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.
Ticker | Name | Allocation |
---|---|---|
VGR | Vector Group Ltd. | 100.00% |
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Ticker | Name | Allocation |
---|---|---|
MO | Altria Group | 100.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
AAPL | Apple Inc. | 50.00% |
MSFT | Microsoft Corporation | 50.00% |
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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 |
Year | Inflation | Return | Balance | Income | Vector Group Ltd. (VGR) | Altria Group (MO) | Apple Inc. (AAPL) | Microsoft Corporation (MSFT) | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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 | ||||||
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% |
Year | Month | Return | Balance | Vector Group Ltd. (VGR) | Altria Group (MO) | Apple Inc. (AAPL) | Microsoft Corporation (MSFT) | ||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | ||||||
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% |
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. |
Ticker | Name | Category | Weight | Return Contribution | Risk Contribution |
---|---|---|---|---|---|
VGR | Vector Group Ltd. | Consumer Non-Durables / Farming/Seeds/Milling | 100.00% | $34,377 | 100.00% |
Ticker | Name | Category | Weight | Return Contribution | Risk Contribution |
---|---|---|---|---|---|
MO | Altria Group | Consumer Non-Durables / Farming/Seeds/Milling | 100.00% | $76,236 | 100.00% |
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% |
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. |
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% |
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% |
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 |
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% |
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% |
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 |
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 |
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 |
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% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
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 |