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 Assets 
Asset 1
Asset 2
Asset 3
Asset 4
Asset 5
Asset 6
Asset 7
Asset 8
Asset 9
Asset 10

Portfolio Analysis Results (Jul 2019 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 33.00%
GLD SPDR Gold Shares 31.00%
VIESX Virtus KAR Emerging Markets Small-Cap I 12.00%
JOHIX JOHCM International Select Institutional 12.00%
CASHX Cash 12.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,240 20.58% 12.49%24.18%6.62%-9.21% 1.483.040.88

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Portfolio 17.31%24.18%20.58%
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 July 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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Cash (CASHX)
Annual return for 2019 is from 07/01/2019 to 12/31/2019
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceWisdomTree U.S. Efficient Core Fund (NTSX)SPDR Gold Shares (GLD)Virtus KAR Emerging Markets Small-Cap I (VIESX)JOHCM International Select Institutional (JOHIX)Cash (CASHX)

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend33.00%0.87%0.20%25.78$1,20742.52%
GLDSPDR Gold SharesCommodities Focused31.00%0.40%$1,04623.50%
VIESXVirtus KAR Emerging Markets Small-Cap IDiversified Emerging Mkts12.00%1.09%1.62%21.25$55118.83%
JOHIXJOHCM International Select InstitutionalForeign Large Growth12.00%0.31%0.98%25.66$42015.25%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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
MetricPortfolio 1
Arithmetic Mean (monthly)1.63%
Arithmetic Mean (annualized)21.44%
Geometric Mean (monthly)1.57%
Geometric Mean (annualized)20.58%
Volatility (monthly)3.61%
Volatility (annualized)12.49%
Downside Deviation (monthly)1.74%
Max. Drawdown-9.21%
US Market Correlation0.88
Alpha (annualized)8.99%
Sharpe Ratio1.48
Sortino Ratio3.04
Treynor Ratio (%)38.11
Active Return-0.44%
Tracking Error12.88%
Information Ratio-0.03
Excess Kurtosis0.12
Historical Value-at-Risk (5%)-4.08%
Analytical Value-at-Risk (5%)-4.19%
Conditional Value-at-Risk (5%)-5.61%
Upside Capture Ratio (%)58.39
Downside Capture Ratio (%)33.37
Safe Withdrawal Rate58.52%
Perpetual Withdrawal Rate12.36%
Positive Periods13 out of 18 (72.22%)
Gain/Loss Ratio1.19
* 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 PeriodStartEndPortfolio 1
COVID-19 StartJan 2020Mar 2020-9.21%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-9.21%
2Sep 2020Oct 20202 monthsDec 20202 months4 months-3.86%
3Sep 2019Sep 20191 monthOct 20191 month2 months-0.71%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund23.60%17.98%24.85%10.07%-14.63%
GLDSPDR Gold Shares21.49%15.73%24.81%7.28%-10.12%1.262.870.18
VIESXVirtus KAR Emerging Markets Small-Cap I28.16%23.39%38.88%4.47%-20.54%1.141.920.90
JOHIXJOHCM International Select Institutional21.55%18.72%29.71%3.32%-15.66%

Monthly Correlations

Correlations for the portfolio assets
NTSXWisdomTree U.S. Efficient Core Fund1.000.260.840.94-0.380.91
GLDSPDR Gold Shares0.
VIESXVirtus KAR Emerging Markets Small-Cap I0.840.251.000.88-0.550.85
JOHIXJOHCM International Select Institutional0.940.160.881.00-0.550.86

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
NTSXWisdomTree U.S. Efficient Core Fund$1,207
GLDSPDR Gold Shares$1,046
VIESXVirtus KAR Emerging Markets Small-Cap I$551
JOHIXJOHCM International Select Institutional$420

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
NTSXWisdomTree U.S. Efficient Core Fund42.52%
GLDSPDR Gold Shares23.50%
VIESXVirtus KAR Emerging Markets Small-Cap I18.83%
JOHIXJOHCM International Select Institutional15.25%

Annual Asset Returns