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. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level 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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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2014 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QYLD Global X NASDAQ 100 Covered Call ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 80.00%
EDV Vanguard Extended Duration Trs ETF 20.00%
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Portfolio 3
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 45.00%
EDV Vanguard Extended Duration Trs ETF 10.00%
VPU Vanguard Utilities ETF 5.00%
VIG Vanguard Dividend Appreciation ETF 10.00%
VYM Vanguard High Dividend Yield ETF 10.00%
VCLT Vanguard Long-Term Corporate Bd ETF 10.00%
VNQ Vanguard Real Estate ETF 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,412 9.04% 10.61%22.67%-3.05%-17.18% 0.801.140.86
Portfolio 2$10,000$26,732 13.68% 10.61%28.27%-4.85%-12.64% 1.192.040.95
Portfolio 3$10,000$24,659 12.49% 10.45%27.56%-4.57%-15.40% 1.111.800.93
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 16.48%9.05%16.90%8.18%11.75%9.04%13.96%11.27%
Portfolio 27.74%15.14%23.93%16.75%15.19%13.68%14.02%11.48%
Portfolio 36.66%15.51%24.57%15.12%13.36%12.49%13.82%11.29%
Trailing annualized return and volatility are for full months ending in August 2021 excluding portfolio cashflows.
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 2021 are based on monthly returns from January to August
  • 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Global X NASDAQ 100 Covered Call ETF (QYLD)Vanguard Total Stock Market ETF (VTI)Vanguard Extended Duration Trs ETF (EDV)Vanguard Utilities ETF (VPU)Vanguard Dividend Appreciation ETF (VIG)Vanguard High Dividend Yield ETF (VYM)Vanguard Long-Term Corporate Bd ETF (VCLT)Vanguard Real Estate ETF (VNQ)
ReturnBalanceReturnBalanceReturnBalance
20140.76%4.25%$10,42518.97%$11,89718.50%$11,8504.25%12.54%44.66%26.99%10.08%13.52%16.40%30.36%
20150.73%7.17%$11,172-0.68%$11,816-0.97%$11,7357.17%0.36%-4.84%-4.82%-1.95%0.28%-4.77%2.42%
20162.07%4.76%$11,70410.59%$13,06711.66%$13,1034.76%12.83%1.65%17.60%11.97%17.05%10.78%8.60%
20172.11%18.79%$13,90319.76%$15,64917.09%$15,34218.79%21.21%13.96%12.46%22.22%16.42%11.70%4.91%
20181.91%-3.05%$13,478-4.85%$14,891-4.57%$14,641-3.05%-5.21%-3.39%4.37%-2.08%-5.91%-7.03%-6.02%
20192.29%22.67%$16,53428.27%$19,10127.56%$18,67622.67%30.67%18.68%24.87%29.62%24.07%23.89%28.87%
20201.36%7.66%$17,80121.55%$23,21614.30%$21,3477.66%21.03%23.62%-0.76%15.40%1.14%13.28%-4.68%
20215.03%9.05%$19,41215.14%$26,73215.51%$24,6599.05%20.56%-6.51%10.52%15.95%19.16%-0.73%29.50%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Global X NASDAQ 100 Covered Call ETF (QYLD)Vanguard Total Stock Market ETF (VTI)Vanguard Extended Duration Trs ETF (EDV)Vanguard Utilities ETF (VPU)Vanguard Dividend Appreciation ETF (VIG)Vanguard High Dividend Yield ETF (VYM)Vanguard Long-Term Corporate Bd ETF (VCLT)Vanguard Real Estate ETF (VNQ)
ReturnBalanceReturnBalanceReturnBalance
20141-0.61%$9,939-0.59%$9,941-0.43%$9,957-0.61%-3.17%9.71%2.75%-5.01%-4.00%3.65%4.28%
201423.44%$10,2813.87%$10,3253.83%$10,3393.44%4.87%0.35%3.32%4.90%3.61%1.38%5.07%
20143-1.61%$10,1150.81%$10,4091.05%$10,447-1.61%0.51%1.91%3.23%0.79%2.48%0.84%0.49%
20144-0.74%$10,0400.68%$10,4801.45%$10,598-0.74%0.06%2.94%3.75%1.01%2.11%2.59%3.29%
201452.33%$10,2742.54%$10,7462.08%$10,8182.33%2.10%4.10%-0.73%1.61%1.58%1.86%2.40%
201461.21%$10,3981.98%$10,9591.82%$11,0151.21%2.62%-0.25%4.55%1.49%2.02%0.08%1.13%
201470.07%$10,405-1.23%$10,824-1.54%$10,8450.07%-1.99%1.48%-6.95%-3.31%-1.67%0.10%0.08%
201482.26%$10,6404.79%$11,3424.22%$11,3032.26%4.15%6.97%5.15%3.65%3.76%3.25%3.04%
20149-1.21%$10,511-2.30%$11,081-2.55%$11,015-1.21%-2.10%-2.97%-2.65%-1.00%-1.16%-2.96%-6.04%
201410-2.00%$10,3013.08%$11,4223.86%$11,440-2.00%2.75%4.19%8.37%2.65%2.47%2.29%9.94%
201411-0.19%$10,2812.91%$11,7542.49%$11,725-0.19%2.48%4.34%0.81%3.22%3.03%0.60%2.00%
2014121.40%$10,4251.22%$11,8971.06%$11,8501.40%-0.04%5.33%3.43%0.11%-1.14%1.78%1.88%
20151-1.83%$10,2340.66%$11,9750.93%$11,959-1.83%-2.74%14.25%2.18%-3.38%-2.88%5.64%6.85%
201522.25%$10,4642.37%$12,2591.44%$12,1322.25%5.74%-9.12%-5.94%5.59%4.90%-3.19%-3.67%
20153-0.29%$10,433-0.63%$12,182-0.62%$12,056-0.29%-1.16%1.45%-0.69%-2.27%-1.83%0.19%1.74%
201541.03%$10,541-0.67%$12,101-1.00%$11,9361.03%0.62%-5.62%-0.64%-0.21%1.70%-2.04%-5.85%
201551.02%$10,6480.33%$12,1410.07%$11,9451.02%1.30%-3.64%0.37%0.96%0.37%-2.85%-0.30%
20156-1.16%$10,525-2.50%$11,837-2.97%$11,590-1.16%-1.67%-6.07%-6.07%-2.54%-2.65%-3.68%-4.68%
201573.27%$10,8692.67%$12,1532.84%$11,9183.27%1.70%7.04%5.47%2.16%1.05%2.77%5.77%
20158-6.79%$10,131-5.09%$11,534-5.04%$11,318-6.79%-6.09%-0.79%-3.60%-5.87%-5.66%-2.12%-6.29%
201592.03%$10,337-1.91%$11,314-0.89%$11,2172.03%-2.92%2.23%2.71%-1.84%-1.56%1.41%3.05%
2015107.10%$11,0716.20%$12,0165.77%$11,8657.10%7.91%-0.41%1.95%6.74%8.41%0.96%5.76%
2015110.68%$11,1460.21%$12,041-0.00%$11,8640.68%0.60%-1.43%-2.13%0.27%0.22%-0.26%-0.63%
2015120.23%$11,172-1.87%$11,816-1.09%$11,7350.23%-2.13%-0.77%2.16%-0.87%-1.05%-1.28%1.82%
20161-6.41%$10,456-2.89%$11,474-2.39%$11,454-6.41%-5.72%8.43%4.69%-2.29%-2.82%-0.40%-3.44%
201622.20%$10,6860.90%$11,5770.78%$11,5442.20%-0.01%4.07%1.78%1.13%0.51%1.04%-0.36%
201632.69%$10,9745.43%$12,2066.46%$12,2892.69%7.11%-0.19%8.17%6.28%6.64%6.39%10.48%
20164-2.91%$10,6540.27%$12,2400.10%$12,301-2.91%0.66%-1.10%-1.95%-0.33%0.72%2.32%-2.35%
201651.70%$10,8351.58%$12,4331.38%$12,4701.70%1.73%1.02%1.63%0.95%1.39%-0.33%2.25%
201660.71%$10,9122.30%$12,7183.20%$12,8690.71%0.27%9.72%7.67%2.37%2.18%4.74%6.92%
201671.50%$11,0763.83%$13,2063.18%$13,2781.50%3.98%3.35%-0.89%2.29%2.35%2.55%4.26%
201680.58%$11,140-0.18%$13,183-0.78%$13,1750.58%0.21%-1.47%-5.43%0.01%-0.30%0.16%-3.76%
201692.05%$11,368-0.37%$13,134-0.51%$13,1082.05%0.21%-2.34%0.51%-0.97%-0.40%-0.45%-1.82%
2016100.65%$11,441-3.07%$12,731-2.74%$12,7490.65%-2.19%-6.18%0.90%-1.93%-1.28%-2.49%-5.74%
2016111.45%$11,6071.07%$12,8670.55%$12,8191.45%4.49%-11.49%-4.54%2.98%4.23%-4.89%-1.68%
2016120.83%$11,7041.55%$13,0672.22%$13,1030.83%1.98%-0.31%4.81%1.17%2.97%2.15%4.82%
201713.03%$12,0581.73%$13,2941.19%$13,2593.03%1.86%1.25%1.17%1.76%-0.04%0.15%-0.19%
201721.18%$12,2003.35%$13,7393.43%$13,7141.18%3.69%1.95%4.95%4.33%3.58%1.82%3.51%
201731.32%$12,361-0.15%$13,719-0.41%$13,6571.32%0.06%-0.97%-0.06%-0.07%-0.30%-0.65%-2.42%
201741.53%$12,5501.22%$13,8851.01%$13,7941.53%1.06%1.84%0.67%1.72%-0.08%1.19%0.24%
201751.77%$12,7721.44%$14,0851.35%$13,9801.77%1.01%3.20%4.00%1.57%0.36%2.47%-0.72%
201760.46%$12,8321.01%$14,2280.90%$14,1060.46%0.95%1.26%-2.37%0.28%1.13%1.15%2.23%
201771.43%$13,0151.25%$14,4061.29%$14,2871.43%1.88%-1.26%2.65%0.73%1.61%0.78%1.24%
201781.33%$13,1881.07%$14,5600.73%$14,3921.33%0.15%4.89%2.90%-0.36%-0.18%1.16%-0.26%
201790.52%$13,2561.27%$14,7451.16%$14,5590.52%2.44%-3.35%-2.44%2.38%3.02%0.01%-0.11%
2017102.56%$13,5951.77%$15,0061.56%$14,7862.56%2.17%0.09%3.91%2.10%1.74%0.71%-1.07%
2017110.70%$13,6912.71%$15,4132.70%$15,1860.70%3.03%1.35%2.89%4.48%3.07%0.17%2.66%
2017121.55%$13,9031.53%$15,6491.03%$15,3421.55%1.16%3.16%-5.90%1.44%1.49%2.20%-0.14%
201812.35%$14,2303.33%$16,1712.15%$15,6722.35%5.23%-4.27%-3.13%5.02%4.11%-1.10%-4.25%
201821.21%$14,402-3.86%$15,547-4.32%$14,9941.21%-3.76%-4.29%-4.11%-4.03%-4.72%-3.81%-7.68%
20183-3.49%$13,899-0.83%$15,417-0.25%$14,957-3.49%-1.95%4.12%4.02%-1.35%-2.17%0.94%3.88%
201841.67%$14,131-0.17%$15,390-0.19%$14,9281.67%0.45%-2.77%2.47%-0.93%0.13%-2.47%0.82%
201853.45%$14,6192.65%$15,7982.20%$15,2573.45%2.72%2.33%-0.31%1.77%1.60%0.51%3.68%
20186-1.36%$14,4200.83%$15,9280.88%$15,391-1.36%0.70%1.35%2.42%0.30%-0.29%-1.11%4.20%
201872.78%$14,8202.27%$16,2902.54%$15,7822.78%3.32%-2.21%1.67%4.68%4.09%2.17%0.60%
201883.46%$15,3333.11%$16,7972.43%$16,1653.46%3.43%1.65%1.15%2.80%1.11%-0.32%2.58%
201890.72%$15,443-0.57%$16,701-0.37%$16,1050.72%0.20%-4.10%-0.38%1.68%0.40%-0.27%-2.64%
201810-5.40%$14,610-6.93%$15,544-5.56%$15,210-5.40%-7.41%-4.61%1.17%-6.36%-4.40%-3.58%-2.93%
2018110.18%$14,6362.04%$15,8622.51%$15,5910.18%2.01%2.18%3.92%4.14%3.56%-0.82%4.67%
201812-7.91%$13,478-6.12%$14,891-6.09%$14,641-7.91%-9.16%8.08%-4.15%-8.73%-8.64%2.83%-7.96%
201914.60%$14,0996.87%$15,9136.88%$15,6484.60%8.54%0.18%3.72%6.32%6.10%4.03%11.85%
201922.38%$14,4352.56%$16,3212.51%$16,0402.38%3.56%-1.77%3.88%4.58%3.77%-0.48%0.70%
201932.21%$14,7532.51%$16,7302.50%$16,4402.21%1.42%7.50%2.83%1.14%0.53%4.52%4.21%
201941.67%$15,0002.62%$17,1692.21%$16,8031.67%3.93%-3.00%0.86%3.72%2.84%0.18%-0.16%
20195-4.39%$14,341-3.57%$16,556-3.03%$16,295-4.39%-6.45%9.74%-0.87%-4.63%-6.31%2.38%0.14%
201966.06%$15,2115.80%$17,5165.30%$17,1596.06%7.08%0.75%3.33%6.63%6.65%4.30%1.54%
201972.46%$15,5851.23%$17,7311.23%$17,3702.46%1.41%0.44%-0.21%2.23%0.72%0.86%1.70%
20198-1.26%$15,3881.28%$17,9571.57%$17,642-1.26%-2.08%15.47%4.83%0.59%-2.10%5.69%3.75%
201990.51%$15,4660.63%$18,0691.20%$17,8550.51%1.78%-3.50%4.08%1.45%3.90%-1.08%1.93%
2019103.14%$15,9511.25%$18,2950.93%$18,0213.14%2.11%-1.99%-0.86%0.03%1.05%0.28%1.13%
2019111.97%$16,2663.00%$18,8452.02%$18,3861.97%3.79%-0.08%-1.98%2.45%2.34%1.02%-1.30%
2019121.65%$16,5341.36%$19,1011.58%$18,6761.65%2.80%-4.56%3.11%2.22%2.97%0.18%0.76%
202010.41%$16,6022.01%$19,4851.62%$18,9790.41%-0.06%10.32%6.10%0.57%-2.51%3.84%1.23%
20202-8.07%$15,261-4.49%$18,611-5.48%$17,938-8.07%-8.00%8.24%-9.99%-8.34%-9.70%1.36%-7.03%
20203-9.91%$13,749-8.53%$17,023-10.49%$16,056-9.91%-13.91%8.03%-10.09%-9.62%-13.64%-8.42%-19.42%
202045.21%$14,46510.01%$18,7279.24%$17,5395.21%13.13%2.35%3.23%9.88%10.26%5.60%8.96%
202053.97%$15,0393.07%$19,3033.04%$18,0733.97%5.40%-3.23%4.31%3.60%2.83%2.05%1.73%
202062.66%$15,4391.83%$19,6571.26%$18,3002.66%2.29%0.47%-4.86%0.08%-0.76%2.53%2.41%
202073.79%$16,0245.88%$20,8125.39%$19,2863.79%5.74%6.29%7.24%4.98%3.07%5.72%3.64%
202083.63%$16,6053.64%$21,5702.64%$19,7953.63%7.10%-6.73%-2.54%6.16%3.19%-3.84%0.44%
20209-1.64%$16,333-2.50%$21,030-2.07%$19,385-1.64%-3.54%1.07%0.58%-1.05%-2.56%-0.32%-2.68%
202010-3.06%$15,833-2.54%$20,495-1.95%$19,007-3.06%-1.95%-4.49%4.89%-2.27%-1.72%-0.87%-3.00%
20201110.04%$17,4229.65%$22,4749.26%$20,76710.04%11.80%2.42%1.43%10.04%12.26%6.11%9.67%
2020122.17%$17,8013.30%$23,2162.79%$21,3472.17%4.68%-1.74%0.89%2.52%3.41%-0.19%2.72%
202111.13%$18,002-1.21%$22,936-1.30%$21,0701.13%-0.33%-4.70%-1.04%-2.92%-0.57%-2.81%0.04%
20212-0.88%$17,8431.04%$23,1741.03%$21,288-0.88%3.14%-7.74%-5.54%1.58%4.57%-3.36%3.43%
202131.77%$18,1581.90%$23,6143.24%$21,9781.77%3.65%-6.27%10.30%6.03%6.94%-2.47%5.15%
202141.06%$18,3514.69%$24,7214.43%$22,9501.06%5.04%2.87%3.78%4.03%2.55%1.64%7.86%
20215-0.66%$18,2310.37%$24,8110.74%$23,120-0.66%0.46%-0.11%-2.34%1.76%3.03%0.71%0.81%
202161.87%$18,5722.96%$25,5441.99%$23,5791.87%2.48%5.48%-1.86%-0.14%-1.20%4.01%2.64%
202171.28%$18,8102.26%$26,1222.46%$24,1581.28%1.74%4.97%3.92%3.18%0.55%2.20%4.42%
202183.20%$19,4122.33%$26,7322.07%$24,6593.20%2.86%-0.28%3.70%1.67%2.09%-0.42%2.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value8.94%19.36%27.25%
Large-cap Growth40.67%40.90%27.76%
Mid-cap Value0.00%7.45%14.64%
Mid-cap Growth0.00%5.97%3.42%
Small-cap Value0.00%1.72%0.00%
Small-cap Growth7.23%1.40%0.00%
Global ex-US Developed Markets11.82%0.00%0.00%
Emerging Markets0.00%0.10%0.52%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%23.11%26.41%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries31.34%0.00%0.00%
R Squared75.98%99.38%97.77%
Style analysis is based on monthly returns from January 2014 to August 2021 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
QYLDGlobal X NASDAQ 100 Covered Call ETFDerivative Income100.00%11.40%0.60%33.89$9,412100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend80.00%1.20%0.03%24.25$14,50099.34%
EDVVanguard Extended Duration Trs ETFLong Government20.00%1.93%0.07%24.52$2,2320.66%
100.00%1.35%0.04%24.2524.52$16,732100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend45.00%1.20%0.03%24.25$7,91556.37%
EDVVanguard Extended Duration Trs ETFLong Government10.00%1.93%0.07%24.52$1,1150.43%
VPUVanguard Utilities ETFUtilities5.00%2.80%0.10%23.66$6123.57%
VIGVanguard Dividend Appreciation ETFLarge Blend10.00%1.48%0.06%24.90$1,53910.83%
VYMVanguard High Dividend Yield ETFLarge Value10.00%2.72%0.06%18.46$1,24611.17%
VCLTVanguard Long-Term Corporate Bd ETFLong-Term Bond10.00%3.03%0.05%14.96$8625.22%
VNQVanguard Real Estate ETFReal Estate10.00%2.19%0.12%38.80$1,37012.40%
100.00%1.82%0.05%25.3919.74$14,659100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.77%1.12%1.03%
Arithmetic Mean (annualized)9.65%14.31%13.10%
Geometric Mean (monthly)0.72%1.07%0.99%
Geometric Mean (annualized)9.04%13.68%12.49%
Volatility (monthly)3.06%3.06%3.02%
Volatility (annualized)10.61%10.61%10.45%
Downside Deviation (monthly)2.12%1.77%1.83%
Max. Drawdown-17.18%-12.64%-15.40%
US Market Correlation0.860.950.93
Beta(*)0.640.710.68
Alpha (annualized)0.01%3.29%2.54%
R274.53%90.18%87.05%
Sharpe Ratio0.801.191.11
Sortino Ratio1.142.041.80
Treynor Ratio (%)13.2217.9716.98
Calmar Ratio0.481.330.98
Active Return-5.17%-0.52%-1.71%
Tracking Error7.39%5.34%5.86%
Information Ratio-0.70-0.10-0.29
Skewness-0.95-0.27-0.52
Excess Kurtosis2.891.712.61
Historical Value-at-Risk (5%)-5.85%-4.14%-4.65%
Analytical Value-at-Risk (5%)-4.27%-3.99%-3.95%
Conditional Value-at-Risk (5%)-7.82%-6.23%-6.53%
Upside Capture Ratio (%)59.6477.8772.55
Downside Capture Ratio (%)61.4463.4161.67
Safe Withdrawal Rate17.81%20.18%19.82%
Perpetual Withdrawal Rate6.94%11.09%10.06%
Positive Periods68 out of 92 (73.91%)66 out of 92 (71.74%)65 out of 92 (70.65%)
Gain/Loss Ratio0.691.021.03
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
COVID-19 StartJan 2020Mar 2020-17.18%-12.64%-15.40%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsAug 20205 months7 months-17.18%
2Oct 2018Dec 20183 monthsJul 20197 months10 months-12.73%
3Aug 2015Aug 20151 monthOct 20152 months3 months-6.79%
4Jan 2016Jan 20161 monthSep 20168 months9 months-6.41%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.65%
6Sep 2014Jan 20155 monthsMay 20154 months9 months-3.82%
7Mar 2018Mar 20181 monthMay 20182 months3 months-3.49%
8Mar 2014Apr 20142 monthsJun 20142 months4 months-2.34%
9Jun 2018Jun 20181 monthJul 20181 month2 months-1.36%
10Aug 2019Aug 20191 monthOct 20192 months3 months-1.26%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.64%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-11.35%
3Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-7.71%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-4.98%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-4.83%
6Aug 2016Oct 20163 monthsJan 20173 months6 months-3.60%
7May 2019May 20191 monthJun 20191 month2 months-3.57%
8Sep 2014Sep 20141 monthOct 20141 month2 months-2.30%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.23%
10Jan 2021Jan 20211 monthMar 20212 months3 months-1.21%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-15.40%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-9.43%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.54%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-4.74%
5Aug 2016Oct 20163 monthsFeb 20174 months7 months-3.99%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.98%
7May 2019May 20191 monthJun 20191 month2 months-3.03%
8Sep 2014Sep 20141 monthOct 20141 month2 months-2.55%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.54%
10Jan 2021Jan 20211 monthMar 20212 months3 months-1.30%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QYLDGlobal X NASDAQ 100 Covered Call ETF9.04%10.61%22.67%-3.05%-17.18%0.801.140.86
VTIVanguard Total Stock Market ETF14.33%14.21%30.67%-5.21%-20.84%0.961.541.00
EDVVanguard Extended Duration Trs ETF10.25%17.10%44.66%-6.51%-25.33%0.611.08-0.29
VPUVanguard Utilities ETF11.38%13.61%26.99%-4.82%-19.07%0.811.260.34
VIGVanguard Dividend Appreciation ETF12.75%12.43%29.62%-2.08%-17.16%0.971.560.95
VYMVanguard High Dividend Yield ETF10.72%13.21%24.07%-5.91%-23.98%0.781.200.94
VCLTVanguard Long-Term Corporate Bd ETF7.78%9.20%23.89%-7.03%-11.09%0.781.290.35
VNQVanguard Real Estate ETF11.31%15.68%30.36%-6.02%-25.08%0.721.080.66

Monthly Correlations

Correlations for the portfolio assets
TickerNameQYLDVTIEDVVPUVIGVYMVCLTVNQPortfolio 1Portfolio 2Portfolio 3
QYLDGlobal X NASDAQ 100 Covered Call ETF1.000.86-0.240.310.810.800.320.561.000.820.81
VTIVanguard Total Stock Market ETF0.861.00-0.290.350.950.940.350.660.860.950.93
EDVVanguard Extended Duration Trs ETF-0.24-0.291.000.24-0.22-0.340.640.22-0.240.020.03
VPUVanguard Utilities ETF0.310.350.241.000.440.420.470.640.310.440.56
VIGVanguard Dividend Appreciation ETF0.810.95-0.220.441.000.940.330.630.810.920.92
VYMVanguard High Dividend Yield ETF0.800.94-0.340.420.941.000.290.650.800.870.90
VCLTVanguard Long-Term Corporate Bd ETF0.320.350.640.470.330.291.000.650.320.560.60
VNQVanguard Real Estate ETF0.560.660.220.640.630.650.651.000.560.760.84

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
QYLDGlobal X NASDAQ 100 Covered Call ETF$9,412
VTIVanguard Total Stock Market ETF$14,500$7,915
EDVVanguard Extended Duration Trs ETF$2,232$1,115
VPUVanguard Utilities ETF$612
VIGVanguard Dividend Appreciation ETF$1,539
VYMVanguard High Dividend Yield ETF$1,246
VCLTVanguard Long-Term Corporate Bd ETF$862
VNQVanguard Real Estate ETF$1,370

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
QYLDGlobal X NASDAQ 100 Covered Call ETF100.00%
VTIVanguard Total Stock Market ETF99.34%56.37%
EDVVanguard Extended Duration Trs ETF0.66%0.43%
VPUVanguard Utilities ETF3.57%
VIGVanguard Dividend Appreciation ETF10.83%
VYMVanguard High Dividend Yield ETF11.17%
VCLTVanguard Long-Term Corporate Bd ETF5.22%
VNQVanguard Real Estate ETF12.40%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.84%32.07%-6.81%12.71%38.72%-5.56%11.34%36.89%-4.85%
3 years9.07%14.81%3.61%11.45%17.11%7.46%10.38%15.41%5.54%
5 years8.89%11.75%5.67%11.45%15.19%6.92%10.39%13.36%5.90%
7 years8.70%9.00%8.20%12.80%13.41%12.24%11.48%12.12%10.87%