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 (Jan 2018 - Sep 2021)

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%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$15,964 13.28% 15.95%28.09%-2.28%-18.79% 0.791.300.93

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 yearFull3 year
Portfolio 1-2.26%3.73%20.13%14.12%13.28%17.39%
Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on monthly returns from January to September
  • 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)
Annual return for 2021 is from 01/01/2021 to 09/30/2021
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)

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth31.90%
Mid-cap Value0.00%
Mid-cap Growth18.15%
Small-cap Value0.00%
Small-cap Growth3.70%
Global ex-US Developed Markets1.76%
Emerging Markets26.57%
Corporate Bonds17.91%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared93.66%
Style analysis is based on monthly returns from January 2018 to September 2021 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
FDNFirst Trust Dow Jones Internet ETFTechnology15.00%0.51%39.14$1,57917.48%
FLNFirst Trust Latin America AlphaDEX ETFLatin America Stock10.00%2.29%0.80%8.06-$40.2315.90%
CWBSPDR Blmbg Barclays Convert Secs ETFConvertibles7.50%2.23%0.40%1.75$6767.33%
VCLTVanguard Long-Term Corporate Bd ETFLong-Term Bond7.50%3.09%0.05%14.96$2082.94%
GLDSPDR Gold SharesCommodities Focused15.00%0.40%$4974.38%
HAILSPDR S&P Kensho Smart Mobility ETFMid-Cap Growth6.50%1.07%0.45%15.33$73011.44%
WPSiShares International Dev Prpty ETFGlobal Real Estate6.50%2.89%0.48%12.59$96.535.98%
IHIiShares US Medical Devices ETFHealth15.00%0.24%0.41%36.02$1,50013.56%
AFKVanEck Africa ETFMiscellaneous Region10.00%3.84%0.79%11.66-$17.7312.94%
CIBRFirst Trust NASDAQ Cybersecurity ETFTechnology7.00%0.12%0.60%28.60$7368.05%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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)1.15%
Arithmetic Mean (annualized)14.69%
Geometric Mean (monthly)1.04%
Geometric Mean (annualized)13.28%
Volatility (monthly)4.60%
Volatility (annualized)15.95%
Downside Deviation (monthly)2.74%
Max. Drawdown-18.79%
US Market Correlation0.93
Alpha (annualized)0.43%
Sharpe Ratio0.79
Sortino Ratio1.30
Treynor Ratio (%)15.26
Calmar Ratio0.75
Active Return-2.31%
Tracking Error6.54%
Information Ratio-0.35
Excess Kurtosis2.04
Historical Value-at-Risk (5%)-5.57%
Analytical Value-at-Risk (5%)-6.38%
Conditional Value-at-Risk (5%)-8.87%
Upside Capture Ratio (%)74.52
Downside Capture Ratio (%)72.10
Safe Withdrawal Rate38.50%
Perpetual Withdrawal Rate11.34%
Positive Periods28 out of 45 (62.22%)
Gain/Loss Ratio1.25
* 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%
3Sep 2021Sep 20211 month-4.39%
4May 2019May 20191 monthJun 20191 month2 months-3.65%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-3.55%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-2.34%
7Aug 2019Sep 20192 monthsNov 20192 months4 months-1.89%
8Jan 2021Mar 20213 monthsApr 20211 month4 months-1.37%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FDNFirst Trust Dow Jones Internet ETF22.60%21.69%52.55%6.17%-19.93%0.991.900.86
FLNFirst Trust Latin America AlphaDEX ETF-0.73%32.12%27.21%-12.33%-46.25%
CWBSPDR Blmbg Barclays Convert Secs ETF18.88%16.86%53.39%-1.96%-16.14%1.041.850.91
VCLTVanguard Long-Term Corporate Bd ETF6.50%10.47%23.89%-7.03%-9.58%0.540.860.45
GLDSPDR Gold Shares7.86%14.02%24.81%-7.93%-13.74%0.520.950.11
HAILSPDR S&P Kensho Smart Mobility ETF19.34%33.70%84.33%-19.92%-31.93%0.651.120.85
WPSiShares International Dev Prpty ETF2.73%17.89%20.31%-9.02%-27.56%
IHIiShares US Medical Devices ETF23.30%17.45%32.75%15.25%-14.83%
AFKVanEck Africa ETF-1.64%23.35%9.84%-19.54%-47.68%
CIBRFirst Trust NASDAQ Cybersecurity ETF22.72%22.34%50.42%1.47%-18.15%0.981.790.82

Monthly Correlations

Correlations for the portfolio assets
FDNFirst Trust Dow Jones Internet ETF1.000.500.880.390.070.770.590.770.670.810.86
FLNFirst Trust Latin America AlphaDEX ETF0.501.000.660.570.280.610.800.510.840.520.80
CWBSPDR Blmbg Barclays Convert Secs ETF0.880.661.000.500.150.910.760.740.820.800.93
VCLTVanguard Long-Term Corporate Bd ETF0.390.570.501.000.400.370.580.460.510.410.60
GLDSPDR Gold Shares0.
HAILSPDR S&P Kensho Smart Mobility ETF0.770.610.910.37-
WPSiShares International Dev Prpty ETF0.590.800.760.580.170.721.000.610.850.570.83
IHIiShares US Medical Devices ETF0.770.510.740.460.260.590.611.000.600.750.83
AFKVanEck Africa ETF0.670.840.820.510.280.800.850.601.000.610.89
CIBRFirst Trust NASDAQ Cybersecurity ETF0.810.520.800.410.160.700.570.750.611.000.83

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
FDNFirst Trust Dow Jones Internet ETF$1,579
FLNFirst Trust Latin America AlphaDEX ETF-$40.23
CWBSPDR Blmbg Barclays Convert Secs ETF$676
VCLTVanguard Long-Term Corporate Bd ETF$208
GLDSPDR Gold Shares$497
HAILSPDR S&P Kensho Smart Mobility ETF$730
WPSiShares International Dev Prpty ETF$96.53
IHIiShares US Medical Devices ETF$1,500
AFKVanEck Africa ETF-$17.73
CIBRFirst Trust NASDAQ Cybersecurity ETF$736

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
FDNFirst Trust Dow Jones Internet ETF17.48%
FLNFirst Trust Latin America AlphaDEX ETF15.90%
CWBSPDR Blmbg Barclays Convert Secs ETF7.33%
VCLTVanguard Long-Term Corporate Bd ETF2.94%
GLDSPDR Gold Shares4.38%
HAILSPDR S&P Kensho Smart Mobility ETF11.44%
WPSiShares International Dev Prpty ETF5.98%
IHIiShares US Medical Devices ETF13.56%
AFKVanEck Africa ETF12.94%
CIBRFirst Trust NASDAQ Cybersecurity ETF8.05%

Annual Asset Returns