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.
The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.
Ticker | Name | Allocation |
---|---|---|
AAPL | Apple Inc. | 100.00% |
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Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Apple Inc. | $10,000 | $143,205 | 30.50% | 27.74% | 88.97% | -5.39% | -39.54% | 1.09 | 1.93 | 0.57 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Apple Inc. | 25.67% | 34.65% | 34.65% | 66.78% | 45.48% | 30.50% | 30.50% | 29.28% | 29.45% |
Trailing return and volatility are as of last full calendar month ending December 2021 |
Year | Inflation | Apple Inc. Return | Apple Inc. Balance | Apple Inc. (AAPL) |
---|---|---|---|---|
2012 | 1.74% | 32.59% | $13,259 | 32.59% |
2013 | 1.50% | 8.06% | $14,328 | 8.06% |
2014 | 0.76% | 40.62% | $20,147 | 40.62% |
2015 | 0.73% | -3.02% | $19,539 | -3.02% |
2016 | 2.07% | 12.48% | $21,978 | 12.48% |
2017 | 2.11% | 48.48% | $32,631 | 48.48% |
2018 | 1.91% | -5.39% | $30,872 | -5.39% |
2019 | 2.29% | 88.97% | $58,338 | 88.97% |
2020 | 1.36% | 82.31% | $106,355 | 82.31% |
2021 | 7.04% | 34.65% | $143,205 | 34.65% |
Year | Month | Apple Inc. Return | Apple Inc. Balance | Apple Inc. (AAPL) |
---|---|---|---|---|
2012 | 1 | 12.71% | $11,271 | 12.71% |
2012 | 2 | 18.83% | $13,394 | 18.83% |
2012 | 3 | 10.53% | $14,804 | 10.53% |
2012 | 4 | -2.60% | $14,419 | -2.60% |
2012 | 5 | -1.07% | $14,265 | -1.07% |
2012 | 6 | 1.09% | $14,420 | 1.09% |
2012 | 7 | 4.58% | $15,080 | 4.58% |
2012 | 8 | 9.39% | $16,496 | 9.39% |
2012 | 9 | 0.28% | $16,542 | 0.28% |
2012 | 10 | -10.76% | $14,762 | -10.76% |
2012 | 11 | -1.22% | $14,582 | -1.22% |
2012 | 12 | -9.07% | $13,259 | -9.07% |
2013 | 1 | -14.41% | $11,348 | -14.41% |
2013 | 2 | -2.54% | $11,060 | -2.54% |
2013 | 3 | 0.29% | $11,091 | 0.29% |
2013 | 4 | 0.03% | $11,094 | 0.03% |
2013 | 5 | 2.25% | $11,343 | 2.25% |
2013 | 6 | -11.83% | $10,002 | -11.83% |
2013 | 7 | 14.12% | $11,414 | 14.12% |
2013 | 8 | 8.38% | $12,370 | 8.38% |
2013 | 9 | -2.15% | $12,105 | -2.15% |
2013 | 10 | 9.64% | $13,271 | 9.64% |
2013 | 11 | 7.01% | $14,201 | 7.01% |
2013 | 12 | 0.89% | $14,328 | 0.89% |
2014 | 1 | -10.77% | $12,785 | -10.77% |
2014 | 2 | 5.75% | $13,519 | 5.75% |
2014 | 3 | 2.00% | $13,789 | 2.00% |
2014 | 4 | 9.94% | $15,160 | 9.94% |
2014 | 5 | 7.87% | $16,353 | 7.87% |
2014 | 6 | 2.77% | $16,805 | 2.77% |
2014 | 7 | 2.87% | $17,288 | 2.87% |
2014 | 8 | 7.75% | $18,628 | 7.75% |
2014 | 9 | -1.71% | $18,310 | -1.71% |
2014 | 10 | 7.20% | $19,628 | 7.20% |
2014 | 11 | 10.60% | $21,708 | 10.60% |
2014 | 12 | -7.19% | $20,147 | -7.19% |
2015 | 1 | 6.14% | $21,385 | 6.14% |
2015 | 2 | 10.07% | $23,539 | 10.07% |
2015 | 3 | -3.14% | $22,800 | -3.14% |
2015 | 4 | 0.58% | $22,932 | 0.58% |
2015 | 5 | 4.53% | $23,972 | 4.53% |
2015 | 6 | -3.72% | $23,079 | -3.72% |
2015 | 7 | -3.29% | $22,319 | -3.29% |
2015 | 8 | -6.62% | $20,842 | -6.62% |
2015 | 9 | -2.18% | $20,387 | -2.18% |
2015 | 10 | 8.34% | $22,087 | 8.34% |
2015 | 11 | -0.58% | $21,960 | -0.58% |
2015 | 12 | -11.02% | $19,539 | -11.02% |
2016 | 1 | -7.52% | $18,069 | -7.52% |
2016 | 2 | -0.13% | $18,045 | -0.13% |
2016 | 3 | 12.72% | $20,340 | 12.72% |
2016 | 4 | -13.99% | $17,494 | -13.99% |
2016 | 5 | 7.18% | $18,750 | 7.18% |
2016 | 6 | -4.27% | $17,950 | -4.27% |
2016 | 7 | 9.01% | $19,567 | 9.01% |
2016 | 8 | 2.36% | $20,029 | 2.36% |
2016 | 9 | 6.55% | $21,341 | 6.55% |
2016 | 10 | 0.43% | $21,434 | 0.43% |
2016 | 11 | -2.15% | $20,972 | -2.15% |
2016 | 12 | 4.80% | $21,978 | 4.80% |
2017 | 1 | 4.77% | $23,027 | 4.77% |
2017 | 2 | 13.37% | $26,107 | 13.37% |
2017 | 3 | 4.87% | $27,378 | 4.87% |
2017 | 4 | -0.01% | $27,376 | -0.01% |
2017 | 5 | 6.78% | $29,231 | 6.78% |
2017 | 6 | -5.72% | $27,559 | -5.72% |
2017 | 7 | 3.27% | $28,460 | 3.27% |
2017 | 8 | 10.71% | $31,509 | 10.71% |
2017 | 9 | -6.02% | $29,611 | -6.02% |
2017 | 10 | 9.68% | $32,478 | 9.68% |
2017 | 11 | 2.03% | $33,137 | 2.03% |
2017 | 12 | -1.52% | $32,631 | -1.52% |
2018 | 1 | -1.06% | $32,284 | -1.06% |
2018 | 2 | 6.81% | $34,484 | 6.81% |
2018 | 3 | -5.81% | $32,482 | -5.81% |
2018 | 4 | -1.50% | $31,994 | -1.50% |
2018 | 5 | 13.51% | $36,318 | 13.51% |
2018 | 6 | -0.94% | $35,976 | -0.94% |
2018 | 7 | 2.80% | $36,983 | 2.80% |
2018 | 8 | 20.04% | $44,395 | 20.04% |
2018 | 9 | -0.83% | $44,027 | -0.83% |
2018 | 10 | -3.05% | $42,685 | -3.05% |
2018 | 11 | -18.12% | $34,951 | -18.12% |
2018 | 12 | -11.67% | $30,872 | -11.67% |
2019 | 1 | 5.52% | $32,575 | 5.52% |
2019 | 2 | 4.48% | $34,033 | 4.48% |
2019 | 3 | 9.70% | $37,335 | 9.70% |
2019 | 4 | 5.64% | $39,442 | 5.64% |
2019 | 5 | -12.42% | $34,545 | -12.42% |
2019 | 6 | 13.05% | $39,054 | 13.05% |
2019 | 7 | 7.64% | $42,037 | 7.64% |
2019 | 8 | -1.64% | $41,347 | -1.64% |
2019 | 9 | 7.30% | $44,363 | 7.30% |
2019 | 10 | 11.07% | $49,274 | 11.07% |
2019 | 11 | 7.75% | $53,093 | 7.75% |
2019 | 12 | 9.88% | $58,338 | 9.88% |
2020 | 1 | 5.40% | $61,489 | 5.40% |
2020 | 2 | -11.47% | $54,438 | -11.47% |
2020 | 3 | -6.98% | $50,640 | -6.98% |
2020 | 4 | 15.54% | $58,508 | 15.54% |
2020 | 5 | 8.50% | $63,483 | 8.50% |
2020 | 6 | 14.74% | $72,839 | 14.74% |
2020 | 7 | 16.51% | $84,867 | 16.51% |
2020 | 8 | 21.66% | $103,252 | 21.66% |
2020 | 9 | -10.25% | $92,666 | -10.25% |
2020 | 10 | -6.00% | $87,104 | -6.00% |
2020 | 11 | 9.55% | $95,423 | 9.55% |
2020 | 12 | 11.46% | $106,355 | 11.46% |
2021 | 1 | -0.55% | $105,770 | -0.55% |
2021 | 2 | -7.97% | $97,340 | -7.97% |
2021 | 3 | 0.73% | $98,054 | 0.73% |
2021 | 4 | 7.62% | $105,528 | 7.62% |
2021 | 5 | -5.05% | $100,198 | -5.05% |
2021 | 6 | 9.91% | $110,128 | 9.91% |
2021 | 7 | 6.50% | $117,285 | 6.50% |
2021 | 8 | 4.25% | $122,269 | 4.25% |
2021 | 9 | -6.80% | $113,950 | -6.80% |
2021 | 10 | 5.87% | $120,634 | 5.87% |
2021 | 11 | 10.51% | $133,310 | 10.51% |
2021 | 12 | 7.42% | $143,205 | 7.42% |
Ticker | Name | Category | Weight | TTM Yield | Contribution | |
---|---|---|---|---|---|---|
Return | Risk | |||||
AAPL | Apple Inc. | Technology / Consumer Electronics | 100.00% | 0.62% | $133,205 | 100.00% |
Metric | Apple Inc. |
---|---|
Arithmetic Mean (monthly) | 2.56% |
Arithmetic Mean (annualized) | 35.41% |
Geometric Mean (monthly) | 2.24% |
Geometric Mean (annualized) | 30.50% |
Standard Deviation (monthly) | 8.01% |
Standard Deviation (annualized) | 27.74% |
Downside Deviation (monthly) | 4.49% |
Maximum Drawdown | -39.54% |
Stock Market Correlation | 0.57 |
Beta(*) | 1.17 |
Alpha (annualized) | 12.01% |
R2 | 32.39% |
Sharpe Ratio | 1.09 |
Sortino Ratio | 1.93 |
Treynor Ratio (%) | 25.76 |
Calmar Ratio | 3.78 |
Active Return | 14.33% |
Tracking Error | 22.92% |
Information Ratio | 0.63 |
Skewness | -0.20 |
Excess Kurtosis | -0.33 |
Historical Value-at-Risk (5%) | -11.48% |
Analytical Value-at-Risk (5%) | -10.61% |
Conditional Value-at-Risk (5%) | -13.74% |
Upside Capture Ratio (%) | 159.42 |
Downside Capture Ratio (%) | 110.24 |
Safe Withdrawal Rate | 24.31% |
Perpetual Withdrawal Rate | 21.73% |
Positive Periods | 74 out of 120 (61.67%) |
Gain/Loss Ratio | 1.36 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Apple Inc. |
---|---|---|---|
COVID-19 Start | Jan 2020 | Mar 2020 | -17.64% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Oct 2012 | Jun 2013 | 9 months | Jun 2014 | 1 year | 1 year 9 months | -39.54% |
2 | Sep 2018 | Dec 2018 | 4 months | Oct 2019 | 10 months | 1 year 2 months | -30.46% |
3 | Jun 2015 | Apr 2016 | 11 months | Feb 2017 | 10 months | 1 year 9 months | -27.02% |
4 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -17.64% |
5 | Sep 2020 | Oct 2020 | 2 months | Dec 2020 | 2 months | 4 months | -15.64% |
6 | Jan 2021 | Feb 2021 | 2 months | Jun 2021 | 4 months | 6 months | -8.48% |
7 | Mar 2018 | Apr 2018 | 2 months | May 2018 | 1 month | 3 months | -7.22% |
8 | Dec 2014 | Dec 2014 | 1 month | Feb 2015 | 2 months | 3 months | -7.19% |
9 | Sep 2021 | Sep 2021 | 1 month | Nov 2021 | 2 months | 3 months | -6.80% |
10 | Sep 2017 | Sep 2017 | 1 month | Oct 2017 | 1 month | 2 months | -6.02% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
AAPL | Apple Inc. | 30.50% | 27.74% | 88.97% | -5.39% | -39.54% | 1.09 | 1.93 | 0.57 |
Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |
Apple Inc. | 25.67% | 34.65% | 34.65% | 66.78% | 45.48% | 30.50% |
Trailing returns as of last calendar month ending December 2021 |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 30.64% | 149.72% | -30.64% |
3 years | 26.32% | 66.78% | 7.21% |
5 years | 25.83% | 45.48% | 12.35% |
7 years | 25.74% | 35.41% | 13.47% |