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 2020 - Dec 2021)

Portfolio Allocations

NUSI
Ticker Name Allocation
NUSI Nationwide Nasdaq-100 Risk-Mngd Inc 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 abrdn Physical Gold Shares ETF 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
NUSI$10,000$13,018 14.10% 12.30%18.62%9.75%-8.04% 1.111.900.66
60/40$10,000$13,569 16.49% 10.83%19.65%13.41%-6.51% 1.443.000.89
Neapolitan$10,000$12,642 12.43% 10.33%21.24%4.27%-6.22% 1.162.460.63
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 yearFull
NUSI3.67%9.75%9.75%14.10%
60/406.83%13.41%13.41%16.49%
Neapolitan5.18%4.27%4.27%12.43%
Trailing returns are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The results assume annual rebalancing of portfolio assets to match the specified allocation.
Annual returns for the configured portfolios
YearInflationNUSI60/40NeapolitanNationwide Nasdaq-100 Risk-Mngd Inc 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)abrdn Physical Gold Shares 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%
20217.04%9.75%$13,01813.41%$13,5694.27%$12,6429.75%25.67%-4.98%18.27%-6.20%-3.94%
Monthly returns for the configured portfolios
YearMonthNUSI60/40NeapolitanNationwide Nasdaq-100 Risk-Mngd Inc 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)abrdn Physical Gold Shares 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%
2021102.85%$12,9155.01%$13,3383.70%$12,4632.85%6.69%1.89%5.15%3.52%1.54%
2021111.84%$13,153-0.08%$13,328-0.39%$12,4151.84%-1.46%2.62%-2.62%3.60%-0.64%
202112-1.02%$13,0181.81%$13,5691.83%$12,642-1.02%3.79%-1.91%3.81%-2.72%3.29%

Holdings Based Style Analysis for NUSI

Holdings Based Style Analysis for NUSI
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
NUSINationwide Nasdaq-100 Risk-Mngd Inc ETFOptions Trading100.00%10.48%0.68%0.68%22.01$3,018100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 60/40

Holdings Based Style Analysis for 60/40
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTIVanguard Total Stock Market ETFLarge Blend60.00%1.39%1.61%0.03%0.03%19.20$3,10492.44%
VGLTVanguard Long-Term Treasury ETFLong Government40.00%3.37%2.35%0.04%0.04%17.00$4647.56%
100.00%2.18%1.91%0.03%0.03%19.2017.00$3,569100.00%

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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VTVanguard Total World Stock ETFGlobal Large-Stock Blend40.00%2.41%0.07%0.07%15.81$1,55144.37%
EDVVanguard Extended Duration Trs ETFLong Government30.00%3.42%2.73%0.06%0.06%24.51$48321.44%
SGOLabrdn Physical Gold Shares ETFCommodities Focused30.00%0.17%0.17%$60834.19%
100.00%1.03%1.78%0.10%0.10%15.8124.51$2,642100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/06/2022. (c) 2022 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)1.17%1.33%1.02%
Arithmetic Mean (annualized)14.92%17.13%13.00%
Geometric Mean (monthly)1.11%1.28%0.98%
Geometric Mean (annualized)14.10%16.49%12.43%
Standard Deviation (monthly)3.55%3.13%2.98%
Standard Deviation (annualized)12.30%10.83%10.33%
Downside Deviation (monthly)2.07%1.48%1.40%
Maximum Drawdown-8.04%-6.51%-6.22%
Stock Market Correlation0.660.890.63
Beta(*)0.400.470.32
Alpha (annualized)4.82%5.04%4.88%
R243.38%78.59%40.10%
Sharpe Ratio1.111.441.16
Sortino Ratio1.903.002.46
Treynor Ratio (%)34.5533.2337.47
Active Return-9.11%-6.72%-10.77%
Tracking Error15.37%11.87%15.97%
Information Ratio-0.59-0.57-0.67
Skewness-0.320.030.27
Excess Kurtosis1.99-0.27-0.56
Historical Value-at-Risk (5%)-4.41%-3.69%-2.95%
Analytical Value-at-Risk (5%)-4.67%-4.06%-3.94%
Conditional Value-at-Risk (5%)-6.31%-4.29%-3.42%
Upside Capture Ratio (%)41.9652.5438.89
Downside Capture Ratio (%)29.3040.9330.76
Safe Withdrawal Rate59.24%60.73%59.02%
Perpetual Withdrawal Rate8.71%10.58%7.36%
Positive Periods16 out of 24 (66.67%)16 out of 24 (66.67%)13 out of 24 (54.17%)
Gain/Loss Ratio1.181.451.98
* 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 monthNov 20212 months3 months-3.50%
4May 2021May 20211 monthJun 20211 month2 months-1.54%
5Feb 2021Mar 20212 monthsApr 20211 month3 months-1.18%
6Dec 2021Dec 20211 month-1.02%

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 monthOct 20211 month2 months-3.89%
4Jan 2021Feb 20212 monthsApr 20212 months4 months-1.88%
5Nov 2021Nov 20211 monthDec 20211 month2 months-0.08%

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 monthDec 20213 months4 months-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 RatioMarket Correlation
NUSINationwide Nasdaq-100 Risk-Mngd Inc ETF14.10%12.30%18.62%9.75%-8.04%1.111.900.66
VTIVanguard Total Stock Market ETF23.33%20.22%25.67%21.03%-20.84%1.131.871.00
VGLTVanguard Long-Term Treasury ETF5.70%12.85%17.57%-4.98%-19.34%0.480.79-0.30
VTVanguard Total World Stock ETF17.44%19.42%18.27%16.61%-22.15%0.911.420.99
EDVVanguard Extended Duration Trs ETF7.69%17.53%23.62%-6.20%-25.33%0.500.82-0.24
SGOLabrdn Physical Gold Shares ETF9.59%15.95%25.03%-3.94%-13.64%0.641.130.24

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnExpense Ratio
3 MonthYear To Date1 yearNetGross
Nationwide Nasdaq-100 Risk-Mngd Inc ETF3.67%9.75%9.75%0.68%0.68%
Vanguard Total Stock Market ETF9.11%25.67%25.67%0.03%0.03%
Vanguard Long-Term Treasury ETF2.57%-4.98%-4.98%0.04%0.04%
Vanguard Total World Stock ETF6.30%18.27%18.27%0.07%0.07%
Vanguard Extended Duration Trs ETF4.34%-6.20%-6.20%0.06%0.06%
abrdn Physical Gold Shares ETF4.21%-3.94%-3.94%0.17%0.17%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameNUSIVTIVGLTVTEDVSGOLNUSI60/40Neapolitan
NUSINationwide Nasdaq-100 Risk-Mngd Inc ETF1.000.660.050.580.090.281.000.680.54
VTIVanguard Total Stock Market ETF0.661.00-0.300.99-0.250.250.660.880.63
VGLTVanguard Long-Term Treasury ETF0.05-0.301.00-0.351.000.230.050.170.39
VTVanguard Total World Stock ETF0.580.99-0.351.00-0.300.240.580.850.61
EDVVanguard Extended Duration Trs ETF0.09-0.251.00-0.301.000.250.090.220.44
SGOLabrdn Physical Gold Shares ETF0.280.250.230.240.251.000.280.360.77

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameNUSI60/40Neapolitan
NUSINationwide Nasdaq-100 Risk-Mngd Inc ETF$3,018
VTIVanguard Total Stock Market ETF$3,104
VGLTVanguard Long-Term Treasury ETF$464
VTVanguard Total World Stock ETF$1,551
EDVVanguard Extended Duration Trs ETF$483
SGOLabrdn Physical Gold Shares ETF$608
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameNUSI60/40Neapolitan
NUSINationwide Nasdaq-100 Risk-Mngd Inc ETF100.00%
VTIVanguard Total Stock Market ETF92.44%
VGLTVanguard Long-Term Treasury ETF7.56%
VTVanguard Total World Stock ETF44.37%
EDVVanguard Extended Duration Trs ETF21.44%
SGOLabrdn Physical Gold Shares ETF34.19%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns