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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Portfolio Assets 
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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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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2000 - Dec 2010)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VGR Vector Group Ltd. 100.00%
Save portfolio »
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%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$44,377 14.51% 41.90%132.04%-59.08%-72.70% 0.450.880.27
Portfolio 2$10,000$86,236 21.64% 26.54%105.93%-30.09%-44.44% 0.781.290.28
Portfolio 3$10,000$38,605 13.07% 37.89%105.14%-66.96%-70.63% 0.450.680.65
Vanguard 500 Index Investor$10,000$10,361 0.32% 16.40%28.50%-37.02%-50.97% -0.05-0.060.99
   
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
20003.39%20.98%105.93%-66.96%-9.06%$12,098$20,593$3,304$9,0949.29% [$929]9.08% [$908]0.00% [$0.00]20.98%105.93%-71.06%-62.85%
20011.55%132.04%9.10%49.98%-12.02%$28,073$22,467$4,956$8,00113.87% [$1,678]5.13% [$1,057]0.00% [$0.00]132.04%9.10%47.23%52.74%
20022.38%-59.08%-6.78%-28.26%-22.15%$11,488$20,943$3,555$6,2295.14% [$1,443]5.42% [$1,218]0.00% [$0.00]-59.08%-6.78%-34.57%-21.96%
20031.88%63.80%42.74%27.97%28.50%$18,818$29,894$4,550$8,00514.74% [$1,693]6.68% [$1,399]0.47% [$16.54]63.80%42.74%49.13%6.81%
20043.26%17.85%18.38%105.14%10.74%$22,177$35,387$9,333$8,86410.42% [$1,961]5.29% [$1,581]5.79% [$263]17.85%18.38%201.36%8.92%
20053.42%26.21%27.72%61.16%4.77%$27,991$45,197$15,041$9,28711.30% [$2,505]5.09% [$1,803]0.60% [$56.15]26.21%27.72%123.26%-0.95%
20062.54%12.14%19.87%16.92%15.64%$31,388$54,175$17,586$10,7409.22% [$2,581]4.52% [$2,042]0.71% [$107]12.14%19.87%18.01%15.83%
20074.08%21.80%21.18%77.15%5.39%$38,230$65,648$31,154$11,3199.17% [$2,880]30.23% [$16,379]0.69% [$121]21.80%21.18%133.47%20.83%
20080.09%-25.30%-30.09%-50.65%-37.02%$28,557$45,893$15,374$7,1288.15% [$3,115]72.72% [$47,736]0.65% [$202]-25.30%-30.09%-56.91%-44.39%
20092.72%14.61%40.31%103.70%26.49%$32,728$64,395$31,318$9,01612.10% [$3,457]9.03% [$4,143]1.35% [$208]14.61%40.31%146.90%60.50%
20101.50%35.59%33.92%23.27%14.91%$44,377$86,236$38,605$10,36111.71% [$3,832]7.64% [$4,917]0.91% [$285]35.59%33.92%53.07%-6.53%
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
200018.37%-9.24%-7.63%-5.03%$10,837$9,076$9,237$9,4978.37%-9.24%0.91%-16.17%
20002-18.15%-3.29%1.78%-1.91%$8,870$8,777$9,402$9,316-18.15%-3.29%10.48%-8.68%
20003-5.99%5.22%18.65%9.76%$8,339$9,236$11,155$10,225-5.99%5.22%18.48%18.88%
2000413.85%5.42%-19.14%-3.01%$9,494$9,736$9,021$9,91813.85%5.42%-8.65%-34.35%
20005-18.92%19.43%-25.01%-2.04%$7,698$11,628$6,764$9,715-18.92%19.43%-32.29%-10.30%
2000633.10%3.59%25.96%2.49%$10,246$12,045$8,520$9,95733.10%3.59%24.70%27.87%
200075.08%-4.94%-6.90%-1.49%$10,767$11,450$7,932$9,8095.08%-4.94%-2.98%-12.73%
2000829.44%17.82%12.42%6.19%$13,936$13,491$8,917$10,41629.44%17.82%19.93%0.00%
20009-7.01%0.81%-42.94%-5.29%$12,959$13,600$5,088$9,865-7.01%0.81%-57.74%-13.61%
200010-19.78%24.42%-4.62%-0.43%$10,395$16,921$4,852$9,822-19.78%24.42%-24.03%14.20%
20001110.76%4.27%-16.29%-7.88%$11,514$17,643$4,062$9,04910.76%4.27%-15.65%-16.70%
2000125.07%16.72%-18.65%0.50%$12,098$20,593$3,304$9,0945.07%16.72%-9.85%-24.40%
2001124.96%0.00%43.08%3.55%$15,118$20,593$4,728$9,41724.96%0.00%45.38%40.78%
200126.02%9.50%-9.59%-9.14%$16,029$22,549$4,274$8,5566.02%9.50%-15.61%-3.38%
200132.18%-0.46%6.08%-6.36%$16,377$22,445$4,534$8,0122.18%-0.46%20.93%-7.31%
2001471.95%5.61%19.35%7.77%$28,161$23,703$5,412$8,63571.95%5.61%15.50%23.89%
20015-5.79%2.59%-10.36%0.65%$26,531$24,318$4,851$8,691-5.79%2.59%-21.73%2.11%
20016-4.91%-2.65%10.56%-2.45%$25,230$23,674$5,363$8,479-4.91%-2.65%16.54%5.52%
200173.29%-8.08%-14.07%-1.00%$26,059$21,761$4,608$8,3943.29%-8.08%-19.18%-9.33%
2001836.24%4.18%-8.13%-6.27%$35,504$22,670$4,233$7,86736.24%4.18%-1.28%-13.81%
200190.81%3.09%-13.27%-8.09%$35,792$23,369$3,672$7,2310.81%3.09%-16.39%-10.31%
200110-4.98%-3.09%13.44%1.90%$34,009$22,648$4,165$7,368-4.98%-3.09%13.22%13.64%
2001118.22%0.79%15.51%7.65%$36,806$22,827$4,812$7,9328.22%0.79%21.30%10.42%
200112-23.73%-1.58%3.00%0.87%$28,073$22,467$4,956$8,001-23.73%-1.58%2.82%3.18%
20021-14.76%9.29%4.52%-1.47%$23,928$24,554$5,180$7,883-14.76%9.29%12.88%-3.83%
20022-0.57%5.09%-10.47%-1.94%$23,791$25,804$4,638$7,730-0.57%5.09%-12.22%-8.43%
200234.20%1.13%6.40%3.74%$24,790$26,095$4,934$8,0204.20%1.13%9.08%3.38%
20024-26.05%3.34%-4.73%-6.07%$18,332$26,967$4,701$7,533-26.05%3.34%2.53%-13.35%
20025-3.64%5.18%-3.41%-0.75%$17,665$28,364$4,541$7,476-3.64%5.18%-4.00%-2.58%
20026-11.73%-22.72%-10.78%-7.13%$15,593$21,920$4,051$6,942-11.73%-22.72%-23.95%7.44%
20027-15.28%5.43%-13.08%-7.72%$13,210$23,109$3,521$6,407-15.28%5.43%-13.88%-12.29%
20028-6.17%8.58%-0.47%0.65%$12,395$25,091$3,505$6,448-6.17%8.58%-3.34%2.29%
20029-2.81%-21.33%-6.51%-10.87%$12,047$19,739$3,277$5,747-2.81%-21.33%-1.69%-10.88%
200210-16.60%5.03%16.53%8.78%$10,047$20,731$3,818$6,252-16.60%5.03%10.83%22.25%
2002118.48%-7.44%2.43%5.88%$10,899$19,190$3,911$6,6198.48%-7.44%-3.55%7.87%
2002125.41%9.14%-9.10%-5.89%$11,488$20,943$3,555$6,2295.41%9.14%-7.55%-10.37%
2003111.10%-6.56%-4.00%-2.62%$12,764$19,569$3,413$6,06611.10%-6.56%0.21%-8.20%
200326.20%2.06%2.46%-1.52%$13,555$19,972$3,497$5,9746.20%2.06%4.53%0.20%
20033-17.12%-21.09%-2.08%0.96%$11,234$15,759$3,424$6,031-17.12%-21.09%-5.80%2.15%
200341.82%2.67%3.03%8.25%$11,438$16,179$3,528$6,5281.82%2.67%0.57%5.62%
2003551.79%34.27%11.24%5.26%$17,361$21,723$3,925$6,87251.79%34.27%26.23%-3.75%
200365.31%11.64%5.32%1.26%$18,283$24,251$4,133$6,9595.31%11.64%6.18%4.19%
20037-2.51%-11.95%7.35%1.74%$17,823$21,353$4,437$7,080-2.51%-11.95%10.60%3.00%
20038-15.42%3.02%4.45%1.93%$15,075$21,999$4,634$7,217-15.42%3.02%7.26%0.42%
200397.49%8.02%-3.15%-1.07%$16,205$23,763$4,488$7,1407.49%8.02%-8.36%4.83%
2003109.37%6.16%3.67%5.64%$17,724$25,228$4,653$7,5429.37%6.16%10.47%-5.45%
2003117.94%11.83%-5.92%0.86%$19,131$28,212$4,377$7,6077.94%11.83%-8.65%-1.64%
200312-1.64%5.96%3.93%5.22%$18,818$29,894$4,550$8,005-1.64%5.96%2.20%6.46%
200414.78%2.15%3.30%1.82%$19,717$30,537$4,700$8,1504.78%2.15%5.57%1.02%
200425.56%3.53%1.10%1.38%$20,813$31,613$4,751$8,2635.56%3.53%6.03%-4.05%
20043-3.65%-4.24%4.19%-1.51%$20,053$30,271$4,950$8,138-3.65%-4.24%13.04%-6.03%
20044-2.71%1.71%-0.69%-1.58%$19,511$30,788$4,916$8,009-2.71%1.71%-4.66%4.81%
20045-3.87%-13.38%5.11%1.36%$18,756$26,669$5,167$8,118-3.87%-13.38%8.84%0.38%
200461.51%5.83%12.98%1.93%$19,039$28,223$5,838$8,2751.51%5.83%15.97%8.88%
200470.25%-4.90%-0.46%-3.31%$19,088$26,841$5,810$8,0010.25%-4.90%-0.61%-0.25%
200486.02%2.84%2.35%0.38%$20,236$27,602$5,947$8,0316.02%2.84%6.65%-3.90%
20049-3.41%-2.47%8.12%1.07%$19,547$26,922$6,430$8,117-3.41%-2.47%12.35%1.28%
2004102.86%3.02%23.01%1.51%$20,106$27,734$7,909$8,2402.86%3.02%35.23%1.16%
2004116.08%18.63%21.67%4.05%$21,329$32,902$9,623$8,5736.08%18.63%27.96%6.63%
2004123.98%7.55%-3.02%3.39%$22,177$35,387$9,333$8,8643.98%7.55%-3.95%-0.34%
20051-2.35%4.47%8.88%-2.45%$21,657$36,968$10,162$8,647-2.35%4.47%19.41%-1.65%
200522.83%2.85%7.35%2.09%$22,270$38,022$10,909$8,8282.83%2.85%16.67%-3.97%
20053-4.69%0.72%-5.83%-1.76%$21,225$38,296$10,273$8,672-4.69%0.72%-7.11%-3.93%
200542.28%-0.61%-5.99%-1.91%$21,708$38,062$9,658$8,5072.28%-0.61%-13.46%4.68%
200559.03%3.31%6.61%3.17%$23,667$39,321$10,296$8,7769.03%3.31%10.26%2.30%
2005610.57%-2.66%-5.79%0.13%$26,168$38,273$9,700$8,78710.57%-2.66%-7.42%-3.72%
200574.52%3.56%10.12%3.71%$27,351$39,635$10,682$9,1134.52%3.56%15.87%3.10%
200583.04%5.59%8.80%-0.91%$28,183$41,848$11,621$9,0303.04%5.59%9.94%7.23%
200597.16%5.43%5.88%0.79%$30,202$44,122$12,304$9,1017.16%5.43%14.33%-6.03%
200510-0.25%1.82%4.64%-1.68%$30,126$44,924$12,876$8,949-0.25%1.82%7.42%-0.12%
200511-5.61%-3.01%14.33%3.76%$28,436$43,571$14,722$9,285-5.61%-3.01%17.76%8.02%
200512-1.57%3.73%2.17%0.02%$27,991$45,197$15,041$9,287-1.57%3.73%6.00%-5.53%
200610.00%-3.19%6.34%2.65%$27,991$43,757$15,995$9,5330.00%-3.19%5.04%7.65%
200622.42%-0.61%-6.73%0.26%$28,668$43,491$14,918$9,5582.42%-0.61%-9.30%-4.23%
200634.57%-0.37%-3.39%1.23%$29,979$43,328$14,413$9,6764.57%-0.37%-8.42%1.27%
20064-5.56%3.25%-0.56%1.33%$28,312$44,735$14,332$9,805-5.56%3.25%12.23%-11.25%
20065-6.72%-1.11%-10.59%-2.90%$26,409$44,239$12,814$9,521-6.72%-1.11%-15.09%-5.85%
20066-0.89%2.66%-0.57%0.13%$26,173$45,416$12,740$9,533-0.89%2.66%-4.18%2.87%
20067-0.37%8.91%10.51%0.61%$26,077$49,461$14,079$9,591-0.37%8.91%18.67%3.26%
200686.67%4.45%3.49%2.36%$27,816$51,663$14,570$9,8176.67%4.45%-0.16%7.21%
200690.84%-7.40%9.85%2.56%$28,051$47,838$16,004$10,0690.84%-7.40%13.46%6.42%
2006105.67%6.24%5.15%3.25%$29,642$50,825$16,829$10,3965.67%6.24%5.33%4.97%
2006114.14%3.54%7.87%1.89%$30,870$52,625$18,154$10,5934.14%3.54%13.05%2.61%
2006121.68%2.95%-3.13%1.39%$31,388$54,175$17,586$10,7401.68%2.95%-7.44%1.70%
200711.24%1.83%2.20%1.49%$31,777$55,166$17,973$10,9011.24%1.83%1.05%3.35%
200721.50%-3.56%-4.89%-1.97%$32,255$53,203$17,093$10,6861.50%-3.56%-1.31%-8.40%
200734.74%5.25%4.51%1.11%$33,783$55,998$17,865$10,8054.74%5.25%9.81%-1.06%
20074-2.46%3.69%7.42%4.42%$32,952$58,067$19,191$11,282-2.46%3.69%7.42%7.43%
200755.70%3.16%12.86%3.48%$34,830$59,904$21,658$11,6745.70%3.16%21.43%2.84%
2007619.11%-0.38%-1.26%-1.68%$41,488$59,675$21,385$11,47919.11%-0.38%0.70%-3.98%
20077-5.02%-5.23%4.05%-3.08%$39,407$56,553$22,250$11,125-5.02%-5.23%7.96%-1.63%
200787.38%4.42%2.92%1.50%$42,316$59,054$22,900$11,2917.38%4.42%5.10%-0.55%
20079-0.89%1.29%7.73%3.72%$41,941$59,814$24,670$11,712-0.89%1.29%10.82%2.54%
200710-2.37%4.89%24.19%1.58%$40,949$62,738$30,638$11,897-2.37%4.89%23.77%24.95%
2007110.64%6.35%-5.63%-4.19%$41,211$66,721$28,914$11,3990.64%6.35%-4.07%-8.43%
200712-7.23%-1.61%7.75%-0.70%$38,230$65,648$31,154$11,319-7.23%-1.61%8.70%5.95%
20081-7.78%0.28%-20.05%-6.02%$35,257$65,830$24,909$10,638-7.78%0.28%-31.66%-8.43%
20082-0.65%-3.50%-12.56%-3.25%$35,028$63,529$21,780$10,292-0.65%-3.50%-7.64%-16.24%
20083-2.16%1.24%9.05%-0.44%$34,271$64,315$23,751$10,247-2.16%1.24%14.78%4.34%
20084-2.05%-9.91%10.34%4.85%$33,569$57,941$26,208$10,744-2.05%-9.91%21.22%0.49%
200851.39%11.30%4.28%1.29%$34,037$64,489$27,329$10,8831.39%11.30%8.51%-0.33%
20086-5.55%-6.34%-7.44%-8.44%$32,148$60,397$25,297$9,965-5.55%-6.34%-11.29%-2.86%
2008711.04%-1.02%-5.76%-0.83%$35,695$59,780$23,840$9,88211.04%-1.02%-5.07%-6.51%
200883.07%3.34%6.60%1.45%$36,792$61,778$25,412$10,0253.07%3.34%6.66%6.53%
20089-2.29%-4.21%-18.33%-8.91%$35,949$59,174$20,753$9,132-2.29%-4.21%-32.96%-2.20%
200810-3.45%-3.28%-11.60%-16.79%$34,708$57,236$18,346$7,598-3.45%-3.28%-5.34%-16.34%
200811-15.78%-16.21%-11.16%-7.17%$29,232$47,960$16,298$7,053-15.78%-16.21%-13.87%-8.85%
200812-2.31%-4.31%-5.66%1.07%$28,557$45,893$15,374$7,128-2.31%-4.31%-7.90%-3.86%
200916.90%9.83%-3.22%-8.41%$30,528$50,403$14,880$6,5296.90%9.83%5.60%-12.04%
20092-14.77%-6.65%-2.71%-10.66%$26,020$47,051$14,476$5,833-14.77%-6.65%-0.91%-4.88%
200937.79%5.79%15.94%8.76%$28,046$49,777$16,784$6,3447.79%5.79%17.70%13.75%
200943.77%1.94%15.60%9.56%$29,104$50,740$19,402$6,9503.77%1.94%19.70%10.29%
200958.68%4.65%6.20%5.62%$31,630$53,102$20,605$7,3418.68%4.65%7.93%3.77%
200960.22%-2.27%8.50%0.22%$31,701$51,894$22,356$7,3570.22%-2.27%4.87%13.79%
200973.99%6.96%8.00%7.58%$32,965$55,503$24,143$7,9143.99%6.96%14.72%-1.05%
200986.19%4.28%3.90%3.60%$35,006$57,878$25,085$8,1996.19%4.28%2.95%5.38%
200991.16%-0.74%7.87%3.72%$35,413$57,447$27,060$8,5041.16%-0.74%10.19%4.34%
200910-6.87%1.68%4.04%-1.87%$32,981$58,415$28,154$8,345-6.87%1.68%1.70%7.81%
200911-4.14%3.87%6.24%5.98%$31,617$60,672$29,910$8,844-4.14%3.87%6.05%6.52%
2009123.51%6.14%4.71%1.95%$32,728$64,395$31,318$9,0163.51%6.14%5.41%3.64%
20101-0.07%1.17%-8.20%-3.60%$32,705$65,149$28,749$8,692-0.07%1.17%-8.86%-7.55%
201023.15%1.31%4.36%3.09%$33,734$66,002$30,001$8,9603.15%1.31%6.54%2.21%
201039.72%3.74%8.59%6.01%$37,013$68,471$32,579$9,4999.72%3.74%14.85%2.16%
201046.22%3.27%7.93%1.58%$39,315$70,707$35,162$9,6496.22%3.27%11.10%4.27%
20105-4.21%-4.25%-7.67%-8.01%$37,660$67,704$32,464$8,877-4.21%-4.25%-1.61%-15.14%
201069.69%0.49%-5.68%-5.24%$41,309$68,035$30,620$8,4129.69%0.49%-2.08%-10.81%
2010712.66%10.58%6.13%7.00%$46,540$75,232$32,497$9,00012.66%10.58%2.27%12.17%
201080.53%0.72%-6.77%-4.53%$46,786$75,775$30,296$8,5920.53%0.72%-5.50%-8.59%
201090.12%9.36%11.72%8.92%$46,844$82,867$33,848$9,3590.12%9.36%16.72%4.35%
2010100.00%5.83%7.14%3.79%$46,844$87,697$36,265$9,7130.00%5.83%6.07%8.90%
201011-2.19%-5.59%0.28%0.00%$45,817$82,798$36,367$9,713-2.19%-5.59%3.38%-4.70%
201012-3.14%4.15%6.15%6.67%$44,377$86,236$38,605$10,361-3.14%4.15%3.67%10.49%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard 500 Index Investor
Large-cap Value47.32%
Large-cap Growth52.13%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.04%
REITs0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.32%
Intermediate-Term Treasuries0.19%
Short-Term Treasuries0.00%
R Squared99.89%
Style analysis is based on monthly returns from Apr 2005 to Dec 2010 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

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%$34,377100.00%

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%$76,236100.00%

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%$31,40563.13%
MSFTMicrosoft CorporationTechnology / Computer Software: Prepackaged Software50.00%-$2,80036.87%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.78%1.93%1.64%0.14%
Arithmetic Mean (annualized)23.53%25.85%21.56%1.69%
Geometric Mean (monthly)1.14%1.65%1.03%0.03%
Geometric Mean (annualized)14.51%21.64%13.07%0.32%
Volatility (monthly)12.09%7.66%10.94%4.73%
Volatility (annualized)41.90%26.54%37.89%16.40%
Downside Deviation (monthly)6.10%4.59%7.12%3.49%
Max. Drawdown-72.70%-44.44%-70.63%-50.97%
US Market Correlation0.270.280.650.99
Beta(*)0.660.491.491.00
Alpha (annualized)20.21%22.39%17.18%0.00%
R26.62%9.16%41.45%100.00%
Sharpe Ratio0.450.780.45-0.05
Sortino Ratio0.881.290.68-0.06
Treynor Ratio (%)28.6742.3411.56-0.80
Calmar Ratio0.160.310.14-0.06
Active Return14.18%21.31%12.74%N/A
Tracking Error40.88%26.64%30.07%N/A
Information Ratio0.350.800.42N/A
Skewness2.090.11-0.19-0.51
Excess Kurtosis10.483.742.630.63
Historical Value-at-Risk (5%)-16.78%-10.62%-17.00%-8.42%
Analytical Value-at-Risk (5%)-18.12%-10.67%-15.55%-7.65%
Conditional Value-at-Risk (5%)-20.62%-17.78%-24.02%-10.80%
Upside Capture Ratio (%)102.7393.94224.67100.00
Downside Capture Ratio (%)43.544.09139.73100.00
Safe Withdrawal Rate18.17%28.89%6.53%6.79%
Perpetual Withdrawal Rate10.54%15.79%9.41%0.00%
Positive Periods74 out of 132 (56.06%)88 out of 132 (66.67%)78 out of 132 (59.09%)77 out of 132 (58.33%)
Gain/Loss Ratio1.220.991.020.76
* 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
Dotcom CrashMar 2000Oct 2002-72.70%-30.41%-70.63%-44.82%
Subprime CrisisNov 2007Mar 2009-36.86%-31.22%-53.53%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2001Oct 200211 monthsJun 20074 years 8 months5 years 7 months-72.70%
2Sep 2007Feb 20091 year 6 monthsJul 20101 year 5 months2 years 11 months-38.51%
3Feb 2000May 20004 monthsAug 20003 months7 months-28.97%
4Sep 2000Oct 20002 monthsJan 20013 months5 months-25.41%
5May 2001Jun 20012 monthsAug 20012 months4 months-10.41%
6Nov 2010Dec 20102 months-5.27%
7Jul 2007Jul 20071 monthAug 20071 month2 months-5.02%
8Oct 2001Oct 20011 monthNov 20011 month2 months-4.98%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2002Mar 200310 monthsDec 20039 months1 year 7 months-44.44%
2Dec 2007Dec 20081 year 1 monthMar 20101 year 3 months2 years 4 months-31.22%
3Mar 2004May 20043 monthsNov 20046 months9 months-15.64%
4Jan 2000Feb 20002 monthsMay 20003 months5 months-12.23%
5Jun 2001Jul 20012 monthsJan 20026 months8 months-10.51%
6Sep 2006Sep 20061 monthNov 20062 months3 months-7.40%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.59%
8Nov 2010Nov 20101 month-5.59%
9Jul 2000Jul 20001 monthAug 20001 month2 months-4.94%
10May 2010May 20101 monthJul 20102 months3 months-4.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsAug 20052 years 11 months5 years 5 months-70.63%
2Jan 2008Feb 20091 year 2 monthsDec 200910 months2 years-53.53%
3Feb 2006Jun 20065 monthsSep 20063 months8 months-20.35%
4May 2010Aug 20104 monthsOct 20102 months6 months-13.84%
5Jan 2010Jan 20101 monthMar 20102 months3 months-8.20%
6Jan 2000Jan 20001 monthMar 20002 months3 months-7.63%
7Dec 2006Feb 20073 monthsApr 20072 months5 months-5.84%
8Nov 2007Nov 20071 monthDec 20071 month2 months-5.63%
9Jun 2007Jun 20071 monthJul 20071 month2 months-1.26%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
4Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
6Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGRVector Group Ltd.14.51%41.90%132.04%-59.08%-72.70%0.450.880.27
MOAltria Group21.64%26.54%105.93%-30.09%-44.44%0.781.290.28
AAPLApple Inc.25.86%49.11%201.36%-71.06%-79.18%0.691.040.55
MSFTMicrosoft Corporation-4.60%34.53%60.50%-62.85%-66.77%-0.04-0.050.60

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGRMOAAPLMSFTPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VGRVector Group Ltd.-0.300.300.151.000.300.280.26
MOAltria Group0.30-0.140.080.301.000.130.30
AAPLApple Inc.0.300.14-0.480.300.140.930.53
MSFTMicrosoft Corporation0.150.080.48-0.150.080.770.61

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGRVector Group Ltd.$34,377
MOAltria Group$76,236
AAPLApple Inc.$31,405
MSFTMicrosoft Corporation-$2,800

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGRVector Group Ltd.100.00%
MOAltria Group100.00%
AAPLApple Inc.63.13%
MSFTMicrosoft Corporation36.87%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year23.69%132.04%-59.08%25.66%105.93%-30.09%29.04%105.14%-66.96%2.38%28.50%-37.02%
3 years10.36%34.56%-7.56%16.39%29.23%0.51%22.56%61.73%-29.16%0.08%14.24%-14.60%
5 years13.06%27.18%2.26%18.02%28.76%8.95%27.56%54.36%-1.37%2.44%12.69%-2.38%
7 years13.01%17.86%0.24%17.96%27.30%10.74%27.18%37.79%8.40%2.35%5.43%-1.64%
10 years13.23%13.88%12.59%17.93%20.47%15.40%19.98%27.87%12.09%0.14%1.31%-1.03%
Result statistics are based on annualized rolling returns over full calendar year periods