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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Start Date

End Date

Initial Amount

$ .00

Periodic Adjustment

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

Benchmark Ticker

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$44,377	14.51%	41.90%	132.04%	-59.08%	-72.70%	0.45	0.88	0.27
Portfolio 2	$10,000	$86,236	21.64%	26.54%	105.93%	-30.09%	-44.44%	0.78	1.29	0.28
Portfolio 3	$10,000	$38,605	13.07%	37.89%	105.14%	-66.96%	-70.63%	0.45	0.68	0.65
Vanguard 500 Index Investor	$10,000	$10,361	0.32%	16.40%	28.50%	-37.02%	-50.97%	-0.05	-0.06	0.99

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
Year	Inflation	Return				Balance				Income			Vector Group Ltd. (VGR)	Altria Group (MO)	Apple Inc. (AAPL)	Microsoft Corporation (MSFT)
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor	Portfolio 1	Portfolio 2	Portfolio 3	Vector Group Ltd. (VGR)	Altria Group (MO)	Apple Inc. (AAPL)	Microsoft Corporation (MSFT)
2000	3.39%	20.98%	105.93%	-66.96%	-9.06%	$12,098	$20,593	$3,304	$9,094	9.29% [$929]	9.08% [$908]	0.00% [$0.00]	20.98%	105.93%	-71.06%	-62.85%
2001	1.55%	132.04%	9.10%	49.98%	-12.02%	$28,073	$22,467	$4,956	$8,001	13.87% [$1,678]	5.13% [$1,057]	0.00% [$0.00]	132.04%	9.10%	47.23%	52.74%
2002	2.38%	-59.08%	-6.78%	-28.26%	-22.15%	$11,488	$20,943	$3,555	$6,229	5.14% [$1,443]	5.42% [$1,218]	0.00% [$0.00]	-59.08%	-6.78%	-34.57%	-21.96%
2003	1.88%	63.80%	42.74%	27.97%	28.50%	$18,818	$29,894	$4,550	$8,005	14.74% [$1,693]	6.68% [$1,399]	0.47% [$16.54]	63.80%	42.74%	49.13%	6.81%
2004	3.26%	17.85%	18.38%	105.14%	10.74%	$22,177	$35,387	$9,333	$8,864	10.42% [$1,961]	5.29% [$1,581]	5.79% [$263]	17.85%	18.38%	201.36%	8.92%
2005	3.42%	26.21%	27.72%	61.16%	4.77%	$27,991	$45,197	$15,041	$9,287	11.30% [$2,505]	5.09% [$1,803]	0.60% [$56.15]	26.21%	27.72%	123.26%	-0.95%
2006	2.54%	12.14%	19.87%	16.92%	15.64%	$31,388	$54,175	$17,586	$10,740	9.22% [$2,581]	4.52% [$2,042]	0.71% [$107]	12.14%	19.87%	18.01%	15.83%
2007	4.08%	21.80%	21.18%	77.15%	5.39%	$38,230	$65,648	$31,154	$11,319	9.17% [$2,880]	30.23% [$16,379]	0.69% [$121]	21.80%	21.18%	133.47%	20.83%
2008	0.09%	-25.30%	-30.09%	-50.65%	-37.02%	$28,557	$45,893	$15,374	$7,128	8.15% [$3,115]	72.72% [$47,736]	0.65% [$202]	-25.30%	-30.09%	-56.91%	-44.39%
2009	2.72%	14.61%	40.31%	103.70%	26.49%	$32,728	$64,395	$31,318	$9,016	12.10% [$3,457]	9.03% [$4,143]	1.35% [$208]	14.61%	40.31%	146.90%	60.50%
2010	1.50%	35.59%	33.92%	23.27%	14.91%	$44,377	$86,236	$38,605	$10,361	11.71% [$3,832]	7.64% [$4,917]	0.91% [$285]	35.59%	33.92%	53.07%	-6.53%

Monthly returns for the configured portfolios
Year	Month	Return				Balance				Vector Group Ltd. (VGR)	Altria Group (MO)	Apple Inc. (AAPL)	Microsoft Corporation (MSFT)
Year	Month	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor	Vector Group Ltd. (VGR)	Altria Group (MO)	Apple Inc. (AAPL)	Microsoft Corporation (MSFT)
2000	1	8.37%	-9.24%	-7.63%	-5.03%	$10,837	$9,076	$9,237	$9,497	8.37%	-9.24%	0.91%	-16.17%
2000	2	-18.15%	-3.29%	1.78%	-1.91%	$8,870	$8,777	$9,402	$9,316	-18.15%	-3.29%	10.48%	-8.68%
2000	3	-5.99%	5.22%	18.65%	9.76%	$8,339	$9,236	$11,155	$10,225	-5.99%	5.22%	18.48%	18.88%
2000	4	13.85%	5.42%	-19.14%	-3.01%	$9,494	$9,736	$9,021	$9,918	13.85%	5.42%	-8.65%	-34.35%
2000	5	-18.92%	19.43%	-25.01%	-2.04%	$7,698	$11,628	$6,764	$9,715	-18.92%	19.43%	-32.29%	-10.30%
2000	6	33.10%	3.59%	25.96%	2.49%	$10,246	$12,045	$8,520	$9,957	33.10%	3.59%	24.70%	27.87%
2000	7	5.08%	-4.94%	-6.90%	-1.49%	$10,767	$11,450	$7,932	$9,809	5.08%	-4.94%	-2.98%	-12.73%
2000	8	29.44%	17.82%	12.42%	6.19%	$13,936	$13,491	$8,917	$10,416	29.44%	17.82%	19.93%	0.00%
2000	9	-7.01%	0.81%	-42.94%	-5.29%	$12,959	$13,600	$5,088	$9,865	-7.01%	0.81%	-57.74%	-13.61%
2000	10	-19.78%	24.42%	-4.62%	-0.43%	$10,395	$16,921	$4,852	$9,822	-19.78%	24.42%	-24.03%	14.20%
2000	11	10.76%	4.27%	-16.29%	-7.88%	$11,514	$17,643	$4,062	$9,049	10.76%	4.27%	-15.65%	-16.70%
2000	12	5.07%	16.72%	-18.65%	0.50%	$12,098	$20,593	$3,304	$9,094	5.07%	16.72%	-9.85%	-24.40%
2001	1	24.96%	0.00%	43.08%	3.55%	$15,118	$20,593	$4,728	$9,417	24.96%	0.00%	45.38%	40.78%
2001	2	6.02%	9.50%	-9.59%	-9.14%	$16,029	$22,549	$4,274	$8,556	6.02%	9.50%	-15.61%	-3.38%
2001	3	2.18%	-0.46%	6.08%	-6.36%	$16,377	$22,445	$4,534	$8,012	2.18%	-0.46%	20.93%	-7.31%
2001	4	71.95%	5.61%	19.35%	7.77%	$28,161	$23,703	$5,412	$8,635	71.95%	5.61%	15.50%	23.89%
2001	5	-5.79%	2.59%	-10.36%	0.65%	$26,531	$24,318	$4,851	$8,691	-5.79%	2.59%	-21.73%	2.11%
2001	6	-4.91%	-2.65%	10.56%	-2.45%	$25,230	$23,674	$5,363	$8,479	-4.91%	-2.65%	16.54%	5.52%
2001	7	3.29%	-8.08%	-14.07%	-1.00%	$26,059	$21,761	$4,608	$8,394	3.29%	-8.08%	-19.18%	-9.33%
2001	8	36.24%	4.18%	-8.13%	-6.27%	$35,504	$22,670	$4,233	$7,867	36.24%	4.18%	-1.28%	-13.81%
2001	9	0.81%	3.09%	-13.27%	-8.09%	$35,792	$23,369	$3,672	$7,231	0.81%	3.09%	-16.39%	-10.31%
2001	10	-4.98%	-3.09%	13.44%	1.90%	$34,009	$22,648	$4,165	$7,368	-4.98%	-3.09%	13.22%	13.64%
2001	11	8.22%	0.79%	15.51%	7.65%	$36,806	$22,827	$4,812	$7,932	8.22%	0.79%	21.30%	10.42%
2001	12	-23.73%	-1.58%	3.00%	0.87%	$28,073	$22,467	$4,956	$8,001	-23.73%	-1.58%	2.82%	3.18%
2002	1	-14.76%	9.29%	4.52%	-1.47%	$23,928	$24,554	$5,180	$7,883	-14.76%	9.29%	12.88%	-3.83%
2002	2	-0.57%	5.09%	-10.47%	-1.94%	$23,791	$25,804	$4,638	$7,730	-0.57%	5.09%	-12.22%	-8.43%
2002	3	4.20%	1.13%	6.40%	3.74%	$24,790	$26,095	$4,934	$8,020	4.20%	1.13%	9.08%	3.38%
2002	4	-26.05%	3.34%	-4.73%	-6.07%	$18,332	$26,967	$4,701	$7,533	-26.05%	3.34%	2.53%	-13.35%
2002	5	-3.64%	5.18%	-3.41%	-0.75%	$17,665	$28,364	$4,541	$7,476	-3.64%	5.18%	-4.00%	-2.58%
2002	6	-11.73%	-22.72%	-10.78%	-7.13%	$15,593	$21,920	$4,051	$6,942	-11.73%	-22.72%	-23.95%	7.44%
2002	7	-15.28%	5.43%	-13.08%	-7.72%	$13,210	$23,109	$3,521	$6,407	-15.28%	5.43%	-13.88%	-12.29%
2002	8	-6.17%	8.58%	-0.47%	0.65%	$12,395	$25,091	$3,505	$6,448	-6.17%	8.58%	-3.34%	2.29%
2002	9	-2.81%	-21.33%	-6.51%	-10.87%	$12,047	$19,739	$3,277	$5,747	-2.81%	-21.33%	-1.69%	-10.88%
2002	10	-16.60%	5.03%	16.53%	8.78%	$10,047	$20,731	$3,818	$6,252	-16.60%	5.03%	10.83%	22.25%
2002	11	8.48%	-7.44%	2.43%	5.88%	$10,899	$19,190	$3,911	$6,619	8.48%	-7.44%	-3.55%	7.87%
2002	12	5.41%	9.14%	-9.10%	-5.89%	$11,488	$20,943	$3,555	$6,229	5.41%	9.14%	-7.55%	-10.37%
2003	1	11.10%	-6.56%	-4.00%	-2.62%	$12,764	$19,569	$3,413	$6,066	11.10%	-6.56%	0.21%	-8.20%
2003	2	6.20%	2.06%	2.46%	-1.52%	$13,555	$19,972	$3,497	$5,974	6.20%	2.06%	4.53%	0.20%
2003	3	-17.12%	-21.09%	-2.08%	0.96%	$11,234	$15,759	$3,424	$6,031	-17.12%	-21.09%	-5.80%	2.15%
2003	4	1.82%	2.67%	3.03%	8.25%	$11,438	$16,179	$3,528	$6,528	1.82%	2.67%	0.57%	5.62%
2003	5	51.79%	34.27%	11.24%	5.26%	$17,361	$21,723	$3,925	$6,872	51.79%	34.27%	26.23%	-3.75%
2003	6	5.31%	11.64%	5.32%	1.26%	$18,283	$24,251	$4,133	$6,959	5.31%	11.64%	6.18%	4.19%
2003	7	-2.51%	-11.95%	7.35%	1.74%	$17,823	$21,353	$4,437	$7,080	-2.51%	-11.95%	10.60%	3.00%
2003	8	-15.42%	3.02%	4.45%	1.93%	$15,075	$21,999	$4,634	$7,217	-15.42%	3.02%	7.26%	0.42%
2003	9	7.49%	8.02%	-3.15%	-1.07%	$16,205	$23,763	$4,488	$7,140	7.49%	8.02%	-8.36%	4.83%
2003	10	9.37%	6.16%	3.67%	5.64%	$17,724	$25,228	$4,653	$7,542	9.37%	6.16%	10.47%	-5.45%
2003	11	7.94%	11.83%	-5.92%	0.86%	$19,131	$28,212	$4,377	$7,607	7.94%	11.83%	-8.65%	-1.64%
2003	12	-1.64%	5.96%	3.93%	5.22%	$18,818	$29,894	$4,550	$8,005	-1.64%	5.96%	2.20%	6.46%
2004	1	4.78%	2.15%	3.30%	1.82%	$19,717	$30,537	$4,700	$8,150	4.78%	2.15%	5.57%	1.02%
2004	2	5.56%	3.53%	1.10%	1.38%	$20,813	$31,613	$4,751	$8,263	5.56%	3.53%	6.03%	-4.05%
2004	3	-3.65%	-4.24%	4.19%	-1.51%	$20,053	$30,271	$4,950	$8,138	-3.65%	-4.24%	13.04%	-6.03%
2004	4	-2.71%	1.71%	-0.69%	-1.58%	$19,511	$30,788	$4,916	$8,009	-2.71%	1.71%	-4.66%	4.81%
2004	5	-3.87%	-13.38%	5.11%	1.36%	$18,756	$26,669	$5,167	$8,118	-3.87%	-13.38%	8.84%	0.38%
2004	6	1.51%	5.83%	12.98%	1.93%	$19,039	$28,223	$5,838	$8,275	1.51%	5.83%	15.97%	8.88%
2004	7	0.25%	-4.90%	-0.46%	-3.31%	$19,088	$26,841	$5,810	$8,001	0.25%	-4.90%	-0.61%	-0.25%
2004	8	6.02%	2.84%	2.35%	0.38%	$20,236	$27,602	$5,947	$8,031	6.02%	2.84%	6.65%	-3.90%
2004	9	-3.41%	-2.47%	8.12%	1.07%	$19,547	$26,922	$6,430	$8,117	-3.41%	-2.47%	12.35%	1.28%
2004	10	2.86%	3.02%	23.01%	1.51%	$20,106	$27,734	$7,909	$8,240	2.86%	3.02%	35.23%	1.16%
2004	11	6.08%	18.63%	21.67%	4.05%	$21,329	$32,902	$9,623	$8,573	6.08%	18.63%	27.96%	6.63%
2004	12	3.98%	7.55%	-3.02%	3.39%	$22,177	$35,387	$9,333	$8,864	3.98%	7.55%	-3.95%	-0.34%
2005	1	-2.35%	4.47%	8.88%	-2.45%	$21,657	$36,968	$10,162	$8,647	-2.35%	4.47%	19.41%	-1.65%
2005	2	2.83%	2.85%	7.35%	2.09%	$22,270	$38,022	$10,909	$8,828	2.83%	2.85%	16.67%	-3.97%
2005	3	-4.69%	0.72%	-5.83%	-1.76%	$21,225	$38,296	$10,273	$8,672	-4.69%	0.72%	-7.11%	-3.93%
2005	4	2.28%	-0.61%	-5.99%	-1.91%	$21,708	$38,062	$9,658	$8,507	2.28%	-0.61%	-13.46%	4.68%
2005	5	9.03%	3.31%	6.61%	3.17%	$23,667	$39,321	$10,296	$8,776	9.03%	3.31%	10.26%	2.30%
2005	6	10.57%	-2.66%	-5.79%	0.13%	$26,168	$38,273	$9,700	$8,787	10.57%	-2.66%	-7.42%	-3.72%
2005	7	4.52%	3.56%	10.12%	3.71%	$27,351	$39,635	$10,682	$9,113	4.52%	3.56%	15.87%	3.10%
2005	8	3.04%	5.59%	8.80%	-0.91%	$28,183	$41,848	$11,621	$9,030	3.04%	5.59%	9.94%	7.23%
2005	9	7.16%	5.43%	5.88%	0.79%	$30,202	$44,122	$12,304	$9,101	7.16%	5.43%	14.33%	-6.03%
2005	10	-0.25%	1.82%	4.64%	-1.68%	$30,126	$44,924	$12,876	$8,949	-0.25%	1.82%	7.42%	-0.12%
2005	11	-5.61%	-3.01%	14.33%	3.76%	$28,436	$43,571	$14,722	$9,285	-5.61%	-3.01%	17.76%	8.02%
2005	12	-1.57%	3.73%	2.17%	0.02%	$27,991	$45,197	$15,041	$9,287	-1.57%	3.73%	6.00%	-5.53%
2006	1	0.00%	-3.19%	6.34%	2.65%	$27,991	$43,757	$15,995	$9,533	0.00%	-3.19%	5.04%	7.65%
2006	2	2.42%	-0.61%	-6.73%	0.26%	$28,668	$43,491	$14,918	$9,558	2.42%	-0.61%	-9.30%	-4.23%
2006	3	4.57%	-0.37%	-3.39%	1.23%	$29,979	$43,328	$14,413	$9,676	4.57%	-0.37%	-8.42%	1.27%
2006	4	-5.56%	3.25%	-0.56%	1.33%	$28,312	$44,735	$14,332	$9,805	-5.56%	3.25%	12.23%	-11.25%
2006	5	-6.72%	-1.11%	-10.59%	-2.90%	$26,409	$44,239	$12,814	$9,521	-6.72%	-1.11%	-15.09%	-5.85%
2006	6	-0.89%	2.66%	-0.57%	0.13%	$26,173	$45,416	$12,740	$9,533	-0.89%	2.66%	-4.18%	2.87%
2006	7	-0.37%	8.91%	10.51%	0.61%	$26,077	$49,461	$14,079	$9,591	-0.37%	8.91%	18.67%	3.26%
2006	8	6.67%	4.45%	3.49%	2.36%	$27,816	$51,663	$14,570	$9,817	6.67%	4.45%	-0.16%	7.21%
2006	9	0.84%	-7.40%	9.85%	2.56%	$28,051	$47,838	$16,004	$10,069	0.84%	-7.40%	13.46%	6.42%
2006	10	5.67%	6.24%	5.15%	3.25%	$29,642	$50,825	$16,829	$10,396	5.67%	6.24%	5.33%	4.97%
2006	11	4.14%	3.54%	7.87%	1.89%	$30,870	$52,625	$18,154	$10,593	4.14%	3.54%	13.05%	2.61%
2006	12	1.68%	2.95%	-3.13%	1.39%	$31,388	$54,175	$17,586	$10,740	1.68%	2.95%	-7.44%	1.70%
2007	1	1.24%	1.83%	2.20%	1.49%	$31,777	$55,166	$17,973	$10,901	1.24%	1.83%	1.05%	3.35%
2007	2	1.50%	-3.56%	-4.89%	-1.97%	$32,255	$53,203	$17,093	$10,686	1.50%	-3.56%	-1.31%	-8.40%
2007	3	4.74%	5.25%	4.51%	1.11%	$33,783	$55,998	$17,865	$10,805	4.74%	5.25%	9.81%	-1.06%
2007	4	-2.46%	3.69%	7.42%	4.42%	$32,952	$58,067	$19,191	$11,282	-2.46%	3.69%	7.42%	7.43%
2007	5	5.70%	3.16%	12.86%	3.48%	$34,830	$59,904	$21,658	$11,674	5.70%	3.16%	21.43%	2.84%
2007	6	19.11%	-0.38%	-1.26%	-1.68%	$41,488	$59,675	$21,385	$11,479	19.11%	-0.38%	0.70%	-3.98%
2007	7	-5.02%	-5.23%	4.05%	-3.08%	$39,407	$56,553	$22,250	$11,125	-5.02%	-5.23%	7.96%	-1.63%
2007	8	7.38%	4.42%	2.92%	1.50%	$42,316	$59,054	$22,900	$11,291	7.38%	4.42%	5.10%	-0.55%
2007	9	-0.89%	1.29%	7.73%	3.72%	$41,941	$59,814	$24,670	$11,712	-0.89%	1.29%	10.82%	2.54%
2007	10	-2.37%	4.89%	24.19%	1.58%	$40,949	$62,738	$30,638	$11,897	-2.37%	4.89%	23.77%	24.95%
2007	11	0.64%	6.35%	-5.63%	-4.19%	$41,211	$66,721	$28,914	$11,399	0.64%	6.35%	-4.07%	-8.43%
2007	12	-7.23%	-1.61%	7.75%	-0.70%	$38,230	$65,648	$31,154	$11,319	-7.23%	-1.61%	8.70%	5.95%
2008	1	-7.78%	0.28%	-20.05%	-6.02%	$35,257	$65,830	$24,909	$10,638	-7.78%	0.28%	-31.66%	-8.43%
2008	2	-0.65%	-3.50%	-12.56%	-3.25%	$35,028	$63,529	$21,780	$10,292	-0.65%	-3.50%	-7.64%	-16.24%
2008	3	-2.16%	1.24%	9.05%	-0.44%	$34,271	$64,315	$23,751	$10,247	-2.16%	1.24%	14.78%	4.34%
2008	4	-2.05%	-9.91%	10.34%	4.85%	$33,569	$57,941	$26,208	$10,744	-2.05%	-9.91%	21.22%	0.49%
2008	5	1.39%	11.30%	4.28%	1.29%	$34,037	$64,489	$27,329	$10,883	1.39%	11.30%	8.51%	-0.33%
2008	6	-5.55%	-6.34%	-7.44%	-8.44%	$32,148	$60,397	$25,297	$9,965	-5.55%	-6.34%	-11.29%	-2.86%
2008	7	11.04%	-1.02%	-5.76%	-0.83%	$35,695	$59,780	$23,840	$9,882	11.04%	-1.02%	-5.07%	-6.51%
2008	8	3.07%	3.34%	6.60%	1.45%	$36,792	$61,778	$25,412	$10,025	3.07%	3.34%	6.66%	6.53%
2008	9	-2.29%	-4.21%	-18.33%	-8.91%	$35,949	$59,174	$20,753	$9,132	-2.29%	-4.21%	-32.96%	-2.20%
2008	10	-3.45%	-3.28%	-11.60%	-16.79%	$34,708	$57,236	$18,346	$7,598	-3.45%	-3.28%	-5.34%	-16.34%
2008	11	-15.78%	-16.21%	-11.16%	-7.17%	$29,232	$47,960	$16,298	$7,053	-15.78%	-16.21%	-13.87%	-8.85%
2008	12	-2.31%	-4.31%	-5.66%	1.07%	$28,557	$45,893	$15,374	$7,128	-2.31%	-4.31%	-7.90%	-3.86%
2009	1	6.90%	9.83%	-3.22%	-8.41%	$30,528	$50,403	$14,880	$6,529	6.90%	9.83%	5.60%	-12.04%
2009	2	-14.77%	-6.65%	-2.71%	-10.66%	$26,020	$47,051	$14,476	$5,833	-14.77%	-6.65%	-0.91%	-4.88%
2009	3	7.79%	5.79%	15.94%	8.76%	$28,046	$49,777	$16,784	$6,344	7.79%	5.79%	17.70%	13.75%
2009	4	3.77%	1.94%	15.60%	9.56%	$29,104	$50,740	$19,402	$6,950	3.77%	1.94%	19.70%	10.29%
2009	5	8.68%	4.65%	6.20%	5.62%	$31,630	$53,102	$20,605	$7,341	8.68%	4.65%	7.93%	3.77%
2009	6	0.22%	-2.27%	8.50%	0.22%	$31,701	$51,894	$22,356	$7,357	0.22%	-2.27%	4.87%	13.79%
2009	7	3.99%	6.96%	8.00%	7.58%	$32,965	$55,503	$24,143	$7,914	3.99%	6.96%	14.72%	-1.05%
2009	8	6.19%	4.28%	3.90%	3.60%	$35,006	$57,878	$25,085	$8,199	6.19%	4.28%	2.95%	5.38%
2009	9	1.16%	-0.74%	7.87%	3.72%	$35,413	$57,447	$27,060	$8,504	1.16%	-0.74%	10.19%	4.34%
2009	10	-6.87%	1.68%	4.04%	-1.87%	$32,981	$58,415	$28,154	$8,345	-6.87%	1.68%	1.70%	7.81%
2009	11	-4.14%	3.87%	6.24%	5.98%	$31,617	$60,672	$29,910	$8,844	-4.14%	3.87%	6.05%	6.52%
2009	12	3.51%	6.14%	4.71%	1.95%	$32,728	$64,395	$31,318	$9,016	3.51%	6.14%	5.41%	3.64%
2010	1	-0.07%	1.17%	-8.20%	-3.60%	$32,705	$65,149	$28,749	$8,692	-0.07%	1.17%	-8.86%	-7.55%
2010	2	3.15%	1.31%	4.36%	3.09%	$33,734	$66,002	$30,001	$8,960	3.15%	1.31%	6.54%	2.21%
2010	3	9.72%	3.74%	8.59%	6.01%	$37,013	$68,471	$32,579	$9,499	9.72%	3.74%	14.85%	2.16%
2010	4	6.22%	3.27%	7.93%	1.58%	$39,315	$70,707	$35,162	$9,649	6.22%	3.27%	11.10%	4.27%
2010	5	-4.21%	-4.25%	-7.67%	-8.01%	$37,660	$67,704	$32,464	$8,877	-4.21%	-4.25%	-1.61%	-15.14%
2010	6	9.69%	0.49%	-5.68%	-5.24%	$41,309	$68,035	$30,620	$8,412	9.69%	0.49%	-2.08%	-10.81%
2010	7	12.66%	10.58%	6.13%	7.00%	$46,540	$75,232	$32,497	$9,000	12.66%	10.58%	2.27%	12.17%
2010	8	0.53%	0.72%	-6.77%	-4.53%	$46,786	$75,775	$30,296	$8,592	0.53%	0.72%	-5.50%	-8.59%
2010	9	0.12%	9.36%	11.72%	8.92%	$46,844	$82,867	$33,848	$9,359	0.12%	9.36%	16.72%	4.35%
2010	10	0.00%	5.83%	7.14%	3.79%	$46,844	$87,697	$36,265	$9,713	0.00%	5.83%	6.07%	8.90%
2010	11	-2.19%	-5.59%	0.28%	0.00%	$45,817	$82,798	$36,367	$9,713	-2.19%	-5.59%	3.38%	-4.70%
2010	12	-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 Category	Vanguard 500 Index Investor
Large-cap Value	47.32%
Large-cap Growth	52.13%
Mid-cap Value	0.00%
Mid-cap Growth	0.00%
Small-cap Value	0.00%
Small-cap Growth	0.00%
Global ex-US Developed Markets	0.00%
Emerging Markets	0.04%
REITs	0.00%
Corporate Bonds	0.00%
Long-Term Treasuries	0.32%
Intermediate-Term Treasuries	0.19%
Short-Term Treasuries	0.00%
R Squared	99.89%
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
Ticker	Name	Category	Weight	Return Contribution	Risk Contribution
VGR	Vector Group Ltd.	Consumer Non-Durables / Farming/Seeds/Milling	100.00%	$34,377	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Return Contribution	Risk Contribution
MO	Altria Group	Consumer Non-Durables / Farming/Seeds/Milling	100.00%	$76,236	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	Return Contribution	Risk Contribution
AAPL	Apple Inc.	Technology / Computer Manufacturing	50.00%	$31,405	63.13%
MSFT	Microsoft Corporation	Technology / Computer Software: Prepackaged Software	50.00%	-$2,800	36.87%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 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 Correlation	0.27	0.28	0.65	0.99
Beta^(*)	0.66	0.49	1.49	1.00
Alpha (annualized)	20.21%	22.39%	17.18%	0.00%
R²	6.62%	9.16%	41.45%	100.00%
Sharpe Ratio	0.45	0.78	0.45	-0.05
Sortino Ratio	0.88	1.29	0.68	-0.06
Treynor Ratio (%)	28.67	42.34	11.56	-0.80
Calmar Ratio	0.16	0.31	0.14	-0.06
Active Return	14.18%	21.31%	12.74%	N/A
Tracking Error	40.88%	26.64%	30.07%	N/A
Information Ratio	0.35	0.80	0.42	N/A
Skewness	2.09	0.11	-0.19	-0.51
Excess Kurtosis	10.48	3.74	2.63	0.63
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 (%)	102.73	93.94	224.67	100.00
Downside Capture Ratio (%)	43.54	4.09	139.73	100.00
Safe Withdrawal Rate	18.17%	28.89%	6.53%	6.79%
Perpetual Withdrawal Rate	10.54%	15.79%	9.41%	0.00%
Positive Periods	74 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 Ratio	1.22	0.99	1.02	0.76
^* 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 Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Dotcom Crash	Mar 2000	Oct 2002	-72.70%	-30.41%	-70.63%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-36.86%	-31.22%	-53.53%	-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Dec 2001	Oct 2002	11 months	Jun 2007	4 years 8 months	5 years 7 months	-72.70%
2	Sep 2007	Feb 2009	1 year 6 months	Jul 2010	1 year 5 months	2 years 11 months	-38.51%
3	Feb 2000	May 2000	4 months	Aug 2000	3 months	7 months	-28.97%
4	Sep 2000	Oct 2000	2 months	Jan 2001	3 months	5 months	-25.41%
5	May 2001	Jun 2001	2 months	Aug 2001	2 months	4 months	-10.41%
6	Nov 2010	Dec 2010	2 months				-5.27%
7	Jul 2007	Jul 2007	1 month	Aug 2007	1 month	2 months	-5.02%
8	Oct 2001	Oct 2001	1 month	Nov 2001	1 month	2 months	-4.98%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2002	Mar 2003	10 months	Dec 2003	9 months	1 year 7 months	-44.44%
2	Dec 2007	Dec 2008	1 year 1 month	Mar 2010	1 year 3 months	2 years 4 months	-31.22%
3	Mar 2004	May 2004	3 months	Nov 2004	6 months	9 months	-15.64%
4	Jan 2000	Feb 2000	2 months	May 2000	3 months	5 months	-12.23%
5	Jun 2001	Jul 2001	2 months	Jan 2002	6 months	8 months	-10.51%
6	Sep 2006	Sep 2006	1 month	Nov 2006	2 months	3 months	-7.40%
7	Jun 2007	Jul 2007	2 months	Oct 2007	3 months	5 months	-5.59%
8	Nov 2010	Nov 2010	1 month				-5.59%
9	Jul 2000	Jul 2000	1 month	Aug 2000	1 month	2 months	-4.94%
10	May 2010	May 2010	1 month	Jul 2010	2 months	3 months	-4.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Apr 2000	Sep 2002	2 years 6 months	Aug 2005	2 years 11 months	5 years 5 months	-70.63%
2	Jan 2008	Feb 2009	1 year 2 months	Dec 2009	10 months	2 years	-53.53%
3	Feb 2006	Jun 2006	5 months	Sep 2006	3 months	8 months	-20.35%
4	May 2010	Aug 2010	4 months	Oct 2010	2 months	6 months	-13.84%
5	Jan 2010	Jan 2010	1 month	Mar 2010	2 months	3 months	-8.20%
6	Jan 2000	Jan 2000	1 month	Mar 2000	2 months	3 months	-7.63%
7	Dec 2006	Feb 2007	3 months	Apr 2007	2 months	5 months	-5.84%
8	Nov 2007	Nov 2007	1 month	Dec 2007	1 month	2 months	-5.63%
9	Jun 2007	Jun 2007	1 month	Jul 2007	1 month	2 months	-1.26%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months				-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
4	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-4.98%
5	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-4.71%
6	Feb 2007	Feb 2007	1 month	Apr 2007	2 months	3 months	-1.97%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
VGR	Vector Group Ltd.	14.51%	41.90%	132.04%	-59.08%	-72.70%	0.45	0.88	0.27
MO	Altria Group	21.64%	26.54%	105.93%	-30.09%	-44.44%	0.78	1.29	0.28
AAPL	Apple Inc.	25.86%	49.11%	201.36%	-71.06%	-79.18%	0.69	1.04	0.55
MSFT	Microsoft Corporation	-4.60%	34.53%	60.50%	-62.85%	-66.77%	-0.04	-0.05	0.60

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VGR	MO	AAPL	MSFT	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
VGR	Vector Group Ltd.	-	0.30	0.30	0.15	1.00	0.30	0.28	0.26
MO	Altria Group	0.30	-	0.14	0.08	0.30	1.00	0.13	0.30
AAPL	Apple Inc.	0.30	0.14	-	0.48	0.30	0.14	0.93	0.53
MSFT	Microsoft Corporation	0.15	0.08	0.48	-	0.15	0.08	0.77	0.61

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
VGR	Vector Group Ltd.	$34,377
MO	Altria Group		$76,236
AAPL	Apple Inc.			$31,405
MSFT	Microsoft Corporation			-$2,800

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
VGR	Vector Group Ltd.	100.00%
MO	Altria Group		100.00%
AAPL	Apple Inc.			63.13%
MSFT	Microsoft Corporation			36.87%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	23.69%	132.04%	-59.08%	25.66%	105.93%	-30.09%	29.04%	105.14%	-66.96%	2.38%	28.50%	-37.02%
3 years	10.36%	34.56%	-7.56%	16.39%	29.23%	0.51%	22.56%	61.73%	-29.16%	0.08%	14.24%	-14.60%
5 years	13.06%	27.18%	2.26%	18.02%	28.76%	8.95%	27.56%	54.36%	-1.37%	2.44%	12.69%	-2.38%
7 years	13.01%	17.86%	0.24%	17.96%	27.30%	10.74%	27.18%	37.79%	8.40%	2.35%	5.43%	-1.64%
10 years	13.23%	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