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.
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 » |
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 100.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 30.00% |
VXUS | Vanguard Total International Stock ETF | 30.00% |
BND | Vanguard Total Bond Market ETF | 40.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $11,697 | 13.36% | 9.77% | 22.83% | -4.77% | -4.77% | 1.12 | 2.15 | 0.86 |
Portfolio 2 | $10,000 | $11,348 | 10.64% | 16.91% | 31.22% | -13.52% | -13.52% | 0.55 | 0.79 | 1.00 |
Portfolio 3 | $10,000 | $11,121 | 8.87% | 9.46% | 19.43% | -6.88% | -6.88% | 0.72 | 1.09 | 0.96 |
Name | 3 Month | 1 year | Full |
---|---|---|---|
Portfolio 1 | 6.12% | 22.83% | 13.36% |
Portfolio 2 | 8.99% | 31.22% | 10.64% |
Portfolio 3 | 5.62% | 19.43% | 8.87% |
Trailing annualized returns are for full months ending in December 2019 excluding portfolio cashflows. |
Year | Inflation | Return | Balance | WisdomTree 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 Trust (SPY) | Vanguard Total International Stock ETF (VXUS) | Vanguard Total Bond Market ETF (BND) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||||||||
2018 | -0.48% | -4.77% | -13.52% | -6.88% | $9,523 | $8,648 | $9,312 | -11.13% | 7.53% | -6.19% | -19.03% | -5.88% | -12.62% | -13.52% | -11.61% | 1.64% |
2019 | 2.29% | 22.83% | 31.22% | 19.43% | $11,697 | $11,348 | $11,121 | 32.15% | 17.86% | 21.39% | 21.91% | 18.28% | 19.04% | 31.22% | 21.75% | 8.83% |
Annual return for 2018 is from 10/01/2018 to 12/31/2018 |
Year | Month | Return | Balance | WisdomTree 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 Trust (SPY) | Vanguard Total International Stock ETF (VXUS) | Vanguard Total Bond Market ETF (BND) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||||||||
2018 | 10 | -4.26% | -6.91% | -4.98% | $9,574 | $9,309 | $9,502 | -5.95% | 2.12% | -7.34% | -11.76% | -8.03% | -8.03% | -6.91% | -8.56% | -0.86% |
2018 | 11 | 1.04% | 1.85% | 1.30% | $9,674 | $9,482 | $9,625 | 1.49% | 0.34% | 4.42% | -0.39% | 2.88% | -0.51% | 1.85% | 1.68% | 0.64% |
2018 | 12 | -1.55% | -8.79% | -3.25% | $9,523 | $8,648 | $9,312 | -6.90% | 4.94% | -3.04% | -7.88% | -0.53% | -4.50% | -8.79% | -4.93% | 1.87% |
2019 | 1 | 5.79% | 8.01% | 5.15% | $10,074 | $9,340 | $9,791 | 7.86% | 2.89% | 9.52% | 8.36% | 5.01% | 6.73% | 8.01% | 7.67% | 1.11% |
2019 | 2 | 1.41% | 3.24% | 1.47% | $10,217 | $9,643 | $9,934 | 2.48% | -0.61% | 0.14% | 1.78% | 2.86% | 2.25% | 3.24% | 1.63% | -0.09% |
2019 | 3 | 1.56% | 1.81% | 1.54% | $10,376 | $9,817 | $10,087 | 2.86% | -1.60% | 1.97% | 0.06% | 4.30% | 2.92% | 1.81% | 0.77% | 1.94% |
2019 | 4 | 1.48% | 4.09% | 2.12% | $10,530 | $10,218 | $10,301 | 3.45% | -0.66% | 2.30% | 4.27% | 1.70% | 0.31% | 4.09% | 2.77% | -0.02% |
2019 | 5 | -2.76% | -6.38% | -3.03% | $10,239 | $9,567 | $9,989 | -4.27% | 1.76% | -7.11% | -7.73% | -5.25% | -3.18% | -6.38% | -5.42% | 1.83% |
2019 | 6 | 6.51% | 6.96% | 4.37% | $10,906 | $10,233 | $10,426 | 6.63% | 8.00% | 6.34% | 5.69% | 4.28% | 5.63% | 6.96% | 5.77% | 1.25% |
2019 | 7 | 0.18% | 1.51% | -0.07% | $10,925 | $10,387 | $10,419 | 1.33% | 0.01% | -1.73% | -2.13% | 0.56% | -1.19% | 1.51% | -1.99% | 0.15% |
2019 | 8 | 1.45% | -1.67% | -0.13% | $11,084 | $10,213 | $10,405 | 0.40% | 7.91% | -4.45% | -3.20% | -3.36% | -2.29% | -1.67% | -2.17% | 2.77% |
2019 | 9 | -0.56% | 1.95% | 1.19% | $11,022 | $10,412 | $10,529 | 1.09% | -3.39% | 2.04% | 2.68% | 0.75% | -0.53% | 1.95% | 2.73% | -0.57% |
2019 | 10 | 2.08% | 2.21% | 1.84% | $11,252 | $10,642 | $10,723 | 1.65% | 2.56% | 3.94% | 4.68% | 0.99% | 1.86% | 2.21% | 3.43% | 0.31% |
2019 | 11 | 0.79% | 3.62% | 1.44% | $11,341 | $11,028 | $10,878 | 3.07% | -3.21% | 0.73% | 2.90% | 1.38% | 3.35% | 3.62% | 0.99% | -0.04% |
2019 | 12 | 3.14% | 2.90% | 2.23% | $11,697 | $11,348 | $11,121 | 2.16% | 3.66% | 7.06% | 3.68% | 4.22% | 2.19% | 2.90% | 4.38% | -0.07% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | Large Blend | 31.00% | 0.85% | 0.20% | 28.95 | $604 | 40.42% |
GLD | SPDR Gold Shares | Commodities Focused | 32.00% | 0.40% | $785 | 12.67% | ||
VMMSX | Vanguard Emerg Mkts Sel Stk Inv | Diversified Emerging Mkts | 4.00% | 1.04% | 0.93% | 15.17 | $56.70 | 6.12% |
VINEX | Vanguard International Explorer Inv | Foreign Small/Mid Growth | 4.00% | 1.06% | 0.41% | 22.69 | $7.35 | 6.96% |
VIESX | Virtus KAR Emerging Markets Small-Cap I | Diversified Emerging Mkts | 14.00% | 1.17% | 1.62% | 21.71 | $161 | 15.24% |
JOHIX | JOHCM International Select I | Foreign Large Growth | 15.00% | 0.34% | 0.99% | 29.09 | $82.79 | 18.59% |
100.00% | 0.56% | 0.62% | 26.31 | $1,697 | 100.00% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | Large Blend | 100.00% | 1.44% | 0.09% | 28.32 | $1,348 | 100.00% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | Large Blend | 30.00% | 1.44% | 0.09% | 28.32 | $467 | 52.19% | |
VXUS | Vanguard Total International Stock ETF | Foreign Large Blend | 30.00% | 2.13% | 0.08% | 19.77 | $259 | 48.14% | |
BND | Vanguard Total Bond Market ETF | Intermediate Core Bond | 40.00% | 1.13% | 0.04% | 6.68 | $395 | -0.33% | |
100.00% | 1.52% | 0.07% | 24.04 | 6.68 | $1,121 | 100.00% |
Fund fundamentals data as of 01/25/2021. (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.
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|
Arithmetic Mean (monthly) | 1.09% | 0.96% | 0.75% |
Arithmetic Mean (annualized) | 13.86% | 12.14% | 9.32% |
Geometric Mean (monthly) | 1.05% | 0.85% | 0.71% |
Geometric Mean (annualized) | 13.36% | 10.64% | 8.87% |
Volatility (monthly) | 2.82% | 4.88% | 2.73% |
Volatility (annualized) | 9.77% | 16.91% | 9.46% |
Downside Deviation (monthly) | 1.38% | 3.35% | 1.72% |
Max. Drawdown | -4.77% | -13.52% | -6.88% |
US Market Correlation | 0.86 | 1.00 | 0.96 |
Beta(*) | 0.47 | 0.96 | 0.52 |
Alpha (annualized) | 8.03% | 1.39% | 3.48% |
R2 | 73.39% | 99.83% | 92.84% |
Sharpe Ratio | 1.12 | 0.55 | 0.72 |
Sortino Ratio | 2.15 | 0.79 | 1.09 |
Treynor Ratio (%) | 23.01 | 9.80 | 13.19 |
Active Return | 3.87% | 1.16% | -0.62% |
Tracking Error | 10.56% | 1.03% | 8.90% |
Information Ratio | 0.37 | 1.13 | -0.07 |
Skewness | 0.15 | -0.84 | -0.67 |
Excess Kurtosis | 0.51 | 0.06 | 0.37 |
Historical Value-at-Risk (5%) | -3.21% | -7.48% | -3.77% |
Analytical Value-at-Risk (5%) | -3.39% | -7.07% | -3.57% |
Conditional Value-at-Risk (5%) | -4.26% | -8.79% | -4.98% |
Upside Capture Ratio (%) | 57.64 | 99.39 | 55.71 |
Downside Capture Ratio (%) | 29.96 | 94.78 | 47.05 |
Safe Withdrawal Rate | 52.21% | 48.83% | 50.40% |
Perpetual Withdrawal Rate | 6.71% | 5.29% | 4.32% |
Positive Periods | 11 out of 15 (73.33%) | 11 out of 15 (73.33%) | 10 out of 15 (66.67%) |
Gain/Loss Ratio | 1.01 | 0.58 | 0.99 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Oct 2018 | Dec 2018 | 3 months | Jan 2019 | 1 month | 4 months | -4.77% |
2 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.76% |
3 | Sep 2019 | Sep 2019 | 1 month | Oct 2019 | 1 month | 2 months | -0.56% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.52% |
2 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.38% |
3 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -1.67% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Oct 2018 | Dec 2018 | 3 months | Mar 2019 | 3 months | 6 months | -6.88% |
2 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -3.03% |
3 | Jul 2019 | Aug 2019 | 2 months | Sep 2019 | 1 month | 3 months | -0.20% |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | 13.72% | 14.20% | 32.15% | -11.13% | -11.13% | 0.83 | 1.26 | 0.98 |
GLD | SPDR Gold Shares | 20.87% | 12.12% | 17.86% | 7.53% | -4.10% | 1.46 | 3.70 | -0.15 |
VMMSX | Vanguard Emerg Mkts Sel Stk Inv | 10.95% | 17.36% | 21.39% | -6.19% | -7.34% | 0.56 | 0.90 | 0.85 |
VINEX | Vanguard International Explorer Inv | -1.03% | 19.63% | 21.91% | -19.03% | -19.03% | -0.07 | -0.09 | 0.95 |
VIESX | Virtus KAR Emerging Markets Small-Cap I | 8.96% | 13.01% | 18.28% | -5.88% | -8.03% | 0.56 | 0.78 | 0.81 |
JOHIX | JOHCM International Select I | 3.21% | 13.43% | 19.04% | -12.62% | -12.62% | 0.14 | 0.20 | 0.91 |
SPY | SPDR S&P 500 ETF Trust | 10.64% | 16.91% | 31.22% | -13.52% | -13.52% | 0.55 | 0.79 | 1.00 |
VXUS | Vanguard Total International Stock ETF | 6.05% | 15.37% | 21.75% | -11.61% | -11.61% | 0.32 | 0.45 | 0.93 |
BND | Vanguard Total Bond Market ETF | 8.41% | 3.67% | 8.83% | 1.64% | -0.86% | 1.66 | 4.99 | -0.21 |
Ticker | Name | NTSX | GLD | VMMSX | VINEX | VIESX | JOHIX | SPY | VXUS | BND | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | 1.00 | -0.07 | 0.83 | 0.93 | 0.80 | 0.93 | 0.99 | 0.91 | -0.05 | 0.90 | 0.99 | 0.97 |
GLD | SPDR Gold Shares | -0.07 | 1.00 | -0.00 | -0.12 | -0.13 | -0.05 | -0.15 | -0.03 | 0.55 | 0.32 | -0.15 | -0.01 |
VMMSX | Vanguard Emerg Mkts Sel Stk Inv | 0.83 | -0.00 | 1.00 | 0.90 | 0.90 | 0.85 | 0.85 | 0.95 | -0.14 | 0.86 | 0.85 | 0.91 |
VINEX | Vanguard International Explorer Inv | 0.93 | -0.12 | 0.90 | 1.00 | 0.85 | 0.92 | 0.95 | 0.98 | -0.16 | 0.87 | 0.95 | 0.97 |
VIESX | Virtus KAR Emerging Markets Small-Cap I | 0.80 | -0.13 | 0.90 | 0.85 | 1.00 | 0.87 | 0.81 | 0.88 | -0.01 | 0.82 | 0.81 | 0.88 |
JOHIX | JOHCM International Select I | 0.93 | -0.05 | 0.85 | 0.92 | 0.87 | 1.00 | 0.91 | 0.91 | 0.05 | 0.90 | 0.91 | 0.95 |
SPY | SPDR S&P 500 ETF Trust | 0.99 | -0.15 | 0.85 | 0.95 | 0.81 | 0.91 | 1.00 | 0.93 | -0.21 | 0.86 | 1.00 | 0.96 |
VXUS | Vanguard Total International Stock ETF | 0.91 | -0.03 | 0.95 | 0.98 | 0.88 | 0.91 | 0.93 | 1.00 | -0.10 | 0.90 | 0.93 | 0.98 |
BND | Vanguard Total Bond Market ETF | -0.05 | 0.55 | -0.14 | -0.16 | -0.01 | 0.05 | -0.21 | -0.10 | 1.00 | 0.18 | -0.21 | -0.02 |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | $604 | ||
GLD | SPDR Gold Shares | $785 | ||
VMMSX | Vanguard Emerg Mkts Sel Stk Inv | $56.70 | ||
VINEX | Vanguard International Explorer Inv | $7.35 | ||
VIESX | Virtus KAR Emerging Markets Small-Cap I | $161 | ||
JOHIX | JOHCM International Select I | $82.79 | ||
SPY | SPDR S&P 500 ETF Trust | $1,348 | $467 | |
VXUS | Vanguard Total International Stock ETF | $259 | ||
BND | Vanguard Total Bond Market ETF | $395 |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | 40.42% | ||
GLD | SPDR Gold Shares | 12.67% | ||
VMMSX | Vanguard Emerg Mkts Sel Stk Inv | 6.12% | ||
VINEX | Vanguard International Explorer Inv | 6.96% | ||
VIESX | Virtus KAR Emerging Markets Small-Cap I | 15.24% | ||
JOHIX | JOHCM International Select I | 18.59% | ||
SPY | SPDR S&P 500 ETF Trust | 100.00% | 52.19% | |
VXUS | Vanguard Total International Stock ETF | 48.14% | ||
BND | Vanguard Total Bond Market ETF | -0.33% |