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 1993 - Mar 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
^BXM CBOE BUYWRITE MONTHLY INDEX SM 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 40.00%
VUSTX Vanguard Long-Term Treasury Inv 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$79,831 7.63% 10.72%26.64%-28.65%-35.81% 0.530.710.88
Portfolio 2$10,000$111,457 8.91% 7.55%32.37%-5.41%-14.37% 0.861.400.58
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.73%5.73%32.20%4.79%6.67%6.58%7.63%14.86%11.61%
Portfolio 2-5.41%-5.41%8.38%10.55%8.49%9.61%8.91%8.50%7.66%
Trailing annualized return and volatility are for full months ending in March 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 March
  • 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 2CBOE BUYWRITE MONTHLY INDEX SM (^BXM)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
19932.75%14.10%$11,41014.32%$11,43214.10%10.62%16.79%
19942.67%4.49%$11,923-4.29%$10,9424.49%-0.17%-7.04%
19952.54%20.97%$14,42432.37%$14,48320.97%35.79%30.09%
19963.32%15.50%$16,6597.63%$15,58915.50%20.96%-1.26%
19971.70%26.64%$21,09820.74%$18,82226.64%30.99%13.90%
19981.61%18.95%$25,09617.14%$22,04718.95%23.26%13.05%
19992.68%21.17%$30,4084.33%$23,00221.17%23.81%-8.66%
20003.39%7.40%$32,6577.60%$24,7517.40%-10.57%19.72%
20011.55%-10.92%$29,090-1.80%$24,305-10.92%-10.97%4.31%
20022.38%-7.64%$26,8681.62%$24,699-7.64%-20.96%16.67%
20031.88%19.37%$32,07114.15%$28,19319.37%31.35%2.68%
20043.26%8.30%$34,7319.28%$30,8088.30%12.51%7.12%
20053.42%4.25%$36,2076.36%$32,7674.25%5.98%6.61%
20062.54%13.33%$41,0347.25%$35,14313.33%15.51%1.74%
20074.08%6.59%$43,7377.74%$37,8636.59%5.49%9.24%
20080.09%-28.65%$31,205-1.31%$37,369-28.65%-37.04%22.52%
20092.72%25.91%$39,2914.25%$38,95725.91%28.70%-12.05%
20101.50%5.86%$41,59312.20%$43,7085.86%17.09%8.93%
20112.96%5.72%$43,97217.95%$51,5545.72%0.96%29.28%
20121.74%5.20%$46,2618.58%$55,9785.20%16.25%3.47%
20131.50%13.26%$52,3945.52%$59,07113.26%33.35%-13.03%
20140.76%5.64%$55,34820.14%$70,9665.64%12.43%25.28%
20150.73%5.24%$58,250-0.80%$70,3955.24%0.29%-1.54%
20162.07%7.07%$62,3665.73%$74,4307.07%12.53%1.20%
20172.11%13.00%$70,47413.57%$84,53213.00%21.05%8.58%
20181.91%-4.77%$67,116-3.25%$81,788-4.77%-5.26%-1.90%
20192.29%15.68%$77,64120.74%$98,74715.68%30.65%14.13%
20201.36%-2.75%$75,50219.32%$117,827-2.75%20.87%18.29%
20210.98%5.73%$79,831-5.41%$111,4575.73%6.41%-13.28%
Annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2CBOE BUYWRITE MONTHLY INDEX SM (^BXM)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
199311.91%$10,1912.12%$10,2121.91%1.01%2.85%
199320.90%$10,2832.12%$10,4280.90%0.46%3.20%
199330.42%$10,3271.08%$10,5400.42%2.46%0.19%
19934-0.95%$10,229-0.63%$10,473-0.95%-2.77%0.76%
199353.15%$10,5511.40%$10,6203.15%3.03%0.38%
199361.09%$10,6662.75%$10,9121.09%0.55%4.17%
199370.79%$10,7500.75%$10,9940.79%-0.27%1.39%
199382.17%$10,9843.97%$11,4302.17%3.93%3.99%
199390.84%$11,0760.21%$11,4540.84%0.01%0.33%
1993101.15%$11,2031.00%$11,5691.15%1.64%0.62%
1993110.01%$11,205-2.15%$11,3200.01%-1.62%-2.48%
1993121.84%$11,4100.99%$11,4321.84%1.90%0.42%
199412.00%$11,6382.57%$11,7262.00%3.08%2.23%
19942-1.43%$11,472-3.29%$11,341-1.43%-2.24%-3.99%
19943-3.43%$11,078-4.07%$10,879-3.43%-4.44%-3.82%
199441.29%$11,221-0.40%$10,8351.29%0.89%-1.29%
199451.50%$11,3890.12%$10,8481.50%0.97%-0.47%
19946-2.33%$11,124-1.60%$10,674-2.33%-2.73%-0.81%
199473.03%$11,4613.00%$10,9943.03%3.08%2.94%
199481.70%$11,6551.40%$11,1481.70%4.39%-0.67%
19949-0.83%$11,558-2.52%$10,867-0.83%-1.85%-3.00%
1994101.66%$11,7500.45%$10,9171.66%1.55%-0.36%
199411-0.38%$11,705-1.21%$10,785-0.38%-3.65%0.62%
1994121.86%$11,9231.46%$10,9421.86%1.23%1.62%
199511.87%$12,1462.45%$11,2101.87%2.20%2.62%
199521.66%$12,3473.26%$11,5751.66%4.04%2.73%
199531.42%$12,5221.50%$11,7481.42%2.65%0.72%
199541.74%$12,7402.00%$11,9841.74%2.51%1.65%
199552.46%$13,0545.87%$12,6872.46%3.48%7.52%
199561.34%$13,2281.87%$12,9241.34%2.98%1.13%
199571.50%$13,4270.79%$13,0261.50%4.02%-1.40%
199581.44%$13,6211.65%$13,2401.44%1.07%2.05%
199591.08%$13,7682.56%$13,5791.08%3.61%1.81%
1995100.65%$13,8571.24%$13,7470.65%-1.17%2.97%
1995113.15%$14,2943.07%$14,1693.15%4.17%2.31%
1995120.90%$14,4242.22%$14,4830.90%1.54%2.70%
199610.85%$14,5461.03%$14,6330.85%2.66%-0.05%
19962-0.23%$14,512-2.27%$14,301-0.23%1.62%-4.93%
199631.48%$14,727-0.66%$14,2071.48%1.14%-1.98%
199642.91%$15,1550.02%$14,2112.91%2.41%-1.78%
199651.95%$15,4510.92%$14,3411.95%2.66%-0.46%
199661.49%$15,6810.80%$14,4561.49%-0.84%2.14%
19967-2.30%$15,321-2.40%$14,109-2.30%-5.37%-0.05%
199681.32%$15,5240.58%$14,1911.32%3.09%-1.29%
199693.82%$16,1163.92%$14,7483.82%5.38%2.79%
1996101.24%$16,3172.79%$15,1601.24%1.43%3.88%
1996112.91%$16,7914.80%$15,8882.91%6.81%3.24%
199612-0.78%$16,659-1.89%$15,589-0.78%-1.27%-2.38%
199714.35%$17,3851.79%$15,8684.35%5.46%-0.65%
199720.92%$17,544-0.11%$15,8510.92%-0.11%-0.11%
19973-1.71%$17,244-3.19%$15,345-1.71%-4.45%-2.29%
199743.17%$17,7913.23%$15,8413.17%4.50%2.35%
199751.54%$18,0643.51%$16,3971.54%7.10%0.98%
199761.30%$18,2992.89%$16,8711.30%4.37%1.78%
199773.98%$19,0286.39%$17,9503.98%7.77%5.34%
19978-0.07%$19,014-3.08%$17,397-0.07%-3.72%-2.57%
199794.38%$19,8474.00%$18,0944.38%5.77%2.63%
199710-0.40%$19,7680.15%$18,121-0.40%-3.40%2.99%
1997115.09%$20,7742.15%$18,5125.09%3.33%1.27%
1997121.56%$21,0981.68%$18,8221.56%1.70%1.66%
199812.50%$21,6251.32%$19,0712.50%0.44%1.91%
199822.37%$22,1382.46%$19,5402.37%7.34%-0.75%
199831.12%$22,3862.19%$19,9671.12%5.06%0.14%
199842.52%$22,9500.70%$20,1062.52%1.10%0.40%
199850.88%$23,151-0.11%$20,0830.88%-2.71%1.83%
199863.72%$24,0132.85%$20,6553.72%3.54%2.35%
19987-3.03%$23,286-1.25%$20,396-3.03%-2.27%-0.51%
19988-11.83%$20,532-3.69%$19,643-11.83%-15.65%4.83%
199897.59%$22,0904.52%$20,5317.59%6.68%3.29%
1998106.71%$23,5721.73%$20,8866.71%7.51%-1.69%
1998111.83%$24,0032.96%$21,5051.83%6.17%0.88%
1998124.56%$25,0962.52%$22,0474.56%6.45%-0.16%
199913.65%$26,0112.05%$22,4993.65%3.65%0.98%
199922.14%$26,567-4.34%$21,5232.14%-3.73%-4.76%
199931.24%$26,8961.40%$21,8251.24%3.93%-0.34%
199944.15%$28,0132.07%$22,2774.15%4.68%0.19%
199950.29%$28,095-1.82%$21,8720.29%-2.00%-1.68%
199965.63%$29,6771.61%$22,2255.63%5.16%-1.05%
19997-3.35%$28,685-1.74%$21,838-3.35%-3.20%-0.58%
199980.51%$28,832-0.68%$21,6900.51%-0.92%-0.49%
199990.21%$28,892-0.55%$21,5700.21%-2.44%0.91%
1999101.10%$29,2092.76%$22,1651.10%6.29%0.12%
199911-0.45%$29,0771.19%$22,428-0.45%3.42%-0.59%
1999124.58%$30,4082.56%$23,0024.58%7.59%-1.60%
20001-1.37%$29,993-0.92%$22,790-1.37%-4.18%1.25%
20002-0.48%$29,8492.80%$23,427-0.48%2.54%2.96%
200034.88%$31,3064.12%$24,3934.88%5.69%3.14%
20004-0.06%$31,287-2.44%$23,797-0.06%-5.21%-0.66%
200050.89%$31,566-1.58%$23,4210.89%-3.41%-0.46%
200061.90%$32,1663.09%$24,1451.90%4.42%2.30%
20007-0.10%$32,1350.19%$24,189-0.10%-1.95%1.49%
200085.54%$33,9164.00%$25,1585.54%7.28%2.08%
20009-1.75%$33,323-2.31%$24,577-1.75%-4.67%-0.85%
200010-0.71%$33,0870.22%$24,631-0.71%-2.04%1.57%
200011-2.90%$32,128-1.71%$24,211-2.90%-9.90%2.99%
2000121.65%$32,6572.23%$24,7511.65%1.78%2.45%
200113.50%$33,8011.70%$25,1723.50%3.83%0.28%
20012-5.64%$31,895-2.78%$24,472-5.64%-9.41%1.80%
20013-5.62%$30,102-2.93%$23,755-5.62%-6.72%-0.60%
200142.95%$30,9911.36%$24,0782.95%8.16%-2.56%
200151.37%$31,4150.52%$24,2031.37%1.01%0.21%
20016-1.52%$30,938-0.18%$24,160-1.52%-1.64%0.76%
200171.61%$31,4361.56%$24,5351.61%-1.71%3.61%
20018-3.82%$30,236-0.98%$24,295-3.82%-6.00%2.02%
20019-10.51%$27,058-2.63%$23,657-10.51%-9.00%0.88%
2001101.29%$27,4084.26%$24,6651.29%2.52%5.12%
2001113.49%$28,365-0.87%$24,4513.49%7.63%-4.98%
2001122.55%$29,090-0.60%$24,3052.55%1.78%-1.91%
200210.90%$29,3510.22%$24,3590.90%-1.24%1.20%
20022-0.08%$29,326-0.05%$24,346-0.08%-2.05%1.24%
200232.39%$30,028-0.68%$24,1812.39%4.38%-3.86%
20024-4.04%$28,8160.23%$24,237-4.04%-4.90%3.73%
200250.76%$29,035-0.23%$24,1810.76%-1.22%0.39%
20026-5.40%$27,467-1.61%$23,793-5.40%-7.06%1.76%
20027-8.34%$25,177-1.01%$23,551-8.34%-8.02%2.93%
200281.49%$25,5523.02%$24,2641.49%0.53%4.28%
20029-7.35%$23,675-0.58%$24,122-7.35%-10.07%4.02%
2002107.42%$25,4310.26%$24,1857.42%7.65%-2.84%
2002115.47%$26,8231.26%$24,4895.47%6.06%-0.98%
2002120.17%$26,8680.86%$24,6990.17%-5.57%4.05%
20031-0.52%$26,729-1.28%$24,381-0.52%-2.54%-0.45%
20032-0.80%$26,5141.16%$24,665-0.80%-1.69%3.03%
200330.03%$26,523-0.28%$24,5960.03%1.09%-1.13%
200347.18%$28,4273.75%$25,5187.18%8.21%0.91%
200351.70%$28,9115.85%$27,0101.70%6.11%5.67%
20036-0.43%$28,785-0.30%$26,930-0.43%1.43%-1.48%
200372.47%$29,495-4.05%$25,8392.47%2.36%-8.57%
200382.87%$30,3401.85%$26,3182.87%2.39%1.43%
20039-1.87%$29,7732.31%$26,926-1.87%-1.15%5.07%
2003104.63%$31,1521.15%$27,2354.63%6.12%-2.58%
2003111.21%$31,5290.79%$27,4511.21%1.38%0.31%
2003121.72%$32,0712.70%$28,1931.72%4.48%1.23%
200410.49%$32,2271.94%$28,7390.49%2.23%1.74%
200421.28%$32,6411.75%$29,2421.28%1.43%1.96%
20043-0.14%$32,5940.44%$29,370-0.14%-1.07%1.45%
20044-0.25%$32,513-4.18%$28,144-0.25%-2.11%-5.52%
200450.76%$32,7590.21%$28,2030.76%1.35%-0.56%
200462.05%$33,4301.37%$28,5882.05%2.09%0.87%
20047-1.66%$32,876-0.66%$28,398-1.66%-3.80%1.52%
200480.99%$33,2022.17%$29,0130.99%0.31%3.39%
200490.81%$33,4711.25%$29,3750.81%1.74%0.94%
2004100.91%$33,7771.54%$29,8290.91%1.68%1.46%
2004110.26%$33,8650.47%$29,9690.26%4.68%-2.25%
2004122.56%$34,7312.80%$30,8082.56%3.63%2.22%
20051-0.50%$34,5580.49%$30,958-0.50%-2.68%2.59%
200521.20%$34,9720.04%$30,9711.20%2.07%-1.24%
20053-0.30%$34,868-1.15%$30,616-0.30%-1.75%-0.76%
20054-0.91%$34,5511.05%$30,936-0.91%-2.32%3.22%
200552.02%$35,2513.01%$31,8682.02%3.77%2.55%
20056-0.67%$35,0161.32%$32,290-0.67%0.81%1.64%
200573.00%$36,066-0.04%$32,2793.00%4.11%-2.58%
200581.08%$36,4551.36%$32,7171.08%-0.94%2.87%
200591.42%$36,972-1.37%$32,2691.42%0.86%-2.78%
200510-2.04%$36,218-1.79%$31,692-2.04%-1.86%-1.74%
2005110.15%$36,2711.92%$32,3010.15%3.97%0.57%
200512-0.18%$36,2071.44%$32,767-0.18%0.14%2.33%
200612.05%$36,9500.86%$33,0492.05%3.50%-0.90%
200621.02%$37,3270.48%$33,2061.02%0.00%0.81%
200631.05%$37,717-1.27%$32,7841.05%1.80%-3.39%
200641.40%$38,244-0.66%$32,5661.40%1.11%-1.96%
20065-2.02%$37,473-1.40%$32,109-2.02%-3.23%-0.03%
200661.34%$37,9750.48%$32,2631.34%0.17%0.71%
200671.62%$38,5901.01%$32,5901.62%-0.13%1.84%
200681.21%$39,0552.56%$33,4251.21%2.31%2.74%
200691.49%$39,6381.86%$34,0481.49%2.27%1.58%
2006101.20%$40,1131.92%$34,7001.20%3.53%0.77%
2006111.44%$40,6912.05%$35,4101.44%2.23%1.91%
2006120.84%$41,034-0.75%$35,1430.84%1.13%-2.14%
200711.90%$41,8150.24%$35,2281.90%1.88%-0.85%
20072-1.26%$41,2871.08%$35,609-1.26%-1.61%2.93%
200730.24%$41,386-0.24%$35,5230.24%1.11%-1.13%
200740.71%$41,6812.12%$36,2760.71%4.01%0.86%
200752.26%$42,6220.36%$36,4082.26%3.69%-1.93%
20076-0.10%$42,578-1.22%$35,965-0.10%-1.67%-0.88%
20077-2.11%$41,677-0.05%$35,948-2.11%-3.41%2.39%
200781.11%$42,1421.76%$36,5821.11%1.45%1.97%
200791.38%$42,7221.58%$37,1601.38%3.59%0.21%
2007102.42%$43,7571.58%$37,7492.42%1.85%1.40%
200711-1.86%$42,9440.84%$38,064-1.86%-4.49%4.59%
2007121.85%$43,737-0.53%$37,8631.85%-0.60%-0.48%
20081-5.92%$41,148-0.85%$37,543-5.92%-6.08%2.64%
200820.95%$41,537-0.95%$37,1870.95%-3.07%0.35%
200831.66%$42,2260.43%$37,3461.66%-0.58%1.02%
200842.41%$43,2430.68%$37,6002.41%5.02%-1.84%
200851.25%$43,783-0.51%$37,4071.25%2.09%-2.13%
20086-5.99%$41,160-2.13%$36,612-5.99%-8.19%1.80%
200870.04%$41,177-0.10%$36,5760.04%-0.77%0.30%
200881.88%$41,9511.72%$37,2061.88%1.58%1.80%
20089-5.78%$39,528-3.21%$36,013-5.78%-9.26%0.28%
200810-15.01%$33,594-8.43%$32,979-15.01%-17.63%-3.63%
200811-10.67%$30,0115.91%$34,929-10.67%-7.90%12.07%
2008123.98%$31,2056.99%$37,3693.98%1.86%8.87%
20091-3.85%$30,004-8.38%$34,236-3.85%-8.26%-8.47%
20092-6.34%$28,102-4.79%$32,596-6.34%-10.45%-1.01%
200938.17%$30,3976.54%$34,7288.17%8.65%5.27%
200943.77%$31,5451.00%$35,0763.77%10.61%-4.99%
200954.48%$32,9570.71%$35,3264.48%5.38%-2.68%
200961.98%$33,6090.54%$35,5181.98%0.34%0.70%
200974.75%$35,2073.89%$36,8984.75%7.82%0.80%
200981.36%$35,6862.57%$37,8471.36%3.63%1.68%
200991.88%$36,3583.02%$38,9881.88%4.23%1.98%
200910-0.57%$36,152-1.97%$38,219-0.57%-2.57%-1.45%
2009115.95%$38,3043.63%$39,6065.95%5.63%1.91%
2009122.58%$39,291-1.64%$38,9572.58%2.86%-5.66%
20101-4.10%$37,6810.20%$39,035-4.10%-3.50%2.66%
201023.81%$39,1171.17%$39,4903.81%3.36%-0.21%
201031.54%$39,7171.55%$40,1021.54%6.27%-1.51%
20104-0.23%$39,6272.52%$41,112-0.23%2.17%2.76%
20105-6.15%$37,191-0.79%$40,787-6.15%-8.00%4.23%
20106-4.16%$35,6430.73%$41,087-4.16%-5.66%4.67%
201076.64%$38,0082.38%$42,0666.64%6.99%-0.17%
20108-0.22%$37,9262.67%$43,190-0.22%-4.75%7.08%
201093.74%$39,3452.08%$44,0893.74%9.47%-1.82%
2010101.25%$39,835-0.61%$43,8211.25%3.94%-3.29%
2010111.00%$40,235-0.76%$43,4901.00%0.58%-1.60%
2010123.38%$41,5930.50%$43,7083.38%6.81%-3.58%
201111.07%$42,036-0.55%$43,4671.07%2.19%-2.38%
201121.15%$42,5192.21%$44,4271.15%3.60%1.24%
20113-0.73%$42,2100.20%$44,515-0.73%0.45%0.02%
201142.14%$43,1152.44%$45,6002.14%2.99%2.04%
201150.62%$43,3831.42%$46,2480.62%-1.16%3.29%
20116-1.80%$42,601-1.91%$45,365-1.80%-1.79%-2.00%
20117-0.73%$42,2891.53%$46,060-0.73%-2.28%4.18%
20118-7.12%$39,2762.89%$47,393-7.12%-5.99%8.68%
20119-3.20%$38,0193.71%$49,150-3.20%-7.75%10.16%
2011109.56%$41,6541.42%$49,8499.56%11.51%-3.34%
2011112.31%$42,6161.08%$50,3842.31%-0.29%1.82%
2011123.18%$43,9722.32%$51,5543.18%0.80%3.13%
201211.38%$44,5802.08%$52,6271.38%5.08%0.08%
201221.97%$45,4560.51%$52,8951.97%4.26%-2.11%
201231.57%$46,168-0.85%$52,4461.57%3.07%-3.77%
201240.51%$46,4062.14%$53,5690.51%-0.65%4.37%
20125-4.22%$44,4491.73%$54,496-4.22%-6.24%7.79%
201263.65%$46,0740.69%$54,8713.65%3.91%-1.44%
201271.17%$46,6112.38%$56,1771.17%1.03%3.32%
201280.95%$47,0530.37%$56,3880.95%2.48%-1.06%
201290.83%$47,445-0.16%$56,2960.83%2.58%-2.10%
201210-0.73%$47,099-1.00%$55,735-0.73%-1.76%-0.43%
201211-1.91%$46,2001.09%$56,344-1.91%0.74%1.35%
2012120.13%$46,261-0.65%$55,9780.13%1.19%-1.99%
201312.25%$47,3010.24%$56,1102.25%5.50%-3.27%
201320.35%$47,4681.27%$56,8210.35%1.28%1.26%
201332.16%$48,4921.65%$57,7612.16%3.88%0.03%
201341.52%$49,2302.94%$59,4581.52%1.70%3.87%
20135-0.42%$49,025-2.59%$57,915-0.42%2.32%-6.23%
20136-1.04%$48,513-2.37%$56,542-1.04%-1.27%-3.26%
201371.30%$49,1451.42%$57,3441.30%5.49%-1.93%
20138-1.26%$48,528-2.01%$56,194-1.26%-2.82%-1.28%
201390.79%$48,9092.18%$57,4170.79%3.66%0.88%
2013103.58%$50,6622.69%$58,9643.58%4.22%1.32%
2013111.34%$51,3390.09%$59,0151.34%2.88%-2.49%
2013122.05%$52,3940.09%$59,0712.05%2.63%-2.37%
20141-1.97%$51,3642.51%$60,555-1.97%-3.11%6.26%
201424.23%$53,5352.16%$61,8634.23%4.73%0.60%
201430.26%$53,6750.58%$62,2240.26%0.51%0.63%
201441.01%$54,2161.14%$62,9331.01%0.06%1.82%
201451.89%$55,2402.51%$64,5151.89%2.17%2.73%
201460.22%$55,3620.87%$65,0780.22%2.54%-0.16%
20147-0.21%$55,244-0.41%$64,815-0.21%-1.98%0.59%
201482.64%$56,7044.21%$67,5442.64%4.18%4.23%
20149-1.58%$55,807-2.04%$66,163-1.58%-2.14%-1.99%
201410-1.71%$54,8512.66%$67,924-1.71%2.74%2.61%
201411-0.24%$54,7212.69%$69,751-0.24%2.41%2.86%
2014121.15%$55,3481.74%$70,9661.15%-0.01%2.82%
20151-1.41%$54,5694.27%$73,997-1.41%-2.77%8.97%
201522.78%$56,086-1.40%$72,9622.78%5.76%-5.66%
201530.35%$56,2850.26%$73,1520.35%-1.04%1.13%
201541.44%$57,093-1.69%$71,9151.44%0.42%-3.07%
201550.93%$57,626-0.73%$71,3920.93%1.39%-2.16%
20156-0.43%$57,377-2.90%$69,325-0.43%-1.71%-3.73%
201572.80%$58,9833.13%$71,4972.80%1.63%4.21%
20158-4.84%$56,126-2.90%$69,426-4.84%-6.03%-0.71%
20159-0.21%$56,010-0.02%$69,415-0.21%-2.93%1.91%
2015104.27%$58,3992.73%$71,3134.27%7.84%-0.48%
2015110.56%$58,727-0.26%$71,1270.56%0.54%-0.81%
201512-0.81%$58,250-1.03%$70,395-0.81%-2.03%-0.34%
20161-4.25%$55,7720.87%$71,009-4.25%-5.67%5.24%
201621.66%$56,6971.77%$72,2691.66%-0.04%2.86%
201631.97%$57,8152.61%$74,1551.97%7.01%0.05%
201640.44%$58,071-0.15%$74,0460.44%0.63%-0.63%
201651.58%$58,9861.11%$74,8701.58%1.79%0.69%
201661.15%$59,6674.11%$77,9441.15%0.23%6.57%
201670.79%$60,1412.73%$80,0750.79%3.95%2.01%
201680.95%$60,711-0.52%$79,6560.95%0.26%-1.00%
201690.08%$60,761-0.76%$79,0530.08%0.15%-1.32%
2016100.22%$60,893-3.46%$76,3220.22%-2.21%-4.23%
2016112.31%$62,297-3.06%$73,9842.31%4.44%-7.86%
2016120.11%$62,3660.60%$74,4300.11%1.92%-0.35%
201712.22%$63,7491.15%$75,2882.22%1.91%0.65%
201721.39%$64,6342.43%$77,1191.39%3.71%1.57%
201730.36%$64,868-0.32%$76,8710.36%0.07%-0.59%
201740.91%$65,4611.36%$77,9200.91%1.05%1.58%
201751.78%$66,6281.43%$79,0371.78%1.01%1.73%
201760.35%$66,8620.75%$79,6300.35%0.92%0.63%
201771.32%$67,7470.41%$79,9561.32%1.87%-0.59%
201780.28%$67,9351.98%$81,5400.28%0.15%3.27%
201790.92%$68,560-0.35%$81,2520.92%2.45%-2.27%
2017100.59%$68,9650.89%$81,9750.59%2.16%-0.02%
2017111.53%$70,0161.65%$83,3281.53%3.04%0.63%
2017120.65%$70,4741.44%$84,5320.65%0.99%1.78%
201810.95%$71,1460.08%$84,5990.95%5.31%-3.40%
20182-1.42%$70,137-3.24%$81,862-1.42%-3.72%-2.89%
20183-1.09%$69,3740.77%$82,489-1.09%-1.99%2.75%
201841.33%$70,298-1.05%$81,6211.33%0.38%-2.04%
201852.09%$71,7692.21%$83,4222.09%2.79%1.79%
20186-0.06%$71,7290.67%$83,978-0.06%0.68%0.66%
201872.93%$73,8280.64%$84,5142.93%3.34%-1.28%
201881.90%$75,2282.15%$86,3301.90%3.44%1.18%
201890.03%$75,252-1.49%$85,0450.03%0.16%-2.74%
201810-5.46%$71,144-4.83%$80,935-5.46%-7.40%-2.82%
2018112.24%$72,7401.90%$82,4752.24%2.06%1.78%
201812-7.73%$67,116-0.83%$81,788-7.73%-9.29%5.50%
201913.43%$69,4183.73%$84,8393.43%8.59%0.49%
201921.43%$70,4140.71%$85,4391.43%3.50%-1.31%
201931.76%$71,6563.73%$88,6301.76%1.44%5.47%
201941.57%$72,7780.58%$89,1481.57%3.98%-1.88%
20195-3.21%$70,4440.95%$89,999-3.21%-6.45%6.65%
201965.06%$74,0073.41%$93,0695.06%6.97%1.01%
201971.06%$74,7880.73%$93,7451.06%1.44%0.22%
20198-1.14%$73,9385.34%$98,754-1.14%-2.03%10.68%
201990.65%$74,418-0.93%$97,8350.65%1.70%-2.62%
2019102.06%$75,9540.18%$98,0102.06%2.10%-1.10%
2019111.29%$76,9351.31%$99,2921.29%3.77%-0.39%
2019120.92%$77,641-0.55%$98,7470.92%2.85%-3.00%
20201-1.13%$76,7644.34%$103,037-1.13%-0.08%7.29%
20202-7.56%$70,9640.93%$103,992-7.56%-8.18%6.58%
20203-14.90%$60,387-1.11%$102,841-14.90%-13.78%5.67%
202044.64%$63,1905.29%$108,2804.64%13.25%1.81%
202054.43%$65,9890.63%$108,9624.43%5.38%-1.67%
20206-0.12%$65,9091.04%$110,100-0.12%2.28%0.40%
202073.85%$68,4474.68%$115,2533.85%5.64%4.17%
202082.59%$70,221-0.56%$114,6132.59%7.18%-4.71%
20209-0.02%$70,207-0.86%$113,631-0.02%-3.57%0.78%
202010-3.64%$67,650-2.82%$110,432-3.64%-2.16%-3.19%
2020119.66%$74,1865.47%$116,4679.66%12.19%1.53%
2020121.77%$75,5021.17%$117,8271.77%4.45%-0.95%
202110.11%$75,585-2.23%$115,2020.11%-0.34%-3.49%
202121.04%$76,369-2.07%$112,8151.04%3.19%-5.69%
202134.53%$79,831-1.20%$111,4574.53%3.47%-4.72%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value25.48%13.62%
Large-cap Growth22.62%19.72%
Mid-cap Value6.70%0.13%
Mid-cap Growth1.28%6.73%
Small-cap Value0.00%0.00%
Small-cap Growth1.14%0.21%
Global ex-US Developed Markets8.28%0.00%
Emerging Markets0.00%0.92%
Corporate Bonds4.20%0.00%
Long-Term Treasuries0.00%45.64%
Intermediate-Term Treasuries0.00%13.03%
Short-Term Treasuries30.29%0.00%
R Squared79.66%98.50%
Style analysis is based on monthly returns from April 2005 to March 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 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend40.00%1.22%0.14%27.49$57,59646.01%
VUSTXVanguard Long-Term Treasury InvLong Government60.00%2.10%0.20%18.33$43,86053.99%
100.00%1.75%0.18%27.4918.33$101,457100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/14/2021. (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 2
Arithmetic Mean (monthly)0.66%0.74%
Arithmetic Mean (annualized)8.26%9.22%
Geometric Mean (monthly)0.61%0.71%
Geometric Mean (annualized)7.63%8.91%
Volatility (monthly)3.09%2.18%
Volatility (annualized)10.72%7.55%
Downside Deviation (monthly)2.24%1.26%
Max. Drawdown-35.81%-14.37%
US Market Correlation0.880.58
Beta(*)0.620.29
Alpha (annualized)1.13%5.69%
R276.91%33.19%
Sharpe Ratio0.530.86
Sortino Ratio0.711.40
Treynor Ratio (%)9.0422.59
Calmar Ratio0.221.69
Active Return-2.64%-1.36%
Tracking Error7.67%12.38%
Information Ratio-0.34-0.11
Skewness-1.41-0.39
Excess Kurtosis5.371.48
Historical Value-at-Risk (5%)-5.48%-2.90%
Analytical Value-at-Risk (5%)-4.43%-2.87%
Conditional Value-at-Risk (5%)-8.38%-4.25%
Upside Capture Ratio (%)58.8441.13
Downside Capture Ratio (%)55.9219.21
Safe Withdrawal Rate8.45%8.27%
Perpetual Withdrawal Rate5.08%6.20%
Positive Periods240 out of 339 (70.80%)226 out of 339 (66.67%)
Gain/Loss Ratio0.761.19
* 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 2
Asian CrisisJul 1997Jan 1998-0.40%-3.08%
Russian Debt DefaultJul 1998Oct 1998-14.50%-4.90%
Dotcom CrashMar 2000Oct 2002-30.19%-6.44%
Subprime CrisisNov 2007Mar 2009-35.81%-14.37%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsDec 20112 years 10 months3 years 7 months-35.81%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-30.19%
3Jan 2020Mar 20203 monthsMar 20211 year1 year 3 months-22.22%
4Jul 1998Aug 19982 monthsDec 19984 months6 months-14.50%
5Oct 2018Dec 20183 monthsOct 201910 months1 year 1 month-10.81%
6Nov 2007Jan 20083 monthsMay 20084 months7 months-5.96%
7Aug 2015Jan 20166 monthsMay 20164 months10 months-5.44%
8Feb 1994Mar 19942 monthsAug 19945 months7 months-4.81%
9May 2012May 20121 monthJul 20122 months3 months-4.22%
10Sep 2014Jan 20155 monthsApr 20153 months8 months-3.76%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-14.37%
2Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-8.97%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-7.61%
4Feb 2001Jul 20021 year 6 monthsApr 20039 months2 years 3 months-6.44%
5Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-6.31%
6Sep 2018Oct 20182 monthsMar 20195 months7 months-6.25%
7May 2013Aug 20134 monthsJan 20145 months9 months-5.49%
8Jan 2021Mar 20213 months-5.41%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-4.90%
10Feb 1999Feb 19991 monthDec 199910 months11 months-4.34%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
^BXMCBOE BUYWRITE MONTHLY INDEX SM7.63%10.72%26.64%-28.65%-35.81%0.530.710.88
VTSMXVanguard Total Stock Mkt Idx Inv10.27%15.08%35.79%-37.04%-50.89%0.570.831.00
VUSTXVanguard Long-Term Treasury Inv6.92%10.31%30.09%-13.28%-18.92%0.480.79-0.23

Monthly Correlations

Correlations for the portfolio assets
TickerName^BXMVTSMXVUSTXPortfolio 1Portfolio 2
^BXMCBOE BUYWRITE MONTHLY INDEX SM1.000.88-0.201.000.50
VTSMXVanguard Total Stock Mkt Idx Inv0.881.00-0.230.880.58
VUSTXVanguard Long-Term Treasury Inv-0.20-0.231.00-0.200.66

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
^BXMCBOE BUYWRITE MONTHLY INDEX SM$69,831
VTSMXVanguard Total Stock Mkt Idx Inv$57,596
VUSTXVanguard Long-Term Treasury Inv$43,860

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
^BXMCBOE BUYWRITE MONTHLY INDEX SM100.00%
VTSMXVanguard Total Stock Mkt Idx Inv46.01%
VUSTXVanguard Long-Term Treasury Inv53.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.86%40.42%-32.34%9.24%32.37%-12.63%
3 years7.69%23.69%-9.03%8.90%19.82%-0.62%
5 years7.38%21.68%-2.95%8.68%16.02%2.20%
7 years6.83%17.48%-0.61%8.43%12.74%4.24%
10 years6.29%11.63%0.56%8.24%10.91%4.24%
15 years5.97%10.34%3.39%8.02%9.28%6.79%