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 (Jan 2018 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FDN First Trust Dow Jones Internet ETF 15.00%
FLN First Trust Latin America AlphaDEX ETF 10.00%
CWB SPDR Blmbg Barclays Convert Secs ETF 7.50%
VCLT Vanguard Long-Term Corporate Bd ETF 7.50%
GLD SPDR Gold Shares 15.00%
HAIL SPDR S&P Kensho Smart Mobility ETF 6.50%
WPS iShares International Dev Prpty ETF 6.50%
IHI iShares US Medical Devices ETF 15.00%
AFK VanEck Africa ETF 10.00%
CIBR First Trust NASDAQ Cybersecurity ETF 7.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,390 15.46% 17.40%28.09%-2.28%-18.79% 0.831.380.95
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 yearFull3 year
Portfolio 115.81%28.09%28.09%15.46%15.46%17.40%
Trailing return and volatility are as of last full calendar month ending December 2020
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.
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceFirst Trust Dow Jones Internet ETF (FDN)First Trust Latin America AlphaDEX ETF (FLN)SPDR Blmbg Barclays Convert Secs ETF (CWB)Vanguard Long-Term Corporate Bd ETF (VCLT)SPDR Gold Shares (GLD)SPDR S&P Kensho Smart Mobility ETF (HAIL)iShares International Dev Prpty ETF (WPS)iShares US Medical Devices ETF (IHI)VanEck Africa ETF (AFK)First Trust NASDAQ Cybersecurity ETF (CIBR)
20181.91%-2.28%$9,7726.17%-8.26%-1.96%-7.03%-1.94%-19.92%-9.02%15.46%-19.54%1.47%
20192.29%22.95%$12,01519.25%27.21%22.39%23.89%17.86%30.47%20.31%32.75%9.84%28.52%
20201.36%28.09%$15,39052.55%-12.33%53.39%13.28%24.81%84.33%-5.40%24.18%4.33%50.42%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceFirst Trust Dow Jones Internet ETF (FDN)First Trust Latin America AlphaDEX ETF (FLN)SPDR Blmbg Barclays Convert Secs ETF (CWB)Vanguard Long-Term Corporate Bd ETF (VCLT)SPDR Gold Shares (GLD)SPDR S&P Kensho Smart Mobility ETF (HAIL)iShares International Dev Prpty ETF (WPS)iShares US Medical Devices ETF (IHI)VanEck Africa ETF (AFK)First Trust NASDAQ Cybersecurity ETF (CIBR)
201816.72%$10,67210.90%12.34%5.04%-1.10%3.23%7.08%3.80%10.21%5.23%4.37%
20182-2.16%$10,4411.03%-2.96%-2.39%-3.81%-2.08%-4.34%-5.95%-3.92%-2.18%3.15%
20183-0.18%$10,422-2.12%0.02%-0.00%0.94%0.63%-4.19%1.65%0.71%0.12%0.70%
201840.39%$10,4642.77%-2.38%-0.16%-2.47%-0.95%1.46%1.56%1.82%-1.68%3.15%
201850.81%$10,5488.54%-13.59%3.80%0.51%-1.20%1.31%-0.91%5.08%-3.33%2.40%
20186-0.82%$10,4622.41%-4.01%-0.35%-1.11%-3.61%-0.53%-1.90%1.42%-3.57%-0.35%
201871.44%$10,612-1.63%12.03%0.52%2.17%-2.24%1.35%1.74%3.80%1.02%-0.91%
201881.54%$10,7767.60%-8.42%2.36%-0.32%-2.14%3.09%-2.40%5.56%-6.41%9.64%
20189-0.32%$10,741-2.85%3.08%-0.61%-0.27%-0.66%-1.45%-1.32%3.52%-3.87%-0.49%
201810-7.03%$9,987-10.97%-0.70%-6.64%-3.58%2.12%-14.97%-5.44%-9.78%-5.86%-12.59%
2018111.80%$10,1660.21%-0.70%2.55%-0.82%0.34%3.78%2.80%5.53%1.44%2.09%
201812-3.87%$9,772-7.62%-0.36%-5.43%2.83%4.94%-12.18%-2.50%-7.60%-1.85%-7.83%
2019110.00%$10,74913.42%18.67%7.99%4.03%2.89%16.21%10.44%7.81%11.34%10.63%
201921.75%$10,9373.54%-4.41%3.53%-0.48%-0.61%5.01%-1.34%5.00%-0.73%8.80%
201930.16%$10,9551.39%-3.81%0.19%4.52%-1.60%-3.85%4.10%2.36%-1.01%-0.32%
201941.62%$11,1336.36%0.51%2.63%0.18%-0.66%5.95%-2.52%-2.91%2.51%5.44%
20195-3.65%$10,726-6.62%-0.15%-5.41%2.38%1.76%-13.08%-0.48%-1.85%-6.44%-8.50%
201966.37%$11,4094.26%5.32%4.77%4.30%8.00%11.45%2.21%9.22%7.13%5.56%
201970.82%$11,5031.60%2.43%1.65%0.86%0.01%0.32%-1.60%2.33%-4.30%3.74%
20198-1.22%$11,363-6.14%-5.03%-1.60%5.69%7.91%-9.45%1.52%1.19%-4.92%-4.58%
20199-0.68%$11,286-1.83%2.10%-0.29%-1.08%-3.39%3.97%2.14%-0.73%-0.80%-2.30%
2019101.51%$11,456-0.66%1.22%1.72%0.28%2.56%3.44%3.43%0.76%1.70%3.34%
2019111.75%$11,6572.97%-1.40%2.88%1.02%-3.21%6.42%-0.63%4.32%1.13%6.54%
2019123.07%$12,0151.02%11.27%2.92%0.18%3.66%4.21%2.00%1.88%5.23%-1.23%
202011.39%$12,1823.90%-1.02%3.14%3.84%4.50%-0.83%0.13%0.11%-5.17%3.67%
20202-5.87%$11,467-4.95%-13.09%-3.49%1.36%-0.64%-5.93%-7.04%-8.73%-8.89%-8.61%
20203-13.73%$9,893-9.95%-37.52%-13.10%-8.42%-0.22%-25.22%-22.07%-6.68%-27.90%-8.04%
2020412.26%$11,10619.37%8.86%11.51%5.60%7.26%20.08%5.82%14.24%16.69%11.60%
202055.94%$11,76510.38%7.07%6.91%2.05%2.59%7.07%2.04%4.30%3.93%13.73%
202063.84%$12,2174.59%3.83%6.64%2.53%2.74%18.06%1.36%-1.32%6.98%1.10%
202078.12%$13,2107.81%13.97%7.44%5.72%10.79%3.70%1.26%10.68%4.82%8.11%
202083.73%$13,7027.92%-4.98%9.24%-3.84%-0.32%15.83%5.85%3.70%3.08%1.79%
20209-3.01%$13,289-5.07%-4.99%-2.58%-0.32%-4.17%-1.02%-1.91%-1.34%-1.52%-4.20%
202010-0.55%$13,216-0.70%-0.20%0.18%-0.87%-0.52%2.78%-3.69%-0.49%1.26%-4.28%
2020119.71%$14,49910.94%18.34%13.68%6.11%-5.41%31.91%13.53%5.05%11.09%15.85%
2020126.15%$15,3902.29%10.92%7.12%-0.19%7.01%7.99%3.66%4.63%7.84%15.07%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth31.32%
Mid-cap Value0.00%
Mid-cap Growth17.92%
Small-cap Value0.00%
Small-cap Growth6.45%
Global ex-US Developed Markets0.00%
Emerging Markets27.84%
Corporate Bonds16.47%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared94.57%
Style analysis is based on monthly returns from January 2018 to December 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
FDNFirst Trust Dow Jones Internet ETFTechnology15.00%0.51%0.51%36.87$1,32217.40%
FLNFirst Trust Latin America AlphaDEX ETFLatin America Stock10.00%2.07%4.68%0.80%0.80%6.99$35.1016.00%
CWBSPDR Blmbg Barclays Convert Secs ETFConvertibles7.50%1.34%1.97%0.40%0.40%1.96$6317.44%
VCLTVanguard Long-Term Corporate Bd ETFLong-Term Bond7.50%3.09%3.06%0.04%0.04%15.00$2422.78%
GLDSPDR Gold SharesCommodities Focused15.00%0.40%0.40%$6803.82%
HAILSPDR S&P Kensho Smart Mobility ETFMid-Cap Blend6.50%0.23%1.36%0.45%0.45%13.05$72311.96%
WPSiShares International Dev Prpty ETFGlobal Real Estate6.50%4.35%0.48%0.48%11.74$28.276.03%
IHIiShares US Medical Devices ETFHealth15.00%0.25%0.41%0.41%33.70$1,14813.35%
AFKVanEck Africa ETFMiscellaneous Region10.00%2.58%4.18%0.79%0.92%10.22-$47.1813.28%
CIBRFirst Trust NASDAQ Cybersecurity ETFTechnology7.00%0.16%0.60%0.60%0.60%27.89$6297.93%
100.00%0.82%1.71%0.49%0.51%22.678.48$5,390100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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
MetricPortfolio 1
Arithmetic Mean (monthly)1.33%
Arithmetic Mean (annualized)17.15%
Geometric Mean (monthly)1.20%
Geometric Mean (annualized)15.46%
Standard Deviation (monthly)5.02%
Standard Deviation (annualized)17.40%
Downside Deviation (monthly)2.97%
Max. Drawdown-18.79%
US Market Correlation0.95
Beta(*)0.84
Alpha (annualized)3.05%
R289.42%
Sharpe Ratio0.83
Sortino Ratio1.38
Treynor Ratio (%)17.28
Calmar Ratio0.82
Active Return1.08%
Tracking Error6.51%
Information Ratio0.17
Skewness-0.34
Excess Kurtosis1.54
Historical Value-at-Risk (5%)-6.16%
Analytical Value-at-Risk (5%)-6.87%
Conditional Value-at-Risk (5%)-10.38%
Upside Capture Ratio (%)81.03
Downside Capture Ratio (%)70.14
Safe Withdrawal Rate38.50%
Perpetual Withdrawal Rate11.78%
Positive Periods23 out of 36 (63.89%)
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 2020-18.79%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-18.79%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-9.32%
3May 2019May 20191 monthJun 20191 month2 months-3.65%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-3.55%
5Feb 2018Mar 20182 monthsAug 20185 months7 months-2.34%
6Aug 2019Sep 20192 monthsNov 20192 months4 months-1.89%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FDNFirst Trust Dow Jones Internet ETF24.54%23.23%52.55%6.17%-19.93%1.001.900.88
FLNFirst Trust Latin America AlphaDEX ETF0.76%35.04%27.21%-12.33%-46.25%0.170.230.68
CWBSPDR Blmbg Barclays Convert Secs ETF22.55%18.27%53.39%-1.96%-16.14%1.122.020.95
VCLTVanguard Long-Term Corporate Bd ETF9.27%10.79%23.89%-7.03%-9.58%0.741.210.48
GLDSPDR Gold Shares12.99%13.23%24.81%-1.94%-11.66%0.881.920.13
HAILSPDR S&P Kensho Smart Mobility ETF24.42%36.62%84.33%-19.92%-31.93%0.741.250.91
WPSiShares International Dev Prpty ETF1.17%19.44%20.31%-9.02%-27.56%0.080.110.80
IHIiShares US Medical Devices ETF23.93%18.48%32.75%15.46%-14.83%1.182.110.85
AFKVanEck Africa ETF-2.67%25.57%9.84%-19.54%-47.68%-0.03-0.040.83
CIBRFirst Trust NASDAQ Cybersecurity ETF25.18%24.01%50.42%1.47%-18.15%0.991.830.83

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 yearNetGross
First Trust Dow Jones Internet ETF12.69%52.55%52.55%24.54%0.51%0.51%
First Trust Latin America AlphaDEX ETF30.99%-12.33%-12.33%0.76%0.80%0.80%
SPDR Blmbg Barclays Convert Secs ETF21.99%53.39%53.39%22.55%0.40%0.40%
Vanguard Long-Term Corporate Bd ETF4.98%13.28%13.28%9.27%0.04%0.04%
SPDR Gold Shares0.70%24.81%24.81%12.99%0.40%0.40%
SPDR S&P Kensho Smart Mobility ETF46.42%84.33%84.33%24.42%0.45%0.45%
iShares International Dev Prpty ETF13.35%-5.40%-5.40%1.17%0.48%0.48%
iShares US Medical Devices ETF9.38%24.18%24.18%23.93%0.41%0.41%
VanEck Africa ETF21.31%4.33%4.33%-2.67%0.79%0.92%
First Trust NASDAQ Cybersecurity ETF27.60%50.42%50.42%25.18%0.60%0.60%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameFDNFLNCWBVCLTGLDHAILWPSIHIAFKCIBRPortfolio 1
FDNFirst Trust Dow Jones Internet ETF1.000.500.880.380.140.820.610.790.710.830.88
FLNFirst Trust Latin America AlphaDEX ETF0.501.000.690.590.300.660.810.530.860.520.80
CWBSPDR Blmbg Barclays Convert Secs ETF0.880.691.000.520.200.940.810.770.850.840.95
VCLTVanguard Long-Term Corporate Bd ETF0.380.590.521.000.420.430.630.440.570.350.60
GLDSPDR Gold Shares0.140.300.200.421.000.000.140.300.290.130.34
HAILSPDR S&P Kensho Smart Mobility ETF0.820.660.940.430.001.000.780.660.850.760.88
WPSiShares International Dev Prpty ETF0.610.810.810.630.140.781.000.620.850.580.84
IHIiShares US Medical Devices ETF0.790.530.770.440.300.660.621.000.640.740.84
AFKVanEck Africa ETF0.710.860.850.570.290.850.850.641.000.640.91
CIBRFirst Trust NASDAQ Cybersecurity ETF0.830.520.840.350.130.760.580.740.641.000.83

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
FDNFirst Trust Dow Jones Internet ETF$1,322
FLNFirst Trust Latin America AlphaDEX ETF$35.10
CWBSPDR Blmbg Barclays Convert Secs ETF$631
VCLTVanguard Long-Term Corporate Bd ETF$242
GLDSPDR Gold Shares$680
HAILSPDR S&P Kensho Smart Mobility ETF$723
WPSiShares International Dev Prpty ETF$28.27
IHIiShares US Medical Devices ETF$1,148
AFKVanEck Africa ETF-$47.18
CIBRFirst Trust NASDAQ Cybersecurity ETF$629
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
TickerNamePortfolio 1
FDNFirst Trust Dow Jones Internet ETF17.40%
FLNFirst Trust Latin America AlphaDEX ETF16.00%
CWBSPDR Blmbg Barclays Convert Secs ETF7.44%
VCLTVanguard Long-Term Corporate Bd ETF2.78%
GLDSPDR Gold Shares3.82%
HAILSPDR S&P Kensho Smart Mobility ETF11.96%
WPSiShares International Dev Prpty ETF6.03%
IHIiShares US Medical Devices ETF13.35%
AFKVanEck Africa ETF13.28%
CIBRFirst Trust NASDAQ Cybersecurity ETF7.93%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns