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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

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Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

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Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

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Enter percentage allocation for asset 3 in portfolio 1 %

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Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

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Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

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Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

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Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

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Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

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Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

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Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jun 2019 - Jul 2020)

Note: The month-to-date results for the current month are not available under the free tier.

Portfolio Allocations

Portfolio 1
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%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$12,671	22.49%	12.81%	13.40%	11.73%	-9.28%	1.54	3.05	0.94

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
The annual results for 2020 are based on monthly returns from January to July
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
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	0.32%	13.40%	$12,671	9.92%	29.76%	10.94%	10.57%	0.40%
Annual returns for 2019 and 2020 are based on partial years

Monthly returns for the configured portfolios
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%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	ER	P/E	Return Contribution	Risk Contribution
NTSX	WisdomTree 90/60 US Balanced	Large Blend	29.00%	0.20%	25.26	$825	37.68%
GLD	SPDR Gold Shares	Commodities Focused	25.00%	0.40%		$1,228	20.12%
VIESX	Virtus KAR Emerging Markets Small-Cap I	Diversified Emerging Mkts	14.00%	1.62%	13.94	$296	23.44%
JOHIX	JOHCM International Select I	Foreign Large Growth	14.00%	0.99%	24.17	$293	18.90%
CASHX	Cash	Cash	18.00%			$28.14	-0.14%
			100.00%	0.64%	22.21	$2,671	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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
Metric	Portfolio 1
Arithmetic Mean (monthly)	1.77%
Arithmetic Mean (annualized)	23.41%
Geometric Mean (monthly)	1.71%
Geometric Mean (annualized)	22.49%
Volatility (monthly)	3.70%
Volatility (annualized)	12.81%
Downside Deviation (monthly)	1.84%
Max. Drawdown	-9.28%
US Market Correlation	0.94
Beta^(*)	0.53
Alpha (annualized)	11.48%
R²	87.86%
Sharpe Ratio	1.54
Sortino Ratio	3.05
Treynor Ratio (%)	37.40
Active Return	5.43%
Tracking Error	11.44%
Information Ratio	0.47
Skewness	-0.32
Excess Kurtosis	0.44
Historical Value-at-Risk (5%)	-5.73%
Analytical Value-at-Risk (5%)	-4.20%
Conditional Value-at-Risk (5%)	N/A
Upside Capture Ratio (%)	65.30
Downside Capture Ratio (%)	28.69
Safe Withdrawal Rate	100.00%
Perpetual Withdrawal Rate	20.55%
Positive Periods	11 out of 14 (78.57%)
Gain/Loss Ratio	0.94
^* 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
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 2019	Sep 2019	1 month	Oct 2019	1 month	2 months	-0.55%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
NTSX	WisdomTree 90/60 US Balanced	24.40%	17.57%	17.37%	9.92%	-14.63%	1.26	2.18	0.98
GLD	SPDR Gold Shares	41.84%	14.98%	29.76%	15.87%	-4.10%	2.34	7.68	0.43
VIESX	Virtus KAR Emerging Markets Small-Cap I	17.63%	24.73%	10.94%	8.94%	-20.54%	0.72	1.14	0.93
JOHIX	JOHCM International Select I	17.48%	18.65%	10.57%	9.13%	-15.66%	0.88	1.48	0.95
CASHX	Cash	1.30%	0.24%	1.12%	0.40%	0.00%	N/A	N/A	-0.32

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	NTSX	GLD	VIESX	JOHIX	CASHX	Portfolio 1
NTSX	WisdomTree 90/60 US Balanced	1.00	0.54	0.89	0.95	-0.34	0.97
GLD	SPDR Gold Shares	0.54	1.00	0.35	0.48	-0.28	0.70
VIESX	Virtus KAR Emerging Markets Small-Cap I	0.89	0.35	1.00	0.91	-0.49	0.88
JOHIX	JOHCM International Select I	0.95	0.48	0.91	1.00	-0.51	0.94
CASHX	Cash	-0.34	-0.28	-0.49	-0.51	1.00	-0.44

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1
NTSX	WisdomTree 90/60 US Balanced	$825
GLD	SPDR Gold Shares	$1,228
VIESX	Virtus KAR Emerging Markets Small-Cap I	$296
JOHIX	JOHCM International Select I	$293
CASHX	Cash	$28.14

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1
NTSX	WisdomTree 90/60 US Balanced	37.68%
GLD	SPDR Gold Shares	20.12%
VIESX	Virtus KAR Emerging Markets Small-Cap I	23.44%
JOHIX	JOHCM International Select I	18.90%
CASHX	Cash	-0.14%