Portfolio Backtester
Backtest any mix of stocks or ETFs against the S&P 500. Dividends, rebalancing and recurring cashflows included. Every run also x-rays the portfolio: sector mix, hidden overlap, blended fee, real diversification.
About this tool
Backtest any mix of stocks and ETFs over up to 20 years of market history: annualized return, Sharpe, Sortino and Calmar ratios, maximum drawdown and a growth-of-$10,000 curve against the S&P 500. The X-Ray section then looks inside the same portfolio: true sector exposure across all your funds, overlap between holdings, your blended fee and a correlation matrix.
A backtest is a map, not a promise. Its highest use is understanding risk behavior: how deep the drawdowns went, how long recovery took, how the pieces moved together in a crisis. Chasing whichever mix drew the prettiest line is the classic misuse, because the next 20 years will not be the last 20 replayed.
What is a good Sharpe ratio?
Sharpe measures return per unit of volatility. Below 0.5 is weak, 0.5 to 1 is the realistic long-run zone for equity portfolios, and sustained numbers above 1 are rare enough to deserve suspicion of the measurement window.
What does maximum drawdown tell you?
The worst peak-to-trough loss the portfolio suffered. It is the best single proxy for the pain a strategy demands, and the number to consult honestly before assuming you would have held on.
Why does overlap between funds matter?
Two funds with different names can hold largely the same mega-cap stocks, so owning both adds little diversification. The X-Ray quantifies that hidden overlap.