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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Portfolio Analysis Results (Sep 2018 - Oct 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 31.00%
GLD SPDR Gold Shares 32.00%
VMMSX Vanguard Emerg Mkts Sel Stk Inv 4.00%
VINEX Vanguard International Explorer Inv 4.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 14.00%
JOHIX JOHCM International Select I 15.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF 30.00%
VXUS Vanguard Total International Stock ETF 30.00%
BND Vanguard Total Bond Market ETF 40.00%
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Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,227 10.43% 9.99%18.15%-4.97%-4.97% 0.821.550.87
Portfolio 2$10,000$10,722 6.15% 9.70%15.15%-6.89%-6.92% 0.430.640.97
Portfolio 3$10,000$10,706 6.02% 17.22%23.06%-13.01%-13.52% 0.290.411.00
   
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 October
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • 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
YearInflationReturnBalanceWisdomTree 90/60 US Balanced (NTSX)SPDR Gold Shares (GLD)Vanguard Emerg Mkts Sel Stk Inv (VMMSX)Vanguard International Explorer Inv (VINEX)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select I (JOHIX)SPDR S&P 500 ETF (SPY)Vanguard Total International Stock ETF (VXUS)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2018-0.36%-4.97%-6.89%-13.01%$9,503$9,311$8,699-11.24%6.82%-5.80%-19.98%-6.68%-11.38%-13.01%-11.42%1.08%
20192.20%18.15%15.15%23.06%$11,227$10,722$10,70625.50%17.47%12.56%14.27%11.94%12.71%23.06%15.50%8.96%
Annual returns for 2018 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceWisdomTree 90/60 US Balanced (NTSX)SPDR Gold Shares (GLD)Vanguard Emerg Mkts Sel Stk Inv (VMMSX)Vanguard International Explorer Inv (VINEX)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select I (JOHIX)SPDR S&P 500 ETF (SPY)Vanguard Total International Stock ETF (VXUS)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20189-0.18%0.02%0.59%$9,982$10,002$10,059-0.12%-0.66%0.43%-1.17%-0.85%1.41%0.59%0.21%-0.55%
201810-4.27%-5.00%-6.91%$9,555$9,502$9,364-5.95%2.12%-7.34%-11.76%-8.03%-8.03%-6.91%-8.56%-0.86%
2018111.04%1.30%1.85%$9,654$9,626$9,5381.49%0.34%4.42%-0.39%2.88%-0.51%1.85%1.68%0.64%
201812-1.57%-3.27%-8.79%$9,503$9,311$8,699-6.90%4.94%-3.04%-7.88%-0.53%-4.50%-8.79%-4.93%1.87%
201915.79%5.15%8.01%$10,052$9,790$9,3967.86%2.89%9.52%8.36%5.01%6.73%8.01%7.67%1.11%
201921.41%1.47%3.24%$10,194$9,933$9,7002.48%-0.61%0.14%1.78%2.86%2.25%3.24%1.63%-0.09%
201931.56%1.54%1.81%$10,354$10,086$9,8762.86%-1.60%1.97%0.06%4.30%2.92%1.81%0.77%1.94%
201941.48%2.12%4.09%$10,507$10,300$10,2793.45%-0.66%2.30%4.27%1.70%0.31%4.09%2.77%-0.02%
20195-2.76%-3.03%-6.38%$10,217$9,988$9,624-4.27%1.76%-7.11%-7.73%-5.25%-3.18%-6.38%-5.42%1.83%
201966.51%4.37%6.96%$10,882$10,425$10,2936.63%8.00%6.34%5.69%4.28%5.63%6.96%5.77%1.25%
201970.18%-0.07%1.51%$10,901$10,418$10,4491.33%0.01%-1.73%-2.13%0.56%-1.19%1.51%-1.99%0.15%
201981.45%-0.13%-1.67%$11,060$10,404$10,2740.40%7.91%-4.45%-3.20%-3.36%-2.29%-1.67%-2.17%2.77%
20199-0.56%1.19%1.95%$10,998$10,528$10,4741.09%-3.39%2.04%2.68%0.75%-0.53%1.95%2.73%-0.57%
2019102.08%1.84%2.21%$11,227$10,722$10,7061.65%2.56%3.94%4.68%0.99%1.86%2.21%3.43%0.31%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%31.00%$40341.51%
GLDSPDR Gold SharesCommodities Precious Metals0.40%32.00%$74912.31%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts0.94%4.00%$24.555.83%
VINEXVanguard International Explorer InvForeign Small/Mid Growth0.39%4.00%-$25.696.94%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts1.64%14.00%$65.3414.94%
JOHIXJOHCM International Select IForeign Large Growth1.00%15.00%$10.5418.48%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%30.00%$25451.91%
VXUSVanguard Total International Stock ETFForeign Large Blend0.09%30.00%$90.4647.42%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.200.04%40.00%$3770.67%

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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$706100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/05/2019. © 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 3
Arithmetic Mean (monthly)0.87%0.54%0.60%
Arithmetic Mean (annualized)10.93%6.62%7.50%
Geometric Mean (monthly)0.83%0.50%0.49%
Geometric Mean (annualized)10.43%6.15%6.02%
Volatility (monthly)2.89%2.80%4.97%
Volatility (annualized)9.99%9.70%17.22%
Downside Deviation (monthly)1.43%1.79%3.47%
Max. Drawdown-4.97%-6.92%-13.52%
US Market Correlation0.870.971.00
Beta(*)0.480.520.96
Alpha (annualized)7.62%3.40%1.71%
R275.62%93.41%99.80%
Sharpe Ratio0.820.430.29
Sortino Ratio1.550.640.41
Treynor Ratio (%)16.938.045.25
Active Return6.07%1.80%1.66%
Tracking Error10.50%8.94%1.08%
Information Ratio0.580.201.53
Skewness0.37-0.44-0.64
Excess Kurtosis0.600.12-0.18
Historical Value-at-Risk (5%)-4.27%-5.00%-8.79%
Analytical Value-at-Risk (5%)-3.69%-3.86%-7.57%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)57.4556.62101.22
Downside Capture Ratio (%)30.2447.3894.81
Safe Withdrawal Rate95.37%93.44%87.31%
Perpetual Withdrawal Rate9.30%5.03%4.89%
Positive Periods9 out of 14 (64.29%)9 out of 14 (64.29%)10 out of 14 (71.43%)
Gain/Loss Ratio1.280.920.54
* US stock market 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-4.97%
2May 2019May 20191 monthJun 20191 month2 months-2.76%
3Sep 2019Sep 20191 monthOct 20191 month2 months-0.56%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-6.92%
2May 2019May 20191 monthJun 20191 month2 months-3.03%
3Jul 2019Aug 20192 monthsSep 20191 month3 months-0.20%

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%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree 90/60 US Balanced9.70%14.60%25.50%-11.24%-11.24%0.550.840.98
GLDSPDR Gold Shares21.47%11.74%17.47%6.82%-3.39%1.534.58-0.12
VMMSXVanguard Emerg Mkts Sel Stk Inv5.15%16.97%12.56%-5.80%-7.34%0.240.370.88
VINEXVanguard International Explorer Inv-7.39%19.83%14.27%-19.98%-19.98%-0.40-0.510.95
VIESXVirtus KAR Emerging Markets Small-Cap I3.81%13.09%11.94%-6.68%-8.81%0.180.240.82
JOHIXJOHCM International Select I-0.10%13.52%12.71%-11.38%-12.62%-0.11-0.150.90
SPYSPDR S&P 500 ETF6.02%17.22%23.06%-13.01%-13.52%0.290.411.00
VXUSVanguard Total International Stock ETF1.98%15.48%15.50%-11.42%-11.61%0.060.080.94
BNDVanguard Total Bond Market ETF8.63%3.86%8.96%1.08%-1.40%1.604.40-0.15

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVMMSXVINEXVIESXJOHIXSPYVXUSBNDPortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced--0.010.860.930.810.920.980.930.010.910.980.98
GLDSPDR Gold Shares-0.01--0.06-0.09-0.14-0.00-0.12-0.060.600.330.00-0.12
VMMSXVanguard Emerg Mkts Sel Stk Inv0.86-0.06-0.920.890.880.880.95-0.070.860.930.88
VINEXVanguard International Explorer Inv0.93-0.090.92-0.840.910.950.99-0.080.870.970.95
VIESXVirtus KAR Emerging Markets Small-Cap I0.81-0.140.890.84-0.870.820.870.080.810.880.82
JOHIXJOHCM International Select I0.92-0.000.880.910.87-0.900.930.090.910.940.90
SPYSPDR S&P 500 ETF0.98-0.120.880.950.820.90-0.94-0.160.870.971.00
VXUSVanguard Total International Stock ETF0.93-0.060.950.990.870.930.94--0.050.890.980.94
BNDVanguard Total Bond Market ETF0.010.60-0.07-0.080.080.09-0.16-0.05-0.250.04-0.16

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced$403
GLDSPDR Gold Shares$749
VMMSXVanguard Emerg Mkts Sel Stk Inv$24.55
VINEXVanguard International Explorer Inv-$25.69
VIESXVirtus KAR Emerging Markets Small-Cap I$65.34
JOHIXJOHCM International Select I$10.54
SPYSPDR S&P 500 ETF$254$706
VXUSVanguard Total International Stock ETF$90.46
BNDVanguard Total Bond Market ETF$377

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced41.51%
GLDSPDR Gold Shares12.31%
VMMSXVanguard Emerg Mkts Sel Stk Inv5.83%
VINEXVanguard International Explorer Inv6.94%
VIESXVirtus KAR Emerging Markets Small-Cap I14.94%
JOHIXJOHCM International Select I18.48%
SPYSPDR S&P 500 ETF51.91%100.00%
VXUSVanguard Total International Stock ETF47.42%
BNDVanguard Total Bond Market ETF0.67%

Annual Asset Returns