62%6.31%