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 Assets 
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jan 2019 - Feb 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 90.00%
VBIIX Vanguard Interm-Term Bond Index Inv 60.00%
CASHX Cash -50.00%
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Portfolio 2
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$12,697 22.71% 12.79%33.01%-4.54%-5.91% 1.522.690.98
Portfolio 2$10,000$12,599 21.90% 12.72%32.15%-4.66%-6.55% 1.472.510.97
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 2020 are based on monthly returns from January to February
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Bond Index Inv (VBIIX)Cash (CASHX)WisdomTree 90/60 US Balanced (NTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Bond Index Inv (VBIIX)Cash (CASHX)WisdomTree 90/60 US Balanced (NTSX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%100.00%$2,599100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 03/04/2020. (c) 2020 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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.78%1.73%
Arithmetic Mean (annualized)23.63%22.81%
Geometric Mean (monthly)1.72%1.66%
Geometric Mean (annualized)22.71%21.90%
Volatility (monthly)3.69%3.67%
Volatility (annualized)12.79%12.72%
Downside Deviation (monthly)2.02%2.09%
Max. Drawdown-5.91%-6.55%
US Market Correlation0.980.97
Alpha (annualized)7.98%7.53%
Sharpe Ratio1.521.47
Sortino Ratio2.692.51
Treynor Ratio (%)24.2623.81
Active Return5.90%5.09%
Tracking Error3.89%4.48%
Information Ratio1.521.14
Excess Kurtosis1.091.54
Historical Value-at-Risk (5%)-5.91%-6.55%
Analytical Value-at-Risk (5%)-4.06%-4.31%
Conditional Value-at-Risk (5%)N/AN/A
Upside Capture Ratio (%)93.2988.39
Downside Capture Ratio (%)56.6652.30
Safe Withdrawal Rate100.00%100.00%
Perpetual Withdrawal Rate18.91%18.28%
Positive Periods11 out of 14 (78.57%)12 out of 14 (85.71%)
Gain/Loss Ratio0.910.54
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Feb 20201 month-5.91%
2May 2019May 20191 monthJun 20191 month2 months-4.71%
3Aug 2019Aug 20191 monthSep 20191 month2 months-0.03%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Feb 20201 month-6.55%
2May 2019May 20191 monthJun 20191 month2 months-4.27%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust17.57%15.26%31.22%-7.95%-7.95%1.011.571.00
VBIIXVanguard Interm-Term Bond Index Inv12.83%4.23%10.09%4.57%-0.81%2.4210.40-0.42
NTSXWisdomTree 90/60 US Balanced21.90%12.72%32.15%-4.66%-6.55%1.472.510.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVBIIXCASHXNTSXPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.00-0.420.300.970.990.97
VBIIXVanguard Interm-Term Bond Index Inv-0.421.000.13-0.21-0.25-0.21
NTSXWisdomTree 90/60 US Balanced0.97-0.210.341.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$1,850
VBIIXVanguard Interm-Term Bond Index Inv$969
NTSXWisdomTree 90/60 US Balanced$2,599

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust105.15%
VBIIXVanguard Interm-Term Bond Index Inv-5.01%
NTSXWisdomTree 90/60 US Balanced100.00%

Annual Asset Returns