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 Assets 
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 2019 - May 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 90.00%
VFITX Vanguard Interm-Term Treasury Inv 60.00%
CASHX Cash -50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$17,733 26.75% 15.80%31.07%10.44%-15.19% 1.522.810.99
Portfolio 2$10,000$17,832 27.04% 15.78%32.15%8.08%-14.63% 1.542.950.97

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Portfolio 19.89%10.44%34.97%26.75%
Portfolio 28.97%8.08%31.97%27.04%
Trailing annualized returns are for full months ending in May 2021 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 2021 are based on monthly returns from January to May
  • 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
YearInflationPortfolio 1Portfolio 2Vanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)WisdomTree U.S. Efficient Core Fund (NTSX)
Annual return for 2021 is from 01/01/2021 to 05/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)WisdomTree U.S. Efficient Core Fund (NTSX)

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend100.00%0.92%0.20%27.79$7,832100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (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 2
Arithmetic Mean (monthly)2.09%2.11%
Arithmetic Mean (annualized)28.24%28.53%
Geometric Mean (monthly)2.00%2.01%
Geometric Mean (annualized)26.75%27.04%
Volatility (monthly)4.56%4.55%
Volatility (annualized)15.80%15.78%
Downside Deviation (monthly)2.43%2.34%
Max. Drawdown-15.19%-14.63%
US Market Correlation0.990.97
Alpha (annualized)4.42%4.94%
Sharpe Ratio1.521.54
Sortino Ratio2.812.95
Treynor Ratio (%)29.9730.70
Active Return-0.02%0.27%
Tracking Error4.55%5.38%
Information Ratio-0.010.05
Excess Kurtosis0.890.57
Historical Value-at-Risk (5%)-5.60%-5.64%
Analytical Value-at-Risk (5%)-5.31%-5.38%
Conditional Value-at-Risk (5%)-7.89%-7.60%
Upside Capture Ratio (%)86.6785.06
Downside Capture Ratio (%)73.6068.83
Safe Withdrawal Rate70.12%71.30%
Perpetual Withdrawal Rate22.27%22.48%
Positive Periods22 out of 29 (75.86%)23 out of 29 (79.31%)
Gain/Loss Ratio1.010.85
* 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 monthsJun 20203 months5 months-15.19%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.04%
3May 2019May 20191 monthJun 20191 month2 months-4.63%
4Jan 2021Jan 20211 monthFeb 20211 month2 months-1.19%
5Aug 2019Aug 20191 monthSep 20191 month2 months-0.07%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-14.63%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.29%
3May 2019May 20191 monthJun 20191 month2 months-4.27%
4Jan 2021Jan 20211 monthMar 20212 months3 months-1.42%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor26.00%18.52%31.33%12.57%-19.63%
VFITXVanguard Interm-Term Treasury Inv5.33%3.55%8.21%-1.44%-2.92%1.222.98-0.45
NTSXWisdomTree U.S. Efficient Core Fund27.04%15.78%32.15%8.08%-14.63%1.542.950.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFITXCASHXNTSXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.00-0.44-0.190.980.990.98
VFITXVanguard Interm-Term Treasury Inv-0.441.000.37-0.27-0.33-0.27
NTSXWisdomTree U.S. Efficient Core Fund0.98-0.27-

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$6,995
VFITXVanguard Interm-Term Treasury Inv$884
NTSXWisdomTree U.S. Efficient Core Fund$7,832

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor104.34%
VFITXVanguard Interm-Term Treasury Inv-4.48%
NTSXWisdomTree U.S. Efficient Core Fund100.00%

Annual Asset Returns