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%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket 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, commissions, 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.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The annual results for 2019 are based on monthly returns from June to December.
  • 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%2.01%0.96%1.25%10.28$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%1.55%1.88%24.14$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%1.41%0.99%1.96%15.05$4,981100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2022. (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%
Maximum Drawdown-29.16%-24.48%-25.31%
Stock 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 RatioMarket 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%1.25%
Seven Canyons World Innovators Instl-7.61%-12.50%-12.50%1.55%1.88%
Vaughan Nelson International Sm Cap I1.10%12.87%12.87%0.99%1.96%
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 assets.

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 assets.

Annual Asset Returns