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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Asset 1

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Asset 3

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Asset 4

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Asset 5

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Asset 8

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Asset 10

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Portfolio Analysis Results (Jan 2020 - Sep 2021)

Note: The time period was constrained by the available data for Nationwide Risk-Managed Income ETF (NUSI) [Jan 2020 - Sep 2021].

Portfolio Allocations

NUSI
Ticker	Name	Allocation
NUSI	Nationwide Risk-Managed Income ETF	100.00%
Save portfolio »

60/40
Ticker	Name	Allocation
VTI	Vanguard Total Stock Market ETF	60.00%
VGLT	Vanguard Long-Term Treasury ETF	40.00%
Save portfolio »

Neapolitan
Ticker	Name	Allocation
VT	Vanguard Total World Stock ETF	40.00%
EDV	Vanguard Extended Duration Trs ETF	30.00%
SGOL	Aberdeen Standard Gold ETF	30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
NUSI	$10,000	$12,557	13.90%	13.00%	18.62%	5.86%	-8.04%	1.04	1.77	0.68
60/40	$10,000	$12,702	14.64%	11.19%	19.65%	6.16%	-6.51%	1.25	2.52	0.88
Neapolitan	$10,000	$12,019	11.08%	10.81%	21.24%	-0.87%	-6.22%	1.00	2.08	0.61

Trailing Returns

Trailing Returns
Name	3 Month	YTD	1 year	Full
NUSI	-0.54%	5.86%	14.97%	13.90%
60/40	0.15%	6.16%	13.65%	14.64%
Neapolitan	-0.65%	-0.87%	3.42%	11.08%
Trailing annualized returns are for full months ending in September 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 September
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
Year	Inflation	NUSI		60/40		Neapolitan		Nationwide Risk-Managed Income ETF (NUSI)	Vanguard Total Stock Market ETF (VTI)	Vanguard Long-Term Treasury ETF (VGLT)	Vanguard Total World Stock ETF (VT)	Vanguard Extended Duration Trs ETF (EDV)	Aberdeen Standard Gold ETF (SGOL)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Nationwide Risk-Managed Income ETF (NUSI)	Vanguard Total Stock Market ETF (VTI)	Vanguard Long-Term Treasury ETF (VGLT)	Vanguard Total World Stock ETF (VT)	Vanguard Extended Duration Trs ETF (EDV)	Aberdeen Standard Gold ETF (SGOL)
2020	1.36%	18.62%	$11,862	19.65%	$11,965	21.24%	$12,124	18.62%	21.03%	17.57%	16.61%	23.62%	25.03%
2021	5.31%	5.86%	$12,557	6.16%	$12,702	-0.87%	$12,019	5.86%	15.18%	-7.36%	11.26%	-10.10%	-7.82%
Annual return for 2021 is from 01/01/2021 to 09/30/2021

Monthly returns for the configured portfolios
Year	Month	NUSI		60/40		Neapolitan		Nationwide Risk-Managed Income ETF (NUSI)	Vanguard Total Stock Market ETF (VTI)	Vanguard Long-Term Treasury ETF (VGLT)	Vanguard Total World Stock ETF (VT)	Vanguard Extended Duration Trs ETF (EDV)	Aberdeen Standard Gold ETF (SGOL)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Nationwide Risk-Managed Income ETF (NUSI)	Vanguard Total Stock Market ETF (VTI)	Vanguard Long-Term Treasury ETF (VGLT)	Vanguard Total World Stock ETF (VT)	Vanguard Extended Duration Trs ETF (EDV)	Aberdeen Standard Gold ETF (SGOL)
2020	1	3.01%	$10,301	2.88%	$10,288	3.81%	$10,381	3.01%	-0.06%	7.29%	-1.56%	10.32%	4.45%
2020	2	-4.58%	$9,830	-1.91%	$10,091	-0.29%	$10,350	-4.58%	-8.00%	6.60%	-7.22%	8.24%	-0.59%
2020	3	-0.80%	$9,752	-4.69%	$9,618	-2.49%	$10,093	-0.80%	-13.91%	6.42%	-14.76%	8.03%	-0.20%
2020	4	9.97%	$10,724	6.98%	$10,289	6.34%	$10,732	9.97%	13.13%	0.97%	10.37%	2.35%	7.26%
2020	5	1.38%	$10,872	1.99%	$10,494	1.30%	$10,872	1.38%	5.40%	-1.73%	5.21%	-3.23%	2.65%
2020	6	3.98%	$11,305	1.40%	$10,641	2.05%	$11,095	3.98%	2.29%	0.35%	3.07%	0.47%	2.76%
2020	7	1.32%	$11,454	5.03%	$11,177	7.38%	$11,914	1.32%	5.74%	4.19%	5.29%	6.29%	10.79%
2020	8	3.70%	$11,877	1.72%	$11,369	-0.42%	$11,864	3.70%	7.10%	-4.80%	6.01%	-6.73%	-0.26%
2020	9	-8.04%	$10,922	-1.70%	$11,176	-2.05%	$11,621	-8.04%	-3.54%	0.81%	-2.92%	1.07%	-4.17%
2020	10	2.19%	$11,162	-2.54%	$10,892	-2.38%	$11,345	2.19%	-1.95%	-3.30%	-2.05%	-4.49%	-0.55%
2020	11	3.47%	$11,549	7.37%	$11,695	3.34%	$11,724	3.47%	11.80%	1.50%	12.37%	2.42%	-5.37%
2020	12	2.71%	$11,862	2.30%	$11,965	3.41%	$12,124	2.71%	4.68%	-1.16%	4.94%	-1.74%	7.03%
2021	1	0.65%	$11,939	-1.61%	$11,772	-2.45%	$11,827	0.65%	-0.33%	-3.52%	-0.23%	-4.70%	-3.17%
2021	2	-0.08%	$11,929	-0.28%	$11,739	-3.03%	$11,469	-0.08%	3.14%	-5.58%	2.67%	-7.74%	-6.21%
2021	3	-1.10%	$11,798	0.47%	$11,794	-0.86%	$11,370	-1.10%	3.65%	-4.91%	2.85%	-6.27%	-1.20%
2021	4	3.53%	$12,214	4.07%	$12,274	3.63%	$11,783	3.53%	5.04%	2.29%	4.13%	2.87%	3.54%
2021	5	-1.54%	$12,027	0.26%	$12,306	2.91%	$12,126	-1.54%	0.46%	-0.11%	1.58%	-0.11%	7.77%
2021	6	4.97%	$12,625	3.06%	$12,683	-0.23%	$12,098	4.97%	2.48%	4.17%	1.18%	5.48%	-7.16%
2021	7	1.47%	$12,810	2.40%	$12,988	2.32%	$12,378	1.47%	1.74%	3.66%	0.62%	4.97%	2.53%
2021	8	1.58%	$13,012	1.76%	$13,216	0.94%	$12,495	1.58%	2.86%	-0.27%	2.26%	-0.28%	0.06%
2021	9	-3.50%	$12,557	-3.89%	$12,702	-3.81%	$12,019	-3.50%	-4.46%	-2.80%	-4.10%	-3.84%	-3.33%

Holdings Based Style Analysis for NUSI

Holdings Based Style Analysis for NUSI
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
NUSI	Nationwide Risk-Managed Income ETF	Options Trading	100.00%	7.84%	0.68%	31.87	$2,557	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 60/40

Holdings Based Style Analysis for 60/40
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
VTI	Vanguard Total Stock Market ETF	Large Blend	60.00%	1.28%	0.03%	24.25		$2,351	92.14%
VGLT	Vanguard Long-Term Treasury ETF	Long Government	40.00%	1.85%	0.05%		18.10	$351	7.86%
			100.00%	1.51%	0.04%	24.25	18.10	$2,702	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Neapolitan

Holdings Based Style Analysis for Neapolitan
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
VT	Vanguard Total World Stock ETF	World Large-Stock Blend	40.00%	1.69%	0.08%	19.95		$1,211	42.90%
EDV	Vanguard Extended Duration Trs ETF	Long Government	30.00%	2.00%	0.07%		24.68	$341	22.27%
SGOL	Aberdeen Standard Gold ETF	Commodities Focused	30.00%		0.17%			$466	34.83%
			100.00%	1.28%	0.10%	19.95	24.68	$2,019	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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
Metric	NUSI	60/40	Neapolitan
Arithmetic Mean (monthly)	1.16%	1.19%	0.93%
Arithmetic Mean (annualized)	14.81%	15.31%	11.68%
Geometric Mean (monthly)	1.09%	1.15%	0.88%
Geometric Mean (annualized)	13.90%	14.64%	11.08%
Volatility (monthly)	3.75%	3.23%	3.12%
Volatility (annualized)	13.00%	11.19%	10.81%
Downside Deviation (monthly)	2.20%	1.59%	1.49%
Max. Drawdown	-8.04%	-6.51%	-6.22%
US Market Correlation	0.68	0.88	0.61
Beta^(*)	0.42	0.46	0.31
Alpha (annualized)	5.08%	4.50%	4.49%
R²	46.40%	78.06%	37.82%
Sharpe Ratio	1.04	1.25	1.00
Sortino Ratio	1.77	2.52	2.08
Treynor Ratio (%)	32.75	30.30	34.72
Active Return	-6.86%	-6.11%	-9.68%
Tracking Error	15.67%	12.56%	16.95%
Information Ratio	-0.44	-0.49	-0.57
Skewness	-0.30	0.09	0.35
Excess Kurtosis	1.67	-0.30	-0.63
Historical Value-at-Risk (5%)	-4.58%	-3.89%	-3.03%
Analytical Value-at-Risk (5%)	-5.02%	-4.39%	-4.28%
Conditional Value-at-Risk (5%)	-8.04%	-4.69%	-3.81%
Upside Capture Ratio (%)	46.42	51.33	37.52
Downside Capture Ratio (%)	36.25	42.64	31.08
Safe Withdrawal Rate	100.00%	100.00%	100.00%
Perpetual Withdrawal Rate	14.99%	15.96%	11.18%
Positive Periods	14 out of 21 (66.67%)	14 out of 21 (66.67%)	11 out of 21 (52.38%)
Gain/Loss Ratio	1.12	1.25	1.89
^* 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 Period	Start	End	NUSI	60/40	Neapolitan
COVID-19 Start	Jan 2020	Mar 2020	-5.34%	-6.51%	-2.77%

Drawdowns for NUSI

Drawdowns for NUSI
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2020	Sep 2020	1 month	Jan 2021	4 months	5 months	-8.04%
2	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-5.34%
3	Sep 2021	Sep 2021	1 month				-3.50%
4	May 2021	May 2021	1 month	Jun 2021	1 month	2 months	-1.54%
5	Feb 2021	Mar 2021	2 months	Apr 2021	1 month	3 months	-1.18%

Drawdowns for 60/40

Drawdowns for 60/40
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-6.51%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-4.19%
3	Sep 2021	Sep 2021	1 month				-3.89%
4	Jan 2021	Feb 2021	2 months	Apr 2021	2 months	4 months	-1.88%

Drawdowns for Neapolitan

Drawdowns for Neapolitan
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2021	Mar 2021	3 months	May 2021	2 months	5 months	-6.22%
2	Aug 2020	Oct 2020	3 months	Dec 2020	2 months	5 months	-4.78%
3	Sep 2021	Sep 2021	1 month				-3.81%
4	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-2.77%
5	Jun 2021	Jun 2021	1 month	Jul 2021	1 month	2 months	-0.23%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
NUSI	Nationwide Risk-Managed Income ETF	13.90%	13.00%	18.62%	5.86%	-8.04%	1.04	1.77	0.68
VTI	Vanguard Total Stock Market ETF	20.90%	21.15%	21.03%	15.18%	-20.84%	0.99	1.61	1.00
VGLT	Vanguard Long-Term Treasury ETF	5.00%	13.52%	17.57%	-7.36%	-19.34%	0.41	0.68	-0.30
VT	Vanguard Total World Stock ETF	16.04%	20.30%	16.61%	11.26%	-22.15%	0.82	1.26	0.99
EDV	Vanguard Extended Duration Trs ETF	6.22%	18.34%	23.62%	-10.10%	-25.33%	0.40	0.66	-0.25
SGOL	Aberdeen Standard Gold ETF	8.45%	16.95%	25.03%	-7.82%	-13.64%	0.54	0.96	0.22

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	NUSI	VTI	VGLT	VT	EDV	SGOL	NUSI	60/40	Neapolitan
NUSI	Nationwide Risk-Managed Income ETF	1.00	0.68	0.02	0.61	0.06	0.30	1.00	0.70	0.56
VTI	Vanguard Total Stock Market ETF	0.68	1.00	-0.30	0.99	-0.26	0.23	0.68	0.88	0.62
VGLT	Vanguard Long-Term Treasury ETF	0.02	-0.30	1.00	-0.34	1.00	0.26	0.02	0.18	0.41
VT	Vanguard Total World Stock ETF	0.61	0.99	-0.34	1.00	-0.30	0.22	0.61	0.85	0.60
EDV	Vanguard Extended Duration Trs ETF	0.06	-0.26	1.00	-0.30	1.00	0.28	0.06	0.22	0.46
SGOL	Aberdeen Standard Gold ETF	0.30	0.23	0.26	0.22	0.28	1.00	0.30	0.36	0.77

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	NUSI	60/40	Neapolitan
NUSI	Nationwide Risk-Managed Income ETF	$2,557
VTI	Vanguard Total Stock Market ETF		$2,351
VGLT	Vanguard Long-Term Treasury ETF		$351
VT	Vanguard Total World Stock ETF			$1,211
EDV	Vanguard Extended Duration Trs ETF			$341
SGOL	Aberdeen Standard Gold ETF			$466

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	NUSI	60/40	Neapolitan
NUSI	Nationwide Risk-Managed Income ETF	100.00%
VTI	Vanguard Total Stock Market ETF		92.14%
VGLT	Vanguard Long-Term Treasury ETF		7.86%
VT	Vanguard Total World Stock ETF			42.90%
EDV	Vanguard Extended Duration Trs ETF			22.27%
SGOL	Aberdeen Standard Gold ETF			34.83%

Backtest Portfolio Asset Allocation

Portfolio Analysis Results (Jan 2020 - Sep 2021)

Portfolio Allocations

Portfolio Returns

Trailing Returns

Holdings Based Style Analysis for NUSI

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 60/40

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Neapolitan

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Drawdowns for Historical Market Stress Periods

Drawdowns for NUSI

Drawdowns for 60/40

Drawdowns for Neapolitan

Portfolio Assets

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns