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 (Sep 2019 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 34.00%
GLD SPDR Gold Shares 29.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 13.00%
JOHIX JOHCM International Select Institutional 13.00%
CASHX Cash 11.00%
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 40.00%
VGTSX Vanguard Total Intl Stock Index Inv 20.00%
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$11,894 16.03% 13.96%13.74%4.56%-9.69% 1.072.060.93
Portfolio 2$10,000$11,438 12.21% 21.92%11.11%2.94%-19.43% 0.590.901.00
Portfolio 3$10,000$10,904 7.70% 12.54%6.60%2.29%-11.49% 0.580.850.99
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 1-0.96%17.64%16.03%
Portfolio 20.41%9.77%12.21%
Portfolio 3-0.49%6.10%7.70%
Trailing annualized returns are for full months ending in October 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 September to December
  • The annual results for 2020 are based on monthly returns from January to October
  • 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)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)
ReturnBalanceReturnBalanceReturnBalance
20190.16%4.56%$10,45611.11%$11,1116.60%$10,6608.19%-0.59%7.50%7.01%0.57%11.11%11.95%-0.59%
20201.33%13.74%$11,8942.94%$11,4382.29%$10,9049.46%23.30%17.07%11.57%0.43%2.94%-6.98%6.27%
Annual return for 2019 is from 09/01/2019 to 12/31/2019 and annual return for 2020 is from 01/01/2020 to 10/31/2020
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3WisdomTree 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)
ReturnBalanceReturnBalanceReturnBalance
20199-0.57%$9,9431.95%$10,1951.09%$10,1091.09%-3.39%0.75%-0.53%0.16%1.95%2.72%-0.60%
2019101.68%$10,1102.21%$10,4201.66%$10,2771.65%2.56%0.99%1.86%0.15%2.21%3.38%0.21%
2019110.78%$10,1893.62%$10,7971.67%$10,4483.07%-3.21%1.38%3.35%0.13%3.62%1.11%-0.06%
2019122.62%$10,4562.90%$11,1112.02%$10,6602.16%3.66%4.22%2.19%0.13%2.90%4.27%-0.15%
202011.90%$10,655-0.04%$11,1060.17%$10,6782.03%4.50%-1.10%0.25%0.13%-0.04%-3.30%2.11%
20202-3.99%$10,229-7.92%$10,227-3.76%$10,276-6.55%-0.64%-4.53%-7.93%0.13%-7.92%-6.72%1.71%
20203-5.94%$9,622-12.46%$8,952-8.03%$9,451-8.64%-0.22%-15.83%-8.39%0.10%-12.46%-16.11%-0.59%
202049.02%$10,49112.70%$10,0896.79%$10,09211.76%7.26%14.75%10.14%0.01%12.70%8.09%1.69%
202054.61%$10,9744.76%$10,5702.90%$10,3855.04%2.59%9.75%8.00%0.01%4.76%4.80%0.54%
202062.64%$11,2641.78%$10,7581.74%$10,5661.34%2.74%7.00%3.77%0.01%1.78%4.24%0.70%
202076.61%$12,0095.89%$11,3913.71%$10,9576.08%10.79%3.60%5.94%0.01%5.89%4.10%1.55%
202083.00%$12,3696.98%$12,1863.13%$11,3016.26%-0.32%5.11%3.43%0.01%6.98%4.31%-1.02%
20209-2.20%$12,098-3.74%$11,730-1.88%$11,089-3.17%-4.17%1.28%0.22%0.01%-3.74%-1.96%0.08%
202010-1.69%$11,894-2.49%$11,438-1.67%$10,904-3.22%-0.52%-0.87%-2.65%0.01%-2.49%-2.21%-0.61%

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%0.92%0.20%26.94$61542.89%
GLDSPDR Gold SharesCommodities Focused29.00%0.40%$68921.91%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts13.00%1.11%1.62%21.74$33019.54%
JOHIXJOHCM International Select InstitutionalForeign Large Growth13.00%0.32%0.98%25.66$24815.72%
CASHXCashCash11.00%0.01%$11.22-0.07%
100.00%0.50%0.59%25.54$1,894100.00%

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%26.45$1,438100.00%

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 Blend40.00%1.23%0.09%26.45$57065.92%
VGTSXVanguard Total Intl Stock Index InvForeign Large Blend20.00%2.35%0.17%18.33$90.3031.43%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.26%0.15%6.79$2442.65%
100.00%1.47%0.13%23.746.79$904100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/28/2021. (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)1.32%1.15%0.68%
Arithmetic Mean (annualized)17.05%14.74%8.49%
Geometric Mean (monthly)1.25%0.96%0.62%
Geometric Mean (annualized)16.03%12.21%7.70%
Volatility (monthly)4.03%6.33%3.62%
Volatility (annualized)13.96%21.92%12.54%
Downside Deviation (monthly)2.06%4.13%2.46%
Max. Drawdown-9.69%-19.43%-11.49%
US Market Correlation0.931.000.99
Beta(*)0.560.950.54
Alpha (annualized)7.92%0.52%0.63%
R287.36%99.71%98.18%
Sharpe Ratio1.070.590.58
Sortino Ratio2.060.900.85
Treynor Ratio (%)26.5413.6913.61
Active Return3.88%0.06%-4.45%
Tracking Error11.20%1.68%10.80%
Information Ratio0.350.03-0.41
Skewness0.06-0.54-0.93
Excess Kurtosis-0.010.861.69
Historical Value-at-Risk (5%)-4.67%-9.51%-5.25%
Analytical Value-at-Risk (5%)-5.16%-9.25%-5.31%
Conditional Value-at-Risk (5%)-5.94%-12.46%-8.03%
Upside Capture Ratio (%)65.4296.5152.41
Downside Capture Ratio (%)44.8996.0256.46
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate14.66%11.26%6.92%
Positive Periods9 out of 14 (64.29%)9 out of 14 (64.29%)10 out of 14 (71.43%)
Gain/Loss Ratio1.270.890.65
* 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
1Feb 2020Mar 20202 monthsMay 20202 months4 months-9.69%
2Sep 2020Oct 20202 months-3.84%
3Sep 2019Sep 20191 monthOct 20191 month2 months-0.57%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
2Sep 2020Oct 20202 months-6.14%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-11.49%
2Sep 2020Oct 20202 months-3.51%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund15.60%18.64%9.46%8.19%-14.63%0.821.390.98
GLDSPDR Gold Shares19.06%14.58%23.30%-0.59%-4.98%1.212.930.47
VIESXVirtus KAR Emerging Markets Small-Cap I21.79%24.43%17.07%7.50%-20.54%0.891.420.92
JOHIXJOHCM International Select Institutional16.41%18.25%11.57%7.01%-15.66%0.871.440.94
CASHXCash0.86%0.23%0.57%0.43%0.00%N/AN/A-0.34
SPYSPDR S&P 500 ETF Trust12.21%21.92%11.11%2.94%-19.43%0.590.901.00
VGTSXVanguard Total Intl Stock Index Inv3.54%21.51%11.95%-6.98%-24.33%0.230.290.94
VBMFXVanguard Total Bond Market Index Inv4.82%3.52%6.27%-0.59%-1.55%1.112.620.18

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVIESXJOHIXCASHXSPYVGTSXVBMFXPortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund1.000.560.870.94-0.330.990.870.260.960.990.97
GLDSPDR Gold Shares0.561.000.400.52-0.260.490.380.630.740.490.52
VIESXVirtus KAR Emerging Markets Small-Cap I0.870.401.000.92-0.480.900.940.260.870.900.93
JOHIXJOHCM International Select Institutional0.940.520.921.00-0.460.930.890.230.940.930.93
CASHXCash-0.33-0.26-0.48-0.461.00-0.32-0.30-0.03-0.40-0.32-0.30
SPYSPDR S&P 500 ETF Trust0.990.490.900.93-0.321.000.930.170.941.000.99
VGTSXVanguard Total Intl Stock Index Inv0.870.380.940.89-0.300.931.000.110.850.930.96
VBMFXVanguard Total Bond Market Index Inv0.260.630.260.23-0.030.170.111.000.400.170.25

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund$615
GLDSPDR Gold Shares$689
VIESXVirtus KAR Emerging Markets Small-Cap I$330
JOHIXJOHCM International Select Institutional$248
CASHXCash$11.22
SPYSPDR S&P 500 ETF Trust$1,438$570
VGTSXVanguard Total Intl Stock Index Inv$90.30
VBMFXVanguard Total Bond Market Index Inv$244

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree U.S. Efficient Core Fund42.89%
GLDSPDR Gold Shares21.91%
VIESXVirtus KAR Emerging Markets Small-Cap I19.54%
JOHIXJOHCM International Select Institutional15.72%
CASHXCash-0.07%
SPYSPDR S&P 500 ETF Trust100.00%65.92%
VGTSXVanguard Total Intl Stock Index Inv31.43%
VBMFXVanguard Total Bond Market Index Inv2.65%

Annual Asset Returns