PortfoliosLab logo

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.

Relative Performance

Relative Performance shows how an index, stock, or portfolio is performing relative to another index, stock, or portfolio.

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.

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.

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.

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.

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 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.

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 NameYTD Return10Y ReturnDiv. Yield10Y VolatilityMax. DrawdownSharpe Ratio
7Twelve Portfolio7.25%6.17%1.28%9.66%-22.46%2.89
Alpha Architect Robust Portfolio7.71%7.72%1.08%12.98%-28.81%2.86
Aronson Family Taxable Portfolio7.28%9.29%1.54%12.23%-25.12%3.04
Bill Bernstein Coward's Portfolio8.62%7.47%1.24%10.50%-21.52%2.77
Bill Bernstein No Brainer Portfolio8.08%9.51%1.72%13.41%-27.91%3.07
Bill Schultheis Coffee House Portfolio7.20%8.43%2.11%10.67%-24.01%2.63
Bob Clyatt Sandwich Portfolio5.74%7.40%1.21%9.13%-18.13%2.82
Bogleheads Four-fund Portfolio8.16%10.54%1.68%13.28%-28.24%3.00
Bogleheads Three-fund Portfolio8.13%9.94%1.75%13.84%-28.12%2.99
Cloud Computing Stocks Portfolio7.79%38.51%0.63%25.72%-29.48%2.34
Conservative Portfolio2.36%6.65%1.76%7.23%-15.68%2.66
David Swensen Lazy Portfolio7.85%8.26%1.83%11.96%-25.66%2.63
David Swensen Yale Endowment Portfolio6.13%9.40%1.85%11.27%-24.30%2.45
Dividend-Paying Stocks Portfolio4.24%11.06%2.61%15.05%-27.63%1.66
FAAMG Portfolio13.36%32.07%0.29%22.99%-27.28%2.39
FAANG Portfolio10.00%38.81%0.12%24.90%-30.93%2.12
FANG Plus Portfolio10.77%34.96%0.07%26.65%-34.13%3.32
FANG Portfolio12.07%40.61%0.00%26.81%-32.10%1.85
Frank Armstrong’s Ideal Index Portfolio9.04%7.22%1.45%12.30%-25.37%2.79
FundAdvice Ultimate Buy & Hold Portfolio6.74%6.46%1.84%10.32%-21.19%2.70
Golden Butterfly Portfolio4.12%8.26%0.87%7.75%-15.83%2.37
Gone Fishin’ Portfolio7.50%8.60%1.96%11.64%-26.04%2.96
Growth Portfolio8.10%10.00%1.64%13.88%-28.25%3.00
Gyroscopic Investing Desert Portfolio1.47%6.62%1.64%5.15%-8.85%2.17
Harry Browne Permanent Portfolio-1.57%6.57%0.87%6.47%-11.14%1.17
Income Portfolio-0.46%4.83%1.83%4.74%-10.79%2.24
Larry Swedroe Minimize FatTails Portfolio4.50%4.41%1.03%6.02%-13.45%2.92
Larry Swedroe Simple Portfolio9.38%7.74%1.41%11.05%-25.44%2.95
Mebane Faber Ivy Portfolio9.47%5.33%1.50%12.23%-27.66%2.68
Moderate Portfolio5.21%8.38%1.70%10.41%-21.72%2.85
Nasdaq-100 Portfolio9.15%20.72%0.40%19.94%-28.56%2.53
Paul Merriman Ultimate Portfolio13.45%8.88%1.88%17.78%-38.24%3.14
Pinwheel Portfolio7.52%8.04%1.59%10.67%-23.65%2.68
Ray Dalio All Weather Portfolio-0.88%8.16%1.16%7.04%-13.99%1.30
Ray Dalio All Weather Portfolio 2x Leveraged0.48%15.63%0.29%14.51%-24.71%1.07
Rick Ferri Core Four Portfolio8.44%10.06%1.86%13.74%-28.73%2.86
Roger Gibson Five Asset Portfolio10.00%6.24%1.74%11.68%-27.82%2.87
Roger Gibson Talmud Portfolio7.56%9.32%2.34%11.88%-26.60%2.15
S&P 500 Portfolio11.97%14.39%1.33%17.26%-33.72%2.81
Scott Burns Couch Portfolio5.54%9.04%1.24%8.59%-19.76%2.91
Scott Burns Margaritaville Portfolio6.54%7.94%1.51%11.39%-23.92%3.05
Second Grader's Starter Portfolio9.29%10.69%1.60%15.67%-31.07%3.04
Semiconductor Stocks Portfolio11.01%27.10%1.29%28.04%-35.76%2.42
Simple Path to Wealth Portfolio8.15%11.83%1.57%13.04%-26.82%2.84
Stocks/Bonds 20/80 Portfolio0.04%5.74%2.15%4.67%-10.51%1.96
Stocks/Bonds 40/60 Leveraged Portfolio-2.68%31.98%1.79%22.64%-32.14%1.35
Stocks/Bonds 40/60 Portfolio2.96%8.03%1.94%7.18%-15.64%2.47
Stocks/Bonds 60/40 Portfolio5.91%10.24%1.73%10.41%-21.85%2.70
Stocks/Bonds 80/20 Portfolio8.91%12.35%1.51%13.94%-28.47%2.89
Tech Stocks Dividend Portfolio17.79%17.27%1.99%21.08%-30.79%2.87
Tim Maurer Simple Money Portfolio7.47%7.06%1.29%10.33%-21.12%2.84
Total Stock Market Portfolio11.94%14.36%1.30%17.65%-35.00%3.06
Warren Buffett's 90/10 Portfolio10.74%13.23%1.42%15.58%-30.73%2.76