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 (Mar 2019 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 34.00%
GLD SPDR Gold Shares 26.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 17.00%
JOHIX JOHCM International Select Institutional 18.00%
CASHX Cash 5.00%
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%
VGTSX Vanguard Total Intl Stock Index Inv 30.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,458 22.27% 13.61%26.88%13.95%-11.23% 1.462.890.92
Portfolio 2$10,000$13,930 19.82% 20.32%18.37%17.68%-19.43% 0.931.511.00
Portfolio 3$10,000$12,492 12.90% 11.77%11.91%11.63%-11.83% 0.991.570.98
Vanguard Balanced Index Inv$10,000$13,127 16.00% 12.99%16.26%12.91%-12.34% 1.111.870.99
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 19.00%26.88%22.27%
Portfolio 212.12%18.37%19.82%
Portfolio 38.67%11.91%12.90%
Vanguard Balanced Index Inv8.94%16.26%16.00%
Trailing annualized returns are for full months ending in December 2020 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 2019 are based on monthly returns from March 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 3Vanguard Balanced Index InvWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Cash (CASHX)SPDR S&P 500 ETF Trust (SPY)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20191.66%13.95%$11,39517.68%$11,76811.63%$11,16312.91%$11,29119.55%15.25%9.50%9.08%1.72%17.68%10.97%7.59%
20201.36%26.88%$14,45818.37%$13,93011.91%$12,49216.26%$13,12724.85%24.81%38.88%29.71%0.44%18.37%11.16%7.61%
Annual return for 2019 is from 03/01/2019 to 12/31/2019
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index InvWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Cash (CASHX)SPDR S&P 500 ETF Trust (SPY)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
201931.83%$10,1831.81%$10,1811.54%$10,1541.65%$10,1652.86%-1.60%4.30%2.92%0.20%1.81%0.72%1.96%
201941.38%$10,3234.09%$10,5972.07%$10,3642.39%$10,4083.45%-0.66%1.70%0.31%0.20%4.09%2.76%0.04%
20195-2.54%$10,060-6.38%$9,921-2.90%$10,064-3.21%$10,074-4.27%1.76%-5.25%-3.18%0.20%-6.38%-5.55%1.83%
201966.08%$10,6726.96%$10,6114.23%$10,4904.63%$10,5416.63%8.00%4.28%5.63%0.19%6.96%5.83%1.15%
201970.35%$10,7101.51%$10,772-0.01%$10,4890.97%$10,6431.33%0.01%0.56%-1.19%0.17%1.51%-1.89%0.23%
201981.25%$10,843-1.67%$10,591-0.08%$10,480-0.11%$10,6320.40%7.91%-3.36%-2.29%0.17%-1.67%-2.35%2.78%
20199-0.53%$10,7861.95%$10,7981.12%$10,5970.80%$10,7171.09%-3.39%0.75%-0.53%0.16%1.95%2.72%-0.60%
2019101.75%$10,9752.21%$11,0361.74%$10,7811.39%$10,8651.65%2.56%0.99%1.86%0.15%2.21%3.38%0.21%
2019111.00%$11,0853.62%$11,4361.41%$10,9342.24%$11,1083.07%-3.21%1.38%3.35%0.13%3.62%1.11%-0.06%
2019122.79%$11,3952.90%$11,7682.10%$11,1631.64%$11,2912.16%3.66%4.22%2.19%0.13%2.90%4.27%-0.15%
202011.72%$11,591-0.04%$11,763-0.16%$11,1460.82%$11,3832.03%4.50%-1.10%0.25%0.13%-0.04%-3.30%2.11%
20202-4.55%$11,063-7.92%$10,832-3.63%$10,741-4.22%$10,902-6.55%-0.64%-4.53%-7.93%0.13%-7.92%-6.72%1.71%
20203-7.00%$10,289-12.46%$9,482-8.36%$9,843-8.48%$9,978-8.64%-0.22%-15.83%-8.39%0.10%-12.46%-16.11%-0.59%
202049.94%$11,31212.70%$10,6866.36%$10,4688.55%$10,83111.76%7.26%14.75%10.14%0.01%12.70%8.09%1.69%
202055.31%$11,9124.76%$11,1952.88%$10,7703.45%$11,2055.04%2.59%9.75%8.00%0.01%4.76%4.80%0.54%
202063.01%$12,2711.78%$11,3941.96%$10,9811.73%$11,3991.34%2.74%7.00%3.77%0.01%1.78%4.24%0.70%
202076.69%$13,0925.89%$12,0653.53%$11,3693.99%$11,8536.08%10.79%3.60%5.94%0.01%5.89%4.10%1.55%
202083.37%$13,5346.98%$12,9072.85%$11,6933.86%$12,3106.26%-0.32%5.11%3.43%0.01%6.98%4.31%-1.02%
20209-1.99%$13,264-3.74%$12,424-1.69%$11,496-2.12%$12,050-3.17%-4.17%1.28%0.22%0.01%-3.74%-1.96%0.08%
202010-1.82%$13,022-2.49%$12,114-1.63%$11,308-1.48%$11,872-3.22%-0.52%-0.87%-2.65%0.01%-2.49%-2.21%-0.61%
2020115.32%$13,71510.88%$13,4327.35%$12,1397.66%$12,78110.43%-5.41%7.66%11.98%0.01%10.88%12.93%1.11%
2020125.42%$14,4583.71%$13,9302.91%$12,4922.70%$13,1273.29%7.01%10.19%3.82%0.01%3.71%5.82%0.15%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend34.00%0.87%0.20%25.78$1,62840.01%
GLDSPDR Gold SharesCommodities Focused26.00%0.40%$1,13215.15%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts17.00%1.09%1.62%21.25$91523.98%
JOHIXJOHCM International Select InstitutionalForeign Large Growth18.00%0.31%0.98%25.66$77320.90%
CASHXCashCash5.00%0.06%$11.11-0.04%
100.00%0.54%0.66%24.63$4,458100.00%

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%1.23%0.09%25.30$3,930100.00%

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%1.23%0.09%25.30$1,14648.63%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend30.00%2.34%0.17%15.90$70349.79%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.83%0.15%6.79$6441.57%
100.00%1.80%0.14%20.606.79$2,492100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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 3Vanguard Balanced Index Inv
Arithmetic Mean (monthly)1.76%1.68%1.07%1.31%
Arithmetic Mean (annualized)23.33%22.18%13.65%16.93%
Geometric Mean (monthly)1.69%1.52%1.02%1.24%
Geometric Mean (annualized)22.27%19.82%12.90%16.00%
Volatility (monthly)3.93%5.87%3.40%3.75%
Volatility (annualized)13.61%20.32%11.77%12.99%
Downside Deviation (monthly)1.95%3.58%2.10%2.20%
Max. Drawdown-11.23%-19.43%-11.83%-12.34%
US Market Correlation0.921.000.980.99
Beta(*)0.991.550.891.00
Alpha (annualized)5.63%-4.23%-1.22%0.00%
R288.67%98.47%97.53%100.00%
Sharpe Ratio1.460.930.991.11
Sortino Ratio2.891.511.571.87
Treynor Ratio (%)20.2612.2613.0714.57
Active Return6.28%3.82%-3.09%N/A
Tracking Error4.58%7.60%2.30%N/A
Information Ratio1.370.50-1.35N/A
Skewness-0.20-0.51-0.79-0.54
Excess Kurtosis0.280.691.881.44
Historical Value-at-Risk (5%)-4.45%-7.84%-3.59%-4.17%
Analytical Value-at-Risk (5%)-4.61%-7.97%-4.57%-4.86%
Conditional Value-at-Risk (5%)-5.77%-10.19%-6.00%-6.35%
Upside Capture Ratio (%)116.07155.8385.10100.00
Downside Capture Ratio (%)85.48171.8693.53100.00
Safe Withdrawal Rate62.31%62.36%57.62%59.34%
Perpetual Withdrawal Rate15.58%13.99%9.18%11.40%
Positive Periods16 out of 22 (72.73%)15 out of 22 (68.18%)14 out of 22 (63.64%)16 out of 22 (72.73%)
Gain/Loss Ratio1.160.961.300.93
* Vanguard Balanced Index Inv 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 3Vanguard Balanced Index Inv
COVID-19 StartJan 2020Mar 2020-11.23%-19.43%-11.83%-12.34%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-11.23%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.78%
3May 2019May 20191 monthJun 20191 month2 months-2.54%
4Sep 2019Sep 20191 monthOct 20191 month2 months-0.53%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
2May 2019May 20191 monthJun 20191 month2 months-6.38%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
4Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-11.83%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.29%
3May 2019May 20191 monthJun 20191 month2 months-2.90%
4Jul 2019Aug 20192 monthsSep 20191 month3 months-0.09%

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.56%
3May 2019May 20191 monthJun 20191 month2 months-3.21%
4Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund24.42%17.26%24.85%19.55%-14.63%1.292.370.98
GLDSPDR Gold Shares21.94%15.25%24.81%15.25%-10.12%1.303.100.21
VIESXVirtus KAR Emerging Markets Small-Cap I25.69%21.90%38.88%9.50%-20.54%1.101.830.89
JOHIXJOHCM International Select Institutional20.84%17.55%29.71%9.08%-15.66%1.102.050.93
CASHXCash1.18%0.28%1.72%0.44%0.00%N/AN/A-0.32
SPYSPDR S&P 500 ETF Trust19.82%20.32%18.37%17.68%-19.43%0.931.511.00
VGTSXVanguard Total Intl Stock Index Inv12.13%20.83%11.16%10.97%-24.33%0.600.870.95
VBMFXVanguard Total Bond Market Index Inv8.32%3.64%7.61%7.59%-1.55%1.935.760.03

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVIESXJOHIXCASHXSPYVGTSXVBMFXPortfolio 1Portfolio 2Portfolio 3Vanguard Balanced Index Inv
NTSXWisdomTree U.S. Efficient Core Fund1.000.280.840.93-0.270.990.900.140.940.990.960.99
GLDSPDR Gold Shares0.281.000.230.20-0.050.220.150.450.530.220.240.25
VIESXVirtus KAR Emerging Markets Small-Cap I0.840.231.000.88-0.460.880.900.050.890.880.900.89
JOHIXJOHCM International Select Institutional0.930.200.881.00-0.440.920.910.110.910.920.930.93
CASHXCash-0.27-0.05-0.46-0.441.00-0.29-0.340.25-0.35-0.29-0.28-0.29
SPYSPDR S&P 500 ETF Trust0.990.220.880.92-0.291.000.940.030.931.000.980.99
VGTSXVanguard Total Intl Stock Index Inv0.900.150.900.91-0.340.941.000.010.870.940.980.94
VBMFXVanguard Total Bond Market Index Inv0.140.450.050.110.250.030.011.000.230.030.130.14

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund$1,628
GLDSPDR Gold Shares$1,132
VIESXVirtus KAR Emerging Markets Small-Cap I$915
JOHIXJOHCM International Select Institutional$773
CASHXCash$11.11
SPYSPDR S&P 500 ETF Trust$3,930$1,146
VGTSXVanguard Total Intl Stock Index Inv$703
VBMFXVanguard Total Bond Market Index Inv$644

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund40.01%
GLDSPDR Gold Shares15.15%
VIESXVirtus KAR Emerging Markets Small-Cap I23.98%
JOHIXJOHCM International Select Institutional20.90%
CASHXCash-0.04%
SPYSPDR S&P 500 ETF Trust100.00%48.63%
VGTSXVanguard Total Intl Stock Index Inv49.79%
VBMFXVanguard Total Bond Market Index Inv1.57%

Annual Asset Returns