PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
FIRE Backtest
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

FIRE Backtest

Last updated Sep 21, 2024

Asset Allocation

JEPIX 33%NUSI 10%SCHD 5.1%SPYD 4.95%VYM 4.95%BST 3.75%QYLD 3.75%KNG 3.75%DIVO 17%SWAN 10%XYLD 3.75%EquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorWeight
BST
BlackRock Science and Technology Trust		Financial Services
3.75%
DIVO
Amplify CWP Enhanced Dividend Income ETF		Large Cap Blend Equities, Actively Managed, Dividend
17%
JEPIX
JPMorgan Equity Premium Income Fund Class I		Derivative Income
33%
KNG
FT Cboe Vest S&P 500 Dividend Aristocrats Target Income ETF		Dividend, Derivative Income
3.75%
NUSI
Nationwide Risk-Managed Income ETF		Large Cap Growth Equities, Actively Managed
10%
QYLD
Global X NASDAQ 100 Covered Call ETF		Derivative Income
3.75%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
5.10%
SPYD
SPDR Portfolio S&P 500 High Dividend ETF		All Cap Equities, Dividend
4.95%
SWAN
Amplify BlackSwan Growth & Treasury Core ETF		Diversified Portfolio
10%
VYM
Vanguard High Dividend Yield ETF		Dividend, Large Cap Value Equities
4.95%
XYLD
Global X S&P 500 Covered Call ETF		Long-Short
3.75%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FIRE Backtest, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
7.97%
8.95%
FIRE Backtest
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 20, 2019, corresponding to the inception date of NUSI

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
FIRE Backtest14.66%2.68%7.97%22.81%N/AN/A
Portfolio components:
DIVO
Amplify CWP Enhanced Dividend Income ETF		15.53%3.07%8.24%21.91%12.07%N/A
NUSI
Nationwide Risk-Managed Income ETF		20.08%2.61%11.81%35.72%N/AN/A
SWAN
Amplify BlackSwan Growth & Treasury Core ETF		15.99%2.46%9.65%28.58%4.58%N/A
BST
BlackRock Science and Technology Trust		9.97%0.64%-1.83%22.13%10.41%N/A
XYLD
Global X S&P 500 Covered Call ETF		12.26%1.49%6.45%16.10%6.54%6.56%
QYLD
Global X NASDAQ 100 Covered Call ETF		12.85%1.97%6.01%20.40%7.39%7.75%
KNG
FT Cboe Vest S&P 500 Dividend Aristocrats Target Income ETF		10.93%2.50%6.07%17.01%9.57%N/A
SCHD
Schwab US Dividend Equity ETF		13.02%2.60%7.55%21.93%12.91%11.59%
SPYD
SPDR Portfolio S&P 500 High Dividend ETF		18.94%3.70%16.30%33.38%8.70%N/A
VYM
Vanguard High Dividend Yield ETF		16.16%2.93%8.29%25.13%10.93%10.06%
JEPIX
JPMorgan Equity Premium Income Fund Class I		12.73%2.83%6.52%17.55%9.55%N/A

Monthly Returns

The table below presents the monthly returns of FIRE Backtest, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.74%2.39%2.83%-3.25%2.54%1.93%2.18%2.63%14.66%
20233.24%-2.30%2.05%1.50%-1.67%4.12%2.24%-1.41%-4.02%-1.55%6.14%3.42%11.82%
2022-3.65%-2.00%2.73%-5.00%0.22%-6.31%5.16%-2.71%-7.06%6.99%4.68%-3.09%-10.69%
2021-0.74%1.74%4.45%3.19%1.05%1.62%1.42%1.68%-3.89%4.77%-1.43%4.45%19.52%
20200.25%-6.91%-10.11%8.94%3.25%0.88%4.08%3.77%-2.04%-1.41%8.84%2.84%11.13%
20190.27%0.27%

Expense Ratio

FIRE Backtest features an expense ratio of 0.50%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

KNG
FT Cboe Vest S&P 500 Dividend Aristocrats Target Income ETF
Expense ratio chart for KNG: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
NUSI
Nationwide Risk-Managed Income ETF
Expense ratio chart for NUSI: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
JEPIX
JPMorgan Equity Premium Income Fund Class I
Expense ratio chart for JEPIX: current value at 0.63% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.63%
XYLD
Global X S&P 500 Covered Call ETF
Expense ratio chart for XYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
QYLD
Global X NASDAQ 100 Covered Call ETF
Expense ratio chart for QYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
DIVO
Amplify CWP Enhanced Dividend Income ETF
Expense ratio chart for DIVO: current value at 0.55% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.55%
SWAN
Amplify BlackSwan Growth & Treasury Core ETF
Expense ratio chart for SWAN: current value at 0.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.49%
SPYD
SPDR Portfolio S&P 500 High Dividend ETF
Expense ratio chart for SPYD: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
SCHD
Schwab US Dividend Equity ETF
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
VYM
Vanguard High Dividend Yield ETF
Expense ratio chart for VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of FIRE Backtest is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of FIRE Backtest is 7878
FIRE Backtest
The Sharpe Ratio Rank of FIRE Backtest is 8383Sharpe Ratio Rank
The Sortino Ratio Rank of FIRE Backtest is 8585Sortino Ratio Rank
The Omega Ratio Rank of FIRE Backtest is 8888Omega Ratio Rank
The Calmar Ratio Rank of FIRE Backtest is 5050Calmar Ratio Rank
The Martin Ratio Rank of FIRE Backtest is 8484Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

FIRE Backtest
Sharpe ratio
The chart of Sharpe ratio for FIRE Backtest, currently valued at 2.69, compared to the broader market-1.000.001.002.003.004.002.69
Sortino ratio
The chart of Sortino ratio for FIRE Backtest, currently valued at 3.75, compared to the broader market-2.000.002.004.006.003.75
Omega ratio
The chart of Omega ratio for FIRE Backtest, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.801.51
Calmar ratio
The chart of Calmar ratio for FIRE Backtest, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for FIRE Backtest, currently valued at 16.83, compared to the broader market0.0010.0020.0030.0040.0016.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DIVO
Amplify CWP Enhanced Dividend Income ETF		2.543.561.462.9415.89
NUSI
Nationwide Risk-Managed Income ETF		2.803.991.541.6215.26
SWAN
Amplify BlackSwan Growth & Treasury Core ETF		2.393.381.420.9214.01
BST
BlackRock Science and Technology Trust		1.191.651.210.574.35
XYLD
Global X S&P 500 Covered Call ETF		2.142.881.511.6815.11
QYLD
Global X NASDAQ 100 Covered Call ETF		1.912.601.432.1813.06
KNG
FT Cboe Vest S&P 500 Dividend Aristocrats Target Income ETF		1.752.481.311.427.63
SCHD
Schwab US Dividend Equity ETF		1.872.711.331.669.67
SPYD
SPDR Portfolio S&P 500 High Dividend ETF		2.253.181.401.5014.27
VYM
Vanguard High Dividend Yield ETF		2.303.211.412.5313.06
JEPIX
JPMorgan Equity Premium Income Fund Class I		2.203.131.432.5114.07

Sharpe Ratio

The current FIRE Backtest Sharpe ratio is 2.69. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.91 to 2.59, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of FIRE Backtest with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
2.69
2.32
FIRE Backtest
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FIRE Backtest granted a 5.73% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
FIRE Backtest5.73%6.55%8.08%6.32%7.12%6.00%2.58%1.79%1.21%1.15%0.85%0.36%
Portfolio components:
DIVO
Amplify CWP Enhanced Dividend Income ETF		4.41%4.67%4.76%4.79%4.91%8.16%5.27%3.83%0.00%0.00%0.00%0.00%
NUSI
Nationwide Risk-Managed Income ETF		6.54%7.18%9.05%7.77%7.48%0.65%0.00%0.00%0.00%0.00%0.00%0.00%
SWAN
Amplify BlackSwan Growth & Treasury Core ETF		2.58%2.98%2.12%5.04%1.64%3.69%0.29%0.00%0.00%0.00%0.00%0.00%
BST
BlackRock Science and Technology Trust		8.63%8.91%10.57%8.45%3.72%10.19%6.20%4.64%6.47%6.71%0.55%0.00%
XYLD
Global X S&P 500 Covered Call ETF		8.39%10.51%13.44%9.08%7.93%5.76%7.12%4.67%3.23%4.65%4.14%2.49%
QYLD
Global X NASDAQ 100 Covered Call ETF		10.44%11.78%13.26%12.85%11.16%9.84%12.44%7.69%9.15%9.42%10.74%0.00%
KNG
FT Cboe Vest S&P 500 Dividend Aristocrats Target Income ETF		7.61%5.91%4.00%3.45%3.62%4.09%3.46%0.00%0.00%0.00%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF		2.58%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
SPYD
SPDR Portfolio S&P 500 High Dividend ETF		4.10%4.66%5.01%3.68%4.95%4.43%4.75%4.63%4.34%1.13%0.00%0.00%
VYM
Vanguard High Dividend Yield ETF		2.86%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%
JEPIX
JPMorgan Equity Premium Income Fund Class I		6.91%8.43%12.24%7.57%11.57%7.70%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.22%
-0.19%
FIRE Backtest
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FIRE Backtest. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the FIRE Backtest was 27.73%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.

The current FIRE Backtest drawdown is 0.22%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-27.73%Feb 20, 202023Mar 23, 2020114Sep 2, 2020137
-17.89%Jan 5, 2022186Sep 30, 2022320Jan 8, 2024506
-6.06%Sep 3, 202014Sep 23, 202013Oct 12, 202027
-5.4%Oct 13, 202012Oct 28, 20206Nov 5, 202018
-4.56%Jul 17, 202414Aug 5, 202410Aug 19, 202424

Volatility

Volatility Chart

The current FIRE Backtest volatility is 2.52%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

1.00%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
2.52%
4.31%
FIRE Backtest
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
SWANBSTNUSIQYLDSPYDXYLDJEPIXKNGSCHDDIVOVYM
SWAN1.000.580.640.590.450.560.590.560.530.580.54
BST0.581.000.730.750.410.650.550.480.480.540.49
NUSI0.640.731.000.780.370.670.550.480.490.550.49
QYLD0.590.750.781.000.450.790.640.540.550.620.56
SPYD0.450.410.370.451.000.590.650.880.910.770.92
XYLD0.560.650.670.790.591.000.690.660.670.710.68
JEPIX0.590.550.550.640.650.691.000.800.760.800.78
KNG0.560.480.480.540.880.660.801.000.930.860.93
SCHD0.530.480.490.550.910.670.760.931.000.870.97
DIVO0.580.540.550.620.770.710.800.860.871.000.89
VYM0.540.490.490.560.920.680.780.930.970.891.00
The correlation results are calculated based on daily price changes starting from Dec 23, 2019