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 - 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
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NUSI$10,000$12,557 13.90% 13.00%18.62%5.86%-8.04% 1.041.770.68
60/40$10,000$12,702 14.64% 11.19%19.65%6.16%-6.51% 1.252.520.88
Neapolitan$10,000$12,019 11.08% 10.81%21.24%-0.87%-6.22% 1.002.080.61
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
NUSI-0.54%5.86%14.97%13.90%
60/400.15%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
YearInflationNUSI60/40NeapolitanNationwide 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)
ReturnBalanceReturnBalanceReturnBalance
20201.36%18.62%$11,86219.65%$11,96521.24%$12,12418.62%21.03%17.57%16.61%23.62%25.03%
20215.31%5.86%$12,5576.16%$12,702-0.87%$12,0195.86%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
YearMonthNUSI60/40NeapolitanNationwide 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)
ReturnBalanceReturnBalanceReturnBalance
202013.01%$10,3012.88%$10,2883.81%$10,3813.01%-0.06%7.29%-1.56%10.32%4.45%
20202-4.58%$9,830-1.91%$10,091-0.29%$10,350-4.58%-8.00%6.60%-7.22%8.24%-0.59%
20203-0.80%$9,752-4.69%$9,618-2.49%$10,093-0.80%-13.91%6.42%-14.76%8.03%-0.20%
202049.97%$10,7246.98%$10,2896.34%$10,7329.97%13.13%0.97%10.37%2.35%7.26%
202051.38%$10,8721.99%$10,4941.30%$10,8721.38%5.40%-1.73%5.21%-3.23%2.65%
202063.98%$11,3051.40%$10,6412.05%$11,0953.98%2.29%0.35%3.07%0.47%2.76%
202071.32%$11,4545.03%$11,1777.38%$11,9141.32%5.74%4.19%5.29%6.29%10.79%
202083.70%$11,8771.72%$11,369-0.42%$11,8643.70%7.10%-4.80%6.01%-6.73%-0.26%
20209-8.04%$10,922-1.70%$11,176-2.05%$11,621-8.04%-3.54%0.81%-2.92%1.07%-4.17%
2020102.19%$11,162-2.54%$10,892-2.38%$11,3452.19%-1.95%-3.30%-2.05%-4.49%-0.55%
2020113.47%$11,5497.37%$11,6953.34%$11,7243.47%11.80%1.50%12.37%2.42%-5.37%
2020122.71%$11,8622.30%$11,9653.41%$12,1242.71%4.68%-1.16%4.94%-1.74%7.03%
202110.65%$11,939-1.61%$11,772-2.45%$11,8270.65%-0.33%-3.52%-0.23%-4.70%-3.17%
20212-0.08%$11,929-0.28%$11,739-3.03%$11,469-0.08%3.14%-5.58%2.67%-7.74%-6.21%
20213-1.10%$11,7980.47%$11,794-0.86%$11,370-1.10%3.65%-4.91%2.85%-6.27%-1.20%
202143.53%$12,2144.07%$12,2743.63%$11,7833.53%5.04%2.29%4.13%2.87%3.54%
20215-1.54%$12,0270.26%$12,3062.91%$12,126-1.54%0.46%-0.11%1.58%-0.11%7.77%
202164.97%$12,6253.06%$12,683-0.23%$12,0984.97%2.48%4.17%1.18%5.48%-7.16%
202171.47%$12,8102.40%$12,9882.32%$12,3781.47%1.74%3.66%0.62%4.97%2.53%
202181.58%$13,0121.76%$13,2160.94%$12,4951.58%2.86%-0.27%2.26%-0.28%0.06%
20219-3.50%$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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NUSINationwide Risk-Managed Income ETFOptions Trading100.00%7.84%0.68%31.87$2,557100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 60/40

Holdings Based Style Analysis for 60/40
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend60.00%1.28%0.03%24.25$2,35192.14%
VGLTVanguard Long-Term Treasury ETFLong Government40.00%1.85%0.05%18.10$3517.86%
100.00%1.51%0.04%24.2518.10$2,702100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTVanguard Total World Stock ETFWorld Large-Stock Blend40.00%1.69%0.08%19.95$1,21142.90%
EDVVanguard Extended Duration Trs ETFLong Government30.00%2.00%0.07%24.68$34122.27%
SGOLAberdeen Standard Gold ETFCommodities Focused30.00%0.17%$46634.83%
100.00%1.28%0.10%19.9524.68$2,019100.00%

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
MetricNUSI60/40Neapolitan
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 Correlation0.680.880.61
Beta(*)0.420.460.31
Alpha (annualized)5.08%4.50%4.49%
R246.40%78.06%37.82%
Sharpe Ratio1.041.251.00
Sortino Ratio1.772.522.08
Treynor Ratio (%)32.7530.3034.72
Active Return-6.86%-6.11%-9.68%
Tracking Error15.67%12.56%16.95%
Information Ratio-0.44-0.49-0.57
Skewness-0.300.090.35
Excess Kurtosis1.67-0.30-0.63
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 (%)46.4251.3337.52
Downside Capture Ratio (%)36.2542.6431.08
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate14.99%15.96%11.18%
Positive Periods14 out of 21 (66.67%)14 out of 21 (66.67%)11 out of 21 (52.38%)
Gain/Loss Ratio1.121.251.89
* 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 PeriodStartEndNUSI60/40Neapolitan
COVID-19 StartJan 2020Mar 2020-5.34%-6.51%-2.77%

Drawdowns for NUSI

Drawdowns for NUSI
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Sep 20201 monthJan 20214 months5 months-8.04%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-5.34%
3Sep 2021Sep 20211 month-3.50%
4May 2021May 20211 monthJun 20211 month2 months-1.54%
5Feb 2021Mar 20212 monthsApr 20211 month3 months-1.18%

Drawdowns for 60/40

Drawdowns for 60/40
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-6.51%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-4.19%
3Sep 2021Sep 20211 month-3.89%
4Jan 2021Feb 20212 monthsApr 20212 months4 months-1.88%

Drawdowns for Neapolitan

Drawdowns for Neapolitan
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2021Mar 20213 monthsMay 20212 months5 months-6.22%
2Aug 2020Oct 20203 monthsDec 20202 months5 months-4.78%
3Sep 2021Sep 20211 month-3.81%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-2.77%
5Jun 2021Jun 20211 monthJul 20211 month2 months-0.23%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NUSINationwide Risk-Managed Income ETF13.90%13.00%18.62%5.86%-8.04%1.041.770.68
VTIVanguard Total Stock Market ETF20.90%21.15%21.03%15.18%-20.84%0.991.611.00
VGLTVanguard Long-Term Treasury ETF5.00%13.52%17.57%-7.36%-19.34%0.410.68-0.30
VTVanguard Total World Stock ETF16.04%20.30%16.61%11.26%-22.15%0.821.260.99
EDVVanguard Extended Duration Trs ETF6.22%18.34%23.62%-10.10%-25.33%0.400.66-0.25
SGOLAberdeen Standard Gold ETF8.45%16.95%25.03%-7.82%-13.64%0.540.960.22

Monthly Correlations

Correlations for the portfolio assets
TickerNameNUSIVTIVGLTVTEDVSGOLNUSI60/40Neapolitan
NUSINationwide Risk-Managed Income ETF1.000.680.020.610.060.301.000.700.56
VTIVanguard Total Stock Market ETF0.681.00-0.300.99-0.260.230.680.880.62
VGLTVanguard Long-Term Treasury ETF0.02-0.301.00-0.341.000.260.020.180.41
VTVanguard Total World Stock ETF0.610.99-0.341.00-0.300.220.610.850.60
EDVVanguard Extended Duration Trs ETF0.06-0.261.00-0.301.000.280.060.220.46
SGOLAberdeen Standard Gold ETF0.300.230.260.220.281.000.300.360.77

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameNUSI60/40Neapolitan
NUSINationwide Risk-Managed Income ETF$2,557
VTIVanguard Total Stock Market ETF$2,351
VGLTVanguard Long-Term Treasury ETF$351
VTVanguard Total World Stock ETF$1,211
EDVVanguard Extended Duration Trs ETF$341
SGOLAberdeen Standard Gold ETF$466

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameNUSI60/40Neapolitan
NUSINationwide Risk-Managed Income ETF100.00%
VTIVanguard Total Stock Market ETF92.14%
VGLTVanguard Long-Term Treasury ETF7.86%
VTVanguard Total World Stock ETF42.90%
EDVVanguard Extended Duration Trs ETF22.27%
SGOLAberdeen Standard Gold ETF34.83%

Annual Asset Returns