Compare Total Returns

This tool lets you compare the historical total return performance of multiple stocks and ETFs on a single chart. Each series starts from the same date and is rebased to your chosen initial investment so you can see exactly how each holding would have grown.

What's Included in the Calculation

• Dividend reinvestment — all dividends are automatically reinvested into additional shares at the next trading day’s close price after the ex-dividend date.
• Taxes — a configurable withholding tax rate (default 20%) is deducted from each gross dividend before reinvestment.
• Transaction costs — a configurable execution cost (default 0.2%) is applied to the after-tax amount before buying new shares.
• Inflation adjustment — returns can be viewed in real (inflation-adjusted) terms using region-specific CPI data: US CPI-U for USD tickers, Euro Area HICP for EUR tickers, and UK CPI for GBP tickers.

Risk & Performance Metrics

• CAGR — compound annual growth rate over the comparison period.
• Max Drawdown — the largest peak-to-trough decline during the period.
• Average Drawdown — the mean drawdown across every observation; measures how far below the running high the asset sits on average.
• Sortino Ratio — the arithmetic mean of daily returns (annualized) divided by downside deviation. Penalizes only negative volatility, and uses arithmetic mean for statistical consistency with the standard-deviation denominator. Risk-free rate assumed 0%.
• Calmar Ratio — CAGR divided by the absolute value of max drawdown (Young 1991). Both are long-horizon, path-dependent metrics, so CAGR — not the arithmetic mean — is used here.
• CVaR (5%) — average of the worst 5% of daily returns (Conditional Value at Risk).

Date Alignment, Currency Grouping & Rebasing

• Tickers are grouped by currency. Within each group the comparison uses the overlapping date range — from the latest start date to the earliest end date — so every ticker covers the same period. Tickers without data at that range are excluded.
• You can override the start date manually to focus on a specific period; tickers without data at that date are automatically excluded.
• All series are rebased to the same initial investment value at the common start date, allowing a direct visual comparison of growth regardless of actual share prices.
• Market regime analysis breaks down returns across historical bull and bear markets for additional context.