Holdings replay: reading the path

The replay starts with the holdings you have today and takes their quantities back through a chosen span of up to five years. It asks how that same collection would have moved as prices changed. This is a hypothetical path, not a record of your own past account results. Assets that entered your account later still appear throughout the replay wherever history or a disclosed substitute is available. Its starting point is the chosen window, rather than the date your account began.

The example uses real SPY and AGG history, with 60% allocated to SPY and 40% to AGG at the start. The quantities stay unchanged. SPY appears separately as the comparison line. Both curves measure the change from their starting value, so their heights can be compared without a difference in starting amounts. The vertical markers locate the example’s maximum-drawdown peak and trough. They mark a particular fall inside the window, which need not begin on the first day or end on the last.

Cumulative return is the total change from the first value to the last. Here it is 54.07%, compared with 91.50% for SPY. It combines the whole path into one endpoint comparison; it does not describe how steady or uneven that path was.

Annualized return translates that endpoint change into a constant yearly rate over the actual calendar days. The example’s rate is 9.04%, and SPY’s is 13.89%. It is a conversion of historical results, not a rate promised for another year.

Annualized volatility describes how widely the daily returns varied, expressed on a yearly scale. It is 11.76% for the example and 17.15% for SPY. It counts variation in both directions, so it differs from a measure of losses alone.

Maximum drawdown measures the deepest fall from a high to a later low, not the loss from the starting point. The example fell -21.03% from Dec 27, 2021 to Oct 14, 2022. SPY’s maximum drawdown was -24.50%, with its own peak and trough dates shown in the table.

Worst day identifies the most negative daily return. The example’s was -3.88% on Apr 4, 2025; SPY’s was -5.85% on that same date. This is a single observed day, rather than an estimate of the largest possible future loss.

Worst month compares calendar month-end values, using the first value as the first month’s base. The example’s worst calendar month was September 2022, at -7.23%; SPY returned -9.24% that month. A calendar month differs from a rolling trading-day window.

No rebalancing means the number of units stays the same while each asset’s share of the value changes. In this example, SPY starts at 60% and ends at 74.58%. The final mix therefore differs from the starting mix even though neither quantity changed. The replay does not model your own trades, additions or withdrawals. A portfolio repeatedly reset to its initial weights would trace a different path, because the quantities would change along the way.

Total return includes distributions as well as price changes. Dividends are treated as reinvested, rather than removed from the series as cash. The example uses adjusted closes. For funds, the tool uses net asset value (NAV), the value per fund unit, with distributions reinvested. That differs from a price-only chart: a distribution can lower the quoted price without representing the same loss in total value. The treatment describes the calculation, rather than your actual distribution choices.

An exchange-traded fund (ETF) is a fund listed on an exchange that tracks an index. A holding without its own usable history is represented by an index ETF chosen by market or asset class. Cash stays constant in its own currency. Before a later listing, the tool fills history with its market ETF, scaled by beta: a measure of how strongly the holding moved with that ETF. Beta is 1 when fewer than 60 samples are available. The card discloses each method and the approximated share, with an additional notice at 66%.

Annualization stretches a short observation into a yearly rate. From Sep 9, 2026 to Oct 9, 2026, the example returned 1.28%; the same change annualizes to 16.69%. The larger yearly figure is a mathematical conversion, not additional observed growth. A short span contains fewer market episodes, and one event can occupy much of it. On a one-month span the card hides the worst-month metric, while retaining the other measures and the short-span explanation.

Today’s holdings were often selected partly because of how they performed. Replaying them through earlier years therefore includes hindsight: the collection was known at the end, even if it was not known at the start. Assets no longer in your account are absent. The replay describes a past path for the current collection; it does not reconstruct every decision in your account or forecast what happens next.

The tool converts values to the display currency using each day’s historical exchange rate. An asset’s local-currency path and its display-currency path can differ because the exchange rate also changed. Cash can consequently vary in the display currency while remaining constant in its own currency. The table and chart use the same currency basis throughout, keeping the portfolio and comparison series on a consistent basis.

Jorion, P., Value at Risk: The New Benchmark for Managing Financial Risk, historical simulation chapter.