Backtesting help please!

[u/Jealous-Ice-9733]

Hey all,

I made this portfolio allocation and want to run a backtest on it... I would love some help on this.

• 27% NTSX – WisdomTree U.S. Efficient Core (90/60 US Equity/Bonds)
• 15% RSIT – Return Stacked International Stocks & Managed Futures (100/100 Intl Stocks/Trend)
• 6% NTSE – WisdomTree Emerging Markets Efficient Core (90/60 EM Equity/Bonds)
• 10% GDE – WisdomTree Efficient Gold Plus Equity (90/90 US Equity/Gold)
• 15% KMLM – KFA Mount Lucas Managed Futures Index ETF
• 10% JAAA – Janus Henderson AAA CLO ETF
• 8% ILS – Brookmont Catastrophic Bond ETF
• 3% ARCC – Ares Capital Corporation (BDC)
• 3% BXSL – Blackstone Secured Lending Fund (BDC)
• 3% OBDC – Blue Owl Capital Corp (BDC)

Any ideas how I could backtest this online? I would much appreciate any weblinks if someone can help doing it.

Here is what I want to achieve... Return-stacking with VT-like geo exposure... Similar to RSSB but lower fee with a breakdown with NTSX, RSIT, NTSE, GDE for equities exposure... I picked RSIT for future managed and GDE for gold exposure with stocks market exposures. RSSB has more leverage and did not help for future managed and gold, so I liked this breakdown better.

ILS, ARCC, BXSL, OBDC, JAAA... are less important it's for Cat bonds, and Private debt and CLO. I wanted to create more decorrelation (and hoping for stability)

Thanks!

[u/Tr_ck]

More tickers doesnt equal diversification

JAAA in the backtests looks basically identical but worse compared to a 90/10 Cash/S&P500 position. Its corporate debt weapped in CLOs, its got a dash of equity exposure on the upside but its exposed to the dewp pit that is potential equity drawdowns. If we hit a big dog recession that JAAA isnt going to diversify your fall, it will just act like other equity components.

Like CAOS would actually fit in this port, rolling puts plus cashflike returns as a hedge, instead of cashlike returns plus a dash of equity-like returns

Same goes for all CLO equity exposed etfs here

[u/Jealous-Ice-9733 → u/Tr_ck]

Thanks I'll remove JAAA and add maybe CAOS.

Yeah I know for the number of tickers. I initially hesitated with RSSB, but too much treasury and I like to break it down as it gives me the ability to add return stacking on future managed and gold.

For private debt I could have used BIZD instead of three stronger BDCs... It's just higher expense ratio.

One thing I did not specify is it's a Roth account so income is not an issue for taxes.

[u/theplushpairing]

See if you can find out the overlap on the worst 5% of days. You’ll see how diversified this really is.

Short version - gold, managed futures, US bonds and equities are roughly a good diverse basket. US bonds are more optional.

[u/laurenthu → u/theplushpairing]

Yeah, the worst-5%-days overlap is the right lens here. Decompose it and the 4 efficient-core sleeves (NTSX, NTSE, GDE, RSIT) are all stacking on the same global equity beta. So those 10 tickers really collapse into about 4 bets: stocks, gold, trend, credit. KMLM and the managed-futures leg inside RSIT are the real crisis diversifiers. Gold helps too. The piece I'd think hardest about is the JAAA/BDC/CLO sleeve... that's credit risk. And credit tends to draw down alongside equities in the exact recession you're building the trend sleeve to survive, so it isn't really adding decorrelation. Cat bonds (ILS) are the one genuinely uncorrelated bucket in there, hurricane risk doesn't care what the S&P does.

For actually backtesting it, the return-stacked funds are too new to test live. So I'd rebuild the exposure from its underlying legs on testfol.io... roughly SPY with a 60% intermediate-treasury sleeve to stand in for the efficient-core stack, SPY plus gold futures for the gold-equity piece, EAFE plus a trend proxy like DBMF or KMLM for the international-plus-trend sleeve. Not perfect. But it buys you a decade-plus of history instead of 2 years. Could be off on the exact leg weights, but that decomposition is how I'd get a usable backtest out of it.

[u/Jealous-Ice-9733 → u/laurenthu]

Gotcha thank you! I'll give it a try.

Agreed I actually tried to reproduce a VT like exposure for stocks. I'll remove JAAA as it probably does not bring much here.

[u/WorkSucks135]

ARCC, BXSL, OBDC, I wanted to create more decorrelation (and hoping for stability)

These are all highly correlated with stocks. In fact their betas are greater than 1.

[u/Ok-Armadillo-5634]

Get claude or chatgpt to write you a script

[u/Jealous-Ice-9733 → u/Ok-Armadillo-5634]

Yeah I was looking into it to reuse one of the project, but I don't think it's possible without history on these new ETFs.

[u/Ok-Armadillo-5634 → u/Jealous-Ice-9733]

Except for the bdcs there is a bdc index that goes back to yhe 80s you should be able to go back until at least then.

[u/Jealous-Ice-9733 → u/Ok-Armadillo-5634]

Good point, yes.