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 2019 - Sep 2021)

Portfolio Allocations

Vanguard Balanced Index Adm
Ticker Name Allocation
VBIAX Vanguard Balanced Index Adm 100.00%
Save portfolio »
WisdomTree U.S. Efficient Core Fund
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Balanced Index Adm$10,000$15,347 16.85% 11.34%21.79%8.26%-12.34% 1.352.320.99
WisdomTree U.S. Efficient Core Fund$10,000$18,488 25.04% 15.45%32.15%12.05%-14.63% 1.472.730.97
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Vanguard Balanced Index Adm-0.03%8.26%17.97%16.85%
WisdomTree U.S. Efficient Core Fund0.46%12.05%23.70%25.04%
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
YearInflationVanguard Balanced Index AdmWisdomTree U.S. Efficient Core FundVanguard Balanced Index Adm (VBIAX)WisdomTree U.S. Efficient Core Fund (NTSX)
ReturnBalanceReturnBalance
20192.29%21.79%$12,17932.15%$13,21521.79%32.15%
20201.36%16.40%$14,17624.85%$16,49916.40%24.85%
20215.31%8.26%$15,34712.05%$18,4888.26%12.05%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthVanguard Balanced Index AdmWisdomTree U.S. Efficient Core FundVanguard Balanced Index Adm (VBIAX)WisdomTree U.S. Efficient Core Fund (NTSX)
ReturnBalanceReturnBalance
201915.58%$10,5587.86%$10,7865.58%7.86%
201922.10%$10,7792.48%$11,0542.10%2.48%
201931.65%$10,9572.86%$11,3701.65%2.86%
201942.39%$11,2193.45%$11,7622.39%3.45%
20195-3.21%$10,859-4.27%$11,260-3.21%-4.27%
201964.67%$11,3666.63%$12,0064.67%6.63%
201970.97%$11,4761.33%$12,1660.97%1.33%
20198-0.11%$11,4640.40%$12,214-0.11%0.40%
201990.83%$11,5591.09%$12,3470.83%1.09%
2019101.39%$11,7191.65%$12,5501.39%1.65%
2019112.24%$11,9813.07%$12,9362.24%3.07%
2019121.65%$12,1792.16%$13,2151.65%2.16%
202010.84%$12,2812.03%$13,4830.84%2.03%
20202-4.22%$11,763-6.55%$12,599-4.22%-6.55%
20203-8.47%$10,766-8.64%$11,510-8.47%-8.64%
202048.55%$11,68611.76%$12,8648.55%11.76%
202053.48%$12,0935.04%$13,5123.48%5.04%
202061.73%$12,3031.34%$13,6931.73%1.34%
202073.99%$12,7936.08%$14,5263.99%6.08%
202083.88%$13,2906.26%$15,4353.88%6.26%
20209-2.11%$13,009-3.17%$14,945-2.11%-3.17%
202010-1.46%$12,820-3.22%$14,465-1.46%-3.22%
2020117.64%$13,79910.43%$15,9747.64%10.43%
2020122.73%$14,1763.29%$16,4992.73%3.29%
20211-0.50%$14,105-1.42%$16,265-0.50%-1.42%
202121.29%$14,2880.61%$16,3641.29%0.61%
202131.57%$14,5123.09%$16,8691.57%3.09%
202143.46%$15,0144.93%$17,7003.46%4.93%
202150.36%$15,0690.74%$17,8320.36%0.74%
202161.88%$15,3523.21%$18,4031.88%3.21%
202171.50%$15,5813.25%$19,0011.50%3.25%
202181.66%$15,8402.67%$19,5081.66%2.67%
20219-3.11%$15,347-5.23%$18,488-3.11%-5.23%

Holdings Based Style Analysis for Vanguard Balanced Index Adm

Holdings Based Style Analysis for Vanguard Balanced Index Adm
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VBIAXVanguard Balanced Index Adm50% to 70% Equity100.00%1.42%0.07%24.266.84$5,347100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for WisdomTree U.S. Efficient Core Fund

Holdings Based Style Analysis for WisdomTree U.S. Efficient Core Fund
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend100.00%0.93%0.20%24.49$8,488100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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
MetricVanguard Balanced Index AdmWisdomTree U.S. Efficient Core Fund
Arithmetic Mean (monthly)1.36%1.98%
Arithmetic Mean (annualized)17.57%26.46%
Geometric Mean (monthly)1.31%1.88%
Geometric Mean (annualized)16.85%25.04%
Volatility (monthly)3.27%4.46%
Volatility (annualized)11.34%15.45%
Downside Deviation (monthly)1.88%2.37%
Max. Drawdown-12.34%-14.63%
US Market Correlation0.990.97
Beta(*)0.600.81
Alpha (annualized)2.03%4.67%
R298.35%94.28%
Sharpe Ratio1.351.47
Sortino Ratio2.322.73
Treynor Ratio (%)25.4328.24
Active Return-7.41%0.78%
Tracking Error7.51%5.16%
Information Ratio-0.990.15
Skewness-0.56-0.26
Excess Kurtosis2.000.56
Historical Value-at-Risk (5%)-3.61%-5.76%
Analytical Value-at-Risk (5%)-4.03%-5.36%
Conditional Value-at-Risk (5%)-6.35%-7.60%
Upside Capture Ratio (%)59.7488.41
Downside Capture Ratio (%)55.4673.98
Safe Withdrawal Rate63.64%71.30%
Perpetual Withdrawal Rate15.65%23.15%
Positive Periods25 out of 33 (75.76%)26 out of 33 (78.79%)
Gain/Loss Ratio0.940.81
* 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 PeriodStartEndVanguard Balanced Index AdmWisdomTree U.S. Efficient Core Fund
COVID-19 StartJan 2020Mar 2020-12.34%-14.63%

Drawdowns for Vanguard Balanced Index Adm

Drawdowns for Vanguard Balanced Index Adm
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.54%
3May 2019May 20191 monthJun 20191 month2 months-3.21%
4Sep 2021Sep 20211 month-3.11%
5Jan 2021Jan 20211 monthFeb 20211 month2 months-0.50%
6Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%

Drawdowns for WisdomTree U.S. Efficient Core Fund

Drawdowns for WisdomTree U.S. Efficient Core Fund
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-14.63%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.29%
3Sep 2021Sep 20211 month-5.23%
4May 2019May 20191 monthJun 20191 month2 months-4.27%
5Jan 2021Jan 20211 monthMar 20212 months3 months-1.42%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VBIAXVanguard Balanced Index Adm16.85%11.34%21.79%8.26%-12.34%1.352.320.99
NTSXWisdomTree U.S. Efficient Core Fund25.04%15.45%32.15%12.05%-14.63%1.472.730.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameVBIAXNTSXVanguard Balanced Index AdmWisdomTree U.S. Efficient Core Fund
VBIAXVanguard Balanced Index Adm1.000.981.000.98
NTSXWisdomTree U.S. Efficient Core Fund0.981.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Balanced Index AdmWisdomTree U.S. Efficient Core Fund
VBIAXVanguard Balanced Index Adm$5,347
NTSXWisdomTree U.S. Efficient Core Fund$8,488

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Balanced Index AdmWisdomTree U.S. Efficient Core Fund
VBIAXVanguard Balanced Index Adm100.00%
NTSXWisdomTree U.S. Efficient Core Fund100.00%

Annual Asset Returns