Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 1988 - Dec 2000)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VGR Vector Group Ltd. 100.00%
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Portfolio 2
Ticker Name Allocation
MO Altria Group 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
AAPL Apple Inc. 50.00%
MSFT Microsoft Corporation 50.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,145 12.29% 73.58%192.12%-48.49%-86.16% 0.430.780.20
Portfolio 2$10,000$108,102 20.10% 27.45%105.93%-54.66%-61.62% 0.620.970.31
Portfolio 3$10,000$105,968 19.91% 36.48%163.25%-66.96%-70.38% 0.550.830.54
Vanguard 500 Index Investor$10,000$73,127 16.54% 13.50%37.45%-9.06%-15.38% 0.821.310.97
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVector Group Ltd. (VGR)Altria Group (MO)Apple Inc. (AAPL)Microsoft Corporation (MSFT)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3
19884.42%49.14%24.61%-2.59%16.22%$14,914$12,461$9,741$11,6227.66% [$766]4.82% [$482]0.41% [$40.60]49.14%24.61%-3.34%-1.84%
19894.65%4.29%69.15%25.91%31.36%$15,554$21,078$12,264$15,2675.44% [$811]4.98% [$621]0.51% [$49.80]4.29%69.15%-11.57%63.38%
19906.11%-9.89%28.74%48.25%-3.32%$14,015$27,136$18,182$14,7605.51% [$857]3.77% [$795]0.64% [$78.65]-9.89%28.74%23.51%72.99%
19913.06%-27.32%59.43%77.06%30.22%$10,187$43,263$32,191$19,2208.16% [$1,144]3.73% [$1,012]0.56% [$102]-27.32%59.43%32.35%121.76%
19922.90%-48.49%-0.99%11.01%7.42%$5,247$42,834$35,737$20,6477.33% [$746]2.96% [$1,282]0.43% [$137]-48.49%-0.99%6.91%15.11%
19932.75%-31.82%-24.29%-28.00%9.89%$3,577$32,431$25,730$22,6890.00% [$0.00]3.43% [$1,470]0.40% [$144]-31.82%-24.29%-50.44%-5.56%
19942.67%100.00%9.13%43.40%1.18%$7,154$35,392$36,898$22,9560.00% [$0.00]5.56% [$1,804]0.82% [$212]100.00%9.13%35.18%51.63%
19952.54%152.64%63.37%13.11%37.45%$18,075$57,819$41,735$31,5528.18% [$585]5.48% [$1,939]0.62% [$228]152.64%63.37%-17.34%43.56%
19963.32%-41.77%30.75%26.90%22.88%$10,526$75,600$52,964$38,7713.38% [$612]4.96% [$2,866]0.00% [$0.00]-41.77%30.75%-34.51%88.32%
19971.70%81.68%24.65%9.65%33.19%$19,124$94,235$58,076$51,6396.14% [$646]4.31% [$3,257]0.00% [$0.00]81.68%24.65%-37.13%56.43%
19981.61%192.12%22.87%163.25%28.62%$55,865$115,783$152,887$66,4163.52% [$673]3.77% [$3,553]0.00% [$0.00]192.12%22.87%211.90%114.60%
19992.68%-33.20%-54.66%109.75%21.07%$37,316$52,496$320,688$80,4092.81% [$1,568]3.50% [$4,051]0.00% [$0.00]-33.20%-54.66%151.15%68.36%
20003.39%20.98%105.93%-66.96%-9.06%$45,145$108,102$105,968$73,1279.29% [$3,465]9.08% [$4,764]0.00% [$0.00]20.98%105.93%-71.06%-62.85%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVector Group Ltd. (VGR)Altria Group (MO)Apple Inc. (AAPL)Microsoft Corporation (MSFT)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
1988110.00%1.61%0.79%4.17%$11,000$10,161$10,079$10,41710.00%1.61%-1.19%2.76%
1988215.45%8.07%5.19%4.59%$12,700$10,981$10,601$10,89615.45%8.07%3.82%6.50%
19883-2.67%-3.48%-5.87%-3.04%$12,361$10,599$9,979$10,564-2.67%-3.48%-6.98%-4.84%
19884-6.61%-0.56%-0.65%1.01%$11,544$10,539$9,914$10,671-6.61%-0.56%2.50%-3.54%
19885-4.48%-5.89%3.95%0.81%$11,027$9,919$10,305$10,758-4.48%-5.89%1.42%6.42%
198860.00%1.05%13.56%4.56%$11,027$10,023$11,703$11,2480.00%1.05%11.45%15.52%
198876.25%9.24%-7.82%-0.37%$11,716$10,949$10,787$11,2066.25%9.24%-4.05%-11.19%
198886.21%0.27%-13.02%-3.40%$12,444$10,979$9,383$10,8256.21%0.27%-9.97%-15.97%
1988921.13%6.56%6.52%4.26%$15,073$11,699$9,995$11,28621.13%6.56%8.46%4.50%
198810-1.16%-1.42%-8.54%2.73%$14,898$11,533$9,141$11,594-1.16%-1.42%-10.69%-6.22%
198811-7.04%1.31%-2.94%-1.47%$13,849$11,684$8,872$11,423-7.04%1.31%-2.32%-3.57%
1988127.69%6.65%9.79%1.74%$14,914$12,461$9,741$11,6227.69%6.65%6.98%12.70%
198911.33%6.99%2.88%7.32%$15,113$13,332$10,021$12,4731.33%6.99%-6.21%11.97%
198924.76%-0.80%-1.81%-2.47%$15,833$13,225$9,840$12,1654.76%-0.80%-3.71%-0.21%
198935.68%12.20%-9.72%2.26%$16,732$14,839$8,884$12,4405.68%12.20%-1.72%-16.18%
19894-0.95%5.83%10.79%5.18%$16,574$15,704$9,842$13,085-0.95%5.83%9.47%12.03%
19895-19.78%9.44%15.21%4.04%$13,295$17,186$11,340$13,613-19.78%9.44%22.70%8.28%
198964.11%0.43%-13.02%-0.59%$13,842$17,261$9,863$13,5334.11%0.43%-13.61%-12.40%
198975.26%14.34%-0.23%9.01%$14,570$19,735$9,841$14,7525.26%14.34%-3.64%3.30%
1989810.27%3.31%9.72%1.86%$16,067$20,389$10,797$15,02610.27%3.31%12.21%7.31%
198990.00%1.39%8.26%-0.40%$16,067$20,673$11,689$14,9650.00%1.39%0.00%16.60%
198910-11.36%4.48%12.45%-2.34%$14,242$21,599$13,145$14,615-11.36%4.48%4.49%19.34%
1989113.95%-1.45%1.67%2.04%$14,805$21,285$13,364$14,9133.95%-1.45%-4.60%6.42%
1989125.06%-0.97%-8.23%2.38%$15,554$21,078$12,264$15,2675.06%-0.97%-20.34%0.00%
19901-8.43%-9.01%1.39%-6.72%$14,242$19,179$12,434$14,242-8.43%-9.01%-3.55%6.32%
1990210.84%-2.31%3.70%1.27%$15,787$18,736$12,894$14,42310.84%-2.31%0.33%6.76%
199038.43%8.08%15.02%2.61%$17,118$20,250$14,831$14,7998.43%8.08%18.38%12.15%
19904-4.31%5.99%1.47%-2.50%$16,380$21,464$15,048$14,429-4.31%5.99%-2.17%4.74%
199053.53%0.30%16.36%9.69%$16,958$21,528$17,510$15,8273.53%0.30%5.05%25.86%
1990611.36%11.25%5.91%-0.66%$18,885$23,949$18,545$15,72311.36%11.25%8.48%4.11%
19907-3.96%2.96%-9.82%-0.35%$18,137$24,657$16,725$15,668-3.96%2.96%-6.15%-12.50%
19908-6.45%-5.74%-9.33%-9.03%$16,967$23,241$15,164$14,253-6.45%-5.74%-11.64%-7.52%
199093.45%1.24%-7.87%-4.89%$17,552$23,529$13,971$13,5563.45%1.24%-21.62%2.44%
1990107.97%4.14%2.96%-0.41%$18,950$24,504$14,384$13,5007.97%4.14%6.03%1.19%
199011-42.71%3.18%15.81%6.44%$10,857$25,284$16,658$14,369-42.71%3.18%19.92%13.33%
19901229.09%7.33%9.15%2.72%$14,015$27,136$18,182$14,76029.09%7.33%17.01%4.15%
19911-16.88%7.49%29.73%4.35%$11,650$29,168$23,588$15,402-16.88%7.49%29.07%30.40%
1991210.34%18.65%4.56%7.12%$12,855$34,609$24,662$16,49810.34%18.65%3.37%5.73%
199136.25%3.69%10.40%2.41%$13,658$35,886$27,227$16,8956.25%3.69%18.78%2.29%
199140.08%-1.84%-13.28%0.20%$13,670$35,226$23,612$16,9280.08%-1.84%-19.12%-6.71%
199154.48%2.43%-1.56%4.27%$14,282$36,084$23,243$17,6524.48%2.43%-14.31%10.86%
19916-2.86%-6.52%-8.96%-4.56%$13,874$33,730$21,161$16,847-2.86%-6.52%-11.70%-6.89%
199171.72%6.69%9.37%4.63%$14,113$35,987$23,144$17,6261.72%6.69%11.45%7.89%
199187.35%9.41%15.51%2.33%$15,150$39,374$26,734$18,0387.35%9.41%14.87%15.99%
19919-10.96%-1.99%-0.25%-1.67%$13,490$38,589$26,668$17,737-10.96%-1.99%-6.60%4.40%
199110-23.11%-2.77%4.91%1.33%$10,373$37,519$27,977$17,972-23.11%-2.77%4.04%5.48%
1991116.12%-3.39%1.70%-4.01%$11,008$36,248$28,454$17,2516.12%-3.39%-1.23%3.60%
199112-7.46%19.35%13.14%11.41%$10,187$43,263$32,191$19,220-7.46%19.35%11.08%14.40%
19921-6.38%-4.83%11.47%-1.88%$9,536$41,174$35,885$18,859-6.38%-4.83%14.86%8.09%
199220.00%0.49%3.60%1.24%$9,536$41,376$37,176$19,0930.00%0.49%4.44%2.70%
199236.98%-0.61%-9.06%-1.93%$10,202$41,124$33,807$18,7256.98%-0.61%-13.70%-4.05%
19924-8.70%2.81%-1.94%2.91%$9,315$42,278$33,150$19,271-8.70%2.81%3.22%-6.96%
19925-2.38%-0.48%4.37%0.48%$9,093$42,074$34,598$19,365-2.38%-0.48%-0.62%9.75%
19926-4.88%-4.49%-16.32%-1.49%$8,650$40,185$28,950$19,076-4.88%-4.49%-19.50%-13.22%
199275.13%8.67%0.82%4.04%$9,093$43,671$29,189$19,8475.13%8.67%-2.60%3.93%
19928-12.30%2.66%0.69%-2.07%$7,975$44,832$29,389$19,437-12.30%2.66%-1.34%2.41%
19929-17.14%4.15%3.57%1.17%$6,608$46,694$30,440$19,664-17.14%4.15%-1.90%8.05%
199210-16.99%-10.32%12.85%0.33%$5,485$41,873$34,350$19,729-16.99%-10.32%16.34%10.25%
1992114.35%4.77%7.05%3.40%$5,724$43,870$36,771$20,4004.35%4.77%9.75%4.93%
199212-8.33%-2.36%-2.81%1.21%$5,247$42,834$35,737$20,647-8.33%-2.36%3.91%-8.32%
19931-50.00%-3.08%0.45%0.81%$2,623$41,515$35,898$20,813-50.00%-3.08%-0.42%1.32%
1993236.36%-10.20%-7.14%1.36%$3,577$37,280$33,335$21,09636.36%-10.20%-10.73%-3.61%
1993326.67%-3.70%4.38%2.11%$4,531$35,902$34,795$21,54026.67%-3.70%-2.83%10.94%
19934-5.26%-26.56%-4.43%-2.42%$4,293$26,365$33,255$21,018-5.26%-26.56%-0.49%-7.57%
1993516.67%7.18%9.44%2.65%$5,008$28,259$36,393$21,57616.67%7.18%10.72%8.33%
199360.00%-2.93%-16.79%0.27%$5,008$27,431$30,282$21,6330.00%-2.93%-30.24%-4.99%
1993742.86%-2.33%-21.33%-0.42%$7,154$26,792$23,823$21,54242.86%-2.33%-29.75%-15.91%
199386.67%3.45%-0.44%3.79%$7,631$27,716$23,717$22,3576.67%3.45%-4.09%1.52%
1993912.50%-4.62%2.53%-0.79%$8,585$26,435$24,318$22,17912.50%-4.62%-11.79%9.82%
199310-61.11%17.17%7.10%2.08%$3,339$30,973$26,046$22,640-61.11%17.17%31.55%-2.88%
1993117.14%4.19%0.90%-1.00%$3,577$32,270$26,280$22,4157.14%4.19%2.81%-0.16%
1993120.00%0.50%-2.09%1.22%$3,577$32,431$25,730$22,6890.00%0.50%-7.14%0.78%
199416.67%8.31%8.77%3.38%$3,816$35,127$27,988$23,4566.67%8.31%11.97%5.58%
19942-6.25%-7.05%4.59%-2.71%$3,577$32,649$29,271$22,819-6.25%-7.05%11.82%-3.08%
19943-20.00%-8.47%-3.67%-4.39%$2,862$29,883$28,196$21,818-20.00%-8.47%-8.90%2.73%
199448.33%7.65%-0.70%1.29%$3,100$32,171$27,998$22,0998.33%7.65%-9.77%9.14%
19945-7.69%-9.63%7.55%1.60%$2,862$29,072$30,112$22,453-7.69%-9.63%-2.11%16.22%
199460.00%6.00%-6.30%-2.45%$2,862$30,817$28,216$21,9040.00%6.00%-9.40%-3.95%
1994741.67%6.80%11.14%3.28%$4,054$32,912$31,360$22,62241.67%6.80%27.12%-0.24%
1994847.06%10.91%10.45%4.08%$5,962$36,502$34,638$23,54447.06%10.91%7.79%12.86%
1994940.00%1.59%-5.05%-2.45%$8,347$37,081$32,888$22,96840.00%1.59%-6.91%-3.44%
199410-22.86%0.20%19.51%2.25%$6,439$37,157$39,306$23,484-22.86%0.20%28.20%12.25%
199411-14.81%-2.45%-6.69%-3.65%$5,485$36,247$36,676$22,626-14.81%-2.45%-13.49%-0.20%
19941230.43%-2.36%0.60%1.46%$7,154$35,392$36,898$22,95630.43%-2.36%4.70%-2.78%
1995115.33%3.91%0.33%2.58%$8,252$36,777$37,020$23,54915.33%3.91%3.53%-2.86%
19952-20.59%1.67%1.98%3.88%$6,553$37,393$37,751$24,463-20.59%1.67%-1.90%6.11%
199537.41%8.08%1.16%2.95%$7,038$40,415$38,188$25,1857.41%8.08%-10.76%12.90%
199543.45%3.63%12.12%2.94%$7,281$41,883$42,818$25,9263.45%3.63%8.51%14.94%
1995516.67%7.56%5.87%3.95%$8,494$45,051$45,331$26,95116.67%7.56%8.97%3.59%
1995624.66%3.26%8.90%2.31%$10,588$46,519$49,366$27,57424.66%3.26%11.73%6.72%
19957-11.63%-3.70%-1.31%3.30%$9,357$44,799$48,720$28,485-11.63%-3.70%-3.10%0.14%
199585.26%4.19%-0.60%0.26%$9,850$46,676$48,428$28,5615.26%4.19%-4.19%2.21%
1995974.00%13.37%-6.91%4.21%$17,139$52,918$45,082$29,76474.00%13.37%-13.37%-2.16%
199510-8.70%0.90%5.37%-0.36%$15,648$53,394$47,502$29,655-8.70%0.90%-2.52%10.50%
199511-1.59%4.15%-6.24%4.38%$15,400$55,612$44,537$30,954-1.59%4.15%5.32%-12.88%
19951217.37%3.97%-6.29%1.93%$18,075$57,819$41,735$31,55217.37%3.97%-16.39%0.72%
19961-5.56%2.77%-3.96%3.39%$17,071$59,421$40,082$32,621-5.56%2.77%-13.33%5.41%
1996213.24%6.74%3.47%0.92%$19,331$63,425$41,472$32,92213.24%6.74%-0.45%6.69%
19963-5.68%-10.46%-2.09%0.98%$18,232$56,791$40,604$33,244-5.68%-10.46%-10.68%4.50%
19964-34.72%2.71%5.63%1.46%$11,902$58,328$42,889$33,728-34.72%2.71%-0.76%9.82%
199656.38%10.26%5.72%2.54%$12,661$64,314$45,343$34,5866.38%10.26%7.18%4.86%
19966-4.99%5.66%-6.68%0.38%$12,029$67,954$42,315$34,718-4.99%5.66%-19.62%1.16%
19967-6.38%0.60%0.28%-4.42%$11,261$68,363$42,434$33,184-6.38%0.60%4.76%-1.87%
199680.00%-14.22%6.06%2.10%$11,261$58,643$45,007$33,8790.00%-14.22%10.23%3.92%
19969-0.97%1.32%1.95%5.61%$11,152$59,419$45,886$35,778-0.97%1.32%-8.51%7.65%
199610-9.30%2.92%3.94%2.76%$10,115$61,156$47,696$36,764-9.30%2.92%3.66%4.08%
199611-10.26%11.77%11.33%7.56%$9,077$68,356$53,100$39,545-10.26%11.77%4.89%14.30%
19961215.96%10.60%-0.26%-1.96%$10,526$75,600$52,964$38,77115.96%10.60%-13.47%5.34%
19971-2.50%5.20%1.55%6.22%$10,263$79,531$53,782$41,181-2.50%5.20%-20.36%23.45%
199720.00%13.77%-3.57%0.79%$10,263$90,486$51,864$41,5060.00%13.77%-2.26%-4.41%
19973-1.07%-14.82%1.30%-4.14%$10,154$77,080$52,538$39,789-1.07%-14.82%12.31%-5.96%
199740.00%3.50%15.17%5.96%$10,154$79,782$60,508$42,1590.00%3.50%-6.85%32.52%
199755.26%11.75%0.54%6.09%$10,688$89,153$60,833$44,7265.26%11.75%-2.21%2.06%
19976-28.80%1.47%-3.70%4.45%$7,610$90,465$58,582$46,718-28.80%1.47%-14.29%1.92%
19977-3.57%1.98%15.24%7.97%$7,338$92,254$67,512$50,439-3.57%1.98%22.81%11.87%
1997842.59%-3.19%3.62%-5.61%$10,463$89,315$69,959$47,61042.59%-3.19%24.29%-6.50%
1997923.43%-3.96%-0.06%5.47%$12,916$85,778$69,920$50,21423.43%-3.96%-0.29%0.09%
19971048.94%-4.66%-9.51%-3.35%$19,236$81,779$63,272$48,53148.94%-4.66%-21.47%-1.75%
1997112.86%9.78%7.27%4.60%$19,786$89,777$67,869$50,7632.86%9.78%4.22%8.85%
199712-3.35%4.97%-14.43%1.72%$19,124$94,235$58,076$51,639-3.35%4.97%-26.06%-8.66%
1998118.84%-8.29%27.47%1.11%$22,727$86,425$74,032$52,21218.84%-8.29%39.52%15.43%
1998212.20%4.82%22.04%7.19%$25,498$90,590$90,349$55,96712.20%4.82%29.01%13.62%
1998345.31%-3.29%11.85%5.10%$37,052$87,614$101,057$58,82445.31%-3.29%16.40%5.60%
19984-21.43%-10.94%0.00%1.01%$29,112$78,025$101,061$59,417-21.43%-10.94%-0.45%0.70%
19985-23.44%0.67%-4.00%-1.74%$22,287$78,551$97,014$58,381-23.44%0.67%-2.74%-5.89%
1998613.33%6.50%15.62%4.07%$25,257$83,655$112,165$60,75813.33%6.50%7.75%27.78%
19987-18.33%11.27%12.34%-1.05%$20,627$93,082$126,003$60,117-18.33%11.27%20.70%1.44%
19988-42.86%-5.14%-11.03%-14.47%$11,787$88,302$112,107$51,416-42.86%-5.14%-9.93%-12.73%
19989-0.80%12.42%19.35%6.41%$11,693$99,267$133,803$54,712-0.80%12.42%22.24%14.72%
19981076.83%10.54%-3.06%8.16%$20,676$109,730$129,709$59,17976.83%10.54%-2.62%-3.80%
199811106.90%9.41%-3.26%6.07%$42,778$120,059$125,477$62,772106.90%9.41%-13.97%15.23%
19981230.59%-3.56%21.84%5.81%$55,865$115,783$152,887$66,41630.59%-3.56%28.18%13.68%
19991-16.41%-12.38%13.40%4.20%$46,697$101,445$173,369$69,208-16.41%-12.38%0.61%26.18%
19992-8.28%-16.53%-14.77%-3.12%$42,830$84,673$147,754$67,046-8.28%-16.53%-15.48%-14.21%
19993-16.36%-9.07%12.29%4.00%$35,824$76,992$165,908$69,725-16.36%-9.07%3.23%19.40%
1999422.49%-0.36%5.80%3.85%$43,880$76,718$175,535$72,41122.49%-0.36%28.00%-9.27%
1999527.21%9.98%-2.45%-2.39%$55,822$84,376$171,228$70,68127.21%9.98%-4.21%-0.77%
19996-3.29%5.30%8.57%5.56%$53,988$88,853$185,902$74,608-3.29%5.30%5.11%11.77%
19997-13.10%-7.31%6.82%-3.13%$46,914$82,358$198,585$72,273-13.10%-7.31%20.24%-4.85%
19998-4.31%0.50%12.74%-0.50%$44,894$82,772$223,883$71,914-4.31%0.50%17.17%7.87%
19999-8.93%-7.53%-2.60%-2.74%$40,885$76,538$218,060$69,944-8.93%-7.53%-2.97%-2.16%
199910-7.89%-22.85%15.41%6.33%$37,658$59,048$251,659$74,369-7.89%-22.85%26.55%2.21%
19991113.88%-0.47%12.51%2.02%$42,884$58,768$283,133$75,87413.88%-0.47%22.15%-1.64%
199912-12.98%-10.67%13.26%5.98%$37,316$52,496$320,688$80,409-12.98%-10.67%5.04%28.23%
200018.37%-9.24%-7.63%-5.03%$40,439$47,646$296,227$76,3638.37%-9.24%0.91%-16.17%
20002-18.15%-3.29%1.78%-1.91%$33,101$46,076$301,514$74,907-18.15%-3.29%10.48%-8.68%
20003-5.99%5.22%18.65%9.76%$31,119$48,483$357,733$82,218-5.99%5.22%18.48%18.88%
2000413.85%5.42%-19.14%-3.01%$35,428$51,112$289,279$79,74713.85%5.42%-8.65%-34.35%
20005-18.92%19.43%-25.01%-2.04%$28,725$61,042$216,928$78,122-18.92%19.43%-32.29%-10.30%
2000633.10%3.59%25.96%2.49%$38,233$63,232$273,237$80,06433.10%3.59%24.70%27.87%
200075.08%-4.94%-6.90%-1.49%$40,177$60,108$254,372$78,8715.08%-4.94%-2.98%-12.73%
2000829.44%17.82%12.42%6.19%$52,003$70,820$285,954$83,75329.44%17.82%19.93%0.00%
20009-7.01%0.81%-42.94%-5.29%$48,358$71,397$163,151$79,323-7.01%0.81%-57.74%-13.61%
200010-19.78%24.42%-4.62%-0.43%$38,791$88,829$155,611$78,982-19.78%24.42%-24.03%14.20%
20001110.76%4.27%-16.29%-7.88%$42,966$92,619$130,265$72,76010.76%4.27%-15.65%-16.70%
2000125.07%16.72%-18.65%0.50%$45,145$108,102$105,968$73,1275.07%16.72%-9.85%-24.40%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
VGRVector Group Ltd.Consumer Non-Durables / Farming/Seeds/Milling100.00%$35,145100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk Contribution
MOAltria GroupConsumer Non-Durables / Farming/Seeds/Milling100.00%$98,102100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk Contribution
AAPLApple Inc.Technology / Computer Manufacturing50.00%$43,17459.76%
MSFTMicrosoft CorporationTechnology / Computer Software: Prepackaged Software50.00%$52,79540.24%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)3.07%1.85%2.10%1.36%
Arithmetic Mean (annualized)43.81%24.64%28.26%17.58%
Geometric Mean (monthly)0.97%1.54%1.52%1.28%
Geometric Mean (annualized)12.29%20.10%19.91%16.54%
Volatility (monthly)21.24%7.93%10.53%3.90%
Volatility (annualized)73.58%27.45%36.48%13.50%
Downside Deviation (monthly)11.48%4.87%6.68%2.22%
Max. Drawdown-86.16%-61.62%-70.38%-15.38%
US Market Correlation0.200.310.540.97
Beta(*)0.960.711.411.00
Alpha (annualized)21.16%10.67%2.23%0.00%
R23.13%12.16%27.06%100.00%
Sharpe Ratio0.430.620.550.82
Sortino Ratio0.780.970.831.31
Treynor Ratio (%)32.8123.9614.1611.07
Calmar Ratio0.480.080.320.80
Active Return-4.24%3.56%3.37%N/A
Tracking Error72.42%26.03%31.64%N/A
Information Ratio-0.060.140.11N/A
Skewness1.13-0.30-0.45-0.44
Excess Kurtosis4.821.131.671.18
Historical Value-at-Risk (5%)-23.16%-10.71%-16.29%-4.91%
Analytical Value-at-Risk (5%)-31.87%-11.18%-15.15%-5.05%
Conditional Value-at-Risk (5%)-40.52%-16.90%-22.88%-7.72%
Upside Capture Ratio (%)58.3076.21147.40100.00
Downside Capture Ratio (%)45.0327.59159.26100.00
Safe Withdrawal Rate6.74%23.79%19.02%15.66%
Perpetual Withdrawal Rate8.09%14.06%13.93%11.43%
Positive Periods77 out of 156 (49.36%)99 out of 156 (63.46%)94 out of 156 (60.26%)103 out of 156 (66.03%)
Gain/Loss Ratio1.411.061.111.23
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-3.57%-11.35%-16.99%-5.61%
Russian Debt DefaultJul 1998Oct 1998-53.71%-5.14%-11.03%-15.38%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 1990Jan 19932 years 3 monthsFeb 19963 years 1 month5 years 4 months-86.16%
2Apr 1998Sep 19986 monthsNov 19982 months8 months-68.44%
3Mar 1996Jul 19971 year 5 monthsNov 19974 months1 year 9 months-62.04%
4Jan 1999May 20001 year 5 months-48.58%
5Apr 1989May 19892 monthsMar 199010 months1 year-20.54%
6Mar 1988May 19883 monthsSep 19884 months7 months-13.17%
7Jul 1990Aug 19902 monthsOct 19902 months4 months-10.16%
8Oct 1988Nov 19882 monthsJan 19892 months4 months-8.12%
9Apr 1990Apr 19901 monthJun 19902 months3 months-4.31%
10Dec 1997Dec 19971 monthJan 19981 month2 months-3.35%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 1998Feb 20001 year 3 months-61.62%
2Oct 1992Apr 19937 monthsSep 19952 years 5 months3 years-43.54%
3Jan 1998Apr 19984 monthsSep 19985 months9 months-17.20%
4Mar 1997Mar 19971 monthJul 19974 months5 months-14.82%
5Aug 1996Aug 19961 monthDec 19964 months5 months-14.22%
6Nov 1989Feb 19904 monthsJun 19904 months8 months-13.25%
7Aug 1997Oct 19973 monthsDec 19972 months5 months-11.35%
8Mar 1996Mar 19961 monthMay 19962 months3 months-10.46%
9Mar 1988May 19883 monthsSep 19884 months7 months-9.67%
10Sep 1991Nov 19913 monthsDec 19911 month4 months-7.94%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Dec 20009 months-70.38%
2Mar 1992Aug 19931 year 6 monthsOct 19941 year 2 months2 years 8 months-36.20%
3Jul 1990Sep 19903 monthsJan 19914 months7 months-24.66%
4Jul 1988Nov 19885 monthsOct 198911 months1 year 4 months-24.18%
5Apr 1991Jun 19913 monthsOct 19914 months7 months-22.28%
6Jul 1995Jan 19967 monthsNov 199610 months1 year 5 months-18.81%
7Sep 1997Dec 19974 monthsJan 19981 month5 months-16.99%
8Feb 1999Feb 19991 monthApr 19992 months3 months-14.77%
9Aug 1998Aug 19981 monthSep 19981 month2 months-11.03%
10Dec 1989Dec 19891 monthMar 19903 months4 months-8.23%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
2Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
3Sep 2000Nov 20003 months-13.13%
4Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
6Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 1991Jun 19911 monthAug 19912 months3 months-4.56%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGRVector Group Ltd.12.29%73.58%192.12%-48.49%-86.16%0.430.780.20
MOAltria Group20.10%27.45%105.93%-54.66%-61.62%0.620.970.31
AAPLApple Inc.-1.97%50.38%211.90%-71.06%-79.68%0.120.180.38
MSFTMicrosoft Corporation36.58%37.41%121.76%-62.85%-62.85%0.891.540.52

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGRMOAAPLMSFTPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VGRVector Group Ltd.-0.16-0.02-0.031.000.16-0.020.18
MOAltria Group0.16-0.010.100.161.000.060.35
AAPLApple Inc.-0.020.01-0.36-0.020.010.850.35
MSFTMicrosoft Corporation-0.030.100.36--0.030.100.780.53

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGRVector Group Ltd.$35,145
MOAltria Group$98,102
AAPLApple Inc.$43,174
MSFTMicrosoft Corporation$52,795

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGRVector Group Ltd.100.00%
MOAltria Group100.00%
AAPLApple Inc.59.76%
MSFTMicrosoft Corporation40.24%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year31.41%192.12%-48.49%27.59%105.93%-54.66%33.13%163.25%-66.96%17.47%37.45%-9.06%
3 years16.94%52.48%-36.57%19.84%51.42%-11.45%30.75%82.26%4.65%18.00%31.03%6.10%
5 years12.95%73.27%-24.84%17.95%33.77%8.20%25.70%54.11%10.20%17.86%28.49%8.50%
7 years14.39%43.65%-5.43%17.23%24.51%2.95%24.15%36.82%18.05%17.26%21.44%12.60%
10 years10.59%14.12%6.70%18.62%25.15%9.55%27.20%38.59%19.23%18.08%19.04%17.35%
Result statistics are based on annualized rolling returns over full calendar year periods