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 Analysis Results (Mar 2010 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UST ProShares Ultra 7-10 Year Treasury 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$16,994 6.19% 11.16%30.76%-12.55%-17.66% 0.560.95-0.44
Portfolio 2$10,000$16,447 5.79% 11.26%29.28%-13.03%-16.68% 0.520.92-0.47
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 16.79%-1.08%0.87%4.24%6.19%9.99%10.13%
Portfolio 24.36%-1.90%2.53%5.86%5.79%9.80%10.35%
Trailing annualized return and volatility are for full months ending in December 2018 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 2010 are based on monthly returns from March to December
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2ProShares Ultra 7-10 Year Treasury (UST)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalance
20101.12%13.18%$11,3186.33%$10,63313.18%6.33%
20112.96%30.76%$14,79929.28%$13,74630.76%29.28%
20121.74%6.69%$15,7903.47%$14,2226.69%3.47%
20131.50%-12.55%$13,809-13.03%$12,370-12.55%-13.03%
20140.76%17.65%$16,24625.28%$15,49617.65%25.28%
20150.73%1.91%$16,557-1.54%$15,2581.91%-1.54%
20162.07%0.54%$16,6461.20%$15,4410.54%1.20%
20172.11%3.21%$17,1808.58%$16,7663.21%8.58%
20181.91%-1.08%$16,994-1.90%$16,447-1.08%-1.90%
Annual return for 2010 is from 03/01/2010 to 12/31/2010
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnProShares Ultra 7-10 Year Treasury (UST)Vanguard Long-Term Treasury Inv (VUSTX)
20103-2.24%-1.51%-2.24%-1.51%
201043.26%2.76%3.26%2.76%
201055.51%4.23%5.51%4.23%
201065.90%4.67%5.90%4.67%
201072.54%-0.17%2.54%-0.17%
201086.69%7.08%6.69%7.08%
201090.28%-1.82%0.28%-1.82%
201010-0.37%-3.29%-0.37%-3.29%
201011-2.09%-1.60%-2.09%-1.60%
201012-6.23%-3.58%-6.23%-3.58%
201110.20%-2.38%0.20%-2.38%
20112-1.68%1.24%-1.68%1.24%
201130.28%0.02%0.28%0.02%
201143.12%2.04%3.12%2.04%
201155.05%3.29%5.05%3.29%
20116-0.70%-2.00%-0.70%-2.00%
201175.72%4.18%5.72%4.18%
201189.84%8.68%9.84%8.68%
201194.24%10.16%4.24%10.16%
201110-2.81%-3.34%-2.81%-3.34%
2011111.09%1.82%1.09%1.82%
2011123.45%3.13%3.45%3.13%
201211.95%0.08%1.95%0.08%
20122-2.04%-2.11%-2.04%-2.11%
20123-3.28%-3.77%-3.28%-3.77%
201245.01%4.37%5.01%4.37%
201255.89%7.79%5.89%7.79%
20126-1.16%-1.44%-1.16%-1.44%
201272.62%3.32%2.62%3.32%
20128-0.33%-1.06%-0.33%-1.06%
20129-0.55%-2.10%-0.55%-2.10%
201210-1.08%-0.43%-1.08%-0.43%
2012111.90%1.35%1.90%1.35%
201212-1.99%-1.99%-1.99%-1.99%
20131-2.64%-3.27%-2.64%-3.27%
201322.19%1.26%2.19%1.26%
201330.64%0.03%0.64%0.03%
201342.96%3.87%2.96%3.87%
20135-6.05%-6.23%-6.05%-6.23%
20136-5.24%-3.26%-5.24%-3.26%
20137-0.73%-1.93%-0.73%-1.93%
20138-2.94%-1.28%-2.94%-1.28%
201393.55%0.88%3.55%0.88%
2013101.52%1.32%1.52%1.32%
201311-1.82%-2.49%-1.82%-2.49%
201312-4.17%-2.37%-4.17%-2.37%
201416.00%6.26%6.00%6.26%
201420.61%0.60%0.61%0.60%
20143-1.05%0.63%-1.05%0.63%
201441.49%1.82%1.49%1.82%
201453.42%2.73%3.42%2.73%
20146-0.38%-0.16%-0.38%-0.16%
20147-0.58%0.59%-0.58%0.59%
201483.78%4.23%3.78%4.23%
20149-2.26%-1.99%-2.26%-1.99%
2014102.98%2.61%2.98%2.61%
2014112.51%2.86%2.51%2.86%
2014120.16%2.82%0.16%2.82%
201518.63%8.97%8.63%8.97%
20152-4.91%-5.66%-4.91%-5.66%
201531.51%1.13%1.51%1.13%
20154-1.26%-3.07%-1.26%-3.07%
20155-0.94%-2.16%-0.94%-2.16%
20156-3.25%-3.73%-3.25%-3.73%
201572.81%4.21%2.81%4.21%
201580.11%-0.71%0.11%-0.71%
201593.13%1.91%3.13%1.91%
201510-1.48%-0.48%-1.48%-0.48%
201511-0.89%-0.81%-0.89%-0.81%
201512-0.90%-0.34%-0.90%-0.34%
201616.59%5.24%6.59%5.24%
201622.79%2.86%2.79%2.86%
20163-0.23%0.05%-0.23%0.05%
20164-0.62%-0.63%-0.62%-0.63%
20165-0.08%0.69%-0.08%0.69%
201666.10%6.57%6.10%6.57%
201670.36%2.01%0.36%2.01%
20168-2.09%-1.00%-2.09%-1.00%
201690.21%-1.32%0.21%-1.32%
201610-2.89%-4.23%-2.89%-4.23%
201611-8.53%-7.86%-8.53%-7.86%
201612-0.20%-0.35%-0.20%-0.35%
201710.27%0.65%0.27%0.65%
201721.16%1.57%1.16%1.57%
201730.15%-0.59%0.15%-0.59%
201742.04%1.58%2.04%1.58%
201751.45%1.73%1.45%1.73%
20176-1.09%0.63%-1.09%0.63%
201770.53%-0.59%0.53%-0.59%
201782.75%3.27%2.75%3.27%
20179-3.05%-2.27%-3.05%-2.27%
201710-0.28%-0.02%-0.28%-0.02%
201711-0.95%0.63%-0.95%0.63%
2017120.31%1.78%0.31%1.78%
20181-4.67%-3.40%-4.67%-3.40%
20182-1.94%-2.89%-1.94%-2.89%
201832.49%2.75%2.49%2.75%
20184-3.03%-2.04%-3.03%-2.04%
201851.69%1.79%1.69%1.79%
201860.23%0.66%0.23%0.66%
20187-1.43%-1.28%-1.43%-1.28%
201881.82%1.18%1.82%1.18%
20189-2.55%-2.74%-2.55%-2.74%
201810-0.99%-2.82%-0.99%-2.82%
2018112.50%1.78%2.50%1.78%
2018125.23%5.50%5.23%5.50%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.21%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%1.24%
Corporate Bonds0.00%0.00%
Long-Term Treasuries50.10%82.56%
Intermediate-Term Treasuries49.90%16.00%
Short-Term Treasuries0.00%0.00%
R Squared87.32%99.59%
Style analysis is based on monthly returns from March 2010 to December 2018 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
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
USTProShares Ultra 7-10 Year TreasuryLeveraged Debt100.00%0.58%0.95%$6,994100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%1.82%0.20%18.33$6,447100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (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)0.55%0.52%
Arithmetic Mean (annualized)6.83%6.45%
Geometric Mean (monthly)0.50%0.47%
Geometric Mean (annualized)6.19%5.79%
Volatility (monthly)3.22%3.25%
Volatility (annualized)11.16%11.26%
Downside Deviation (monthly)1.87%1.83%
Max. Drawdown-17.66%-16.68%
US Market Correlation-0.44-0.47
Beta(*)-0.39-0.42
Alpha (annualized)11.28%11.28%
R219.77%22.54%
Sharpe Ratio0.560.52
Sortino Ratio0.950.92
Treynor Ratio (%)-16.08-14.05
Calmar Ratio0.050.17
Active Return-5.59%-5.98%
Tracking Error20.37%20.67%
Information Ratio-0.27-0.29
Skewness0.210.48
Excess Kurtosis0.410.57
Historical Value-at-Risk (5%)-4.54%-3.69%
Analytical Value-at-Risk (5%)-4.75%-4.82%
Conditional Value-at-Risk (5%)-5.94%-5.25%
Upside Capture Ratio (%)-5.49-7.57
Downside Capture Ratio (%)-67.61-69.35
Safe Withdrawal Rate15.66%14.61%
Perpetual Withdrawal Rate4.16%3.81%
Positive Periods57 out of 106 (53.77%)57 out of 106 (53.77%)
Gain/Loss Ratio1.351.31
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Oct 20182 years 3 months-17.66%
2May 2013Dec 20138 monthsJan 20151 year 1 month1 year 9 months-15.16%
3Oct 2010Feb 20115 monthsJul 20115 months10 months-9.89%
4Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-8.66%
5Feb 2012Mar 20122 monthsMay 20122 months4 months-5.25%
6Aug 2012Jan 20136 monthsApr 20133 months9 months-4.66%
7Oct 2011Oct 20111 monthDec 20112 months3 months-2.81%
8Mar 2010Mar 20101 monthApr 20101 month2 months-2.24%
9Jun 2012Jun 20121 monthJul 20121 month2 months-1.16%
10Mar 2016May 20163 monthsJun 20161 month4 months-0.93%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 months-14.79%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
5Feb 2012Mar 20122 monthsMay 20122 months4 months-5.80%
6Oct 2011Oct 20111 monthDec 20112 months3 months-3.34%
7Mar 2010Mar 20101 monthApr 20101 month2 months-1.51%
8Jun 2012Jun 20121 monthJul 20121 month2 months-1.44%
9Jul 2010Jul 20101 monthAug 20101 month2 months-0.17%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
USTProShares Ultra 7-10 Year Treasury6.19%11.16%30.76%-12.55%-17.66%0.560.95-0.44
VUSTXVanguard Long-Term Treasury Inv5.79%11.26%29.28%-13.03%-16.68%0.520.92-0.47

Monthly Correlations

Correlations for the portfolio assets
TickerNameUSTVUSTXPortfolio 1Portfolio 2
USTProShares Ultra 7-10 Year Treasury1.000.921.000.92
VUSTXVanguard Long-Term Treasury Inv0.921.000.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
USTProShares Ultra 7-10 Year Treasury$6,994
VUSTXVanguard Long-Term Treasury Inv$6,447

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
USTProShares Ultra 7-10 Year Treasury100.00%
VUSTXVanguard Long-Term Treasury Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year5.37%33.04%-13.12%5.73%32.53%-13.45%
3 years4.66%17.38%-2.46%5.04%12.67%-1.38%
5 years4.78%11.75%-0.39%5.30%10.34%1.79%
7 years4.88%8.14%1.28%5.25%6.88%2.19%