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.
||Franklin Income A1
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Portfolio performance statistics
|Portfolio||Initial Balance||Final Balance||CAGR||Stdev||Best Year||Worst Year||Max. Drawdown||Sharpe Ratio||Sortino Ratio||US Mkt Correlation|
|Portfolio 1||$10,000||$10,789 ||1.53% ||10.18%||16.29%||-12.45%||-16.36% ||0.09||0.12||0.90|
|Vanguard 500 Index Investor||$10,000||$15,371 ||8.98% ||14.70%||31.33%||-9.34%||-19.63% ||0.58||0.85||1.00|
|Name||3 Month||YTD||1 year||3 year||5 year||Full|
|Vanguard 500 Index Investor||-9.29%||-9.34%||0.73%||8.90%||8.98%||8.98%|
|Trailing returns are for full months ending in April 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 2015 are based on monthly returns from May to December
- The annual results for 2020 are based on monthly returns from January to April
- 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.
Returns Based Style Analysis
Returns Based Style Analysis
|Style Category||Portfolio 1||Vanguard 500 Index Investor|
|Global ex-US Developed Markets||24.81%||0.00%|
|Style analysis is based on monthly returns from May 2015 to Apr 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
Equity Market Capitalization
Fixed Income Credit Quality
Fund fundamentals data as of 09/28/2020. (c) 2020 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.
Drawdowns for Portfolio 1
Drawdowns for Vanguard 500 Index Investor
Annual Asset Returns