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 90/60 US Balanced | 29.00% |
GLD | SPDR Gold Shares | 25.00% |
VIESX | Virtus KAR Emerging Markets Small-Cap I | 14.00% |
JOHIX | JOHCM International Select I | 14.00% |
CASHX | Cash | 18.00% |
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Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $13,754 | 22.30% | 12.07% | 23.09% | 11.73% | -9.28% | 1.65 | 3.37 | 0.91 |
Name | 3 Month | 1 year | Full |
---|---|---|---|
Portfolio 1 | 7.56% | 23.09% | 22.30% |
Trailing annualized returns are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | WisdomTree 90/60 US Balanced (NTSX) | SPDR Gold Shares (GLD) | Virtus KAR Emerging Markets Small-Cap I (VIESX) | JOHCM International Select I (JOHIX) | Cash (CASHX) |
---|---|---|---|---|---|---|---|---|
2019 | 0.34% | 11.73% | $11,173 | 17.37% | 15.87% | 8.94% | 9.13% | 1.12% |
2020 | 1.27% | 23.09% | $13,754 | 24.85% | 24.81% | 38.88% | 29.71% | 0.44% |
Annual return for 2019 is from 06/01/2019 to 12/31/2019 |
Year | Month | Portfolio 1 Return | Portfolio 1 Balance | WisdomTree 90/60 US Balanced (NTSX) | SPDR Gold Shares (GLD) | Virtus KAR Emerging Markets Small-Cap I (VIESX) | JOHCM International Select I (JOHIX) | Cash (CASHX) |
---|---|---|---|---|---|---|---|---|
2019 | 6 | 5.35% | $10,535 | 6.63% | 8.00% | 4.28% | 5.63% | 0.19% |
2019 | 7 | 0.33% | $10,569 | 1.33% | 0.01% | 0.56% | -1.19% | 0.17% |
2019 | 8 | 1.39% | $10,716 | 0.40% | 7.91% | -3.36% | -2.29% | 0.17% |
2019 | 9 | -0.55% | $10,657 | 1.09% | -3.39% | 0.75% | -0.53% | 0.16% |
2019 | 10 | 1.58% | $10,825 | 1.65% | 2.56% | 0.99% | 1.86% | 0.15% |
2019 | 11 | 0.71% | $10,902 | 3.07% | -3.21% | 1.38% | 3.35% | 0.13% |
2019 | 12 | 2.49% | $11,173 | 2.16% | 3.66% | 4.22% | 2.19% | 0.13% |
2020 | 1 | 1.62% | $11,354 | 2.03% | 4.50% | -1.10% | 0.25% | 0.13% |
2020 | 2 | -3.76% | $10,927 | -6.55% | -0.64% | -4.53% | -7.93% | 0.13% |
2020 | 3 | -5.73% | $10,301 | -8.64% | -0.22% | -15.83% | -8.39% | 0.10% |
2020 | 4 | 8.35% | $11,160 | 11.76% | 7.26% | 14.75% | 10.14% | 0.01% |
2020 | 5 | 4.44% | $11,655 | 5.04% | 2.59% | 9.75% | 8.00% | 0.01% |
2020 | 6 | 2.58% | $11,956 | 1.34% | 2.74% | 7.00% | 3.77% | 0.01% |
2020 | 7 | 5.98% | $12,671 | 6.08% | 10.79% | 3.60% | 5.94% | 0.01% |
2020 | 8 | 2.84% | $13,030 | 6.26% | -0.32% | 5.11% | 3.43% | 0.01% |
2020 | 9 | -1.87% | $12,787 | -3.17% | -4.17% | 1.28% | 0.22% | 0.01% |
2020 | 10 | -1.56% | $12,588 | -3.22% | -0.52% | -0.87% | -2.65% | 0.01% |
2020 | 11 | 4.24% | $13,121 | 10.43% | -5.41% | 7.66% | 11.98% | 0.01% |
2020 | 12 | 4.82% | $13,754 | 3.29% | 7.01% | 10.19% | 3.82% | 0.01% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | Large Blend | 29.00% | 0.85% | 0.20% | 28.95 | $1,309 | 39.37% |
GLD | SPDR Gold Shares | Commodities Focused | 25.00% | 0.40% | $1,090 | 19.31% | ||
VIESX | Virtus KAR Emerging Markets Small-Cap I | Diversified Emerging Mkts | 14.00% | 1.17% | 1.62% | 21.71 | $733 | 22.61% |
JOHIX | JOHCM International Select I | Foreign Large Growth | 14.00% | 0.34% | 0.99% | 29.09 | $593 | 18.83% |
CASHX | Cash | Cash | 18.00% | 0.09% | $28.93 | -0.11% | ||
100.00% | 0.47% | 0.64% | 27.21 | $3,754 | 100.00% |
Fund fundamentals data as of 01/22/2021. (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.
Metric | Portfolio 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 Correlation | 0.91 |
Beta(*) | 0.49 |
Alpha (annualized) | 8.67% |
R2 | 82.73% |
Sharpe Ratio | 1.65 |
Sortino Ratio | 3.37 |
Treynor Ratio (%) | 40.42 |
Active Return | -2.72% |
Tracking Error | 12.28% |
Information Ratio | -0.22 |
Skewness | -0.31 |
Excess Kurtosis | 0.08 |
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 Rate | 61.09% |
Perpetual Withdrawal Rate | 14.05% |
Positive Periods | 14 out of 19 (73.68%) |
Gain/Loss Ratio | 1.24 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -9.28% |
2 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -3.40% |
3 | Sep 2019 | Sep 2019 | 1 month | Oct 2019 | 1 month | 2 months | -0.55% |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | 27.29% | 17.87% | 24.85% | 17.37% | -14.63% | 1.39 | 2.63 | 0.98 |
GLD | SPDR Gold Shares | 26.24% | 16.08% | 24.81% | 15.87% | -10.12% | 1.48 | 3.53 | 0.23 |
VIESX | Virtus KAR Emerging Markets Small-Cap I | 29.90% | 22.79% | 38.88% | 8.94% | -20.54% | 1.22 | 2.06 | 0.89 |
JOHIX | JOHCM International Select I | 24.54% | 18.45% | 29.71% | 9.13% | -15.66% | 1.23 | 2.32 | 0.94 |
CASHX | Cash | 0.98% | 0.25% | 1.12% | 0.44% | 0.00% | N/A | N/A | -0.31 |
Ticker | Name | NTSX | GLD | VIESX | JOHIX | CASHX | Portfolio 1 |
---|---|---|---|---|---|---|---|
NTSX | WisdomTree 90/60 US Balanced | 1.00 | 0.31 | 0.83 | 0.94 | -0.27 | 0.93 |
GLD | SPDR Gold Shares | 0.31 | 1.00 | 0.25 | 0.21 | 0.05 | 0.59 |
VIESX | Virtus KAR Emerging Markets Small-Cap I | 0.83 | 0.25 | 1.00 | 0.87 | -0.49 | 0.87 |
JOHIX | JOHCM International Select I | 0.94 | 0.21 | 0.87 | 1.00 | -0.44 | 0.89 |
CASHX | Cash | -0.27 | 0.05 | -0.49 | -0.44 | 1.00 | -0.31 |
Ticker | Name | Portfolio 1 |
---|---|---|
NTSX | WisdomTree 90/60 US Balanced | $1,309 |
GLD | SPDR Gold Shares | $1,090 |
VIESX | Virtus KAR Emerging Markets Small-Cap I | $733 |
JOHIX | JOHCM International Select I | $593 |
CASHX | Cash | $28.93 |
Ticker | Name | Portfolio 1 |
---|---|---|
NTSX | WisdomTree 90/60 US Balanced | 39.37% |
GLD | SPDR Gold Shares | 19.31% |
VIESX | Virtus KAR Emerging Markets Small-Cap I | 22.61% |
JOHIX | JOHCM International Select I | 18.83% |
CASHX | Cash | -0.11% |