This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.
||iShares MSCI KLD 400 Social ETF
||TIAA-CREF Social Choice Intl Eq Retail
||Vanguard Intmdt-Term Trs ETF
||Vanguard GNMA Inv
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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||$11,521 ||4.83% ||6.28%||13.83%||-3.69%||-6.86% ||0.63||0.87||0.94|
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.
- 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 (1-month treasury bill)
- Stock market correlation is based on the correlation of monthly returns
- Drawdowns are calculated based on monthly returns excluding cashflows
- The backtested results include annual rebalancing of portfolio assets to match the specified allocation
Returns Based Style Analysis
Returns Based Style Analysis
|Style Category||Portfolio 1|
|Global ex-US Developed Markets||22.95%|
|Style analysis is based on monthly returns from Jan 2016 to Dec 2018 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 12/04/2019. (c) 2019 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
Portfolio Return Decomposition
Portfolio Risk Decomposition
Annual Asset Returns