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 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 80.00%
TAIL Cambria Tail Risk ETF 20.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,899 22.06% 10.95%22.87%21.27%-7.59% 1.763.760.95

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 17.40%21.27%22.06%
Trailing annualized returns are for full months ending in December 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.
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceWisdomTree 90/60 US Balanced (NTSX)Cambria Tail Risk ETF (TAIL)
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceWisdomTree 90/60 US Balanced (NTSX)Cambria Tail Risk ETF (TAIL)

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend80.00%0.93%0.20%28.07$5,015119.09%
TAILCambria Tail Risk ETFInverse Equity20.00%1.02%0.59%27.60-$115-19.09%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 05/11/2021. (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 1
Arithmetic Mean (monthly)1.72%
Arithmetic Mean (annualized)22.75%
Geometric Mean (monthly)1.68%
Geometric Mean (annualized)22.06%
Volatility (monthly)3.16%
Volatility (annualized)10.95%
Downside Deviation (monthly)1.45%
Max. Drawdown-7.59%
US Market Correlation0.95
Alpha (annualized)8.32%
Sharpe Ratio1.76
Sortino Ratio3.76
Treynor Ratio (%)39.64
Active Return-3.60%
Tracking Error11.38%
Information Ratio-0.32
Excess Kurtosis-0.25
Historical Value-at-Risk (5%)-3.48%
Analytical Value-at-Risk (5%)-3.54%
Conditional Value-at-Risk (5%)-3.87%
Upside Capture Ratio (%)57.67
Downside Capture Ratio (%)35.09
Safe Withdrawal Rate65.43%
Perpetual Withdrawal Rate16.58%
Positive Periods19 out of 24 (79.17%)
Gain/Loss Ratio0.96
* 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-7.59%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.09%
3May 2019May 20191 monthJun 20191 month2 months-2.65%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree 90/60 US Balanced28.45%17.02%32.15%24.85%-14.63%1.492.830.98
TAILCambria Tail Risk ETF-4.26%15.01%6.92%-14.27%-14.27%-0.30-0.48-0.88

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXTAILPortfolio 1
NTSXWisdomTree 90/60 US Balanced1.00-0.810.99
TAILCambria Tail Risk ETF-0.811.00-0.72

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
NTSXWisdomTree 90/60 US Balanced$5,015
TAILCambria Tail Risk ETF-$115

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
NTSXWisdomTree 90/60 US Balanced119.09%
TAILCambria Tail Risk ETF-19.09%

Annual Asset Returns