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 - Jun 2021)

Portfolio Allocations

90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 90.00%
BND Vanguard Total Bond Market ETF 60.00%
CASHX Cash -50.00%
Save portfolio »
100% NTSX
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
90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)$10,000$18,177 27.00% 16.93%33.12%12.45%-17.56% 1.442.530.99
100% NTSX$10,000$18,403 27.63% 15.52%32.15%11.54%-14.63% 1.593.060.97
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)8.71%12.45%35.70%27.00%
100% NTSX9.10%11.54%34.40%27.63%
Trailing annualized returns are for full months ending in June 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 June
  • 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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflation90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)100% NTSXSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)Cash (CASHX)WisdomTree U.S. Efficient Core Fund (NTSX)
ReturnBalanceReturnBalance
20192.29%33.12%$13,31232.15%$13,21531.22%8.83%2.13%32.15%
20201.36%21.42%$16,16424.85%$16,49918.37%7.71%0.44%24.85%
20214.31%12.45%$18,17711.54%$18,40315.25%-1.78%0.02%11.54%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonth90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)100% NTSXSPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)Cash (CASHX)WisdomTree U.S. Efficient Core Fund (NTSX)
ReturnBalanceReturnBalance
201917.77%$10,7777.86%$10,7868.01%1.11%0.20%7.86%
201922.77%$11,0752.48%$11,0543.24%-0.09%0.20%2.48%
201932.69%$11,3732.86%$11,3701.81%1.94%0.20%2.86%
201943.56%$11,7793.45%$11,7624.09%-0.02%0.20%3.45%
20195-4.74%$11,220-4.27%$11,260-6.38%1.83%0.20%-4.27%
201966.91%$11,9966.63%$12,0066.96%1.25%0.19%6.63%
201971.36%$12,1591.33%$12,1661.51%0.15%0.17%1.33%
201980.07%$12,1680.40%$12,214-1.67%2.77%0.17%0.40%
201991.33%$12,3301.09%$12,3471.95%-0.57%0.16%1.09%
2019102.10%$12,5881.65%$12,5502.21%0.31%0.15%1.65%
2019113.17%$12,9873.07%$12,9363.62%-0.04%0.13%3.07%
2019122.50%$13,3122.16%$13,2152.90%-0.07%0.13%2.16%
202011.09%$13,4572.03%$13,483-0.04%1.98%0.13%2.03%
20202-6.19%$12,625-6.55%$12,599-7.92%1.67%0.13%-6.55%
20203-12.13%$11,094-8.64%$11,510-12.46%-1.43%0.10%-8.64%
2020413.08%$12,54511.76%$12,86412.70%2.76%0.01%11.76%
202054.69%$13,1325.04%$13,5124.76%0.67%0.01%5.04%
202062.00%$13,3941.34%$13,6931.78%0.67%0.01%1.34%
202076.17%$14,2206.08%$14,5265.89%1.45%0.01%6.08%
202085.71%$15,0336.26%$15,4356.98%-0.94%0.01%6.26%
20209-3.43%$14,517-3.17%$14,945-3.74%-0.10%0.01%-3.17%
202010-2.58%$14,142-3.22%$14,465-2.49%-0.56%0.01%-3.22%
20201110.51%$15,62910.43%$15,97410.88%1.21%0.01%10.43%
2020123.42%$16,1643.29%$16,4993.71%0.15%0.01%3.29%
20211-1.44%$15,932-1.42%$16,265-1.02%-0.86%0.01%-1.42%
202121.57%$16,1820.61%$16,3642.78%-1.55%0.01%0.61%
202133.32%$16,7203.09%$16,8694.54%-1.27%0.00%3.09%
202145.28%$17,6034.93%$17,7005.29%0.87%0.00%4.93%
202150.68%$17,7230.74%$17,8320.66%0.15%0.00%0.74%
202162.56%$18,1773.21%$18,4032.25%0.90%0.00%3.21%

Holdings Based Style Analysis for 100% NTSX

Holdings Based Style Analysis for 100% NTSX
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend100.00%0.92%0.20%26.94$8,403100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 07/28/2021. (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
Metric90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)100% NTSX
Arithmetic Mean (monthly)2.13%2.15%
Arithmetic Mean (annualized)28.74%29.08%
Geometric Mean (monthly)2.01%2.05%
Geometric Mean (annualized)27.00%27.63%
Volatility (monthly)4.89%4.48%
Volatility (annualized)16.93%15.52%
Downside Deviation (monthly)2.76%2.30%
Max. Drawdown-17.56%-14.63%
US Market Correlation0.990.97
Beta(*)0.880.79
Alpha (annualized)2.79%5.25%
R297.63%94.84%
Sharpe Ratio1.441.59
Sortino Ratio2.533.06
Treynor Ratio (%)27.9631.28
Active Return-0.04%0.60%
Tracking Error3.52%5.31%
Information Ratio-0.010.11
Skewness-0.56-0.26
Excess Kurtosis1.980.68
Historical Value-at-Risk (5%)-5.54%-5.52%
Analytical Value-at-Risk (5%)-5.77%-5.22%
Conditional Value-at-Risk (5%)-9.16%-7.60%
Upside Capture Ratio (%)90.5586.23
Downside Capture Ratio (%)81.0568.77
Safe Withdrawal Rate70.94%71.30%
Perpetual Withdrawal Rate22.87%23.34%
Positive Periods24 out of 30 (80.00%)24 out of 30 (80.00%)
Gain/Loss Ratio0.770.84
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for 90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)

Drawdowns for 90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-17.56%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.92%
3May 2019May 20191 monthJun 20191 month2 months-4.74%
4Jan 2021Jan 20211 monthFeb 20211 month2 months-1.44%

Drawdowns for 100% NTSX

Drawdowns for 100% NTSX
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-14.63%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.29%
3May 2019May 20191 monthJun 20191 month2 months-4.27%
4Jan 2021Jan 20211 monthMar 20212 months3 months-1.42%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust26.23%18.09%31.22%15.25%-19.43%1.332.231.00
BNDVanguard Total Bond Market ETF5.80%4.05%8.83%-1.78%-3.87%1.182.470.19
CASHXCash1.03%0.29%2.13%0.02%0.00%N/AN/A-0.20
NTSXWisdomTree U.S. Efficient Core Fund27.63%15.52%32.15%11.54%-14.63%1.593.060.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYBNDCASHXNTSX90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)100% NTSX
SPYSPDR S&P 500 ETF Trust1.000.19-0.180.980.990.98
BNDVanguard Total Bond Market ETF0.191.000.270.320.320.32
CASHXCash-0.180.271.00-0.14-0.15-0.14
NTSXWisdomTree U.S. Efficient Core Fund0.980.32-0.141.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerName90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)100% NTSX
SPYSPDR S&P 500 ETF Trust$7,332
BNDVanguard Total Bond Market ETF$998
CASHXCash-$153
NTSXWisdomTree U.S. Efficient Core Fund$8,403

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName90% SPY, 60% BND, -50% CASHX (60/40 with 1.5X leverage)100% NTSX
SPYSPDR S&P 500 ETF Trust95.29%
BNDVanguard Total Bond Market ETF4.58%
CASHXCash0.13%
NTSXWisdomTree U.S. Efficient Core Fund100.00%

Annual Asset Returns