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 (Jan 2019 - Nov 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%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,149 24.95% 15.15%31.07%19.26%-15.19% 1.502.740.99
Portfolio 2$10,000$19,577 25.90% 15.26%32.15%18.66%-14.63% 1.542.900.97
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized Return
3 MonthYTD1 yearFull
Portfolio 10.36%13.08%25.24%24.22%
Portfolio 20.46%12.05%23.70%25.04%
Trailing returns are as of last full calendar quarter ending September 2021
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 November
  • 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)
ReturnBalanceReturnBalance
20192.29%31.07%$13,10732.15%$13,21531.33%6.29%2.13%32.15%
20201.36%22.51%$16,05724.85%$16,49918.25%8.21%0.44%24.85%
20216.19%19.26%$19,14918.66%$19,57723.04%-1.95%0.04%18.66%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
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)
ReturnBalanceReturnBalance
201917.45%$10,7457.86%$10,7868.00%0.58%0.20%7.86%
201922.65%$11,0302.48%$11,0543.20%-0.26%0.20%2.48%
201932.71%$11,3292.86%$11,3701.94%1.78%0.20%2.86%
201943.48%$11,7243.45%$11,7624.04%-0.05%0.20%3.45%
20195-4.63%$11,181-4.27%$11,260-6.36%2.05%0.20%-4.27%
201966.72%$11,9336.63%$12,0067.03%1.02%0.19%6.63%
201971.08%$12,0621.33%$12,1661.43%-0.16%0.17%1.33%
20198-0.07%$12,0540.40%$12,214-1.59%2.48%0.17%0.40%
201991.13%$12,1911.09%$12,3471.86%-0.70%0.16%1.09%
2019101.91%$12,4241.65%$12,5502.15%0.16%0.15%1.65%
2019112.98%$12,7943.07%$12,9363.62%-0.37%0.13%3.07%
2019122.45%$13,1072.16%$13,2153.01%-0.36%0.13%2.16%
202011.13%$13,2552.03%$13,483-0.05%2.19%0.13%2.03%
20202-6.26%$12,425-6.55%$12,599-8.24%2.12%0.13%-6.55%
20203-9.52%$11,242-8.64%$11,510-12.37%2.27%0.10%-8.64%
2020411.81%$12,56911.76%$12,86412.81%0.46%0.01%11.76%
202054.53%$13,1395.04%$13,5124.76%0.42%0.01%5.04%
202061.95%$13,3951.34%$13,6931.98%0.30%0.01%1.34%
202075.35%$14,1116.08%$14,5265.63%0.49%0.01%6.08%
202086.32%$15,0036.26%$15,4357.18%-0.22%0.01%6.26%
20209-3.37%$14,497-3.17%$14,945-3.81%0.16%0.01%-3.17%
202010-2.76%$14,097-3.22%$14,465-2.67%-0.59%0.01%-3.22%
20201110.02%$15,50910.43%$15,97410.94%0.23%0.01%10.43%
2020123.54%$16,0573.29%$16,4993.84%0.14%0.01%3.29%
20211-1.19%$15,866-1.42%$16,265-1.02%-0.46%0.01%-1.42%
202121.72%$16,1380.61%$16,3642.75%-1.32%0.01%0.61%
202133.49%$16,7013.09%$16,8694.37%-0.88%0.00%3.09%
202145.22%$17,5734.93%$17,7005.32%0.72%0.00%4.93%
202150.91%$17,7330.74%$17,8320.69%0.52%0.00%0.74%
202162.02%$18,0923.21%$18,4032.31%-0.09%0.00%3.21%
202172.78%$18,5943.25%$19,0012.38%1.13%0.00%3.25%
202182.56%$19,0702.67%$19,5083.03%-0.28%0.01%2.67%
20219-4.79%$18,157-5.23%$18,488-4.66%-0.97%0.00%-5.23%
2021105.89%$19,2276.19%$19,6326.99%-0.72%0.00%6.19%
202111-0.40%$19,149-0.28%$19,577-0.70%0.42%0.00%-0.28%

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
NTSXWisdomTree U.S. Efficient Core FundLarge Blend100.00%0.88%0.20%0.20%24.50$9,577100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (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)1.97%2.03%
Arithmetic Mean (annualized)26.32%27.29%
Geometric Mean (monthly)1.87%1.94%
Geometric Mean (annualized)24.95%25.90%
Standard Deviation (monthly)4.37%4.40%
Standard Deviation (annualized)15.15%15.26%
Downside Deviation (monthly)2.36%2.30%
Max. Drawdown-15.19%-14.63%
US Market Correlation0.990.97
Beta(*)0.810.81
Alpha (annualized)4.05%4.98%
R297.23%94.42%
Sharpe Ratio1.501.54
Sortino Ratio2.742.90
Treynor Ratio (%)27.9529.14
Active Return0.10%1.05%
Tracking Error4.28%5.07%
Information Ratio0.020.21
Skewness-0.37-0.27
Excess Kurtosis0.870.54
Historical Value-at-Risk (5%)-5.23%-5.63%
Analytical Value-at-Risk (5%)-5.15%-5.21%
Conditional Value-at-Risk (5%)-7.89%-7.60%
Upside Capture Ratio (%)87.8688.56
Downside Capture Ratio (%)75.5372.18
Safe Withdrawal Rate70.12%71.30%
Perpetual Withdrawal Rate24.18%25.01%
Positive Periods26 out of 35 (74.29%)27 out of 35 (77.14%)
Gain/Loss Ratio1.070.94
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-15.19%-14.63%

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%
3Sep 2021Sep 20211 monthOct 20211 month2 months-4.79%
4May 2019May 20191 monthJun 20191 month2 months-4.63%
5Jan 2021Jan 20211 monthFeb 20211 month2 months-1.19%
6Nov 2021Nov 20211 month-0.40%
7Aug 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%
3Sep 2021Sep 20211 monthOct 20211 month2 months-5.23%
4May 2019May 20191 monthJun 20191 month2 months-4.27%
5Jan 2021Jan 20211 monthMar 20212 months3 months-1.42%
6Nov 2021Nov 20211 month-0.28%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor24.86%17.61%31.33%18.25%-19.63%1.302.211.00
VFITXVanguard Interm-Term Treasury Inv4.21%3.45%8.21%-1.95%-2.92%0.992.24-0.39
CASHXCash0.89%0.29%2.13%0.04%0.00%N/AN/A-0.16
NTSXWisdomTree U.S. Efficient Core Fund25.90%15.26%32.15%18.66%-14.63%1.542.900.97

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnExpense Ratio
Quarter to DateYear To Date1 yearNetGross
Vanguard 500 Index Investor0.56%15.81%29.84%0.14%0.14%
Vanguard Interm-Term Treasury Inv-0.13%-1.66%-1.88%0.20%0.20%
Cash0.01%0.03%0.06%
WisdomTree U.S. Efficient Core Fund0.46%12.05%23.70%0.20%0.20%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFITXCASHXNTSXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor1.00-0.38-0.150.980.990.98
VFITXVanguard Interm-Term Treasury Inv-0.381.000.40-0.21-0.26-0.21
CASHXCash-0.150.401.00-0.10-0.11-0.10
NTSXWisdomTree U.S. Efficient Core Fund0.98-0.21-0.101.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$8,479
VFITXVanguard Interm-Term Treasury Inv$817
CASHXCash-$147
NTSXWisdomTree U.S. Efficient Core Fund$9,577

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor103.44%
VFITXVanguard Interm-Term Treasury Inv-3.54%
CASHXCash0.11%
NTSXWisdomTree U.S. Efficient Core Fund100.00%

Annual Asset Returns