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 (Jun 2019 - Dec 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$11,219 12.19% 6.81%12.19%12.19%-0.64% 2.6917.370.41
Portfolio 2$10,000$11,591 15.91% 8.92%15.91%15.91%-0.14% 2.7044.080.65
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 June to December
  • 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 backtested 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
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
20190.34%12.19%15.91%$11,219$11,59117.37%15.87%14.22%14.82%1.12%
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
201965.24%6.91%$10,524$10,6916.63%8.00%6.34%5.69%0.19%
201970.42%-0.14%$10,568$10,6761.33%0.01%-1.73%-2.13%0.17%
201982.59%1.39%$10,842$10,8240.40%7.91%-4.45%-3.20%0.17%
20199-0.64%-0.11%$10,773$10,8131.09%-3.39%2.04%2.68%0.16%
2019101.69%2.74%$10,955$11,1091.65%2.56%3.94%4.68%0.15%
2019110.13%0.45%$10,969$11,1593.07%-3.21%0.73%2.90%0.13%
2019122.28%3.87%$11,219$11,5912.16%3.66%7.06%3.68%0.13%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend35.00%0.20%19.88$60825.21%
GLDSPDR Gold SharesCommodities Focused32.00%0.40%$50871.24%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts2.50%0.93%10.41$35.552.11%
VINEXVanguard International Explorer InvForeign Small/Mid Growth2.50%0.39%14.83$37.061.28%
CASHXCashCash28.00%$31.230.17%
100.00%0.32%18.97$1,219100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend35.00%0.20%19.88$60822.23%
GLDSPDR Gold SharesCommodities Focused32.00%0.40%$50842.79%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts23.00%0.93%10.41$32726.79%
VINEXVanguard International Explorer InvForeign Small/Mid Growth10.00%0.39%14.83$1488.18%
100.00%0.45%15.93$1,591100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (c) 2020 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)1.67%2.16%
Arithmetic Mean (annualized)22.04%29.21%
Geometric Mean (monthly)1.66%2.13%
Geometric Mean (annualized)21.80%28.80%
Volatility (monthly)1.97%2.57%
Volatility (annualized)6.81%8.92%
Downside Deviation (monthly)0.24%0.07%
Max. Drawdown-0.64%-0.14%
US Market Correlation0.410.65
Beta(*)0.300.62
Alpha (annualized)11.45%8.15%
R217.06%42.07%
Sharpe Ratio2.692.70
Sortino Ratio17.3744.08
Treynor Ratio (%)60.6638.95
Active Return-10.65%-3.66%
Tracking Error9.04%7.68%
Information Ratio-1.18-0.48
Skewness0.871.14
Excess Kurtosis0.810.78
Historical Value-at-Risk (5%)-0.64%-0.14%
Analytical Value-at-Risk (5%)-1.28%-1.71%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)44.6069.34
Downside Capture Ratio (%)-129.89-69.54
Safe Withdrawal RateN/AN/A
Perpetual Withdrawal RateN/AN/A
Positive Periods6 out of 7 (85.71%)5 out of 7 (71.43%)
Gain/Loss Ratio3.2324.62
* 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 2019Sep 20191 monthOct 20191 month2 months-0.64%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2019Jul 20191 monthAug 20191 month2 months-0.14%
2Sep 2019Sep 20191 monthOct 20191 month2 months-0.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree 90/60 US Balanced17.37%7.19%17.37%17.37%0.00%3.64N/A0.92
GLDSPDR Gold Shares15.87%16.37%15.87%15.87%-4.10%1.523.870.00
VMMSXVanguard Emerg Mkts Sel Stk Inv14.22%14.52%14.22%14.22%-6.10%1.513.360.76
VINEXVanguard International Explorer Inv14.82%11.75%14.82%14.82%-5.26%1.924.230.81
CASHXCash1.12%0.08%1.12%1.12%0.00%N/AN/A0.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVMMSXVINEXCASHXPortfolio 1Portfolio 2
NTSXWisdomTree 90/60 US Balanced1.000.320.610.660.290.670.78
GLDSPDR Gold Shares0.321.000.09-0.050.500.910.72
VMMSXVanguard Emerg Mkts Sel Stk Inv0.610.091.000.91-0.160.390.71
VINEXVanguard International Explorer Inv0.66-0.050.911.00-0.180.290.62
CASHXCash0.290.50-0.16-0.181.000.480.30

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
NTSXWisdomTree 90/60 US Balanced$608$608
GLDSPDR Gold Shares$508$508
VMMSXVanguard Emerg Mkts Sel Stk Inv$35.55$327
VINEXVanguard International Explorer Inv$37.06$148
CASHXCash$31.23

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
NTSXWisdomTree 90/60 US Balanced25.21%22.23%
GLDSPDR Gold Shares71.24%42.79%
VMMSXVanguard Emerg Mkts Sel Stk Inv2.11%26.79%
VINEXVanguard International Explorer Inv1.28%8.18%
CASHXCash0.17%

Annual Asset Returns