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 Analysis Results (Jun 2019 - Dec 2021)

Portfolio Allocations

Harbor International Small Cap Instl
Ticker Name Allocation
HAISX Harbor International Small Cap Instl 100.00%
Save portfolio »
Seven Canyons World Innovators Instl
Ticker Name Allocation
WIGTX Seven Canyons World Innovators Instl 100.00%
Save portfolio »
Vaughan Nelson International Sm Cap I
Ticker Name Allocation
ADVLX Vaughan Nelson International Sm Cap I 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Harbor International Small Cap Instl$10,000$14,274 14.77% 21.42%17.11%8.18%-29.16% 0.721.070.89
Seven Canyons World Innovators Instl$10,000$16,103 20.25% 25.29%68.33%-12.50%-24.48% 0.831.560.82
Vaughan Nelson International Sm Cap I$10,000$14,981 16.94% 19.03%15.63%12.87%-25.31% 0.891.380.92
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 yearFull
Harbor International Small Cap Instl0.20%17.11%17.11%14.77%
Seven Canyons World Innovators Instl-7.61%-12.50%-12.50%20.25%
Vaughan Nelson International Sm Cap I1.10%12.87%12.87%16.94%
Trailing returns are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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
YearInflationHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap IHarbor International Small Cap Instl (HAISX)Seven Canyons World Innovators Instl (WIGTX)Vaughan Nelson International Sm Cap I (ADVLX)
ReturnBalanceReturnBalanceReturnBalance
20190.34%12.67%$11,2679.32%$10,93214.78%$11,47812.67%9.32%14.78%
20201.36%8.18%$12,18968.33%$18,40315.63%$13,2738.18%68.33%15.63%
20217.04%17.11%$14,274-12.50%$16,10312.87%$14,98117.11%-12.50%12.87%
Annual return for 2019 is from 06/01/2019 to 12/31/2019
Monthly returns for the configured portfolios
YearMonthHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap IHarbor International Small Cap Instl (HAISX)Seven Canyons World Innovators Instl (WIGTX)Vaughan Nelson International Sm Cap I (ADVLX)
ReturnBalanceReturnBalanceReturnBalance
201963.20%$10,3202.71%$10,2714.44%$10,4443.20%2.71%4.44%
20197-1.39%$10,177-1.20%$10,148-2.21%$10,214-1.39%-1.20%-2.21%
20198-4.63%$9,705-1.52%$9,994-2.58%$9,951-4.63%-1.52%-2.58%
201992.34%$9,933-0.43%$9,9512.07%$10,1562.34%-0.43%2.07%
2019105.85%$10,5133.28%$10,2775.19%$10,6835.85%3.28%5.19%
2019112.16%$10,7413.35%$10,6212.62%$10,9632.16%3.35%2.62%
2019124.90%$11,2672.93%$10,9324.70%$11,4784.90%2.93%4.70%
20201-5.45%$10,6530.51%$10,988-3.21%$11,110-5.45%0.51%-3.21%
20202-6.57%$9,953-10.30%$9,856-9.42%$10,063-6.57%-10.30%-9.42%
20203-19.81%$7,981-15.81%$8,298-14.81%$8,573-19.81%-15.81%-14.81%
202049.75%$8,76019.60%$9,9249.38%$9,3779.75%19.60%9.38%
202055.63%$9,25315.83%$11,4958.04%$10,1305.63%15.83%8.04%
202062.52%$9,4866.89%$12,2860.08%$10,1392.52%6.89%0.08%
202072.10%$9,68513.94%$13,9994.71%$10,6162.10%13.94%4.71%
202085.80%$10,24711.22%$15,5706.39%$11,2945.80%11.22%6.39%
20209-2.03%$10,039-1.95%$15,267-0.52%$11,235-2.03%-1.95%-0.52%
202010-2.07%$9,8324.17%$15,904-2.91%$10,909-2.07%4.17%-2.91%
20201116.45%$11,4499.06%$17,34412.82%$12,30716.45%9.06%12.82%
2020126.47%$12,1896.10%$18,4037.85%$13,2736.47%6.10%7.85%
202110.36%$12,233-1.24%$18,175-1.21%$13,1120.36%-1.24%-1.21%
202125.65%$12,9241.11%$18,3762.90%$13,4925.65%1.11%2.90%
202133.99%$13,441-2.34%$17,9472.44%$13,8213.99%-2.34%2.44%
202144.36%$14,0277.63%$19,3153.97%$14,3704.36%7.63%3.97%
202153.24%$14,482-1.49%$19,0273.47%$14,8683.24%-1.49%3.47%
20216-1.15%$14,316-1.55%$18,7320.00%$14,868-1.15%-1.55%0.00%
202170.98%$14,4560.47%$18,8190.97%$15,0120.98%0.47%0.97%
202181.82%$14,718-1.96%$18,4502.14%$15,3331.82%-1.96%2.14%
20219-3.21%$14,246-5.53%$17,430-3.36%$14,818-3.21%-5.53%-3.36%
2021100.68%$14,342-1.58%$17,1551.88%$15,0960.68%-1.58%1.88%
202111-5.13%$13,607-7.04%$15,947-5.15%$14,320-5.13%-7.04%-5.15%
2021124.91%$14,2740.98%$16,1034.62%$14,9814.91%0.98%4.62%

Holdings Based Style Analysis for Harbor International Small Cap Instl

Holdings Based Style Analysis for Harbor International Small Cap Instl
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
HAISXHarbor International Small Cap InstlForeign Small/Mid Value100.00%1.69%0.96%1.45%13.60$4,274100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Seven Canyons World Innovators Instl

Holdings Based Style Analysis for Seven Canyons World Innovators Instl
TickerNameCategoryWeightExpense RatioP/EContribution
NetGrossReturnRisk
WIGTXSeven Canyons World Innovators InstlForeign Small/Mid Growth100.00%1.56%1.98%39.34$6,103100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vaughan Nelson International Sm Cap I

Holdings Based Style Analysis for Vaughan Nelson International Sm Cap I
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
ADVLXVaughan Nelson International Sm Cap IForeign Small/Mid Blend100.00%0.96%0.99%2.69%23.07$4,981100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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.

Portfolio return and risk metrics
MetricHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap I
Arithmetic Mean (monthly)1.35%1.80%1.46%
Arithmetic Mean (annualized)17.40%23.88%19.01%
Geometric Mean (monthly)1.15%1.55%1.31%
Geometric Mean (annualized)14.77%20.25%16.94%
Standard Deviation (monthly)6.18%7.30%5.49%
Standard Deviation (annualized)21.42%25.29%19.03%
Downside Deviation (monthly)4.15%3.86%3.49%
Max. Drawdown-29.16%-24.48%-25.31%
US Market Correlation0.890.820.92
Beta(*)1.041.120.95
Alpha (annualized)-9.20%-5.78%-5.65%
R279.39%66.50%84.14%
Sharpe Ratio0.720.830.89
Sortino Ratio1.071.561.38
Treynor Ratio (%)14.9218.6617.77
Active Return-10.47%-4.98%-8.30%
Tracking Error9.76%14.82%7.63%
Information Ratio-1.07-0.34-1.09
Skewness-0.950.29-0.75
Excess Kurtosis4.191.001.74
Historical Value-at-Risk (5%)-6.01%-8.67%-7.28%
Analytical Value-at-Risk (5%)-8.83%-10.21%-7.57%
Conditional Value-at-Risk (5%)-13.19%-13.05%-12.11%
Upside Capture Ratio (%)89.2591.3687.44
Downside Capture Ratio (%)133.06108.50118.07
Safe Withdrawal Rate40.20%46.59%42.25%
Perpetual Withdrawal Rate8.63%12.23%10.09%
Positive Periods21 out of 31 (67.74%)17 out of 31 (54.84%)20 out of 31 (64.52%)
Gain/Loss Ratio0.861.681.00
* 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 PeriodStartEndHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap I
COVID-19 StartJan 2020Mar 2020-29.16%-24.48%-25.31%

Drawdowns for Harbor International Small Cap Instl

Drawdowns for Harbor International Small Cap Instl
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-29.16%
2Sep 2021Nov 20213 months-7.55%
3Jul 2019Aug 20192 monthsOct 20192 months4 months-5.95%
4Jun 2021Jun 20211 monthAug 20212 months3 months-1.15%

Drawdowns for Seven Canyons World Innovators Instl

Drawdowns for Seven Canyons World Innovators Instl
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-24.48%
2May 2021Nov 20217 months-17.44%
3Jul 2019Sep 20193 monthsOct 20191 month4 months-3.11%
4Jan 2021Mar 20213 monthsApr 20211 month4 months-2.48%
5Sep 2020Sep 20201 monthOct 20201 month2 months-1.95%

Drawdowns for Vaughan Nelson International Sm Cap I

Drawdowns for Vaughan Nelson International Sm Cap I
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsNov 20208 months11 months-25.31%
2Sep 2021Nov 20213 months-6.61%
3Jul 2019Aug 20192 monthsOct 20192 months4 months-4.73%
4Jan 2021Jan 20211 monthFeb 20211 month2 months-1.21%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
HAISXHarbor International Small Cap Instl14.77%21.42%17.11%8.18%-29.16%0.721.070.89
WIGTXSeven Canyons World Innovators Instl20.25%25.29%68.33%-12.50%-24.48%0.831.560.82
ADVLXVaughan Nelson International Sm Cap I16.94%19.03%15.63%12.87%-25.31%0.891.380.92

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnExpense Ratio
3 MonthYear To Date1 yearNetGross
Harbor International Small Cap Instl0.20%17.11%17.11%0.96%1.45%
Seven Canyons World Innovators Instl-7.61%-12.50%-12.50%1.56%1.98%
Vaughan Nelson International Sm Cap I1.10%12.87%12.87%0.99%2.69%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameHAISXWIGTXADVLXHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap I
HAISXHarbor International Small Cap Instl1.000.750.961.000.750.96
WIGTXSeven Canyons World Innovators Instl0.751.000.820.751.000.82
ADVLXVaughan Nelson International Sm Cap I0.960.821.000.960.821.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap I
HAISXHarbor International Small Cap Instl$4,274
WIGTXSeven Canyons World Innovators Instl$6,103
ADVLXVaughan Nelson International Sm Cap I$4,981
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameHarbor International Small Cap InstlSeven Canyons World Innovators InstlVaughan Nelson International Sm Cap I
HAISXHarbor International Small Cap Instl100.00%
WIGTXSeven Canyons World Innovators Instl100.00%
ADVLXVaughan Nelson International Sm Cap I100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns