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 2020)

Portfolio Allocations

80% SPY / 20% WFRPX
Ticker Name Allocation
WFRPX Wealthfront Risk Parity W 20.00%
SPY SPDR S&P 500 ETF Trust 80.00%
Save portfolio »
80% SPY / 20% BND
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 80.00%
BND Vanguard Total Bond Market ETF 20.00%
Save portfolio »
60% SPY / 40% BND
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 60.00%
BND Vanguard Total Bond Market ETF 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
80% SPY / 20% WFRPX$10,000$11,338 13.38% 24.84%-19.96% 0.600.921.00
80% SPY / 20% BND$10,000$11,624 16.24% 20.63%-15.41% 0.801.341.00
60% SPY / 40% BND$10,000$11,411 14.11% 15.77%-11.46% 0.881.500.99
Vanguard 500 Index Investor$10,000$11,825 18.25% 25.96%-19.63% 0.751.241.00
   
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.
  • 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
YearInflation80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BNDVanguard 500 Index InvestorWealthfront Risk Parity W (WFRPX)SPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20201.36%13.38%$11,33816.24%$11,62414.11%$11,41118.25%$11,825-6.57%18.37%7.71%
Monthly returns for the configured portfolios
YearMonth80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BNDVanguard 500 Index InvestorWealthfront Risk Parity W (WFRPX)SPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market ETF (BND)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
202010.23%$10,0230.36%$10,0360.77%$10,077-0.05%$9,9951.30%-0.04%1.98%
20202-7.11%$9,310-5.97%$9,437-4.04%$9,670-8.24%$9,171-3.94%-7.92%1.67%
20203-13.83%$8,022-10.04%$8,490-7.73%$8,922-12.37%$8,037-19.01%-12.46%-1.43%
2020410.87%$8,89410.31%$9,3658.14%$9,64912.81%$9,0663.41%12.70%2.76%
202054.44%$9,2893.85%$9,7252.98%$9,9374.76%$9,4982.97%4.76%0.67%
202061.86%$9,4611.54%$9,8741.31%$10,0661.98%$9,6852.22%1.78%0.67%
202075.37%$9,9704.93%$10,3614.01%$10,4705.63%$10,2303.04%5.89%1.45%
202085.70%$10,5385.33%$10,9143.71%$10,8597.18%$10,965-0.21%6.98%-0.94%
20209-3.64%$10,154-3.03%$10,583-2.31%$10,609-3.81%$10,547-3.17%-3.74%-0.10%
202010-2.40%$9,910-2.10%$10,361-1.71%$10,427-2.67%$10,265-1.97%-2.49%-0.56%
20201110.45%$10,9468.90%$11,2826.94%$11,15110.94%$11,3888.35%10.88%1.21%
2020123.59%$11,3383.03%$11,6242.34%$11,4113.84%$11,8252.98%3.71%0.15%

Holdings Based Style Analysis for 80% SPY / 20% WFRPX

Holdings Based Style Analysis for 80% SPY / 20% WFRPX
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
WFRPXWealthfront Risk Parity WWorld Allocation20.00%0.25%-$13117.07%
SPYSPDR S&P 500 ETF TrustLarge Blend80.00%1.32%0.09%24.09$1,47082.93%
100.00%1.06%0.13%24.09$1,338100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for 80% SPY / 20% BND

Holdings Based Style Analysis for 80% SPY / 20% BND
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend80.00%1.32%0.09%24.09$1,47097.92%
BNDVanguard Total Bond Market ETFIntermediate Core Bond20.00%1.95%0.04%6.84$1542.08%
100.00%1.45%0.08%24.096.84$1,624100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 60% SPY / 40% BND

Holdings Based Style Analysis for 60% SPY / 40% BND
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend60.00%1.32%0.09%24.09$1,10294.17%
BNDVanguard Total Bond Market ETFIntermediate Core Bond40.00%1.95%0.04%6.84$3095.83%
100.00%1.57%0.07%24.096.84$1,411100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/15/2021. (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
Metric80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BNDVanguard 500 Index Investor
Arithmetic Mean (monthly)1.29%1.43%1.20%1.67%
Arithmetic Mean (annualized)16.67%18.51%15.40%21.92%
Geometric Mean (monthly)1.05%1.26%1.11%1.41%
Geometric Mean (annualized)13.38%16.24%14.11%18.25%
Volatility (monthly)7.17%5.96%4.55%7.49%
Volatility (annualized)24.84%20.63%15.77%25.96%
Downside Deviation (monthly)4.66%3.54%2.65%4.50%
Max. Drawdown-19.96%-15.41%-11.46%-19.63%
US Market Correlation1.001.000.991.00
Beta(*)0.950.790.601.00
Alpha (annualized)-3.49%1.24%2.33%-0.00%
R298.79%99.79%99.03%100.00%
Sharpe Ratio0.600.800.880.75
Sortino Ratio0.921.341.501.24
Treynor Ratio (%)15.8520.9923.1119.54
Active Return-4.86%-2.01%-4.14%N/A
Tracking Error3.01%5.43%10.38%N/A
Information Ratio-1.61-0.37-0.40N/A
Skewness-0.70-0.42-0.41-0.40
Excess Kurtosis0.39-0.20-0.05-0.34
Historical Value-at-Risk (5%)-10.14%-7.80%-5.70%-10.10%
Analytical Value-at-Risk (5%)-9.96%-8.09%-6.18%-10.66%
Conditional Value-at-Risk (5%)-13.83%-10.04%-7.73%-12.37%
Upside Capture Ratio (%)87.9977.3658.06100.00
Downside Capture Ratio (%)99.1978.3557.86100.00
Safe Withdrawal Rate100.00%100.00%100.00%100.00%
Perpetual Withdrawal Rate10.60%12.80%11.17%14.28%
Positive Periods8 out of 12 (66.67%)8 out of 12 (66.67%)8 out of 12 (66.67%)7 out of 12 (58.33%)
Gain/Loss Ratio0.790.900.961.24
* Vanguard 500 Index Investor 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 PeriodStartEnd80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BNDVanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-19.96%-15.41%-11.46%-19.63%

Drawdowns for 80% SPY / 20% WFRPX

Drawdowns for 80% SPY / 20% WFRPX
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsAug 20205 months7 months-19.96%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.96%

Drawdowns for 80% SPY / 20% BND

Drawdowns for 80% SPY / 20% BND
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-15.41%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-5.06%

Drawdowns for 60% SPY / 40% BND

Drawdowns for 60% SPY / 40% BND
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-11.46%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.98%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
WFRPXWealthfront Risk Parity W-6.57%23.46%-22.20%-0.19-0.220.87
SPYSPDR S&P 500 ETF Trust18.37%25.74%-19.43%0.761.261.00
BNDVanguard Total Bond Market ETF7.71%4.35%-1.59%1.643.750.47

Monthly Correlations

Correlations for the portfolio assets
TickerNameWFRPXSPYBND80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BNDVanguard 500 Index Investor
WFRPXWealthfront Risk Parity W1.000.850.590.900.860.870.85
SPYSPDR S&P 500 ETF Trust0.851.000.481.001.001.001.00
BNDVanguard Total Bond Market ETF0.590.481.000.510.500.550.47

Portfolio Return Decomposition

Portfolio return decomposition
TickerName80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BND
WFRPXWealthfront Risk Parity W-$131
SPYSPDR S&P 500 ETF Trust$1,470$1,470$1,102
BNDVanguard Total Bond Market ETF$154$309

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName80% SPY / 20% WFRPX80% SPY / 20% BND60% SPY / 40% BND
WFRPXWealthfront Risk Parity W17.07%
SPYSPDR S&P 500 ETF Trust82.93%97.92%94.17%
BNDVanguard Total Bond Market ETF2.08%5.83%

Annual Asset Returns