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 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 31.00%
GLD SPDR Gold Shares 32.00%
VMMSX Vanguard Emerg Mkts Sel Stk Inv 4.00%
VINEX Vanguard International Explorer Inv 4.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 14.00%
JOHIX JOHCM International Select I 15.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 30.00%
VXUS Vanguard Total International Stock ETF 30.00%
BND Vanguard Total Bond Market ETF 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,283 22.83% 8.76%22.83%22.83%-2.76% 2.176.220.83
Portfolio 2$10,000$11,943 19.43% 7.26%19.43%19.43%-3.03% 2.214.930.96
Portfolio 3$10,000$13,122 31.22% 12.90%31.22%31.22%-6.38% 2.033.831.00
   
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.
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
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)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select I (JOHIX)SPDR S&P 500 ETF Trust (SPY)Vanguard Total International Stock ETF (VXUS)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20192.29%22.83%19.43%31.22%$12,283$11,943$13,12232.15%17.86%21.39%21.91%18.28%19.04%31.22%21.75%8.83%
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)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select I (JOHIX)SPDR S&P 500 ETF Trust (SPY)Vanguard Total International Stock ETF (VXUS)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201915.79%5.15%8.01%$10,579$10,515$10,8017.86%2.89%9.52%8.36%5.01%6.73%8.01%7.67%1.11%
201921.41%1.47%3.24%$10,728$10,669$11,1512.48%-0.61%0.14%1.78%2.86%2.25%3.24%1.63%-0.09%
201931.56%1.54%1.81%$10,896$10,833$11,3522.86%-1.60%1.97%0.06%4.30%2.92%1.81%0.77%1.94%
201941.48%2.12%4.09%$11,057$11,063$11,8163.45%-0.66%2.30%4.27%1.70%0.31%4.09%2.77%-0.02%
20195-2.76%-3.03%-6.38%$10,751$10,728$11,063-4.27%1.76%-7.11%-7.73%-5.25%-3.18%-6.38%-5.42%1.83%
201966.51%4.37%6.96%$11,452$11,197$11,8326.63%8.00%6.34%5.69%4.28%5.63%6.96%5.77%1.25%
201970.18%-0.07%1.51%$11,472$11,189$12,0111.33%0.01%-1.73%-2.13%0.56%-1.19%1.51%-1.99%0.15%
201981.45%-0.13%-1.67%$11,639$11,174$11,8100.40%7.91%-4.45%-3.20%-3.36%-2.29%-1.67%-2.17%2.77%
20199-0.56%1.19%1.95%$11,574$11,307$12,0401.09%-3.39%2.04%2.68%0.75%-0.53%1.95%2.73%-0.57%
2019102.08%1.84%2.21%$11,815$11,515$12,3061.65%2.56%3.94%4.68%0.99%1.86%2.21%3.43%0.31%
2019110.79%1.44%3.62%$11,909$11,682$12,7523.07%-3.21%0.73%2.90%1.38%3.35%3.62%0.99%-0.04%
2019123.14%2.23%2.90%$12,283$11,943$13,1222.16%3.66%7.06%3.68%4.22%2.19%2.90%4.38%-0.07%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%31.00%$99733.77%
GLDSPDR Gold SharesCommodities Precious Metals0.40%32.00%$57126.10%
VMMSXVanguard Emerg Mkts Sel Stk InvDiversified Emerging Mkts0.94%4.00%$85.566.27%
VINEXVanguard International Explorer InvForeign Small/Mid Growth0.39%4.00%$87.645.49%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts1.62%14.00%$25613.10%
JOHIXJOHCM International Select IForeign Large Growth0.99%15.00%$28615.27%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%30.00%$93752.85%
VXUSVanguard Total International Stock ETFForeign Large Blend0.09%30.00%$65351.57%
BNDVanguard Total Bond Market ETFIntermediate Core Bond6.260.04%40.00%$353-4.42%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%100.00%$3,122100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/04/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)1.76%1.51%2.35%
Arithmetic Mean (annualized)23.24%19.71%32.20%
Geometric Mean (monthly)1.73%1.49%2.29%
Geometric Mean (annualized)22.83%19.43%31.22%
Volatility (monthly)2.53%2.10%3.72%
Volatility (annualized)8.76%7.26%12.90%
Downside Deviation (monthly)0.81%0.88%1.90%
Max. Drawdown-2.76%-3.03%-6.38%
US Market Correlation0.830.961.00
Beta(*)0.540.520.96
Alpha (annualized)5.95%3.66%1.52%
R269.18%92.17%99.67%
Sharpe Ratio2.172.212.03
Sortino Ratio6.224.933.83
Treynor Ratio (%)34.9430.8527.24
Active Return-7.82%-11.22%0.57%
Tracking Error7.83%6.76%0.92%
Information Ratio-1.00-1.660.62
Skewness0.44-0.35-0.94
Excess Kurtosis0.711.522.16
Historical Value-at-Risk (5%)-2.76%-3.03%-6.38%
Analytical Value-at-Risk (5%)-2.18%-1.70%-3.77%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)57.6154.82100.02
Downside Capture Ratio (%)16.1837.8595.24
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate16.73%14.35%22.05%
Positive Periods10 out of 12 (83.33%)9 out of 12 (75.00%)10 out of 12 (83.33%)
Gain/Loss Ratio1.472.200.90
* 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
1May 2019May 20191 monthJun 20191 month2 months-2.76%
2Sep 2019Sep 20191 monthOct 20191 month2 months-0.56%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-3.03%
2Jul 2019Aug 20192 monthsSep 20191 month3 months-0.20%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-6.38%
2Aug 2019Aug 20191 monthSep 20191 month2 months-1.67%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree 90/60 US Balanced32.15%10.52%32.15%32.15%-4.27%2.535.950.97
GLDSPDR Gold Shares17.86%13.14%17.86%17.86%-4.10%1.162.850.02
VMMSXVanguard Emerg Mkts Sel Stk Inv21.39%16.43%21.39%21.39%-7.24%1.132.110.88
VINEXVanguard International Explorer Inv21.91%15.22%21.91%21.91%-7.73%1.242.120.93
VIESXVirtus KAR Emerging Markets Small-Cap I18.28%10.86%18.28%18.28%-5.25%1.412.360.88
JOHIXJOHCM International Select I19.04%10.44%19.04%19.04%-3.96%1.533.580.88
SPYSPDR S&P 500 ETF Trust31.22%12.90%31.22%31.22%-6.38%2.033.831.00
VXUSVanguard Total International Stock ETF21.75%12.58%21.75%21.75%-5.42%1.472.860.91
BNDVanguard Total Bond Market ETF8.83%3.60%8.83%8.83%-0.57%1.817.52-0.39

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVMMSXVINEXVIESXJOHIXSPYVXUSBNDPortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced1.000.160.840.880.850.900.970.87-0.150.900.970.97
GLDSPDR Gold Shares0.161.000.110.02-0.080.100.030.130.590.540.190.03
VMMSXVanguard Emerg Mkts Sel Stk Inv0.840.111.000.930.890.850.880.97-0.340.830.930.88
VINEXVanguard International Explorer Inv0.880.020.931.000.820.830.940.97-0.450.780.950.94
VIESXVirtus KAR Emerging Markets Small-Cap I0.85-0.080.890.821.000.870.890.84-0.360.750.870.89
JOHIXJOHCM International Select I0.900.100.850.830.871.000.880.85-0.130.850.910.88
SPYSPDR S&P 500 ETF Trust0.970.030.880.940.890.881.000.91-0.380.830.961.00
VXUSVanguard Total International Stock ETF0.870.130.970.970.840.850.911.00-0.350.840.960.91
BNDVanguard Total Bond Market ETF-0.150.59-0.34-0.45-0.36-0.13-0.38-0.351.000.07-0.22-0.38

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced$997
GLDSPDR Gold Shares$571
VMMSXVanguard Emerg Mkts Sel Stk Inv$85.56
VINEXVanguard International Explorer Inv$87.64
VIESXVirtus KAR Emerging Markets Small-Cap I$256
JOHIXJOHCM International Select I$286
SPYSPDR S&P 500 ETF Trust$937$3,122
VXUSVanguard Total International Stock ETF$653
BNDVanguard Total Bond Market ETF$353

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced33.77%
GLDSPDR Gold Shares26.10%
VMMSXVanguard Emerg Mkts Sel Stk Inv6.27%
VINEXVanguard International Explorer Inv5.49%
VIESXVirtus KAR Emerging Markets Small-Cap I13.10%
JOHIXJOHCM International Select I15.27%
SPYSPDR S&P 500 ETF Trust52.85%100.00%
VXUSVanguard Total International Stock ETF51.57%
BNDVanguard Total Bond Market ETF-4.42%

Annual Asset Returns