Portfolio Analysis

This portfolio analysis tool allows you to backtest portfolio returns, drawdowns, various risk characteristics, and compare them to a benchmark.

What Is Portfolio Analysis?

Portfolio analysis is an examination of an investment portfolio to determine its suitability for a given investor's preferences. It evaluates the ability to meet the investment goals considering risk indicators of the portfolio holdings and their historical performance.

Portfolio

Your portfolio is empty. Add symbols manually or select an existing portfolio.

Portfolio Analysis Settings

Rebalance portfolio

Benchmark

Portfolio Asset Allocation

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PortfolioPerformance

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PortfolioReturns

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PortfolioSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The chart below displays rolling 12-month Sharpe Ratio.

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PortfolioDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

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PortfolioWorst Drawdowns

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PortfolioVolatility Chart

The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.