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.
||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% ||0.62||0.85||0.94|
|Name||Total Return||Annualized Return||Annualized Standard Deviation|
|3 Month||YTD||1 year||3 year||Full||3 year|
|Trailing return and volatility are as of last full calendar quarter ending December 2018|
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 (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
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 January 2016 to December 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 12/03/2021. (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.
Drawdowns for Portfolio 1
Portfolio Asset Performance
Performance of portfolio assets
|Name||Total Return||Annualized Return||Expense Ratio|
|Quarter to Date||Year To Date||1 year||3 year||Net||Gross|
|iShares MSCI KLD 400 Social ETF||-12.51%||-3.89%||-3.89%||8.70%||0.25%||0.25%|
|TIAA-CREF Social Choice Intl Eq Retail||-12.84%||-13.93%||-13.93%||2.48%||0.71%||0.72%|
|Vanguard Intmdt-Term Trs ETF||3.02%||1.35%||1.35%||1.30%||0.05%||0.05%|
|Vanguard GNMA Inv||1.85%||0.87%||0.87%||1.53%||0.21%||0.21%|
|Trailing returns as of last calendar quarter ending December 2018|
Portfolio Return Decomposition
Portfolio Risk Decomposition
Annual Asset Returns