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.
Trailing returns are for full months ending in August 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 2020 are based on monthly returns from January to August
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 bands based (5.00% corridor) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
Year
Inflation
Return
Balance
Vanguard 500 Index Investor (VFINX)
Vanguard Interm-Term Treasury Inv (VFITX)
Cash (CASHX)
WisdomTree 90/60 US Balanced (NTSX)
Portfolio 1
Portfolio 2
Portfolio 1
Portfolio 2
2019
2.29%
31.07%
32.15%
$13,107
$13,215
31.33%
6.29%
2.13%
32.15%
2020
0.83%
14.47%
16.80%
$15,003
$15,435
9.65%
8.29%
0.41%
16.80%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
Year
Month
Return
Balance
Vanguard 500 Index Investor (VFINX)
Vanguard Interm-Term Treasury Inv (VFITX)
Cash (CASHX)
WisdomTree 90/60 US Balanced (NTSX)
Portfolio 1
Portfolio 2
Portfolio 1
Portfolio 2
2019
1
7.45%
7.86%
$10,745
$10,786
8.00%
0.58%
0.20%
7.86%
2019
2
2.65%
2.48%
$11,030
$11,054
3.20%
-0.26%
0.20%
2.48%
2019
3
2.71%
2.86%
$11,329
$11,370
1.94%
1.78%
0.20%
2.86%
2019
4
3.48%
3.45%
$11,724
$11,762
4.04%
-0.05%
0.20%
3.45%
2019
5
-4.63%
-4.27%
$11,181
$11,260
-6.36%
2.05%
0.20%
-4.27%
2019
6
6.72%
6.63%
$11,933
$12,006
7.03%
1.02%
0.19%
6.63%
2019
7
1.08%
1.33%
$12,062
$12,166
1.43%
-0.16%
0.17%
1.33%
2019
8
-0.07%
0.40%
$12,054
$12,214
-1.59%
2.48%
0.17%
0.40%
2019
9
1.13%
1.09%
$12,191
$12,347
1.86%
-0.70%
0.16%
1.09%
2019
10
1.91%
1.65%
$12,424
$12,550
2.15%
0.16%
0.15%
1.65%
2019
11
2.98%
3.07%
$12,794
$12,936
3.62%
-0.37%
0.13%
3.07%
2019
12
2.45%
2.16%
$13,107
$13,215
3.01%
-0.36%
0.13%
2.16%
2020
1
1.13%
2.03%
$13,255
$13,483
-0.05%
2.19%
0.13%
2.03%
2020
2
-6.26%
-6.55%
$12,425
$12,599
-8.24%
2.12%
0.13%
-6.55%
2020
3
-9.52%
-8.64%
$11,242
$11,510
-12.37%
2.27%
0.10%
-8.64%
2020
4
11.81%
11.76%
$12,569
$12,864
12.81%
0.46%
0.01%
11.76%
2020
5
4.53%
5.04%
$13,139
$13,512
4.76%
0.42%
0.01%
5.04%
2020
6
1.95%
1.34%
$13,395
$13,693
1.98%
0.30%
0.01%
1.34%
2020
7
5.35%
6.08%
$14,111
$14,526
5.63%
0.49%
0.01%
6.08%
2020
8
6.32%
6.26%
$15,003
$15,435
7.18%
-0.22%
0.01%
6.26%
Holdings Based Style Analysis for Portfolio 2
Holdings Based Style Analysis for Portfolio 2
Ticker
Name
Category
Weight
ER
P/E
Return Contribution
Risk Contribution
NTSX
WisdomTree 90/60 US Balanced
Large Blend
100.00%
0.20%
26.82
$5,435
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fixed Income Maturity
Fund fundamentals data as of 09/28/2020. (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
Metric
Portfolio 1
Portfolio 2
Arithmetic Mean (monthly)
2.16%
2.30%
Arithmetic Mean (annualized)
29.22%
31.38%
Geometric Mean (monthly)
2.05%
2.19%
Geometric Mean (annualized)
27.56%
29.75%
Volatility (monthly)
4.81%
4.74%
Volatility (annualized)
16.67%
16.43%
Downside Deviation (monthly)
2.75%
2.61%
Max. Drawdown
-15.19%
-14.63%
US Market Correlation
0.99
0.98
Beta(*)
0.79
0.77
Alpha (annualized)
7.26%
9.38%
R2
98.51%
96.72%
Sharpe Ratio
1.46
1.58
Sortino Ratio
2.52
2.84
Treynor Ratio (%)
31.05
33.98
Active Return
3.71%
5.90%
Tracking Error
4.94%
5.72%
Information Ratio
0.75
1.03
Skewness
-0.66
-0.58
Excess Kurtosis
1.33
1.05
Historical Value-at-Risk (5%)
-9.36%
-8.54%
Analytical Value-at-Risk (5%)
-5.61%
-5.50%
Conditional Value-at-Risk (5%)
-9.52%
-8.64%
Upside Capture Ratio (%)
87.57
88.36
Downside Capture Ratio (%)
64.93
57.67
Safe Withdrawal Rate
100.00%
100.00%
Perpetual Withdrawal Rate
31.26%
33.18%
Positive Periods
16 out of 20 (80.00%)
17 out of 20 (85.00%)
Gain/Loss Ratio
0.78
0.59
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.