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.
| Ticker | Name | Allocation |
|---|---|---|
| UST | ProShares Ultra 7-10 Year Treasury | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VUSTX | Vanguard Long-Term Treasury Inv | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $16,994 | 6.19% | 11.16% | 30.76% | -12.55% | -17.66% | 0.56 | 0.95 | -0.44 |
| Portfolio 2 | $10,000 | $16,447 | 5.79% | 11.26% | 29.28% | -13.03% | -16.68% | 0.52 | 0.92 | -0.47 |
| Name | Annualized Return | Annualized Volatility | |||||
|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Portfolio 1 | 6.79% | -1.08% | 0.87% | 4.24% | 6.19% | 9.99% | 10.13% |
| Portfolio 2 | 4.36% | -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. | |||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | ProShares Ultra 7-10 Year Treasury (UST) | Vanguard Long-Term Treasury Inv (VUSTX) | ||
|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | ||||
| 2010 | 1.12% | 13.18% | $11,318 | 6.33% | $10,633 | 13.18% | 6.33% |
| 2011 | 2.96% | 30.76% | $14,799 | 29.28% | $13,746 | 30.76% | 29.28% |
| 2012 | 1.74% | 6.69% | $15,790 | 3.47% | $14,222 | 6.69% | 3.47% |
| 2013 | 1.50% | -12.55% | $13,809 | -13.03% | $12,370 | -12.55% | -13.03% |
| 2014 | 0.76% | 17.65% | $16,246 | 25.28% | $15,496 | 17.65% | 25.28% |
| 2015 | 0.73% | 1.91% | $16,557 | -1.54% | $15,258 | 1.91% | -1.54% |
| 2016 | 2.07% | 0.54% | $16,646 | 1.20% | $15,441 | 0.54% | 1.20% |
| 2017 | 2.11% | 3.21% | $17,180 | 8.58% | $16,766 | 3.21% | 8.58% |
| 2018 | 1.91% | -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 | |||||||
| Year | Month | Portfolio 1 Return | Portfolio 2 Return | ProShares Ultra 7-10 Year Treasury (UST) | Vanguard Long-Term Treasury Inv (VUSTX) |
|---|---|---|---|---|---|
| 2010 | 3 | -2.24% | -1.51% | -2.24% | -1.51% |
| 2010 | 4 | 3.26% | 2.76% | 3.26% | 2.76% |
| 2010 | 5 | 5.51% | 4.23% | 5.51% | 4.23% |
| 2010 | 6 | 5.90% | 4.67% | 5.90% | 4.67% |
| 2010 | 7 | 2.54% | -0.17% | 2.54% | -0.17% |
| 2010 | 8 | 6.69% | 7.08% | 6.69% | 7.08% |
| 2010 | 9 | 0.28% | -1.82% | 0.28% | -1.82% |
| 2010 | 10 | -0.37% | -3.29% | -0.37% | -3.29% |
| 2010 | 11 | -2.09% | -1.60% | -2.09% | -1.60% |
| 2010 | 12 | -6.23% | -3.58% | -6.23% | -3.58% |
| 2011 | 1 | 0.20% | -2.38% | 0.20% | -2.38% |
| 2011 | 2 | -1.68% | 1.24% | -1.68% | 1.24% |
| 2011 | 3 | 0.28% | 0.02% | 0.28% | 0.02% |
| 2011 | 4 | 3.12% | 2.04% | 3.12% | 2.04% |
| 2011 | 5 | 5.05% | 3.29% | 5.05% | 3.29% |
| 2011 | 6 | -0.70% | -2.00% | -0.70% | -2.00% |
| 2011 | 7 | 5.72% | 4.18% | 5.72% | 4.18% |
| 2011 | 8 | 9.84% | 8.68% | 9.84% | 8.68% |
| 2011 | 9 | 4.24% | 10.16% | 4.24% | 10.16% |
| 2011 | 10 | -2.81% | -3.34% | -2.81% | -3.34% |
| 2011 | 11 | 1.09% | 1.82% | 1.09% | 1.82% |
| 2011 | 12 | 3.45% | 3.13% | 3.45% | 3.13% |
| 2012 | 1 | 1.95% | 0.08% | 1.95% | 0.08% |
| 2012 | 2 | -2.04% | -2.11% | -2.04% | -2.11% |
| 2012 | 3 | -3.28% | -3.77% | -3.28% | -3.77% |
| 2012 | 4 | 5.01% | 4.37% | 5.01% | 4.37% |
| 2012 | 5 | 5.89% | 7.79% | 5.89% | 7.79% |
| 2012 | 6 | -1.16% | -1.44% | -1.16% | -1.44% |
| 2012 | 7 | 2.62% | 3.32% | 2.62% | 3.32% |
| 2012 | 8 | -0.33% | -1.06% | -0.33% | -1.06% |
| 2012 | 9 | -0.55% | -2.10% | -0.55% | -2.10% |
| 2012 | 10 | -1.08% | -0.43% | -1.08% | -0.43% |
| 2012 | 11 | 1.90% | 1.35% | 1.90% | 1.35% |
| 2012 | 12 | -1.99% | -1.99% | -1.99% | -1.99% |
| 2013 | 1 | -2.64% | -3.27% | -2.64% | -3.27% |
| 2013 | 2 | 2.19% | 1.26% | 2.19% | 1.26% |
| 2013 | 3 | 0.64% | 0.03% | 0.64% | 0.03% |
| 2013 | 4 | 2.96% | 3.87% | 2.96% | 3.87% |
| 2013 | 5 | -6.05% | -6.23% | -6.05% | -6.23% |
| 2013 | 6 | -5.24% | -3.26% | -5.24% | -3.26% |
| 2013 | 7 | -0.73% | -1.93% | -0.73% | -1.93% |
| 2013 | 8 | -2.94% | -1.28% | -2.94% | -1.28% |
| 2013 | 9 | 3.55% | 0.88% | 3.55% | 0.88% |
| 2013 | 10 | 1.52% | 1.32% | 1.52% | 1.32% |
| 2013 | 11 | -1.82% | -2.49% | -1.82% | -2.49% |
| 2013 | 12 | -4.17% | -2.37% | -4.17% | -2.37% |
| 2014 | 1 | 6.00% | 6.26% | 6.00% | 6.26% |
| 2014 | 2 | 0.61% | 0.60% | 0.61% | 0.60% |
| 2014 | 3 | -1.05% | 0.63% | -1.05% | 0.63% |
| 2014 | 4 | 1.49% | 1.82% | 1.49% | 1.82% |
| 2014 | 5 | 3.42% | 2.73% | 3.42% | 2.73% |
| 2014 | 6 | -0.38% | -0.16% | -0.38% | -0.16% |
| 2014 | 7 | -0.58% | 0.59% | -0.58% | 0.59% |
| 2014 | 8 | 3.78% | 4.23% | 3.78% | 4.23% |
| 2014 | 9 | -2.26% | -1.99% | -2.26% | -1.99% |
| 2014 | 10 | 2.98% | 2.61% | 2.98% | 2.61% |
| 2014 | 11 | 2.51% | 2.86% | 2.51% | 2.86% |
| 2014 | 12 | 0.16% | 2.82% | 0.16% | 2.82% |
| 2015 | 1 | 8.63% | 8.97% | 8.63% | 8.97% |
| 2015 | 2 | -4.91% | -5.66% | -4.91% | -5.66% |
| 2015 | 3 | 1.51% | 1.13% | 1.51% | 1.13% |
| 2015 | 4 | -1.26% | -3.07% | -1.26% | -3.07% |
| 2015 | 5 | -0.94% | -2.16% | -0.94% | -2.16% |
| 2015 | 6 | -3.25% | -3.73% | -3.25% | -3.73% |
| 2015 | 7 | 2.81% | 4.21% | 2.81% | 4.21% |
| 2015 | 8 | 0.11% | -0.71% | 0.11% | -0.71% |
| 2015 | 9 | 3.13% | 1.91% | 3.13% | 1.91% |
| 2015 | 10 | -1.48% | -0.48% | -1.48% | -0.48% |
| 2015 | 11 | -0.89% | -0.81% | -0.89% | -0.81% |
| 2015 | 12 | -0.90% | -0.34% | -0.90% | -0.34% |
| 2016 | 1 | 6.59% | 5.24% | 6.59% | 5.24% |
| 2016 | 2 | 2.79% | 2.86% | 2.79% | 2.86% |
| 2016 | 3 | -0.23% | 0.05% | -0.23% | 0.05% |
| 2016 | 4 | -0.62% | -0.63% | -0.62% | -0.63% |
| 2016 | 5 | -0.08% | 0.69% | -0.08% | 0.69% |
| 2016 | 6 | 6.10% | 6.57% | 6.10% | 6.57% |
| 2016 | 7 | 0.36% | 2.01% | 0.36% | 2.01% |
| 2016 | 8 | -2.09% | -1.00% | -2.09% | -1.00% |
| 2016 | 9 | 0.21% | -1.32% | 0.21% | -1.32% |
| 2016 | 10 | -2.89% | -4.23% | -2.89% | -4.23% |
| 2016 | 11 | -8.53% | -7.86% | -8.53% | -7.86% |
| 2016 | 12 | -0.20% | -0.35% | -0.20% | -0.35% |
| 2017 | 1 | 0.27% | 0.65% | 0.27% | 0.65% |
| 2017 | 2 | 1.16% | 1.57% | 1.16% | 1.57% |
| 2017 | 3 | 0.15% | -0.59% | 0.15% | -0.59% |
| 2017 | 4 | 2.04% | 1.58% | 2.04% | 1.58% |
| 2017 | 5 | 1.45% | 1.73% | 1.45% | 1.73% |
| 2017 | 6 | -1.09% | 0.63% | -1.09% | 0.63% |
| 2017 | 7 | 0.53% | -0.59% | 0.53% | -0.59% |
| 2017 | 8 | 2.75% | 3.27% | 2.75% | 3.27% |
| 2017 | 9 | -3.05% | -2.27% | -3.05% | -2.27% |
| 2017 | 10 | -0.28% | -0.02% | -0.28% | -0.02% |
| 2017 | 11 | -0.95% | 0.63% | -0.95% | 0.63% |
| 2017 | 12 | 0.31% | 1.78% | 0.31% | 1.78% |
| 2018 | 1 | -4.67% | -3.40% | -4.67% | -3.40% |
| 2018 | 2 | -1.94% | -2.89% | -1.94% | -2.89% |
| 2018 | 3 | 2.49% | 2.75% | 2.49% | 2.75% |
| 2018 | 4 | -3.03% | -2.04% | -3.03% | -2.04% |
| 2018 | 5 | 1.69% | 1.79% | 1.69% | 1.79% |
| 2018 | 6 | 0.23% | 0.66% | 0.23% | 0.66% |
| 2018 | 7 | -1.43% | -1.28% | -1.43% | -1.28% |
| 2018 | 8 | 1.82% | 1.18% | 1.82% | 1.18% |
| 2018 | 9 | -2.55% | -2.74% | -2.55% | -2.74% |
| 2018 | 10 | -0.99% | -2.82% | -0.99% | -2.82% |
| 2018 | 11 | 2.50% | 1.78% | 2.50% | 1.78% |
| 2018 | 12 | 5.23% | 5.50% | 5.23% | 5.50% |
| Style Category | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Large-cap Value | 0.00% | 0.00% |
| Large-cap Growth | 0.00% | 0.00% |
| Mid-cap Value | 0.00% | 0.00% |
| Mid-cap Growth | 0.00% | 0.21% |
| Small-cap Value | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 0.00% | 0.00% |
| Emerging Markets | 0.00% | 1.24% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 50.10% | 82.56% |
| Intermediate-Term Treasuries | 49.90% | 16.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 87.32% | 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. | ||
| Ticker | Name | Category | Weight | Yield | Fees | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|
| UST | ProShares Ultra 7-10 Year Treasury | Leveraged Debt | 100.00% | 0.58% | 0.95% | $6,994 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VUSTX | Vanguard Long-Term Treasury Inv | Long Government | 100.00% | 1.82% | 0.20% | 18.33 | $6,447 | 100.00% |
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.
| Metric | Portfolio 1 | Portfolio 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% |
| R2 | 19.77% | 22.54% |
| Sharpe Ratio | 0.56 | 0.52 |
| Sortino Ratio | 0.95 | 0.92 |
| Treynor Ratio (%) | -16.08 | -14.05 |
| Calmar Ratio | 0.05 | 0.17 |
| Active Return | -5.59% | -5.98% |
| Tracking Error | 20.37% | 20.67% |
| Information Ratio | -0.27 | -0.29 |
| Skewness | 0.21 | 0.48 |
| Excess Kurtosis | 0.41 | 0.57 |
| 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 Rate | 15.66% | 14.61% |
| Perpetual Withdrawal Rate | 4.16% | 3.81% |
| Positive Periods | 57 out of 106 (53.77%) | 57 out of 106 (53.77%) |
| Gain/Loss Ratio | 1.35 | 1.31 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Aug 2016 | Oct 2018 | 2 years 3 months | -17.66% | |||
| 2 | May 2013 | Dec 2013 | 8 months | Jan 2015 | 1 year 1 month | 1 year 9 months | -15.16% |
| 3 | Oct 2010 | Feb 2011 | 5 months | Jul 2011 | 5 months | 10 months | -9.89% |
| 4 | Feb 2015 | Jun 2015 | 5 months | Feb 2016 | 8 months | 1 year 1 month | -8.66% |
| 5 | Feb 2012 | Mar 2012 | 2 months | May 2012 | 2 months | 4 months | -5.25% |
| 6 | Aug 2012 | Jan 2013 | 6 months | Apr 2013 | 3 months | 9 months | -4.66% |
| 7 | Oct 2011 | Oct 2011 | 1 month | Dec 2011 | 2 months | 3 months | -2.81% |
| 8 | Mar 2010 | Mar 2010 | 1 month | Apr 2010 | 1 month | 2 months | -2.24% |
| 9 | Jun 2012 | Jun 2012 | 1 month | Jul 2012 | 1 month | 2 months | -1.16% |
| 10 | Mar 2016 | May 2016 | 3 months | Jun 2016 | 1 month | 4 months | -0.93% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Aug 2012 | Dec 2013 | 1 year 5 months | Nov 2014 | 11 months | 2 years 4 months | -16.68% |
| 2 | Aug 2016 | Oct 2018 | 2 years 3 months | -14.79% | |||
| 3 | Feb 2015 | Jun 2015 | 5 months | Jun 2016 | 1 year | 1 year 5 months | -12.89% |
| 4 | Sep 2010 | Jan 2011 | 5 months | Aug 2011 | 7 months | 1 year | -12.05% |
| 5 | Feb 2012 | Mar 2012 | 2 months | May 2012 | 2 months | 4 months | -5.80% |
| 6 | Oct 2011 | Oct 2011 | 1 month | Dec 2011 | 2 months | 3 months | -3.34% |
| 7 | Mar 2010 | Mar 2010 | 1 month | Apr 2010 | 1 month | 2 months | -1.51% |
| 8 | Jun 2012 | Jun 2012 | 1 month | Jul 2012 | 1 month | 2 months | -1.44% |
| 9 | Jul 2010 | Jul 2010 | 1 month | Aug 2010 | 1 month | 2 months | -0.17% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| UST | ProShares Ultra 7-10 Year Treasury | 6.19% | 11.16% | 30.76% | -12.55% | -17.66% | 0.56 | 0.95 | -0.44 |
| VUSTX | Vanguard Long-Term Treasury Inv | 5.79% | 11.26% | 29.28% | -13.03% | -16.68% | 0.52 | 0.92 | -0.47 |
| Ticker | Name | UST | VUSTX | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| UST | ProShares Ultra 7-10 Year Treasury | 1.00 | 0.92 | 1.00 | 0.92 |
| VUSTX | Vanguard Long-Term Treasury Inv | 0.92 | 1.00 | 0.92 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| UST | ProShares Ultra 7-10 Year Treasury | $6,994 | |
| VUSTX | Vanguard Long-Term Treasury Inv | $6,447 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| UST | ProShares Ultra 7-10 Year Treasury | 100.00% | |
| VUSTX | Vanguard Long-Term Treasury Inv | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 5.37% | 33.04% | -13.12% | 5.73% | 32.53% | -13.45% |
| 3 years | 4.66% | 17.38% | -2.46% | 5.04% | 12.67% | -1.38% |
| 5 years | 4.78% | 11.75% | -0.39% | 5.30% | 10.34% | 1.79% |
| 7 years | 4.88% | 8.14% | 1.28% | 5.25% | 6.88% | 2.19% |