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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Portfolio Analysis Results (Jan 2010 - Nov 2019)

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%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,001 12.09% 20.16%53.86%-49.21%-51.59% 0.641.070.33
Portfolio 2$10,000$41,342 15.39% 18.71%34.52%-27.09%-38.26% 0.831.310.30
Portfolio 3$10,000$86,420 24.29% 19.78%61.62%7.70%-21.51% 1.182.220.64
Vanguard 500 Index Investor$10,000$34,140 13.18% 12.49%32.18%-4.52%-16.31% 1.021.671.00
   
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.
  • The annual results for 2019 are based on full calendar months from January to November
  • 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
20101.50%35.59%33.92%23.27%14.91%$13,559$13,392$12,327$11,49111.71% [$1,171]7.64% [$764]0.91% [$90.90]35.59%33.92%53.07%-6.53%
20112.96%12.20%27.66%10.52%1.97%$15,214$17,095$13,623$11,7179.45% [$1,281]6.57% [$879]1.23% [$152]12.20%27.66%25.56%-4.52%
20121.74%-8.00%11.77%19.21%15.82%$13,996$19,107$16,241$13,5729.21% [$1,402]5.85% [$1,000]2.27% [$309]-8.00%11.77%32.59%5.84%
20131.50%27.45%28.56%26.17%32.18%$17,838$24,563$20,491$17,93811.32% [$1,584]5.97% [$1,141]2.96% [$480]27.45%28.56%8.06%44.28%
20140.76%47.19%34.52%34.08%13.51%$26,256$33,042$27,475$20,36110.18% [$1,816]5.31% [$1,305]2.72% [$556]47.19%34.52%40.62%27.54%
20150.73%24.75%23.10%9.84%1.25%$32,755$40,674$30,178$20,6167.82% [$2,052]4.48% [$1,479]2.33% [$640]24.75%23.10%-3.02%22.70%
20162.07%8.74%20.46%13.77%11.82%$35,618$48,997$34,335$23,0527.14% [$2,340]4.09% [$1,665]2.41% [$727]8.74%20.46%12.48%15.07%
20172.11%11.37%9.45%44.60%21.67%$39,668$53,625$49,647$28,0477.43% [$2,645]3.81% [$1,865]2.36% [$810]11.37%9.45%48.48%40.72%
20181.91%-49.21%-27.09%7.70%-4.52%$20,148$39,100$53,472$26,7787.57% [$3,004]4.28% [$2,295]1.85% [$919]-49.21%-27.09%-5.39%20.80%
20192.43%53.86%5.73%61.62%27.50%$31,001$41,342$86,420$34,14012.80% [$2,580]5.01% [$1,961]1.91% [$1,019]53.86%5.73%71.98%51.26%
Annual returns for 2019 are based on partial year data
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
20101-0.07%1.17%-8.20%-3.60%$9,993$10,117$9,180$9,640-0.07%1.17%-8.86%-7.55%
201023.15%1.31%4.36%3.09%$10,307$10,250$9,580$9,9383.15%1.31%6.54%2.21%
201039.72%3.74%8.59%6.01%$11,309$10,633$10,403$10,5359.72%3.74%14.85%2.16%
201046.22%3.27%7.93%1.58%$12,013$10,980$11,228$10,7026.22%3.27%11.10%4.27%
20105-4.21%-4.25%-7.67%-8.01%$11,507$10,514$10,366$9,845-4.21%-4.25%-1.61%-15.14%
201069.69%0.49%-5.68%-5.24%$12,622$10,565$9,777$9,3299.69%0.49%-2.08%-10.81%
2010712.66%10.58%6.13%7.00%$14,220$11,683$10,376$9,98212.66%10.58%2.27%12.17%
201080.53%0.72%-6.77%-4.53%$14,295$11,767$9,674$9,5300.53%0.72%-5.50%-8.59%
201090.12%9.36%11.72%8.92%$14,313$12,869$10,808$10,3790.12%9.36%16.72%4.35%
2010100.00%5.83%7.14%3.79%$14,313$13,619$11,580$10,7730.00%5.83%6.07%8.90%
201011-2.19%-5.59%0.28%0.00%$13,999$12,858$11,612$10,773-2.19%-5.59%3.38%-4.70%
201012-3.14%4.15%6.15%6.67%$13,559$13,392$12,327$11,491-3.14%4.15%3.67%10.49%
20111-7.56%-4.51%2.28%2.36%$12,534$12,788$12,607$11,762-7.56%-4.51%5.20%-0.64%
201125.50%7.91%0.37%3.42%$13,223$13,800$12,654$12,1645.50%7.91%4.09%-3.58%
201134.89%4.16%-2.80%0.03%$13,869$14,373$12,299$12,1674.89%4.16%-1.33%-4.48%
201146.19%3.11%1.21%2.95%$14,728$14,821$12,448$12,5266.19%3.11%0.46%2.09%
201154.90%4.55%-1.69%-1.15%$15,450$15,494$12,238$12,3824.90%4.55%-0.66%-2.88%
20116-5.60%-4.55%-0.09%-1.67%$14,585$14,789$12,227$12,175-5.60%-4.55%-3.50%3.96%
20117-1.57%-0.42%11.13%-2.05%$14,355$14,727$13,588$11,926-1.57%-0.42%16.33%5.38%
201186.68%3.38%-1.83%-5.45%$15,314$15,226$13,338$11,2776.68%3.38%-1.45%-2.31%
20119-6.03%0.15%-3.39%-7.04%$14,390$15,248$12,886$10,482-6.03%0.15%-0.91%-6.43%
2011102.27%2.76%6.52%10.91%$14,717$15,669$13,726$11,6262.27%2.76%6.15%6.99%
2011112.79%4.14%-4.55%-0.23%$15,127$16,317$13,102$11,5992.79%4.14%-5.58%-3.22%
2011120.57%4.77%3.98%1.02%$15,214$17,095$13,623$11,7170.57%4.77%5.97%1.49%
20121-1.97%-4.22%13.23%4.46%$14,914$16,375$15,426$12,240-1.97%-4.22%12.71%13.75%
201224.25%5.99%13.49%4.31%$15,548$17,355$17,507$12,7684.25%5.99%18.83%8.19%
20123-0.17%3.96%6.27%3.28%$15,522$18,041$18,605$13,187-0.17%3.96%10.53%1.64%
20124-2.09%4.34%-1.75%-0.64%$15,197$18,824$18,279$13,102-2.09%4.34%-2.60%-0.74%
20125-4.32%-0.06%-4.39%-6.02%$14,540$18,813$17,478$12,314-4.32%-0.06%-1.07%-8.23%
201264.99%8.65%2.73%4.11%$15,265$20,441$17,955$12,8204.99%8.65%1.09%4.80%
20127-0.18%4.11%0.85%1.37%$15,239$21,281$18,108$12,995-0.18%4.11%4.58%-3.66%
201280.12%-5.59%7.61%2.24%$15,256$20,092$19,485$13,2860.12%-5.59%9.39%5.28%
20129-0.22%-0.38%-1.29%2.58%$15,223$20,015$19,233$13,629-0.22%-0.38%0.28%-3.44%
201210-0.78%-4.76%-8.00%-1.86%$15,104$19,062$17,694$13,375-0.78%-4.76%-10.76%-4.10%
201211-1.94%6.32%-3.26%0.56%$14,810$20,267$17,118$13,450-1.94%6.32%-1.22%-5.94%
201212-5.50%-5.73%-5.12%0.90%$13,996$19,107$16,241$13,572-5.50%-5.73%-9.07%0.34%
201314.51%7.12%-5.82%5.18%$14,627$20,468$15,296$14,2744.51%7.12%-14.41%2.77%
201323.28%-0.39%-0.01%1.34%$15,107$20,389$15,295$14,4653.28%-0.39%-2.54%2.11%
201333.00%3.83%1.75%3.74%$15,560$21,171$15,562$15,0063.00%3.83%0.29%2.91%
201341.18%6.16%8.86%1.91%$15,743$22,476$16,940$15,2921.18%6.16%0.03%15.69%
20135-1.59%-1.12%4.59%2.33%$15,492$22,223$17,718$15,648-1.59%-1.12%2.25%6.16%
201363.58%-1.88%-5.27%-1.35%$16,046$21,806$16,785$15,4373.58%-1.88%-11.83%-1.03%
201372.65%0.20%0.19%5.07%$16,472$21,850$16,817$16,2202.65%0.20%14.12%-7.82%
20138-1.92%-3.37%6.78%-2.91%$16,155$21,114$17,958$15,748-1.92%-3.37%8.38%5.65%
201395.98%2.80%-1.11%3.12%$17,122$21,705$17,758$16,2395.98%2.80%-2.15%-0.36%
2013100.43%8.38%7.75%4.59%$17,196$23,525$19,134$16,9840.43%8.38%9.64%6.40%
2013111.30%-0.67%7.87%3.03%$17,420$23,367$20,639$17,4981.30%-0.67%7.01%8.50%
2013122.40%5.12%-0.72%2.51%$17,838$24,563$20,491$17,9382.40%5.12%0.89%-1.89%
201419.10%-8.26%-4.81%-3.47%$19,462$22,535$19,506$17,3169.10%-8.26%-10.77%1.15%
201429.35%2.95%3.76%4.56%$21,281$23,200$20,238$18,1069.35%2.95%5.75%2.00%
2014312.32%4.60%4.61%0.82%$23,904$24,267$21,171$18,25512.32%4.60%2.00%7.00%
20144-1.11%7.16%3.86%0.72%$23,637$26,004$21,988$18,387-1.11%7.16%9.94%-1.44%
20145-1.83%3.62%4.91%2.33%$23,204$26,944$23,069$18,816-1.83%3.62%7.87%2.04%
201460.86%2.09%2.32%2.05%$23,404$27,507$23,603$19,2020.86%2.09%2.77%1.86%
20147-0.73%-3.20%3.18%-1.39%$23,234$26,628$24,354$18,936-0.73%-3.20%2.87%3.50%
2014816.37%6.11%6.84%3.98%$27,036$28,255$26,021$19,69016.37%6.11%7.75%5.91%
20149-0.86%7.92%0.13%-1.41%$26,805$30,493$26,054$19,412-0.86%7.92%-1.71%2.05%
2014100.72%5.22%4.25%2.42%$26,998$32,086$27,161$19,8820.72%5.22%7.20%1.27%
201411-2.64%3.97%6.67%2.68%$26,285$33,361$28,974$20,415-2.64%3.97%10.60%2.48%
201412-0.11%-0.95%-5.17%-0.26%$26,256$33,042$27,475$20,361-0.11%-0.95%-7.19%-2.84%
201515.02%7.77%-3.44%-3.02%$27,575$35,611$26,530$19,7475.02%7.77%6.14%-13.02%
201522.99%6.01%9.73%5.74%$28,400$37,750$29,111$20,8802.99%6.01%10.07%9.31%
20153-2.87%-10.25%-4.99%-1.59%$27,584$33,881$27,657$20,548-2.87%-10.25%-3.14%-7.27%
201540.82%0.06%8.92%0.95%$27,810$33,901$30,124$20,7430.82%0.06%0.58%19.63%
20155-0.18%2.30%0.89%1.27%$27,760$34,680$30,394$21,007-0.18%2.30%4.53%-3.03%
201568.03%-3.44%-4.68%-1.93%$29,988$33,485$28,973$20,6018.03%-3.44%-3.72%-5.78%
201577.93%11.18%0.85%2.08%$32,366$37,230$29,219$21,0297.93%11.18%-3.29%5.78%
20158-5.88%-1.47%-6.42%-6.04%$30,461$36,682$27,344$19,759-5.88%-1.47%-6.62%-6.20%
201591.31%2.62%-0.32%-2.49%$30,860$37,644$27,257$19,2671.31%2.62%-2.18%1.70%
2015107.25%11.16%13.53%8.42%$33,098$41,844$30,945$20,8897.25%11.16%8.34%18.93%
2015114.37%-4.75%1.75%0.29%$34,545$39,858$31,485$20,9494.37%-4.75%-0.58%3.95%
201512-5.18%2.05%-4.15%-1.59%$32,755$40,674$30,178$20,616-5.18%2.05%-11.02%2.08%
20161-1.14%4.98%-4.11%-4.98%$32,381$42,701$28,937$19,590-1.14%4.98%-7.52%-0.70%
20162-0.39%0.75%-3.68%-0.15%$32,256$43,022$27,871$19,561-0.39%0.75%-0.13%-6.99%
201630.03%2.70%10.64%6.78%$32,267$44,183$30,835$20,8870.03%2.70%12.72%8.55%
20164-5.43%0.08%-11.89%0.37%$30,515$44,218$27,169$20,965-5.43%0.08%-13.99%-9.70%
20165-0.60%1.48%7.11%1.78%$30,331$44,874$29,100$21,338-0.60%1.48%7.18%7.03%
201666.36%9.30%-3.86%0.25%$32,260$49,049$27,977$21,3926.36%9.30%-4.27%-3.45%
20167-1.47%-1.83%9.90%3.68%$31,785$48,152$30,746$22,178-1.47%-1.83%9.01%10.77%
201681.00%-2.38%2.18%0.13%$32,101$47,007$31,417$22,2071.00%-2.38%2.36%2.01%
201693.20%-3.41%3.35%0.01%$33,128$45,405$32,469$22,2093.20%-3.41%6.55%0.24%
201610-2.74%4.57%2.20%-1.83%$32,220$47,480$33,184$21,802-2.74%4.57%0.43%4.03%
2016111.96%-3.31%-0.46%3.70%$32,851$45,907$33,033$22,6081.96%-3.31%-2.15%1.23%
2016128.42%6.73%3.94%1.96%$35,618$48,997$34,335$23,0528.42%6.73%4.80%3.12%
20171-2.99%5.26%4.41%1.88%$34,553$51,577$35,848$23,486-2.99%5.26%4.77%4.04%
201723.26%5.25%6.49%3.96%$35,681$54,287$38,175$24,4173.26%5.25%13.37%-0.44%
20173-6.91%-3.90%3.97%0.10%$33,214$52,168$39,691$24,441-6.91%-3.90%4.87%2.94%
201744.42%0.50%1.82%1.02%$34,683$52,431$40,412$24,6904.42%0.50%-0.01%3.95%
201750.09%5.10%4.81%1.39%$34,715$55,104$42,354$25,0340.09%5.10%6.78%2.59%
20176-0.11%-0.48%-3.68%0.61%$34,675$54,838$40,793$25,187-0.11%-0.48%-5.72%-1.30%
20177-5.58%-12.76%4.31%2.04%$32,740$47,843$42,551$25,701-5.58%-12.76%3.27%5.47%
201787.30%-2.42%7.22%0.29%$35,131$46,687$45,623$25,7777.30%-2.42%10.71%3.40%
201791.45%1.09%-3.42%2.06%$35,641$47,196$44,061$26,3081.45%1.09%-6.02%-0.37%
2017101.51%1.26%10.62%2.32%$36,181$47,792$48,742$26,9171.51%1.26%9.68%11.67%
2017118.23%5.62%1.87%3.06%$39,158$50,478$49,655$27,7418.23%5.62%2.03%1.70%
2017121.30%6.23%-0.02%1.10%$39,668$53,625$49,647$28,0471.30%6.23%-1.52%1.63%
20181-4.83%-1.50%5.00%5.71%$37,754$52,822$52,131$29,649-4.83%-1.50%-1.06%11.07%
20182-5.92%-10.51%2.76%-3.69%$35,520$47,272$53,571$28,553-5.92%-10.51%6.81%-0.85%
201833.78%0.09%-4.20%-2.56%$36,863$47,313$51,319$27,8243.78%0.09%-5.81%-2.67%
20184-4.36%-9.96%0.56%0.37%$35,254$42,598$51,604$27,928-4.36%-9.96%-1.50%2.47%
20185-0.51%-0.66%9.62%2.39%$35,073$42,317$56,568$28,596-0.51%-0.66%13.51%6.15%
201860.39%3.14%-0.58%0.61%$35,211$43,647$56,241$28,7690.39%3.14%-0.94%-0.23%
20187-3.30%3.33%5.25%3.71%$34,048$45,099$59,194$29,836-3.30%3.33%2.80%7.58%
20188-15.83%-0.27%12.83%3.25%$28,659$44,976$66,791$30,805-15.83%-0.27%20.04%6.30%
20189-4.28%4.40%0.48%0.55%$27,432$46,955$67,110$30,976-4.28%4.40%-0.83%1.82%
201810-1.89%7.84%-4.83%-6.85%$26,914$50,638$63,867$28,854-1.89%7.84%-3.05%-6.61%
201811-6.80%-15.70%-7.11%2.03%$25,083$42,689$59,326$29,439-6.80%-15.70%-18.12%4.27%
201812-19.67%-8.41%-9.87%-9.04%$20,148$39,100$53,472$26,778-19.67%-8.41%-11.67%-8.40%
2019113.05%-0.08%4.17%8.00%$22,778$39,068$55,699$28,92013.05%-0.08%5.52%2.82%
201926.55%6.20%6.09%3.20%$24,269$41,491$59,089$29,8466.55%6.20%4.48%7.74%
20193-4.60%11.15%7.48%1.94%$23,152$46,116$63,511$30,424-4.60%11.15%9.70%5.28%
20194-11.68%-5.40%8.14%4.04%$20,449$43,626$68,683$31,654-11.68%-5.40%5.64%10.73%
20195-6.09%-9.70%-8.66%-6.36%$19,204$39,395$62,732$29,639-6.09%-9.70%-12.42%-4.95%
2019613.38%-1.98%10.57%7.03%$21,773$38,615$69,364$31,72313.38%-1.98%13.05%8.31%
2019718.46%-0.59%4.61%1.43%$25,792$38,387$72,561$32,17618.46%-0.59%7.64%1.72%
201981.13%-7.07%-0.07%-1.59%$26,083$35,671$72,510$31,6641.13%-7.07%-1.64%1.51%
201995.33%-4.62%4.03%1.86%$27,472$34,022$75,434$32,2525.33%-4.62%7.30%0.85%
2019102.43%9.51%7.17%2.15%$28,141$37,258$80,842$32,9472.43%9.51%11.07%3.12%
20191110.16%10.96%6.90%3.62%$31,001$41,342$86,420$34,14010.16%10.96%7.75%5.95%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard 500 Index Investor
Large-cap Value46.85%
Large-cap Growth52.83%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.29%
Global ex-US Developed Markets0.00%
Emerging Markets0.02%
REITs0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.96%
Style analysis is based on monthly returns from Jan 2010 to Nov 2019 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%$21,001100.00%

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%$31,342100.00%

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%$38,96157.11%
MSFTMicrosoft CorporationTechnology / Computer Software: Prepackaged Software50.00%$37,45942.89%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.12%1.35%1.99%1.10%
Arithmetic Mean (annualized)14.34%17.40%26.65%14.05%
Geometric Mean (monthly)0.96%1.20%1.83%1.04%
Geometric Mean (annualized)12.09%15.39%24.29%13.18%
Volatility (monthly)5.82%5.40%5.71%3.61%
Volatility (annualized)20.16%18.71%19.78%12.49%
Downside Deviation (monthly)3.46%3.40%3.02%2.17%
Max. Drawdown-51.59%-38.26%-21.51%-16.31%
US Market Correlation0.330.300.641.00
Beta(*)0.520.491.051.00
Alpha (annualized)6.61%9.65%9.96%0.00%
R210.36%10.78%44.09%100.00%
Sharpe Ratio0.640.831.181.02
Sortino Ratio1.071.312.221.67
Treynor Ratio (%)24.9631.8122.2112.71
Calmar Ratio-0.04-0.091.861.09
Active Return-1.10%2.21%11.11%N/A
Tracking Error20.00%18.78%14.80%N/A
Information Ratio-0.050.120.75N/A
Skewness-0.03-0.54-0.10-0.35
Excess Kurtosis1.620.24-0.680.56
Historical Value-at-Risk (5%)-6.80%-9.70%-7.67%-6.04%
Analytical Value-at-Risk (5%)-8.45%-7.54%-7.42%-4.83%
Conditional Value-at-Risk (5%)-12.33%-11.84%-9.33%-7.46%
Upside Capture Ratio (%)57.8372.30142.05100.00
Downside Capture Ratio (%)26.2926.9593.84100.00
Safe Withdrawal Rate21.15%27.01%23.24%18.01%
Perpetual Withdrawal Rate10.08%12.91%19.76%11.04%
Positive Periods66 out of 119 (55.46%)74 out of 119 (62.18%)75 out of 119 (63.03%)84 out of 119 (70.59%)
Gain/Loss Ratio1.341.131.360.88
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2018May 20191 year 5 months-51.59%
2Nov 2010Jan 20113 monthsApr 20113 months6 months-12.43%
3Dec 2015May 20166 monthsDec 20167 months1 year 1 month-12.20%
4Mar 2012Dec 201210 monthsMar 20133 months1 year 1 month-9.98%
5Mar 2017Jul 20175 monthsOct 20173 months8 months-8.24%
6Jun 2011Jul 20112 monthsFeb 20127 months9 months-7.08%
7Aug 2015Aug 20151 monthOct 20152 months3 months-5.88%
8May 2010May 20101 monthJun 20101 month2 months-4.21%
9Jan 2017Jan 20171 monthFeb 20171 month2 months-2.99%
10Apr 2014May 20142 monthsAug 20143 months5 months-2.92%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2017Sep 20192 years 4 months-38.26%
2Mar 2015Jun 20154 monthsOct 20154 months8 months-11.30%
3Aug 2012Oct 20123 monthsApr 20136 months9 months-10.42%
4Jan 2014Jan 20141 monthApr 20143 months4 months-8.26%
5Jul 2016Sep 20163 monthsJan 20174 months7 months-7.43%
6Nov 2010Jan 20113 monthsFeb 20111 month4 months-6.10%
7May 2013Aug 20134 monthsOct 20132 months6 months-6.06%
8Jun 2011Jul 20112 monthsOct 20113 months5 months-4.95%
9Nov 2015Nov 20151 monthJan 20162 months3 months-4.75%
10May 2010May 20101 monthJul 20102 months3 months-4.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2012Feb 20136 monthsNov 20139 months1 year 3 months-21.51%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-20.32%
3May 2010Aug 20104 monthsOct 20102 months6 months-13.84%
4Dec 2015Apr 20165 monthsSep 20165 months10 months-13.71%
5Jun 2015Sep 20154 monthsOct 20151 month5 months-10.32%
6May 2019May 20191 monthJun 20191 month2 months-8.66%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-8.44%
8Jan 2010Jan 20101 monthMar 20102 months3 months-8.20%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.06%
10Dec 2013Jan 20142 monthsMar 20142 months4 months-5.49%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VGRVector Group Ltd.12.09%20.16%53.86%-49.21%-51.59%0.641.070.33
MOAltria Group15.39%18.71%34.52%-27.09%-38.26%0.831.310.30
AAPLApple Inc.26.39%25.91%71.98%-5.39%-39.54%1.021.800.50
MSFTMicrosoft Corporation20.41%21.23%51.26%-6.53%-24.31%0.961.700.61

Monthly Correlations

Correlations for the portfolio assets
TickerNameVGRMOAAPLMSFTPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VGRVector Group Ltd.-0.390.160.121.000.390.170.32
MOAltria Group0.39-0.270.160.391.000.260.33
AAPLApple Inc.0.160.27-0.420.160.270.880.51
MSFTMicrosoft Corporation0.120.160.42-0.120.160.800.64

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGRVector Group Ltd.$21,001
MOAltria Group$31,342
AAPLApple Inc.$38,961
MSFTMicrosoft Corporation$37,459

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VGRVector Group Ltd.100.00%
MOAltria Group100.00%
AAPLApple Inc.57.11%
MSFTMicrosoft Corporation42.89%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year12.23%47.19%-49.21%18.04%34.52%-27.09%21.02%44.60%7.70%12.07%32.18%-4.52%
3 years14.27%32.77%-14.95%20.26%28.64%-1.31%20.98%26.34%17.54%13.00%20.22%8.72%
5 years16.95%23.16%2.47%21.60%27.00%9.74%21.70%25.04%19.61%13.23%15.62%8.34%
7 years13.52%19.90%4.09%19.98%25.49%12.55%20.95%22.02%19.27%12.93%13.59%12.53%
Result statistics are based on annualized rolling returns over full calendar year periods