Methodology
Last updated: May 2026
PortfolioDB tracks passive, rules-based investment portfolios — mostly buy-and-hold strategies built from low-cost ETFs. This page explains exactly where our data comes from, how we calculate every number you see on the site, and what the limitations of that data are. We believe in showing our work.
1. Return Data
Where the numbers come from
Monthly return figures are sourced from well-regarded financial data platforms and research tools that specialize in portfolio backtesting and tactical strategy analysis. We cross-reference multiple sources to catch discrepancies before any data goes into our database.
Total returns, not price returns
All returns on PortfolioDB are total returns, meaning dividends are included and assumed to be reinvested. This is the most meaningful way to measure long-term performance. Price-only returns (which ignore dividends) can significantly understate what an investor actually earned.
How data is stored
We store one number per portfolio per month: the portfolio’s total return for that month, expressed as a percentage (e.g., +1.8 or -0.9). Every other number you see on the site — CAGR, current value, max drawdown, Sharpe ratio, and so on — is calculated automatically from this stream of monthly returns. Nothing is manually entered or adjusted after the fact.
Backtested vs. live data
Many portfolios on this site have histories that predate the ETFs used to implement them. In those cases, returns may use index data or simulated ETF equivalents for earlier periods, transitioning to actual ETF returns as funds became available. We note the start date for each portfolio. Backtested performance should be treated as illustrative, not a guarantee of future results.
2. Performance Metrics
All metrics are calculated from monthly return data. Here is what each one means and how it is derived.
CAGR — Compound Annual Growth Rate
CAGR is the annualized rate of return that would take a portfolio from its starting value to its ending value over a given period, assuming returns compound continuously. It is the single most useful summary of long-term performance. We calculate it by compounding each month’s return in sequence — starting from a $10,000 baseline — then converting the total growth into an annualized percentage.
Current Value
The hypothetical value of a $10,000 investment made at the start of the portfolio’s history, assuming all monthly returns are applied in sequence with no withdrawals or additional contributions. This is a useful way to compare growth across portfolios on an equal-dollar basis.
Max Drawdown
Max drawdown is the largest peak-to-trough decline in portfolio value over the full history, expressed as a percentage. It represents the worst-case loss an investor would have experienced if they bought at the highest point and sold at the lowest point (before a full recovery). We calculate it from the running portfolio value derived from monthly returns — not from daily prices, which would produce more severe figures. Max drawdown is the metric we weight most heavily when assigning a risk level.
Sharpe Ratio
The Sharpe ratio measures how much return a portfolio has generated per unit of risk (volatility). A higher Sharpe ratio means more return for the amount of risk taken. It is calculated by subtracting the risk-free rate from the portfolio’s return, then dividing by the standard deviation of monthly returns.
Risk-free rate used: 4.5% annually (0.375% per month), approximating the long-run yield on short-term U.S. Treasury bills.
Sortino Ratio
The Sortino ratio is similar to the Sharpe ratio, but it only penalizes for downside volatility — months where the portfolio lost money — rather than all volatility. This makes it a more useful measure for investors who don’t mind upside swings but do care about losses. A higher Sortino ratio is better. We use the same 4.5% annual risk-free rate as the Sharpe calculation.
Best Year / Worst Year
The calendar year with the highest and lowest total return, respectively, over the full history of the portfolio. These are calculated by grouping monthly returns into calendar years and compounding within each year. They give a quick sense of the range of outcomes an investor might have experienced.
3. Risk Rating (1–5)
Every portfolio is assigned a risk level from 1 (most conservative) to 5 (most aggressive). The rating is based on two factors from the portfolio’s full history: max drawdown and worst calendar year return. Both must qualify for a given level.
| Risk Level | Max Drawdown | Worst Year |
|---|---|---|
| 1 — Very Low | Below 12% | Better than −5% |
| 2 — Low | 12%–22% | −5% to −15% |
| 3 — Moderate | 22%–35% | −15% to −25% |
| 4 — High | 35%–50% | −25% to −35% |
| 5 — Very High | Above 50% | Worse than −35% |
Both conditions must be met to qualify for a level. Risk ratings are backward-looking — they reflect historical behavior, not a prediction of future risk.
4. Minimum Suggested Timeline
Each portfolio is assigned a minimum suggested holding period based on its historical max drawdown. The idea is simple: if a portfolio has declined significantly in the past, an investor needs enough time to recover from a similar event in the future. These are guidelines, not guarantees.
| Max Drawdown | Minimum Timeline |
|---|---|
| Below 15% | 3 years |
| 15%–25% | 5 years |
| 25%–40% | 7 years |
| Above 40% | 10 years |
5. Important Limitations
- Past performance is not a guarantee of future results. All statistics on this site are backward-looking. A portfolio that has done well historically may underperform — or lose money — going forward.
- No taxes or fees. All returns are shown gross — before taxes and before transaction costs. Your actual after-tax, after-fee returns will be lower. The size of that difference depends on the account type (taxable vs. tax-advantaged), your tax bracket, and the expense ratios of the specific funds used.
- No inflation adjustment. Returns are shown in nominal terms. A 7% return during a period of 4% inflation is a real gain of roughly 3%. We may add inflation-adjusted views in the future.
- Monthly, not daily. All calculations use end-of-month returns. Intra-month volatility is not captured. Max drawdown figures calculated from daily prices would typically be more severe than what we show.
- This is not financial advice. PortfolioDB is an informational and educational resource. Nothing on this site constitutes investment advice. Please consult a qualified financial advisor before making investment decisions.
6. Data Updates
Portfolio returns are updated once per month, typically within the first week after each calendar month closes. All statistics recalculate automatically when new return data is added — no manual adjustment required. The “Last Updated” date shown on each portfolio page reflects when the most recent monthly return was entered.
Questions or corrections?
If you spot something that looks wrong, or if you have a question about how a specific number is calculated, reach out via the contact page. We take data accuracy seriously and will investigate any reported discrepancies.