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 
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Portfolio Analysis Results (Jun 2019 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 29.00%
GLD SPDR Gold Shares 25.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 14.00%
JOHIX JOHCM International Select Institutional 14.00%
CASHX Cash 18.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,754 22.30% 12.07%23.09%11.73%-9.28% 1.653.370.91
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 17.56%23.09%22.30%
Trailing annualized returns are for full months ending in December 2020 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 2019 are based on monthly returns from June to December
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Cash (CASHX)
20190.34%11.73%$11,17317.37%15.87%8.94%9.13%1.12%
20201.36%23.09%$13,75424.85%24.81%38.88%29.71%0.44%
Annual return for 2019 is from 06/01/2019 to 12/31/2019
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Cash (CASHX)
201965.35%$10,5356.63%8.00%4.28%5.63%0.19%
201970.33%$10,5691.33%0.01%0.56%-1.19%0.17%
201981.39%$10,7160.40%7.91%-3.36%-2.29%0.17%
20199-0.55%$10,6571.09%-3.39%0.75%-0.53%0.16%
2019101.58%$10,8251.65%2.56%0.99%1.86%0.15%
2019110.71%$10,9023.07%-3.21%1.38%3.35%0.13%
2019122.49%$11,1732.16%3.66%4.22%2.19%0.13%
202011.62%$11,3542.03%4.50%-1.10%0.25%0.13%
20202-3.76%$10,927-6.55%-0.64%-4.53%-7.93%0.13%
20203-5.73%$10,301-8.64%-0.22%-15.83%-8.39%0.10%
202048.35%$11,16011.76%7.26%14.75%10.14%0.01%
202054.44%$11,6555.04%2.59%9.75%8.00%0.01%
202062.58%$11,9561.34%2.74%7.00%3.77%0.01%
202075.98%$12,6716.08%10.79%3.60%5.94%0.01%
202082.84%$13,0306.26%-0.32%5.11%3.43%0.01%
20209-1.87%$12,787-3.17%-4.17%1.28%0.22%0.01%
202010-1.56%$12,588-3.22%-0.52%-0.87%-2.65%0.01%
2020114.24%$13,12110.43%-5.41%7.66%11.98%0.01%
2020124.82%$13,7543.29%7.01%10.19%3.82%0.01%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend29.00%0.87%0.20%25.78$1,30939.37%
GLDSPDR Gold SharesCommodities Focused25.00%0.40%$1,09019.31%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts14.00%1.09%1.62%21.25$73322.61%
JOHIXJOHCM International Select InstitutionalForeign Large Growth14.00%0.31%0.98%25.66$59318.83%
CASHXCashCash18.00%0.06%$28.93-0.11%
100.00%0.46%0.64%24.64$3,754100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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
MetricPortfolio 1
Arithmetic Mean (monthly)1.75%
Arithmetic Mean (annualized)23.12%
Geometric Mean (monthly)1.69%
Geometric Mean (annualized)22.30%
Volatility (monthly)3.48%
Volatility (annualized)12.07%
Downside Deviation (monthly)1.67%
Max. Drawdown-9.28%
US Market Correlation0.91
Beta(*)0.49
Alpha (annualized)8.67%
R282.73%
Sharpe Ratio1.65
Sortino Ratio3.37
Treynor Ratio (%)40.42
Active Return-2.72%
Tracking Error12.28%
Information Ratio-0.22
Skewness-0.31
Excess Kurtosis0.08
Historical Value-at-Risk (5%)-3.96%
Analytical Value-at-Risk (5%)-3.89%
Conditional Value-at-Risk (5%)-5.73%
Upside Capture Ratio (%)58.18
Downside Capture Ratio (%)34.83
Safe Withdrawal Rate61.07%
Perpetual Withdrawal Rate14.00%
Positive Periods14 out of 19 (73.68%)
Gain/Loss Ratio1.24
* 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 PeriodStartEndPortfolio 1
COVID-19 StartJan 2020Mar 2020-9.28%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-9.28%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.40%
3Sep 2019Sep 20191 monthOct 20191 month2 months-0.55%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund27.29%17.87%24.85%17.37%-14.63%1.392.630.98
GLDSPDR Gold Shares26.24%16.08%24.81%15.87%-10.12%1.483.530.23
VIESXVirtus KAR Emerging Markets Small-Cap I29.90%22.79%38.88%8.94%-20.54%1.222.060.89
JOHIXJOHCM International Select Institutional24.54%18.45%29.71%9.13%-15.66%1.232.320.94
CASHXCash0.98%0.25%1.12%0.44%0.00%N/AN/A-0.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXGLDVIESXJOHIXCASHXPortfolio 1
NTSXWisdomTree U.S. Efficient Core Fund1.000.310.830.94-0.270.93
GLDSPDR Gold Shares0.311.000.250.210.050.59
VIESXVirtus KAR Emerging Markets Small-Cap I0.830.251.000.87-0.490.87
JOHIXJOHCM International Select Institutional0.940.210.871.00-0.440.89
CASHXCash-0.270.05-0.49-0.441.00-0.31

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
NTSXWisdomTree U.S. Efficient Core Fund$1,309
GLDSPDR Gold Shares$1,090
VIESXVirtus KAR Emerging Markets Small-Cap I$733
JOHIXJOHCM International Select Institutional$593
CASHXCash$28.93

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
NTSXWisdomTree U.S. Efficient Core Fund39.37%
GLDSPDR Gold Shares19.31%
VIESXVirtus KAR Emerging Markets Small-Cap I22.61%
JOHIXJOHCM International Select Institutional18.83%
CASHXCash-0.11%

Annual Asset Returns