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 (Jun 2019 - Aug 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 35.00%
GLD SPDR Gold Shares 32.00%
VMMSX Vanguard Emerg Mkts Sel Stk Inv 2.50%
VINEX Vanguard International Explorer Inv 2.50%
CASHX Cash 28.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 35.00%
GLD SPDR Gold Shares 32.00%
VMMSX Vanguard Emerg Mkts Sel Stk Inv 23.00%
VINEX Vanguard International Explorer Inv 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,842 8.42% 8.34%8.42%8.42%0.00%3.68N/A0.65
Portfolio 2$10,000$10,824 8.24% 12.85%8.24%8.24%-0.14% 2.3645.890.83
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 2019 are based on full calendar months from June to August
  • 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)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20190.19%8.42%8.24%$10,842$10,8248.48%16.56%-0.15%0.12%0.56%
Annual returns for 2019 are based on partial year data
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)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201965.23%6.91%$10,523$10,6916.63%8.00%6.34%5.69%0.18%
201970.43%-0.14%$10,568$10,6761.33%0.01%-1.73%-2.13%0.19%
201982.59%1.39%$10,842$10,8240.40%7.91%-4.45%-3.20%0.19%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%35.00%$29740.15%
GLDSPDR Gold SharesCommodities Precious Metals0.40%32.00%$53051.28%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts0.94%2.50%-$0.364.41%
VINEXVanguard International Explorer InvForeign Small/Mid Growth0.39%2.50%$0.314.22%
CASHXCashCash28.00%$15.71-0.06%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%35.00%$29729.75%
GLDSPDR Gold SharesCommodities Precious Metals0.40%32.00%$53026.66%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts0.94%23.00%-$3.3431.20%
VINEXVanguard International Explorer InvForeign Small/Mid Growth0.39%10.00%$1.2512.38%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 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 2
Arithmetic Mean (monthly)2.75%2.72%
Arithmetic Mean (annualized)38.49%37.99%
Geometric Mean (monthly)2.73%2.68%
Geometric Mean (annualized)38.19%37.28%
Volatility (monthly)2.41%3.71%
Volatility (annualized)8.34%12.85%
Downside Deviation (monthly)0.00%0.08%
Max. Drawdown0.00%-0.14%
US Market Correlation0.650.83
Beta(*)0.350.67
Alpha (annualized)24.15%15.41%
R242.72%68.14%
Sharpe Ratio3.682.36
Sortino RatioN/A45.89
Treynor Ratio (%)88.7245.05
Active Return10.46%9.55%
Tracking Error12.05%8.87%
Information Ratio0.871.08
Skewness0.291.41
Excess KurtosisN/AN/A
Historical Value-at-Risk (5%)0.00%-0.14%
Analytical Value-at-Risk (5%)-0.51%-2.30%
Conditional Value-at-Risk (5%)0.00%N/A
Upside Capture Ratio (%)64.0477.41
Downside Capture Ratio (%)-137.20-72.31
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods3 out of 3 (100.00%)2 out of 3 (66.67%)
Gain/Loss RatioN/A29.39
* 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
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Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2019Jul 20191 monthAug 20191 month2 months-0.14%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree 90/60 US Balanced8.48%11.65%8.48%8.48%0.00%2.67N/A0.97
GLDSPDR Gold Shares16.56%15.90%16.56%16.56%0.00%3.86168.370.14
VMMSXVanguard Emerg Mkts Sel Stk Inv-0.15%19.45%-0.15%-0.15%-6.10%-0.08-0.160.99
VINEXVanguard International Explorer Inv0.12%16.81%0.12%0.12%-5.26%-0.05-0.100.96
CASHXCash0.56%0.02%0.56%0.56%0.00%8.94N/A-0.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVMMSXVINEXCASHXPortfolio 1Portfolio 2
NTSXWisdomTree 90/60 US Balanced-0.390.991.00-0.990.820.94
GLDSPDR Gold Shares0.39-0.280.41-0.510.840.68
VMMSXVanguard Emerg Mkts Sel Stk Inv0.990.28-0.99-0.970.760.90
VINEXVanguard International Explorer Inv1.000.410.99--0.990.840.95
CASHXCash-0.99-0.51-0.97-0.99--0.89-0.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
NTSXWisdomTree 90/60 US Balanced$297$297
GLDSPDR Gold Shares$530$530
VMMSXVanguard Emerg Mkts Sel Stk Inv-$0.36-$3.34
VINEXVanguard International Explorer Inv$0.31$1.25
CASHXCash$15.71

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
NTSXWisdomTree 90/60 US Balanced40.15%29.75%
GLDSPDR Gold Shares51.28%26.66%
VMMSXVanguard Emerg Mkts Sel Stk Inv4.41%31.20%
VINEXVanguard International Explorer Inv4.22%12.38%
CASHXCash-0.06%

Annual Asset Returns