Published. June 26, 2025
Overview
What is a portfolio with historical allocations?
A portfolio with historical allocations contains both the line items and associated weights to those line items, going back in time. One’s portfolio composition might look very different today when compared to several years ago, as investments are made, sold or matured, and increase or decrease in weights over time. Venn can calculate the historical performance of Historical portfolios and run factor analysis.
How is an Historical portfolio different from a Pro Forma portfolio on Venn?
While a Historical portfolio will incorporate the historical line items and their changing weights throughout history, a pro forma portfolio will use the latest set of line items and their latest associated weights, to calculate performance and all related analysis. To maintain these weights in the pro forma portfolio, Venn will conduct a quarterly rebalance by default for its calculations. This involves redistributing the capital of the portfolio by reflecting the portfolio as selling overweight positions and buying underweighted positions, up to the pro forma allocations. Please visit Portfolio Rebalancing Frequency for additional information.
In a historical portfolio, Venn will assume no rebalancing until the next reported allocations. For example, if a historical portfolio is created with historical allocations as listed below, Venn will assume buy and hold from the starting 50/50 weights, then rebalance to 60/40 on Jan 2024.
Jan 2020 – 50% Fund A, 50% Fund B
Jan 2024 – 60% Fund A, 40% Fund B
Uploading Historical Portfolios
How do I upload a Historical portfolio?
You can upload an Historical portfolio the same way you’d upload a pro forma portfolio, via the Portfolio Builder. Please reference the Portfolio Builder FAQ.
Can I upload my investment allocations by % weight?
The uploader will ingest data as $ allocations even if you upload % weights. For example if you upload 10% the uploader will show $10. However, after the upload you can toggle between $ and % at the top of the Portfolio Allocator panel.
How should I format the historical allocations data after an investment redemption?
To represent an investment liquidation, input $0.00 for the last period when the investment is held. For example, if there was an allocation to an investment that was redeemed at year-end, enter $0.00 for the 12/31/2024 allocation.
Portfolio Contribution
Venn calculates the time-weighted average contribution of each portfolio component over a specified historical period. By applying the actual weights from each period, Venn produces a single averaged view of how individual assets contributed to overall portfolio performance and risks throughout the selected timeframe.
Historical Allocation Analytics
Historical Allocations Block
Use the Historical Allocations block to show the Top-Level Strategy Allocations or the Investment Allocations overtime via an area chart.
How do allocations drift over time?
As described above, for the historical portfolio’s TWR, Venn assumes no rebalancing between reported allocations. As such, allocations are expected to drift from the starting weights due to the holdings’ performance over time.
For certain blocks around Venn, we will also implement “drift” past the last reported allocations (example below):
Forecasts: Venn uses the “current” allocations of a historical portfolio to calculate forecasts by assuming buy and hold and drifting the weights based on the performance of the investments from the last reported allocations. Refer to sections below for more details.
Asset Growth Simulation (returns only): Venn uses the “current” allocations of a historical portfolio to calculate forecasted risk and return inputs. To determine the “current” allocations, Venn assumes buy and hold and drifts the weights based on the performance of the investments from the last reported allocations. Refer to sections below for more details.
Sensitivity Analysis: Venn uses the “current” allocations of a historical portfolio to calculate forecasts by assuming buy and hold and drifting the weights based on the performance of the investments from the last reported allocations. Refer to sections below for more details.
Asset Growth Percentiles & NAV Breakdown (Private Asset Lab): Venn uses the allocations of a historical portfolio as of the end of quarter preceding the simulation start date to calculate forecasted risk and return inputs. Venn assumes buy and hold and drifts the weights from the last reported allocations to the forecasts as of date. Refer to sections below for more details.
How does Venn calculate Forecasted metrics for a Historical portfolio?
To calculate forecasted risk and returns, Venn first defines the “current” allocations of a historical portfolio. This is done by assuming buy and hold and drifting the weights based on the performance of the investments from the last reported allocations.
Venn then creates a “pro-forma” portfolio using these latest positions (assuming quarterly rebalancing) and uses this time series to calculate the forecasts using the methodology outlined in this FAQ. This is because forecasts are meant to be forward-looking based on the current positioning of the portfolio. As such, Venn anchors on the current allocations to identify the factor exposures and the go forward expectations.
Note that the custom historical forecast setting will apply to the pro-forma returns generated in the step above. Venn does not support calculating forecasts using positions as-of a historical date.
How does Venn treat Factor Analysis for Historical portfolios?
Venn first calculates the time weighted returns for the historical portfolio, then uses that return series to run the factor regression analyses.
How does Venn treat Sensitivity Analysis calculations for Historical portfolios?
Similar to forecasts (outlined above), Venn first creates a “pro-forma” portfolio using the “current” allocations of a historical portfolio. This pro-forma time series is used for Sensitivity Analysis, the methodology for which is outlined in this FAQ.
How does Venn treat Asset Growth Simulation
For returns-based Asset Growth Simulations, projections use the portfolio’s forecasted risk and returns, which are calculated using the “current” allocations. Please see above for details on how forecasts are calculated for a historical portfolio.
For the Asset Growth - Percentiles and NAV Breakdown blocks (Private Asset Lab), Venn uses the allocations of a historical portfolio as of the end of quarter preceding the simulation start date to calculate forecasted risk and return inputs. Venn assumes buy and hold and drifts the weights from the last reported allocations to the forecasts as of date.
How are correlations calculated?
For “Portfolio Correlations,” Venn shows the pairwise correlations of the investments held in the portfolio as of the end of the user-defined date range, over the set analysis period. For example, assume a portfolio had Funds A, B, and C as of December 2024 and only Funds A and B as of March 2025. If the date range is set to be trailing 3 years ending March 2025, Venn would show the trailing 3 years correlations of Funds A and B. If set to be trailing 3 years ending December 2024, Venn would show the 3 year correlations of Funds A, B, and C.
For “Compare Correlations,” Venn will treat the Historical portfolio as a single subject and show the correlations of the portfolio level returns against other subjects and/or benchmark.
The analysis period for both of the correlation matrices are limited by the portfolio’s total available history, even if the individual investments have longer historical returns data.
What blocks and features are not supported for Historical portfolios?
Portfolio Lab
Hypothetical Drawdown
Performance Attribution
Investment-level contributions to Factor Exposures, Factor Risks and Factor Returns
This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.