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

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First Month

End Year

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Calendar Aligned

Include YTD

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End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

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 3 %

Asset 4

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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

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Enter percentage allocation for asset 9 in portfolio 3 %

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 - Dec 2020)

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	$13,754	22.30%	12.07%	23.09%	11.73%	-9.28%	1.65	3.37	0.91

Trailing Returns

Trailing Returns
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.

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
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	1.36%	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

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%
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%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
NTSX	WisdomTree 90/60 US Balanced	Large Blend	29.00%	0.98%	0.20%	29.20	$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%	1.19%	1.62%	23.51	$733	22.61%
JOHIX	JOHCM International Select I	Foreign Large Growth	14.00%	0.34%	0.98%	29.09	$593	18.83%
CASHX	Cash	Cash	18.00%	0.04%			$28.93	-0.11%
			100.00%	0.51%	0.64%	27.77	$3,754	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 04/14/2021. (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
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	61.07%
Perpetual Withdrawal Rate	14.00%
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.

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 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%

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	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

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	NTSX	GLD	VIESX	JOHIX	CASHX	Portfolio 1
NTSX	WisdomTree 90/60 US Balanced	1.00	0.31	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

Portfolio Return Decomposition

Portfolio return decomposition
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

Portfolio Risk Decomposition

Portfolio risk decomposition
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%