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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2020 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NUSI Nationwide Risk-Managed Income ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
BND Vanguard Total Bond Market ETF 50.00%
QQQ Invesco QQQ Trust 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,862 18.62% 15.63%-8.04% 1.141.910.70
Portfolio 2$10,000$12,806 28.06% 14.33%-6.38% 1.774.070.95
   
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 1Portfolio 2Nationwide Risk-Managed Income ETF (NUSI)Vanguard Total Bond Market ETF (BND)Invesco QQQ Trust (QQQ)
ReturnBalanceReturnBalance
20201.36%18.62%$11,86228.06%$12,80618.62%7.71%48.40%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Nationwide Risk-Managed Income ETF (NUSI)Vanguard Total Bond Market ETF (BND)Invesco QQQ Trust (QQQ)
ReturnBalanceReturnBalance
202013.01%$10,3012.51%$10,2513.01%1.98%3.04%
20202-4.58%$9,830-2.21%$10,024-4.58%1.67%-6.06%
20203-0.80%$9,752-4.26%$9,597-0.80%-1.43%-7.29%
202049.97%$10,7248.47%$10,4109.97%2.76%14.97%
202051.38%$10,8723.61%$10,7861.38%0.67%6.60%
202063.98%$11,3053.53%$11,1673.98%0.67%6.28%
202071.32%$11,4544.54%$11,6741.32%1.45%7.35%
202083.70%$11,8775.45%$12,3103.70%-0.94%10.94%
20209-8.04%$10,922-3.31%$11,902-8.04%-0.10%-5.78%
2020102.19%$11,162-1.93%$11,6722.19%-0.56%-3.04%
2020113.47%$11,5496.67%$12,4513.47%1.21%11.23%
2020122.71%$11,8622.85%$12,8062.71%0.15%4.90%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NUSINationwide Risk-Managed Income ETFOptions Trading100.00%7.45%0.68%33.88$1,862100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond50.00%1.95%0.04%6.79$3868.29%
QQQInvesco QQQ TrustLarge Growth50.00%0.46%0.20%33.89$2,42091.71%
100.00%1.21%0.12%33.896.79$2,806100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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)1.53%2.16%
Arithmetic Mean (annualized)19.93%29.23%
Geometric Mean (monthly)1.43%2.08%
Geometric Mean (annualized)18.62%28.06%
Volatility (monthly)4.51%4.14%
Volatility (annualized)15.63%14.33%
Downside Deviation (monthly)2.68%1.77%
Max. Drawdown-8.04%-6.38%
US Market Correlation0.700.95
Beta(*)0.400.49
Alpha (annualized)9.36%14.76%
R248.56%89.77%
Sharpe Ratio1.141.77
Sortino Ratio1.914.07
Treynor Ratio (%)45.1251.60
Active Return-2.25%7.19%
Tracking Error20.03%14.65%
Information Ratio-0.110.49
Skewness-0.56-0.28
Excess Kurtosis1.65-1.13
Historical Value-at-Risk (5%)-6.13%-3.74%
Analytical Value-at-Risk (5%)-5.90%-4.29%
Conditional Value-at-Risk (5%)-8.04%-4.26%
Upside Capture Ratio (%)47.5165.73
Downside Capture Ratio (%)32.9435.47
Safe Withdrawal Rate100.00%100.00%
Perpetual Withdrawal Rate14.55%20.85%
Positive Periods9 out of 12 (75.00%)8 out of 12 (66.67%)
Gain/Loss Ratio0.791.61
* 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 2020-5.34%-6.38%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Sep 20201 month-8.04%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-5.34%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-6.38%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.18%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NUSINationwide Risk-Managed Income ETF18.62%15.63%-8.04%1.141.910.70
BNDVanguard Total Bond Market ETF7.71%4.35%-1.59%1.643.750.47
QQQInvesco QQQ Trust48.40%25.96%-12.90%1.643.670.95

Monthly Correlations

Correlations for the portfolio assets
TickerNameNUSIBNDQQQPortfolio 1Portfolio 2
NUSINationwide Risk-Managed Income ETF1.000.350.811.000.80
BNDVanguard Total Bond Market ETF0.351.000.450.350.54
QQQInvesco QQQ Trust0.810.451.000.810.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
NUSINationwide Risk-Managed Income ETF$1,862
BNDVanguard Total Bond Market ETF$386
QQQInvesco QQQ Trust$2,420

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
NUSINationwide Risk-Managed Income ETF100.00%
BNDVanguard Total Bond Market ETF8.29%
QQQInvesco QQQ Trust91.71%

Annual Asset Returns