Welcome to PortfoliosLab

Here you can find powerful investment research and analysis tools

Performance Analysis

Portfolio Analysis

This portfolio analysis tool allows you to backtest portfolio returns, drawdowns, various risk characteristics, and compare them to a benchmark.

Portfolio Performance

Portfolio Performance is a tool that helps you visualize a portfolio's gains or losses over a given period and easily compare them to a selected benchmark.

Stock Comparison

Stock comparison is a tool that allows you to compare key performance indicators of stocks or funds, such as profitability and riskiness.

Sharpe Ratio

Sharpe Ratio is a performance indicator that shows the investment portfolio's efficacy relative to its risk. It helps investors understand whether a higher portfolio's return is due to a higher risk or a result of a better investment decision.

Treynor Ratio

Treynor Ratio is a performance indicator that estimates the volatility-adjusted efficacy of investment. It is similar to the Sharpe ratio but uses beta as a risk measure.

Sortino Ratio

Sortino Ratio is an indicator that measures a portfolio's risk-adjusted performance. It is similar to the Sharpe ratio but uses downside deviation as a measure of risk.

Omega Ratio

The Omega ratio is a performance measure used in finance to evaluate the risk-adjusted returns of an investment. It is similar to other measures such as the Sharpe ratio, but it places more emphasis on the tail end of the distribution of returns.

Calmar Ratio

Calmar Ratio is a metric that measures the risk-adjusted performance of a portfolio. It is similar to the Sharpe ratio but uses the maximum drawdown as a measure of risk.

Summers Ratio

The Summers Total Risk-Adjusted Performance Measure is a modified version of the Omega ratio that is scaled by the expected downside return of the market. This measure aims to provide a comprehensive and user-friendly way to evaluate the performance of an investment relative to the market.

Risk Analysis

Drawdowns

Drawdown is a risk measure that shows how deep an asset or portfolio has fallen from its maximum and how long it has taken to recover.

Expected Shortfall

Expected Shortfall is a risk measure that shows the amount of loss if the loss exceeds VaR. Expected Shortfall is known by other names, such as tail VaR, CVaR, and tail loss.

Ulcer Index

Ulcer Index is a risk measure that shows the average magnitude of drawdowns in a portfolio.

Value at Risk

Value at Risk (VaR) is a risk measure that measures the loss in a portfolio over a pre-specified time horizon, assuming some level of probability.

Close-to-Close Volatility

Close-to-Close volatility is a classic and most commonly used volatility measure, sometimes referred to as historical volatility.

Parkinson Volatility

Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day.

Garman Klass Volatility

Garman Klass is a volatility estimator that incorporates open, low, high, and close prices of a security.

Rogers-Satchell Volatility

Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero.

Yang Zhang Volatility

Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error.

Optimization

Asset Correlations

Asset correlation is a measure that shows how the prices of two securities move in relation to each other.

Portfolio Optimization

Portfolio Optimization is a tool that helps you find the best asset allocation according to your objectives.

Risk Parity Optimization

Risk parity portfolio optimization is a portfolio construction strategy that aims to allocate capital across various asset classes to equalize each asset class's contribution to the portfolio's overall risk.

Factor Model

Alpha

Alpha is a measure indicating how well a stock or portfolio has performed in comparison to the broad market or a benchmark index.

Beta

Beta is a popular risk measure of a security or portfolio used in the capital asset pricing model (CAPM). It shows how asset price moves in comparison to its reference market.

Lazy Portfolios

Portfolio Name	YTD Return	10Y Return	Div. Yield	10Y Volatility	Max. Drawdown	Expense Ratio	Sharpe Ratio	Sortino ratio	Omega ratio	Calmar ratio	Ulcer Index
7Twelve Portfolio	3.02%	4.50%	2.49%	9.83%	-22.46%	0.14%	0.92	1.5	1.2	1.7	2.7%
Alpha Architect Robust Portfolio	3.42%	5.43%	2.07%	12.83%	-48.58%	0.40%	0.86	1.4	1.2	1.6	3.1%
Aronson Family Taxable Portfolio	2.95%	5.71%	2.49%	12.24%	-42.95%	0.19%	0.75	1.0	1.1	1.3	3.4%
Bill Bernstein Coward's Portfolio	2.77%	5.30%	2.46%	10.12%	-37.25%	0.15%	0.92	1.5	1.2	1.6	2.6%
Bill Bernstein No Brainer Portfolio	5.19%	6.47%	2.49%	13.26%	-27.91%	0.04%	1.01	1.6	1.2	1.9	3.1%
Bill Schultheis Coffee House Portfolio	1.28%	5.52%	2.89%	10.73%	-24.01%	0.05%	0.72	1.1	1.1	1.2	3.3%
Bob Clyatt Sandwich Portfolio	2.75%	4.72%	2.22%	9.05%	-32.62%	0.17%	0.88	1.4	1.2	1.6	2.4%
Bogleheads Four-fund Portfolio	7.63%	7.19%	2.30%	13.65%	-28.24%	0.04%	1.17	1.7	1.2	2.5	2.6%
Bogleheads Three-fund Portfolio	7.46%	7.15%	2.36%	13.67%	-47.74%	0.04%	1.15	1.7	1.2	2.5	2.6%
Cloud Computing Stocks Portfolio	36.16%	24.50%	0.60%	26.64%	-44.98%	0.00%	1.48	2.2	1.3	3.2	5.2%
Conservative Portfolio	2.65%	3.89%	2.33%	7.70%	-22.18%	0.07%	0.87	1.2	1.1	1.5	2.2%
Crypto Portfolio	22.91%	48.65%	1.56%	36.33%	-54.86%	0.02%	0.50	0.7	1.1	0.8	4.9%
David Swensen Lazy Portfolio	3.18%	5.73%	2.80%	11.76%	-25.66%	0.11%	0.75	1.2	1.1	1.4	3.0%
David Swensen Yale Endowment Portfolio	1.47%	5.82%	2.93%	11.59%	-43.81%	0.13%	0.54	0.8	1.1	0.9	3.6%
Dividend Income Portfolio	-2.56%	6.28%	5.10%	14.11%	-59.63%	0.38%	0.28	0.4	1.0	0.4	5.8%
Dividend-Paying Stocks Portfolio	-3.81%	7.87%	3.22%	15.02%	-35.64%	0.00%	0.80	1.3	1.1	0.9	5.6%
FAAMG Portfolio	59.39%	24.42%	0.28%	25.75%	-46.78%	0.00%	1.29	2.0	1.2	1.9	7.1%
FAANG Portfolio	58.67%	25.25%	0.11%	27.30%	-48.98%	0.00%	1.55	2.3	1.3	2.5	6.7%
FANG Plus Portfolio	55.53%	25.82%	0.57%	27.08%	-48.47%	0.00%	1.61	2.4	1.3	2.8	5.8%
FANG Portfolio	65.99%	23.96%	0.00%	29.11%	-55.92%	0.00%	1.73	2.4	1.3	2.7	7.4%
Frank Armstrong’s Ideal Index Portfolio	2.33%	5.00%	2.72%	11.68%	-44.57%	0.12%	0.92	1.4	1.2	1.6	3.0%
FundAdvice Ultimate Buy & Hold Portfolio	2.44%	4.26%	2.82%	9.94%	-21.19%	0.14%	1.04	1.6	1.2	1.8	2.5%
Golden Butterfly Portfolio	0.99%	5.38%	1.89%	8.21%	-20.32%	0.20%	0.59	0.8	1.1	0.8	3.0%
Gone Fishin’ Portfolio	3.50%	5.30%	3.05%	12.04%	-26.03%	0.12%	0.97	1.5	1.2	1.8	3.0%
Growth Portfolio	7.39%	7.14%	2.21%	13.72%	-28.25%	0.05%	1.14	1.7	1.2	2.4	2.7%
Gyroscopic Investing Desert Portfolio	3.28%	4.43%	1.99%	5.79%	-16.15%	0.06%	0.89	1.3	1.1	1.7	1.7%
Harry Browne Permanent Portfolio	1.64%	4.33%	1.94%	6.95%	-19.44%	0.18%	0.57	0.8	1.1	0.9	2.3%
Income Portfolio	0.31%	2.16%	2.39%	5.62%	-21.20%	0.08%	0.57	0.8	1.1	0.9	2.1%
Larry Swedroe Minimize FatTails Portfolio	0.19%	2.72%	2.49%	6.04%	-21.61%	0.17%	0.51	0.6	1.1	0.8	2.3%
Larry Swedroe Simple Portfolio	1.12%	5.10%	2.45%	10.91%	-39.91%	0.20%	0.80	1.0	1.1	1.3	3.3%
MATANA Portfolio	71.39%	36.08%	0.24%	28.65%	-46.26%	0.00%	1.44	2.1	1.2	2.3	6.2%
Mebane Faber Ivy Portfolio	3.19%	4.33%	2.46%	12.06%	-48.90%	0.22%	0.75	1.2	1.1	1.3	3.2%
Moderate Portfolio	5.01%	5.55%	2.27%	10.54%	-23.53%	0.06%	1.04	1.5	1.2	2.0	2.4%
Nasdaq-100 Portfolio	33.92%	17.27%	0.61%	21.45%	-82.98%	0.20%	1.32	2.0	1.2	2.7	3.9%
Paul Merriman Ultimate Portfolio	2.84%	5.98%	3.12%	16.96%	-38.24%	0.16%	0.90	1.4	1.2	1.5	4.3%
Pinwheel Portfolio	2.55%	5.14%	2.26%	11.09%	-23.65%	0.09%	0.86	1.2	1.1	1.5	3.1%
PortfoliosLab Trends Portfolio	34.08%	23.83%	1.47%	21.48%	-34.88%	0.03%	1.29	2.0	1.2	2.6	4.0%
Ray Dalio All Weather Portfolio	-0.27%	4.57%	2.37%	8.18%	-24.28%	0.19%	0.14	0.1	1.0	0.2	3.0%
Ray Dalio All Weather Portfolio 2x Leveraged	-4.94%	7.51%	2.08%	16.74%	-41.12%	0.94%	-0.03	-0.1	1.0	-0.0	6.4%
Rick Ferri Core Four Portfolio	6.31%	7.15%	2.51%	13.61%	-48.48%	0.04%	1.02	1.6	1.2	2.1	2.9%
Roger Gibson Five Asset Portfolio	2.66%	4.85%	2.55%	11.92%	-27.82%	0.22%	0.72	1.2	1.1	1.3	3.2%
Roger Gibson Talmud Portfolio	1.30%	6.13%	3.13%	12.12%	-44.88%	0.06%	0.41	0.7	1.1	0.7	3.9%
S&P 500 Portfolio	12.64%	11.73%	1.53%	17.50%	-55.19%	0.09%	1.09	1.6	1.2	2.5	2.9%
Scott Burns Couch Portfolio	5.46%	6.56%	2.02%	9.23%	-31.99%	0.11%	0.83	1.1	1.1	1.7	2.1%
Scott Burns Margaritaville Portfolio	5.31%	5.64%	2.38%	11.31%	-23.92%	0.10%	1.05	1.5	1.2	2.1	2.3%
Second Grader's Starter Portfolio	8.56%	7.98%	2.20%	15.39%	-52.66%	0.04%	1.12	1.6	1.2	2.4	2.9%
Semiconductor Stocks Portfolio	36.06%	27.62%	1.69%	30.28%	-43.28%	0.00%	1.38	2.1	1.2	3.5	5.4%
Simple Path to Wealth Portfolio	8.66%	8.81%	1.94%	13.42%	-43.49%	0.03%	0.98	1.4	1.2	2.0	2.7%
Stocks/Bonds 20/80 Portfolio	1.47%	3.22%	2.75%	5.59%	-18.52%	0.03%	0.54	0.7	1.1	0.9	1.8%
Stocks/Bonds 40/60 Leveraged Portfolio	-2.08%	11.37%	2.59%	21.76%	-55.26%	0.65%	-0.09	-0.0	1.0	-0.1	8.0%
Stocks/Bonds 40/60 Portfolio	4.07%	5.32%	2.46%	7.87%	-23.14%	0.03%	0.80	1.1	1.1	1.5	2.1%
Stocks/Bonds 60/40 Portfolio	6.68%	7.34%	2.16%	10.91%	-35.22%	0.03%	0.93	1.4	1.2	1.9	2.4%
Stocks/Bonds 80/20 Portfolio	9.32%	9.28%	1.87%	14.28%	-46.06%	0.03%	0.99	1.5	1.2	2.1	2.8%
Tech Stocks Dividend Portfolio	14.17%	15.52%	2.69%	21.49%	-77.75%	0.00%	1.00	1.5	1.2	2.2	3.7%
Tim Maurer Simple Money Portfolio	2.57%	4.28%	2.26%	10.06%	-36.29%	0.23%	1.03	1.5	1.2	1.8	2.6%
Total Stock Market Portfolio	11.97%	11.14%	1.58%	17.86%	-55.45%	0.03%	1.02	1.5	1.2	2.2	3.2%
Warren Buffett's 90/10 Portfolio	11.56%	10.79%	1.98%	15.82%	-30.73%	0.03%	1.12	1.8	1.2	2.6	2.7%