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.
| Ticker | Name | Allocation |
|---|---|---|
| NTSX | WisdomTree U.S. Efficient Core Fund | 37.00% |
| GLD | SPDR Gold Shares | 32.00% |
| VIESX | Virtus KAR Emerging Markets Small-Cap I | 9.00% |
| JOHIX | JOHCM International Select Institutional | 9.00% |
| WIGTX | Seven Canyons World Innovators Instl | 7.00% |
| GQGPX | GQG Partners Emerging Markets Equity Inv | 6.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 40.00% |
| VGTSX | Vanguard Total Intl Stock Index Inv | 20.00% |
| VBMFX | Vanguard Total Bond Market Index Inv | 40.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $16,294 | 15.77% | 12.55% | 30.12% | -4.96% | -11.35% | 1.15 | 2.23 | 0.86 |
| Portfolio 2 | $10,000 | $17,397 | 18.07% | 18.11% | 31.22% | -13.01% | -19.43% | 0.95 | 1.50 | 1.00 |
| Portfolio 3 | $10,000 | $14,156 | 10.99% | 10.50% | 20.22% | -7.07% | -11.49% | 0.95 | 1.50 | 0.98 |
| Name | Total Return | Annualized Return | Annualized Standard Deviation | |||
|---|---|---|---|---|---|---|
| 3 Month | Year To Date | 1 year | 3 year | Full | 3 year | |
| Portfolio 1 | 4.66% | 6.54% | 6.54% | 19.68% | 15.77% | 12.67% |
| Portfolio 2 | 11.07% | 28.74% | 28.74% | 25.99% | 18.07% | 17.34% |
| Portfolio 3 | 5.17% | 12.51% | 12.51% | 15.06% | 10.99% | 10.16% |
| Trailing return and volatility are as of last full calendar month ending December 2021 | ||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | WisdomTree U.S. Efficient Core Fund (NTSX) | SPDR Gold Shares (GLD) | Virtus KAR Emerging Markets Small-Cap I (VIESX) | JOHCM International Select Institutional (JOHIX) | Seven Canyons World Innovators Instl (WIGTX) | GQG Partners Emerging Markets Equity Inv (GQGPX) | SPDR S&P 500 ETF Trust (SPY) | Vanguard Total Intl Stock Index Inv (VGTSX) | Vanguard Total Bond Market Index Inv (VBMFX) | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | |||||||||||
| 2018 | -0.36% | -4.96% | $9,504 | -13.01% | $8,699 | -7.07% | $9,293 | -11.24% | 6.82% | -6.68% | -11.38% | -13.88% | -6.43% | -13.01% | -11.43% | 1.04% |
| 2019 | 2.29% | 23.67% | $11,753 | 31.22% | $11,415 | 20.22% | $11,171 | 32.15% | 17.86% | 18.28% | 19.04% | 20.60% | 20.92% | 31.22% | 21.43% | 8.61% |
| 2020 | 1.36% | 30.12% | $15,293 | 18.37% | $13,513 | 12.63% | $12,582 | 24.85% | 24.81% | 38.88% | 29.71% | 68.33% | 33.74% | 18.37% | 11.16% | 7.61% |
| 2021 | 7.04% | 6.54% | $16,294 | 28.74% | $17,397 | 12.51% | $14,156 | 22.20% | -4.15% | -1.65% | 9.21% | -12.50% | -2.53% | 28.74% | 8.61% | -1.77% |
| Annual return for 2018 is from 09/01/2018 to 12/31/2018 | ||||||||||||||||
| Year | Month | Portfolio 1 | Portfolio 2 | Portfolio 3 | WisdomTree U.S. Efficient Core Fund (NTSX) | SPDR Gold Shares (GLD) | Virtus KAR Emerging Markets Small-Cap I (VIESX) | JOHCM International Select Institutional (JOHIX) | Seven Canyons World Innovators Instl (WIGTX) | GQG Partners Emerging Markets Equity Inv (GQGPX) | SPDR S&P 500 ETF Trust (SPY) | Vanguard Total Intl Stock Index Inv (VGTSX) | Vanguard Total Bond Market Index Inv (VBMFX) | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | |||||||||||
| 2018 | 9 | -0.28% | $9,972 | 0.59% | $10,059 | 0.08% | $10,008 | -0.12% | -0.66% | -0.85% | 1.41% | 1.56% | -3.16% | 0.59% | 0.30% | -0.54% |
| 2018 | 10 | -4.15% | $9,558 | -6.91% | $9,364 | -4.74% | $9,533 | -5.95% | 2.12% | -8.03% | -8.03% | -9.66% | -8.15% | -6.91% | -8.35% | -0.73% |
| 2018 | 11 | 1.08% | $9,662 | 1.85% | $9,538 | 1.19% | $9,647 | 1.49% | 0.34% | 2.88% | -0.51% | -1.26% | 5.51% | 1.85% | 1.26% | 0.53% |
| 2018 | 12 | -1.63% | $9,504 | -8.79% | $8,699 | -3.67% | $9,293 | -6.90% | 4.94% | -0.53% | -4.50% | -4.93% | -0.30% | -8.79% | -4.85% | 1.80% |
| 2019 | 1 | 5.79% | $10,054 | 8.01% | $9,396 | 5.12% | $9,768 | 7.86% | 2.89% | 5.01% | 6.73% | 8.21% | 5.45% | 8.01% | 7.58% | 1.01% |
| 2019 | 2 | 1.48% | $10,203 | 3.24% | $9,700 | 1.66% | $9,931 | 2.48% | -0.61% | 2.86% | 2.25% | 2.63% | 1.44% | 3.24% | 1.72% | -0.06% |
| 2019 | 3 | 1.45% | $10,352 | 1.81% | $9,876 | 1.64% | $10,094 | 2.86% | -1.60% | 4.30% | 2.92% | -0.49% | 3.84% | 1.81% | 0.72% | 1.96% |
| 2019 | 4 | 1.68% | $10,526 | 4.09% | $10,279 | 2.28% | $10,324 | 3.45% | -0.66% | 1.70% | 0.31% | 2.70% | 2.74% | 4.09% | 2.76% | 0.04% |
| 2019 | 5 | -2.24% | $10,290 | -6.38% | $9,624 | -3.17% | $9,997 | -4.27% | 1.76% | -5.25% | -3.18% | -2.81% | -1.49% | -6.38% | -5.55% | 1.83% |
| 2019 | 6 | 6.40% | $10,948 | 6.96% | $10,293 | 4.47% | $10,444 | 6.63% | 8.00% | 4.28% | 5.63% | 2.71% | 5.64% | 6.96% | 5.83% | 1.15% |
| 2019 | 7 | 0.29% | $10,980 | 1.51% | $10,449 | 0.34% | $10,480 | 1.33% | 0.01% | 0.56% | -1.19% | -1.20% | -1.35% | 1.51% | -1.89% | 0.23% |
| 2019 | 8 | 1.85% | $11,183 | -1.67% | $10,274 | -0.13% | $10,467 | 0.40% | 7.91% | -3.36% | -2.29% | -1.52% | -1.83% | -1.67% | -2.35% | 2.78% |
| 2019 | 9 | -0.74% | $11,100 | 1.95% | $10,474 | 1.11% | $10,583 | 1.09% | -3.39% | 0.75% | -0.53% | -0.43% | -0.85% | 1.95% | 2.72% | -0.60% |
| 2019 | 10 | 1.99% | $11,321 | 2.21% | $10,706 | 1.68% | $10,760 | 1.65% | 2.56% | 0.99% | 1.86% | 3.28% | 1.33% | 2.21% | 3.38% | 0.21% |
| 2019 | 11 | 0.77% | $11,408 | 3.62% | $11,093 | 1.74% | $10,947 | 3.07% | -3.21% | 1.38% | 3.35% | 3.35% | -0.62% | 3.62% | 1.11% | -0.06% |
| 2019 | 12 | 3.02% | $11,753 | 2.90% | $11,415 | 2.05% | $11,171 | 2.16% | 3.66% | 4.22% | 2.19% | 2.93% | 5.30% | 2.90% | 4.27% | -0.15% |
| 2020 | 1 | 1.88% | $11,974 | -0.04% | $11,411 | 0.17% | $11,190 | 2.03% | 4.50% | -1.10% | 0.25% | 0.51% | -4.56% | -0.04% | -3.30% | 2.11% |
| 2020 | 2 | -4.62% | $11,420 | -7.92% | $10,507 | -3.76% | $10,769 | -6.55% | -0.64% | -4.53% | -7.93% | -10.30% | -3.13% | -7.92% | -6.72% | 1.71% |
| 2020 | 3 | -7.05% | $10,615 | -12.46% | $9,198 | -8.03% | $9,905 | -8.64% | -0.22% | -15.83% | -8.39% | -15.81% | -12.44% | -12.46% | -16.11% | -0.59% |
| 2020 | 4 | 10.56% | $11,736 | 12.70% | $10,366 | 6.79% | $10,577 | 11.76% | 7.26% | 14.75% | 10.14% | 19.60% | 9.69% | 12.70% | 8.09% | 1.69% |
| 2020 | 5 | 5.36% | $12,365 | 4.76% | $10,860 | 2.90% | $10,883 | 5.04% | 2.59% | 9.75% | 8.00% | 15.83% | 2.61% | 4.76% | 4.80% | 0.54% |
| 2020 | 6 | 3.27% | $12,769 | 1.78% | $11,052 | 1.74% | $11,073 | 1.34% | 2.74% | 7.00% | 3.77% | 6.89% | 8.44% | 1.78% | 4.24% | 0.70% |
| 2020 | 7 | 8.38% | $13,839 | 5.89% | $11,703 | 3.71% | $11,483 | 6.08% | 10.79% | 3.60% | 5.94% | 13.94% | 12.17% | 5.89% | 4.10% | 1.55% |
| 2020 | 8 | 3.97% | $14,388 | 6.98% | $12,520 | 3.13% | $11,843 | 6.26% | -0.32% | 5.11% | 3.43% | 11.22% | 6.06% | 6.98% | 4.31% | -1.02% |
| 2020 | 9 | -2.66% | $14,006 | -3.74% | $12,052 | -1.88% | $11,621 | -3.17% | -4.17% | 1.28% | 0.22% | -1.95% | -1.65% | -3.74% | -1.96% | 0.08% |
| 2020 | 10 | -1.08% | $13,854 | -2.49% | $11,752 | -1.67% | $11,427 | -3.22% | -0.52% | -0.87% | -2.65% | 4.17% | 3.17% | -2.49% | -2.21% | -0.61% |
| 2020 | 11 | 4.57% | $14,487 | 10.88% | $13,030 | 7.19% | $12,249 | 10.43% | -5.41% | 7.66% | 11.98% | 9.06% | 5.01% | 10.88% | 12.93% | 1.11% |
| 2020 | 12 | 5.57% | $15,293 | 3.71% | $13,513 | 2.72% | $12,582 | 3.29% | 7.01% | 10.19% | 3.82% | 6.10% | 6.78% | 3.71% | 5.82% | 0.15% |
| 2021 | 1 | -1.69% | $15,035 | -1.02% | $13,375 | -0.75% | $12,488 | -1.42% | -3.22% | -1.20% | 0.00% | -1.24% | 1.06% | -1.02% | -0.10% | -0.80% |
| 2021 | 2 | -1.53% | $14,806 | 2.78% | $13,747 | 0.97% | $12,609 | 0.61% | -6.26% | 0.93% | 0.07% | 1.11% | 0.83% | 2.78% | 2.32% | -1.51% |
| 2021 | 3 | 0.34% | $14,856 | 4.54% | $14,371 | 1.65% | $12,818 | 3.09% | -1.14% | -1.44% | 0.20% | -2.34% | -3.18% | 4.54% | 1.69% | -1.38% |
| 2021 | 4 | 4.25% | $15,488 | 5.29% | $15,132 | 3.14% | $13,220 | 4.93% | 3.56% | 4.32% | 3.03% | 7.63% | 1.13% | 5.29% | 2.78% | 0.95% |
| 2021 | 5 | 2.84% | $15,928 | 0.66% | $15,231 | 1.01% | $13,353 | 0.74% | 7.68% | 0.45% | 1.38% | -1.49% | 4.04% | 0.66% | 3.14% | 0.24% |
| 2021 | 6 | -0.90% | $15,784 | 2.25% | $15,573 | 1.14% | $13,506 | 3.21% | -7.15% | 2.39% | -0.60% | -1.55% | 0.16% | 2.25% | -0.46% | 0.77% |
| 2021 | 7 | 1.74% | $16,058 | 2.44% | $15,953 | 1.23% | $13,672 | 3.25% | 2.53% | -0.54% | 0.35% | 0.47% | -5.06% | 2.44% | -1.28% | 1.21% |
| 2021 | 8 | 1.58% | $16,311 | 2.98% | $16,428 | 1.56% | $13,885 | 2.67% | -0.08% | 2.24% | 2.97% | -1.96% | 3.23% | 2.98% | 1.73% | -0.20% |
| 2021 | 9 | -4.55% | $15,569 | -4.66% | $15,663 | -3.06% | $13,460 | -5.23% | -3.22% | -5.24% | -4.52% | -5.53% | -4.17% | -4.66% | -3.42% | -0.91% |
| 2021 | 10 | 3.42% | $16,101 | 7.02% | $16,762 | 3.55% | $13,938 | 6.19% | 1.48% | 0.85% | 4.31% | -1.58% | 1.83% | 7.02% | 2.61% | -0.03% |
| 2021 | 11 | -1.69% | $15,829 | -0.80% | $16,627 | -1.11% | $13,782 | -0.28% | -0.69% | -5.99% | -2.10% | -7.04% | -3.94% | -0.80% | -4.41% | 0.33% |
| 2021 | 12 | 2.94% | $16,294 | 4.63% | $17,397 | 2.71% | $14,156 | 2.99% | 3.30% | 2.10% | 4.11% | 0.98% | 2.04% | 4.63% | 4.09% | -0.41% |
| Style Category | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Large-cap Value | 3.39% | 45.71% | 17.46% |
| Large-cap Growth | 38.27% | 54.29% | 22.17% |
| Mid-cap Value | 0.00% | 0.00% | 1.31% |
| Mid-cap Growth | 0.00% | 0.00% | 0.00% |
| Small-cap Value | 0.00% | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% | 0.00% |
| Global ex-US Developed Markets | 3.57% | 0.00% | 13.33% |
| Emerging Markets | 14.77% | 0.00% | 5.61% |
| Corporate Bonds | 27.41% | 0.00% | 13.49% |
| Long-Term Treasuries | 0.60% | 0.00% | 2.37% |
| Intermediate-Term Treasuries | 11.99% | 0.00% | 5.22% |
| Short-Term Treasuries | 0.00% | 0.00% | 19.05% |
| R Squared | 84.15% | 99.96% | 99.89% |
| Style analysis is based on monthly returns from September 2018 to December 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings. | |||
| Ticker | Name | Category | Weight | TTM Yield | Expense Ratio | P/E | Contribution | ||
|---|---|---|---|---|---|---|---|---|---|
| Net | Gross | Return | Risk | ||||||
| NTSX | WisdomTree U.S. Efficient Core Fund | Large Blend | 37.00% | 0.82% | 0.20% | 0.20% | 25.48 | $3,052 | 40.76% |
| GLD | SPDR Gold Shares | Commodities Focused | 32.00% | 0.40% | 0.40% | $1,492 | 20.80% | ||
| VIESX | Virtus KAR Emerging Markets Small-Cap I | Diversified Emerging Mkts | 9.00% | 2.34% | 1.51% | 1.52% | 19.56 | $485 | 10.97% |
| JOHIX | JOHCM International Select Institutional | Foreign Large Growth | 9.00% | 0.91% | 0.98% | 0.98% | 18.65 | $501 | 9.63% |
| WIGTX | Seven Canyons World Innovators Instl | Foreign Small/Mid Growth | 7.00% | 1.56% | 1.98% | 39.34 | $468 | 11.42% | |
| GQGPX | GQG Partners Emerging Markets Equity Inv | Diversified Emerging Mkts | 6.00% | 2.24% | 1.16% | 1.16% | 13.18 | $295 | 6.41% |
| 100.00% | 0.73% | 0.60% | 0.64% | 24.14 | $6,294 | 100.00% | |||
| Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Contribution | |||
|---|---|---|---|---|---|---|---|---|---|---|
| SEC | TTM | Net | Gross | Return | Risk | |||||
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 100.00% | 1.15% | 1.20% | 0.09% | 0.09% | 25.14 | $7,397 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Duration | Contribution | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| SEC | TTM | Net | Gross | Return | Risk | ||||||
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 40.00% | 1.15% | 1.20% | 0.09% | 0.09% | 25.14 | $2,908 | 66.66% | |
| VGTSX | Vanguard Total Intl Stock Index Inv | Foreign Large Blend | 20.00% | 2.99% | 0.17% | 0.17% | 14.63 | $636 | 31.32% | ||
| VBMFX | Vanguard Total Bond Market Index Inv | Intermediate Core Bond | 40.00% | 1.47% | 1.79% | 0.15% | 0.15% | 6.84 | $613 | 2.02% | |
| 100.00% | 1.05% | 1.79% | 0.13% | 0.13% | 21.64 | 6.84 | $4,156 | 100.00% | |||
Fund fundamentals data as of 01/19/2022. (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.
| Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Arithmetic Mean (monthly) | 1.29% | 1.53% | 0.92% |
| Arithmetic Mean (annualized) | 16.64% | 19.96% | 11.59% |
| Geometric Mean (monthly) | 1.23% | 1.39% | 0.87% |
| Geometric Mean (annualized) | 15.77% | 18.07% | 10.99% |
| Standard Deviation (monthly) | 3.62% | 5.23% | 3.03% |
| Standard Deviation (annualized) | 12.55% | 18.11% | 10.50% |
| Downside Deviation (monthly) | 1.83% | 3.28% | 1.88% |
| Max. Drawdown | -11.35% | -19.43% | -11.49% |
| US Market Correlation | 0.86 | 1.00 | 0.98 |
| Beta(*) | 0.57 | 0.95 | 0.54 |
| Alpha (annualized) | 5.33% | 1.37% | 1.29% |
| R2 | 74.07% | 99.29% | 96.94% |
| Sharpe Ratio | 1.15 | 0.95 | 0.95 |
| Sortino Ratio | 2.23 | 1.50 | 1.50 |
| Treynor Ratio (%) | 25.46 | 18.23 | 18.39 |
| Calmar Ratio | 1.73 | 1.34 | 1.31 |
| Active Return | -1.54% | 0.76% | -6.32% |
| Tracking Error | 10.38% | 1.79% | 8.84% |
| Information Ratio | -0.15 | 0.42 | -0.72 |
| Skewness | 0.14 | -0.57 | -0.61 |
| Excess Kurtosis | 0.36 | 0.67 | 1.16 |
| Historical Value-at-Risk (5%) | -4.56% | -7.96% | -3.81% |
| Analytical Value-at-Risk (5%) | -4.67% | -7.07% | -4.09% |
| Conditional Value-at-Risk (5%) | -5.84% | -10.63% | -6.39% |
| Upside Capture Ratio (%) | 63.18 | 99.47 | 54.26 |
| Downside Capture Ratio (%) | 48.15 | 96.07 | 54.92 |
| Safe Withdrawal Rate | 30.59% | 29.09% | 27.88% |
| Perpetual Withdrawal Rate | 9.24% | 10.71% | 5.99% |
| Positive Periods | 26 out of 40 (65.00%) | 28 out of 40 (70.00%) | 29 out of 40 (72.50%) |
| Gain/Loss Ratio | 1.34 | 0.89 | 0.81 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |||
| Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|
| COVID-19 Start | Jan 2020 | Mar 2020 | -11.35% | -19.43% | -11.49% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -11.35% |
| 2 | Sep 2018 | Dec 2018 | 4 months | Jan 2019 | 1 month | 5 months | -4.96% |
| 3 | Sep 2021 | Sep 2021 | 1 month | -4.55% | |||
| 4 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -3.71% |
| 5 | Jan 2021 | Feb 2021 | 2 months | Apr 2021 | 2 months | 4 months | -3.19% |
| 6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.24% |
| 7 | Jun 2021 | Jun 2021 | 1 month | Jul 2021 | 1 month | 2 months | -0.90% |
| 8 | Sep 2019 | Sep 2019 | 1 month | Oct 2019 | 1 month | 2 months | -0.74% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.43% |
| 2 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.52% |
| 3 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.38% |
| 4 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -6.14% |
| 5 | Sep 2021 | Sep 2021 | 1 month | Oct 2021 | 1 month | 2 months | -4.66% |
| 6 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -1.67% |
| 7 | Jan 2021 | Jan 2021 | 1 month | Feb 2021 | 1 month | 2 months | -1.02% |
| 8 | Nov 2021 | Nov 2021 | 1 month | Dec 2021 | 1 month | 2 months | -0.80% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2020 | Mar 2020 | 2 months | Jul 2020 | 4 months | 6 months | -11.49% |
| 2 | Oct 2018 | Dec 2018 | 3 months | Mar 2019 | 3 months | 6 months | -7.15% |
| 3 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -3.51% |
| 4 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -3.17% |
| 5 | Sep 2021 | Sep 2021 | 1 month | Oct 2021 | 1 month | 2 months | -3.06% |
| 6 | Nov 2021 | Nov 2021 | 1 month | Dec 2021 | 1 month | 2 months | -1.11% |
| 7 | Jan 2021 | Jan 2021 | 1 month | Feb 2021 | 1 month | 2 months | -0.75% |
| 8 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -0.13% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| NTSX | WisdomTree U.S. Efficient Core Fund | 19.08% | 15.69% | 32.15% | -11.24% | -14.63% | 1.13 | 1.94 | 0.98 |
| GLD | SPDR Gold Shares | 13.07% | 14.33% | 24.81% | -4.15% | -13.74% | 0.86 | 1.63 | 0.12 |
| VIESX | Virtus KAR Emerging Markets Small-Cap I | 13.11% | 18.34% | 38.88% | -6.68% | -20.54% | 0.71 | 1.11 | 0.84 |
| JOHIX | JOHCM International Select Institutional | 12.81% | 15.42% | 29.71% | -11.38% | -15.66% | 0.79 | 1.34 | 0.92 |
| WIGTX | Seven Canyons World Innovators Instl | 13.60% | 23.82% | 68.33% | -13.88% | -24.48% | 0.61 | 1.08 | 0.82 |
| GQGPX | GQG Partners Emerging Markets Equity Inv | 12.37% | 16.78% | 33.74% | -6.43% | -19.04% | 0.72 | 1.18 | 0.72 |
| SPY | SPDR S&P 500 ETF Trust | 18.07% | 18.11% | 31.22% | -13.01% | -19.43% | 0.95 | 1.50 | 1.00 |
| VGTSX | Vanguard Total Intl Stock Index Inv | 8.15% | 17.57% | 21.43% | -11.43% | -24.33% | 0.48 | 0.68 | 0.93 |
| VBMFX | Vanguard Total Bond Market Index Inv | 4.55% | 3.59% | 8.61% | -1.77% | -3.94% | 1.00 | 2.04 | 0.03 |
| Name | Total Return | Annualized Return | Expense Ratio | |||
|---|---|---|---|---|---|---|
| 3 Month | Year To Date | 1 year | 3 year | Net | Gross | |
| WisdomTree U.S. Efficient Core Fund | 9.06% | 22.20% | 22.20% | 26.33% | 0.20% | 0.20% |
| SPDR Gold Shares | 4.10% | -4.15% | -4.15% | 12.13% | 0.40% | 0.40% |
| Virtus KAR Emerging Markets Small-Cap I | -3.20% | -1.65% | -1.65% | 17.34% | 1.51% | 1.52% |
| JOHCM International Select Institutional | 6.33% | 9.21% | 9.21% | 19.03% | 0.98% | 0.98% |
| Seven Canyons World Innovators Instl | -7.61% | -12.50% | -12.50% | 21.11% | 1.56% | 1.98% |
| GQG Partners Emerging Markets Equity Inv | -0.18% | -2.53% | -2.53% | 16.38% | 1.16% | 1.16% |
| SPDR S&P 500 ETF Trust | 11.07% | 28.74% | 28.74% | 25.99% | 0.09% | 0.09% |
| Vanguard Total Intl Stock Index Inv | 2.09% | 8.61% | 8.61% | 13.60% | 0.17% | 0.17% |
| Vanguard Total Bond Market Index Inv | -0.11% | -1.77% | -1.77% | 4.71% | 0.15% | 0.15% |
| Trailing returns as of last calendar month ending December 2021 | ||||||
| Ticker | Name | NTSX | GLD | VIESX | JOHIX | WIGTX | GQGPX | SPY | VGTSX | VBMFX | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| NTSX | WisdomTree U.S. Efficient Core Fund | 1.00 | 0.21 | 0.80 | 0.92 | 0.80 | 0.68 | 0.98 | 0.87 | 0.17 | 0.89 | 0.98 | 0.97 |
| GLD | SPDR Gold Shares | 0.21 | 1.00 | 0.22 | 0.21 | 0.31 | 0.36 | 0.14 | 0.15 | 0.49 | 0.58 | 0.14 | 0.20 |
| VIESX | Virtus KAR Emerging Markets Small-Cap I | 0.80 | 0.22 | 1.00 | 0.86 | 0.87 | 0.84 | 0.81 | 0.88 | 0.19 | 0.85 | 0.81 | 0.86 |
| JOHIX | JOHCM International Select Institutional | 0.92 | 0.21 | 0.86 | 1.00 | 0.85 | 0.75 | 0.91 | 0.91 | 0.15 | 0.88 | 0.91 | 0.94 |
| WIGTX | Seven Canyons World Innovators Instl | 0.80 | 0.31 | 0.87 | 0.85 | 1.00 | 0.78 | 0.80 | 0.81 | 0.17 | 0.87 | 0.80 | 0.82 |
| GQGPX | GQG Partners Emerging Markets Equity Inv | 0.68 | 0.36 | 0.84 | 0.75 | 0.78 | 1.00 | 0.70 | 0.81 | 0.19 | 0.81 | 0.70 | 0.76 |
| SPY | SPDR S&P 500 ETF Trust | 0.98 | 0.14 | 0.81 | 0.91 | 0.80 | 0.70 | 1.00 | 0.91 | 0.03 | 0.86 | 1.00 | 0.98 |
| VGTSX | Vanguard Total Intl Stock Index Inv | 0.87 | 0.15 | 0.88 | 0.91 | 0.81 | 0.81 | 0.91 | 1.00 | 0.03 | 0.83 | 0.91 | 0.95 |
| VBMFX | Vanguard Total Bond Market Index Inv | 0.17 | 0.49 | 0.19 | 0.15 | 0.17 | 0.19 | 0.03 | 0.03 | 1.00 | 0.33 | 0.03 | 0.15 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| NTSX | WisdomTree U.S. Efficient Core Fund | $3,052 | ||
| GLD | SPDR Gold Shares | $1,492 | ||
| VIESX | Virtus KAR Emerging Markets Small-Cap I | $485 | ||
| JOHIX | JOHCM International Select Institutional | $501 | ||
| WIGTX | Seven Canyons World Innovators Instl | $468 | ||
| GQGPX | GQG Partners Emerging Markets Equity Inv | $295 | ||
| SPY | SPDR S&P 500 ETF Trust | $7,397 | $2,908 | |
| VGTSX | Vanguard Total Intl Stock Index Inv | $636 | ||
| VBMFX | Vanguard Total Bond Market Index Inv | $613 | ||
| Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings. | ||||
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| NTSX | WisdomTree U.S. Efficient Core Fund | 40.76% | ||
| GLD | SPDR Gold Shares | 20.80% | ||
| VIESX | Virtus KAR Emerging Markets Small-Cap I | 10.97% | ||
| JOHIX | JOHCM International Select Institutional | 9.63% | ||
| WIGTX | Seven Canyons World Innovators Instl | 11.42% | ||
| GQGPX | GQG Partners Emerging Markets Equity Inv | 6.41% | ||
| SPY | SPDR S&P 500 ETF Trust | 100.00% | 66.66% | |
| VGTSX | Vanguard Total Intl Stock Index Inv | 31.32% | ||
| VBMFX | Vanguard Total Bond Market Index Inv | 2.02% | ||
| Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings. | ||||