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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Portfolio #1
Portfolio #2
Portfolio #3
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Oct 2018 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 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 Trust 100.00%
Save portfolio »
Portfolio 3
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 Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,697 13.36% 9.77%22.83%-4.77%-4.77% 1.122.150.86
Portfolio 2$10,000$11,348 10.64% 16.91%31.22%-13.52%-13.52% 0.550.791.00
Portfolio 3$10,000$11,121 8.87% 9.46%19.43%-6.88%-6.88% 0.721.090.96
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 16.12%22.83%13.36%
Portfolio 28.99%31.22%10.64%
Portfolio 35.62%19.43%8.87%
Trailing annualized returns are for full months ending in December 2019 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 October 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 2Portfolio 3WisdomTree U.S. Efficient Core Fund (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)
ReturnBalanceReturnBalanceReturnBalance
2018-0.48%-4.77%$9,523-13.52%$8,648-6.88%$9,312-11.13%7.53%-6.19%-19.03%-5.88%-12.62%-13.52%-11.61%1.64%
20192.29%22.83%$11,69731.22%$11,34819.43%$11,12132.15%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
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3WisdomTree U.S. Efficient Core Fund (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)
ReturnBalanceReturnBalanceReturnBalance
201810-4.26%$9,574-6.91%$9,309-4.98%$9,502-5.95%2.12%-7.34%-11.76%-8.03%-8.03%-6.91%-8.56%-0.86%
2018111.04%$9,6741.85%$9,4821.30%$9,6251.49%0.34%4.42%-0.39%2.88%-0.51%1.85%1.68%0.64%
201812-1.55%$9,523-8.79%$8,648-3.25%$9,312-6.90%4.94%-3.04%-7.88%-0.53%-4.50%-8.79%-4.93%1.87%
201915.79%$10,0748.01%$9,3405.15%$9,7917.86%2.89%9.52%8.36%5.01%6.73%8.01%7.67%1.11%
201921.41%$10,2173.24%$9,6431.47%$9,9342.48%-0.61%0.14%1.78%2.86%2.25%3.24%1.63%-0.09%
201931.56%$10,3761.81%$9,8171.54%$10,0872.86%-1.60%1.97%0.06%4.30%2.92%1.81%0.77%1.94%
201941.48%$10,5304.09%$10,2182.12%$10,3013.45%-0.66%2.30%4.27%1.70%0.31%4.09%2.77%-0.02%
20195-2.76%$10,239-6.38%$9,567-3.03%$9,989-4.27%1.76%-7.11%-7.73%-5.25%-3.18%-6.38%-5.42%1.83%
201966.51%$10,9066.96%$10,2334.37%$10,4266.63%8.00%6.34%5.69%4.28%5.63%6.96%5.77%1.25%
201970.18%$10,9251.51%$10,387-0.07%$10,4191.33%0.01%-1.73%-2.13%0.56%-1.19%1.51%-1.99%0.15%
201981.45%$11,084-1.67%$10,213-0.13%$10,4050.40%7.91%-4.45%-3.20%-3.36%-2.29%-1.67%-2.17%2.77%
20199-0.56%$11,0221.95%$10,4121.19%$10,5291.09%-3.39%2.04%2.68%0.75%-0.53%1.95%2.73%-0.57%
2019102.08%$11,2522.21%$10,6421.84%$10,7231.65%2.56%3.94%4.68%0.99%1.86%2.21%3.43%0.31%
2019110.79%$11,3413.62%$11,0281.44%$10,8783.07%-3.21%0.73%2.90%1.38%3.35%3.62%0.99%-0.04%
2019123.14%$11,6972.90%$11,3482.23%$11,1212.16%3.66%7.06%3.68%4.22%2.19%2.90%4.38%-0.07%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend31.00%0.92%0.20%27.79$60440.42%
GLDSPDR Gold SharesCommodities Focused32.00%0.40%$78512.67%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts4.00%0.95%0.85%17.57$56.706.12%
VINEXVanguard International Explorer InvForeign Small/Mid Growth4.00%0.97%0.39%25.67$7.356.96%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts14.00%1.13%1.62%21.74$16115.24%
JOHIXJOHCM International Select IForeign Large Growth15.00%0.32%0.98%27.01$82.7918.59%
100.00%0.57%0.61%25.64$1,697100.00%

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%1.25%0.09%26.07$1,348100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend30.00%1.25%0.09%26.07$46752.19%
VXUSVanguard Total International Stock ETFForeign Large Blend30.00%2.01%0.08%18.69$25948.14%
BNDVanguard Total Bond Market ETFIntermediate Core Bond40.00%1.34%0.04%6.63$395-0.33%
100.00%1.51%0.07%22.386.63$1,121100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (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)1.09%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 Correlation0.861.000.96
Beta(*)0.470.960.52
Alpha (annualized)8.03%1.39%3.48%
R273.39%99.83%92.84%
Sharpe Ratio1.120.550.72
Sortino Ratio2.150.791.09
Treynor Ratio (%)23.019.8013.19
Active Return3.87%1.16%-0.62%
Tracking Error10.56%1.03%8.90%
Information Ratio0.371.13-0.07
Skewness0.15-0.84-0.67
Excess Kurtosis0.510.060.37
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 (%)57.6499.3955.71
Downside Capture Ratio (%)29.9694.7847.05
Safe Withdrawal Rate52.21%48.83%50.40%
Perpetual Withdrawal Rate6.71%5.29%4.32%
Positive Periods11 out of 15 (73.33%)11 out of 15 (73.33%)10 out of 15 (66.67%)
Gain/Loss Ratio1.010.580.99
* 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
1Oct 2018Dec 20183 monthsJan 20191 month4 months-4.77%
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 monthsApr 20194 months7 months-13.52%
2May 2019May 20191 monthJun 20191 month2 months-6.38%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-6.88%
2May 2019May 20191 monthJun 20191 month2 months-3.03%
3Jul 2019Aug 20192 monthsSep 20191 month3 months-0.20%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund13.72%14.20%32.15%-11.13%-11.13%0.831.260.98
GLDSPDR Gold Shares20.87%12.12%17.86%7.53%-4.10%1.463.70-0.15
VMMSXVanguard Emerg Mkts Sel Stk Inv10.95%17.36%21.39%-6.19%-7.34%0.560.900.85
VINEXVanguard International Explorer Inv-1.03%19.63%21.91%-19.03%-19.03%-0.07-0.090.95
VIESXVirtus KAR Emerging Markets Small-Cap I8.96%13.01%18.28%-5.88%-8.03%0.560.780.81
JOHIXJOHCM International Select I3.21%13.43%19.04%-12.62%-12.62%0.140.200.91
SPYSPDR S&P 500 ETF Trust10.64%16.91%31.22%-13.52%-13.52%0.550.791.00
VXUSVanguard Total International Stock ETF6.05%15.37%21.75%-11.61%-11.61%0.320.450.93
BNDVanguard Total Bond Market ETF8.41%3.67%8.83%1.64%-0.86%1.664.99-0.21

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVMMSXVINEXVIESXJOHIXSPYVXUSBNDPortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund1.00-0.070.830.930.800.930.990.91-0.050.900.990.97
GLDSPDR Gold Shares-0.071.00-0.00-0.12-0.13-0.05-0.15-0.030.550.32-0.15-0.01
VMMSXVanguard Emerg Mkts Sel Stk Inv0.83-0.001.000.900.900.850.850.95-0.140.860.850.91
VINEXVanguard International Explorer Inv0.93-0.120.901.000.850.920.950.98-0.160.870.950.97
VIESXVirtus KAR Emerging Markets Small-Cap I0.80-0.130.900.851.000.870.810.88-0.010.820.810.88
JOHIXJOHCM International Select I0.93-0.050.850.920.871.000.910.910.050.900.910.95
SPYSPDR S&P 500 ETF Trust0.99-0.150.850.950.810.911.000.93-0.210.861.000.96
VXUSVanguard Total International Stock ETF0.91-0.030.950.980.880.910.931.00-0.100.900.930.98
BNDVanguard Total Bond Market ETF-0.050.55-0.14-0.16-0.010.05-0.21-0.101.000.18-0.21-0.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund$604
GLDSPDR Gold Shares$785
VMMSXVanguard Emerg Mkts Sel Stk Inv$56.70
VINEXVanguard International Explorer Inv$7.35
VIESXVirtus KAR Emerging Markets Small-Cap I$161
JOHIXJOHCM International Select I$82.79
SPYSPDR S&P 500 ETF Trust$1,348$467
VXUSVanguard Total International Stock ETF$259
BNDVanguard Total Bond Market ETF$395

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund40.42%
GLDSPDR Gold Shares12.67%
VMMSXVanguard Emerg Mkts Sel Stk Inv6.12%
VINEXVanguard International Explorer Inv6.96%
VIESXVirtus KAR Emerging Markets Small-Cap I15.24%
JOHIXJOHCM International Select I18.59%
SPYSPDR S&P 500 ETF Trust100.00%52.19%
VXUSVanguard Total International Stock ETF48.14%
BNDVanguard Total Bond Market ETF-0.33%

Annual Asset Returns