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.

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.

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.

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 Name	YTD Return	10Y Return	Div. Yield	10Y Volatility	Max. Drawdown	Sharpe Ratio	Expense Ratio
7Twelve Portfolio	10.01%	6.29%	1.36%	10.39%	-22.46%	1.56	0.15%
Alpha Architect Robust Portfolio	11.66%	8.00%	1.12%	12.94%	-28.81%	2.46	0.40%
Aronson Family Taxable Portfolio	9.12%	9.33%	1.79%	12.21%	-25.12%	2.41	0.19%
Bill Bernstein Coward's Portfolio	9.99%	7.56%	1.18%	10.48%	-21.52%	2.50	0.15%
Bill Bernstein No Brainer Portfolio	10.44%	9.69%	1.79%	13.37%	-27.91%	2.41	0.04%
Bill Schultheis Coffee House Portfolio	10.17%	8.58%	2.05%	10.66%	-24.01%	2.46	0.05%
Bob Clyatt Sandwich Portfolio	7.70%	7.41%	1.19%	9.12%	-18.13%	2.38	0.17%
Bogleheads Four-fund Portfolio	11.74%	10.61%	1.74%	13.18%	-28.24%	2.46	0.04%
Bogleheads Three-fund Portfolio	11.74%	10.23%	1.80%	13.79%	-28.12%	2.45	0.04%
Cloud Computing Stocks Portfolio	20.00%	38.95%	0.59%	25.36%	-29.48%	1.74	0.00%
Conservative Portfolio	4.84%	6.73%	1.72%	7.21%	-15.68%	2.06	0.08%
David Swensen Lazy Portfolio	12.56%	8.52%	1.97%	11.91%	-25.66%	2.59	0.11%
David Swensen Yale Endowment Portfolio	11.89%	9.72%	2.01%	11.23%	-24.30%	2.40	0.13%
Dividend-Paying Stocks Portfolio	8.28%	11.30%	2.62%	15.04%	-27.63%	1.37	0.00%
FAAMG Portfolio	29.34%	32.89%	0.26%	22.83%	-27.28%	2.13	0.00%
FAANG Portfolio	21.62%	38.99%	0.11%	24.70%	-30.93%	1.72	0.00%
FANG Plus Portfolio	13.92%	33.92%	0.06%	26.39%	-34.13%	2.00	0.00%
FANG Portfolio	23.77%	40.72%	0.00%	26.58%	-32.10%	1.55	0.00%
Frank Armstrong’s Ideal Index Portfolio	10.48%	7.33%	1.48%	12.26%	-25.37%	2.40	0.13%
FundAdvice Ultimate Buy & Hold Portfolio	8.43%	6.53%	2.02%	10.29%	-21.19%	2.31	0.14%
Golden Butterfly Portfolio	6.38%	8.21%	0.79%	7.78%	-15.83%	1.79	0.20%
Gone Fishin’ Portfolio	9.30%	8.53%	2.10%	11.81%	-26.04%	1.97	0.13%
Growth Portfolio	11.68%	10.29%	1.69%	13.82%	-28.25%	2.45	0.05%
Gyroscopic Investing Desert Portfolio	4.02%	6.54%	1.53%	6.78%	-10.21%	0.66	0.06%
Harry Browne Permanent Portfolio	1.76%	6.57%	0.77%	6.48%	-11.14%	0.70	0.18%
Income Portfolio	1.49%	4.82%	1.74%	4.73%	-10.79%	1.46	0.09%
Larry Swedroe Minimize FatTails Portfolio	5.46%	4.39%	1.45%	6.03%	-13.45%	2.40	0.17%
Larry Swedroe Simple Portfolio	10.86%	7.79%	2.04%	11.05%	-25.44%	2.52	0.20%
Mebane Faber Ivy Portfolio	15.88%	5.85%	1.48%	12.15%	-27.66%	2.85	0.23%
Moderate Portfolio	8.23%	8.56%	1.71%	10.37%	-21.72%	2.30	0.06%
Nasdaq-100 Portfolio	17.64%	21.22%	0.37%	19.91%	-28.56%	1.98	0.20%
Paul Merriman Ultimate Portfolio	15.29%	9.07%	2.07%	17.72%	-38.24%	2.56	0.18%
Pinwheel Portfolio	10.35%	8.11%	1.60%	11.56%	-23.65%	1.43	0.09%
Ray Dalio All Weather Portfolio	4.70%	8.42%	1.07%	7.04%	-13.99%	1.14	0.19%
Ray Dalio All Weather Portfolio 2x Leveraged	10.64%	15.99%	0.28%	14.52%	-24.71%	0.97	0.94%
Rick Ferri Core Four Portfolio	12.81%	10.37%	1.87%	13.69%	-28.73%	2.52	0.04%
Roger Gibson Five Asset Portfolio	16.23%	6.75%	1.71%	11.60%	-27.82%	2.96	0.23%
Roger Gibson Talmud Portfolio	14.01%	9.62%	2.15%	11.86%	-26.60%	2.46	0.06%
S&P 500 Portfolio	18.44%	14.95%	1.27%	17.22%	-33.72%	2.56	0.09%
Scott Burns Couch Portfolio	10.42%	9.30%	1.86%	8.59%	-19.76%	2.70	0.11%
Scott Burns Margaritaville Portfolio	10.05%	8.18%	2.06%	11.35%	-23.92%	2.48	0.10%
Second Grader's Starter Portfolio	12.97%	11.04%	1.66%	15.61%	-31.07%	2.46	0.05%
Semiconductor Stocks Portfolio	15.02%	28.35%	1.31%	28.00%	-35.76%	1.75	0.00%
Simple Path to Wealth Portfolio	12.83%	12.19%	1.47%	13.01%	-26.82%	2.50	0.03%
Stocks/Bonds 20/80 Portfolio	2.67%	5.79%	2.01%	4.68%	-10.51%	1.53	0.04%
Stocks/Bonds 40/60 Leveraged Portfolio	13.01%	32.97%	1.55%	22.73%	-32.14%	1.01	0.66%
Stocks/Bonds 40/60 Portfolio	6.31%	8.19%	1.81%	7.18%	-15.64%	2.14	0.04%
Stocks/Bonds 60/40 Portfolio	10.01%	10.51%	1.62%	10.40%	-21.85%	2.38	0.03%
Stocks/Bonds 80/20 Portfolio	13.78%	12.74%	1.43%	13.91%	-28.47%	2.54	0.03%
Tech Stocks Dividend Portfolio	18.41%	17.24%	2.13%	21.07%	-30.79%	2.18	0.00%
Tim Maurer Simple Money Portfolio	7.99%	7.01%	1.38%	10.31%	-21.12%	2.26	0.23%
Total Stock Market Portfolio	17.61%	14.87%	1.23%	17.61%	-35.00%	2.66	0.03%
Warren Buffett's 90/10 Portfolio	16.53%	13.72%	1.32%	15.55%	-30.73%	2.53	0.03%