Portfolio Visualizer (PV)

[Admin/YBB]

Portfolio Visualizer (PV)
www.portfoliovisualizer.com/backtest-portfolio

With M* Portfolio (free/Basic and Premium) going away soon (2022), and its replacement M* Investor having very poor portfolio analytics, I have collected the following TIPs based on my use of free PV over the years.

Portfolio Visualizer (PV) can handle a MIX of mutual funds (OEFs), ETFs, CEFs and stocks properly. It provides MPT statistics (SD, beta, alpha, correlation, Sharpe Ratio, %Drawdowns, etc) for portfolios correctly. Most MPT stats depend on the BENCHMARK (with the exceptions of SD, Sharpe Ratio, %Drawdowns and few others that are not benchmark dependent). Only the Vanguard 500 Index and Vanguard Balanced index are offered as built-in benchmark choices, but an appropriate fund ticker can also be used as a suitable benchmark.

CASHX. T-Bill returns. Use for cash or money-market funds.

PV YEAR-to-YEAR runs are from January 1 of the start year to December 31 of the prior year(s), or the prior month of the current year. PV MONTH-to-MONTH runs are from the 1st of the start-month to last day of the end-month, and updates for the prior month are very prompt. Free PV doesn’t provide YTD data although that option is visible with Yes/No option (but they don’t work). The PV performance and MPT data are based on MONTHLY returns that don't capture intra-month volatility; in a way, the monthly data smooth daily or weekly data.

Various REBALANCING intervals are offered.

Systematic investments/withdrawals (under CASHFLOWS) and INFLATION-adjustments (visible only after using Cashflows options) can be included; only INTEGER initial and fixed investment/withdrawal amounts are permitted. In Systematic investment/withdrawal studies, use a large Initial Amount and appropriate Cashflows for better accuracy. The PV runs with systematic investments/withdrawals include:

TWRR, the time weighted rate of return that is basically the geometric average of segments separated by the times for additions/withdrawals. It roughly amounts to ignoring additions/withdrawals and finding point-to-point reinvested TR for the portfolio.

MWRR, the money weighted rate of return is the XIRR calculation accounting for additions/withdrawals (and the time value of money). It assumes that the same return could be obtained on withdrawals by investing them elsewhere as the MWRR found here - not a realistic assumption.

For PV runs without systematic investments/withdrawals, only the CAGR is offered (TWRR and MWRR would be the same, so they are skipped).

For more details, see,
ybbpersonalfinance.proboards.com/post/218/thread


The free PV version doesn't allow STORING portfolios (anymore), but one can have portfolios saved in EXCEL and upload up to 3 portfolios at a time by using the PV UPLOAD Portfolio feature in the menu for the Portfolios. For proper uploading, the Excel sheet should be very basic with the beginning portion containing only 2 columns for tickers and %weights; after several blank rows, any related comments and Excel calculations can be added.

LIMITATIONS of PV include its use of MONTHLY return data (so it misses finer details within the months), the free data goes back to 1985 only, and free PV run periods are limited to that for portfolio holding with the SHORTEST HISTORY (the paid version can substitute something similar for longer runs).

For LINKING the PV run results, use the PV Link-tool about 1/3rd page down in the PV run to generate linkable URL, copy the URL, and then paste it on another website (M*, PB, MFO, Fidelity Investor Community, Facebook, Twitter, etc) or use in posting website’s Link-tool to create a hyperlink. For an example, a PV run was picked from Examples tab, www.portfoliovisualizer.com/examples :

Linkable URL (long) www.portfoliovisualizer.com/backtest-portfolio?s=y&allocation4_1=30&endYear=2022&initialAmount=10000&showYield=true&allocation1_1=40&allocation3_1=10&allocation2_1=20&symbol4=VBMFX&startYear=1985&symbol1=VTSMX&symbol2=VGTSX&symbol3=VGSIX

Short and meaningful PV Run Link (for PB)


SUBSCRIPTION PV allows storing portfolios (50-150), larger portfolios (150 holdings vs 25 for free PV), YTD performance (free PV allows year-to-year or month-to-month performance), fancy analytics, simulations and presentations. Subscription PV also offers fund substitutions for newer funds so the PV can run for longer periods; the free PV truncates the PV run to the period of fund with the shortest history

The TIPs here focus on getting the most out of free PV.
www.portfoliovisualizer.com/pricing

Summary of STEPs: 1) UPDATE the portfolio Excel sheet with the current %weights using the fund/brokerage account data, 2) UPLOAD portfolio using the PV Upload feature (up to 3 portfolios), 3) Click Analyze Portfolios for the PV RUN, 4) Use PV Link to generate URL, copy to PASTE the URL elsewhere or in a HYPERLINKING tool (PDF and Excel options displayed are only for Subscription PV, 4) Right-click and use PRINT to Save the run-report as PDF (typically 3-dozen pages, so not practical for most PV runs).

PV Technicals - Terminology (#12)
www.portfoliovisualizer.com/faq

PV Technicals – Capabilities
www.portfoliovisualizer.com/faq


Accessible from Morningstar (M*), Mutual Fund Observer (MFO), PB Big Bang, Twitter

[Admin/YBB]

Portfolio Visualizer (PV) – SWR, PWR

The Metrics tab of a PV run provides 2 types of (default) safe withdrawal rates, SWR and PWR (perpetual withdrawal rate) defined below.

Fixed Annual Withdrawal SWR (Inflation Adjusted) – This is the initial %withdrawal from the initial lump-sum that is inflation adjusted annually and will exhaust the portfolio (final value FV = 0). The annual withdrawals will rise steadily. Bengen tested portfolios for survival over 30-35 years (FV > 0) for 4% initial withdrawal with COLA and his conclusion at the time (1994) was that it survived the worst markets; so, the actual withdrawals may be higher or may be adjusted dynamically or the COLA may be foregone.

Fixed Annual Percentage PWR – This is the fixed annual % from annual balances that will leave the final value FV that is at least equal to the inflation-adjusted initial lump-sum. The annual withdrawals will be variable depending on portfolio performance. For some funds, there may not be a PWR over some time periods and the PV will show that as 0.

There will be minor variations if the withdrawals are taken monthly instead of annually. The information here applies to the “free” version of PV that has data to 1985; the subscription version has more features.

These definitions are also found on PV Tools – Monte Carlo Simulation page,
www.portfoliovisualizer.com/monte-carlo-simulation

PV Backtest Screen www.portfoliovisualizer.com/backtest-portfolio
Bill Bengen at Wiki en.wikipedia.org/wiki/William_Bengen


Edit/Add: Examples

Period 01/1985-05/2023 (as far back as free PV goes)

              SWR      PWR

VWINX    8.76%   5.53%
VWELX    9.77%   6.64%
ABALX     9.35%   6.29%
VFINX   10.93%   7.52%

So, in this period of about 37.5 years, the realized SWRs were much higher than Bengen's 4% rule. Equities did well and more equities, the better. PWRs weren't that much lower - remember that with PWRs, you or your heirs would also have the inflation-adjusted initial lump-sum on hand.

Period 01/2000-12/2009 (a tough decade)

               SWR       PWR

VWINX    13.28%   4.14%
VWELX    12.31%   3.41%
ABALX     12.88%   2.98%
VFINX       7.42%   0.00%

SWRs look high but remember that the initial balance is also exhausted in 10 years, and that alone at 0% return will be SWR of 10%. PWRs are low and more meaningful for this period. If some more aggressive funds are included, those may fail and would just show the PWR of 0.00% (as for VFINX/SP500).

Edit/Add2: Additional Notes

For SWR it to be meaningful, PV run periods must be long as you are getting some principal back. But PWR may be used for short or long periods although some funds may fail & the PV will then report 0%.

The SWR & PWR aren't affected by specific PV run settings; only the funds & periods matter.

Some details of SWR and PWR were clarified through emails with Tuomo Lampinen at Portfolio Visualizer in July 2019.

[Admin/YBB]

PV Technical Details

A brief test of Year-to-Year (YTY) and Month-to-Month options (MTM) was done on 11/11/23. It showed that for YTY 2007 to 2023, the default dates indicated were 01/01/2007 (first day of the starting year) to 12/31/23 (last day of the ending year) but the results were only up to 10/31/2023 (last day of the most recent recent completed month; only the paid PV version provides data for the current partial month). So, the PV runs with MTM indicated dates January 2007 (01/01/2007) to December 2023 (12/31/2023) also had the results up to 10/31/2023 (last day of the most recent recent completed month); the same when the ending months indicated were October or November or December, 2023 . One oddity was the SWR that didn't change for YTY 2007 to 2022, YTY 2007 to 2023, MTM January 2007 to October or November or December, 2023 because of the assumption of withdrawals at the yearend only (regardless of actual PV settings)*. *Edit/Add, 12/7/23 - But CFI, SWRM, PWR are affected because while the annual withdrawals are at the yearend, but the final value months are different.

In ANOTHER withdrawal test, annual inflation-adjusted withdrawals at SWR% did almost exhaust the initial principal at the end of the most recent completed year; slight balance was because only integer amounts can be entered for withdrawals; inflation-adjustment was applied even to the first withdrawal; typically, money ran out with monthly withdrawals because they started earlier and were all inflation-adjusted.

ybbpersonalfinance.proboards.com/post/1249/thread

[Admin/YBB]

PV Support on Benchmark Selection & MPT Statistics
www.mutualfundobserver.com/discuss/discussion/comment/174401/#Comment_174401

"The benchmark is noted in the footer section of the performance metrics table. Typically this is the benchmark you have explicitly selected in the analysis parameters, but if you have not selected any benchmark the default benchmark selection will match US stock market.

Thanks,
PV Support Team"