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 |
|---|---|---|
| SSO | ProShares Ultra S&P500 | 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 | $29,895 | 9.16% | 29.33% | 70.46% | -67.94% | -81.35% | 0.42 | 0.59 | 0.99 |
| Vanguard 500 Index Investor | $10,000 | $25,327 | 7.72% | 14.42% | 32.18% | -37.02% | -50.97% | 0.52 | 0.74 | 1.00 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | -27.03% | -14.62% | 14.42% | 13.19% | 22.36% | 9.16% | 22.00% | 22.16% |
| Vanguard 500 Index Investor | -13.55% | -4.52% | 9.11% | 8.34% | 12.97% | 7.72% | 10.96% | 10.95% |
| Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Vanguard 500 Index Investor | ProShares Ultra S&P500 (SSO) | ||
|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | |||
| 2006 | -0.54% | 22.63% | $12,263 | 12.66% | $11,266 | 22.63% |
| 2007 | 4.08% | 1.04% | $12,390 | 5.39% | $11,873 | 1.04% |
| 2008 | 0.09% | -67.94% | $3,972 | -37.02% | $7,478 | -67.94% |
| 2009 | 2.72% | 47.26% | $5,850 | 26.49% | $9,458 | 47.26% |
| 2010 | 1.50% | 26.83% | $7,420 | 14.91% | $10,869 | 26.83% |
| 2011 | 2.96% | -2.92% | $7,203 | 1.97% | $11,082 | -2.92% |
| 2012 | 1.74% | 31.04% | $9,439 | 15.82% | $12,836 | 31.04% |
| 2013 | 1.50% | 70.46% | $16,090 | 32.18% | $16,966 | 70.46% |
| 2014 | 0.76% | 25.53% | $20,198 | 13.51% | $19,258 | 25.53% |
| 2015 | 0.73% | -1.19% | $19,956 | 1.25% | $19,499 | -1.19% |
| 2016 | 2.07% | 21.55% | $24,256 | 11.82% | $21,803 | 21.55% |
| 2017 | 2.11% | 44.35% | $35,014 | 21.67% | $26,527 | 44.35% |
| 2018 | 1.91% | -14.62% | $29,895 | -4.52% | $25,327 | -14.62% |
| Annual return for 2006 is from 07/01/2006 to 12/31/2006 | ||||||
| Year | Month | Portfolio 1 Return | Vanguard 500 Index Investor Return | ProShares Ultra S&P500 (SSO) |
|---|---|---|---|---|
| 2006 | 7 | 0.48% | 0.61% | 0.48% |
| 2006 | 8 | 4.25% | 2.36% | 4.25% |
| 2006 | 9 | 4.69% | 2.56% | 4.69% |
| 2006 | 10 | 5.52% | 3.25% | 5.52% |
| 2006 | 11 | 3.35% | 1.89% | 3.35% |
| 2006 | 12 | 2.52% | 1.39% | 2.52% |
| 2007 | 1 | 2.12% | 1.49% | 2.12% |
| 2007 | 2 | -4.57% | -1.97% | -4.57% |
| 2007 | 3 | 1.90% | 1.11% | 1.90% |
| 2007 | 4 | 8.57% | 4.42% | 8.57% |
| 2007 | 5 | 6.17% | 3.48% | 6.17% |
| 2007 | 6 | -3.77% | -1.68% | -3.77% |
| 2007 | 7 | -7.04% | -3.08% | -7.04% |
| 2007 | 8 | 1.10% | 1.50% | 1.10% |
| 2007 | 9 | 7.78% | 3.72% | 7.78% |
| 2007 | 10 | 2.11% | 1.58% | 2.11% |
| 2007 | 11 | -8.50% | -4.19% | -8.50% |
| 2007 | 12 | -3.07% | -0.70% | -3.07% |
| 2008 | 1 | -12.86% | -6.02% | -12.86% |
| 2008 | 2 | -5.42% | -3.25% | -5.42% |
| 2008 | 3 | -3.07% | -0.44% | -3.07% |
| 2008 | 4 | 9.35% | 4.85% | 9.35% |
| 2008 | 5 | 2.36% | 1.29% | 2.36% |
| 2008 | 6 | -16.28% | -8.44% | -16.28% |
| 2008 | 7 | -2.55% | -0.83% | -2.55% |
| 2008 | 8 | 2.25% | 1.45% | 2.25% |
| 2008 | 9 | -19.63% | -8.91% | -19.63% |
| 2008 | 10 | -34.93% | -16.79% | -34.93% |
| 2008 | 11 | -16.98% | -7.17% | -16.98% |
| 2008 | 12 | -1.00% | 1.07% | -1.00% |
| 2009 | 1 | -16.48% | -8.41% | -16.48% |
| 2009 | 2 | -21.10% | -10.66% | -21.10% |
| 2009 | 3 | 14.58% | 8.76% | 14.58% |
| 2009 | 4 | 20.32% | 9.56% | 20.32% |
| 2009 | 5 | 11.20% | 5.62% | 11.20% |
| 2009 | 6 | -0.64% | 0.22% | -0.64% |
| 2009 | 7 | 14.46% | 7.58% | 14.46% |
| 2009 | 8 | 7.39% | 3.60% | 7.39% |
| 2009 | 9 | 7.10% | 3.72% | 7.10% |
| 2009 | 10 | -4.28% | -1.87% | -4.28% |
| 2009 | 11 | 12.33% | 5.98% | 12.33% |
| 2009 | 12 | 3.66% | 1.95% | 3.66% |
| 2010 | 1 | -7.51% | -3.60% | -7.51% |
| 2010 | 2 | 6.11% | 3.09% | 6.11% |
| 2010 | 3 | 12.38% | 6.01% | 12.38% |
| 2010 | 4 | 2.81% | 1.58% | 2.81% |
| 2010 | 5 | -16.09% | -8.01% | -16.09% |
| 2010 | 6 | -10.92% | -5.24% | -10.92% |
| 2010 | 7 | 14.06% | 7.00% | 14.06% |
| 2010 | 8 | -9.25% | -4.53% | -9.25% |
| 2010 | 9 | 18.44% | 8.92% | 18.44% |
| 2010 | 10 | 7.57% | 3.79% | 7.57% |
| 2010 | 11 | -0.40% | 0.00% | -0.40% |
| 2010 | 12 | 13.94% | 6.67% | 13.94% |
| 2011 | 1 | 4.33% | 2.36% | 4.33% |
| 2011 | 2 | 6.94% | 3.42% | 6.94% |
| 2011 | 3 | -0.39% | 0.03% | -0.39% |
| 2011 | 4 | 5.74% | 2.95% | 5.74% |
| 2011 | 5 | -2.38% | -1.15% | -2.38% |
| 2011 | 6 | -3.74% | -1.67% | -3.74% |
| 2011 | 7 | -4.22% | -2.05% | -4.22% |
| 2011 | 8 | -12.81% | -5.45% | -12.81% |
| 2011 | 9 | -13.86% | -7.04% | -13.86% |
| 2011 | 10 | 21.81% | 10.91% | 21.81% |
| 2011 | 11 | -1.56% | -0.23% | -1.56% |
| 2011 | 12 | 1.91% | 1.02% | 1.91% |
| 2012 | 1 | 8.97% | 4.46% | 8.97% |
| 2012 | 2 | 8.45% | 4.31% | 8.45% |
| 2012 | 3 | 6.71% | 3.28% | 6.71% |
| 2012 | 4 | -1.61% | -0.64% | -1.61% |
| 2012 | 5 | -11.37% | -6.02% | -11.37% |
| 2012 | 6 | 7.27% | 4.11% | 7.27% |
| 2012 | 7 | 2.53% | 1.37% | 2.53% |
| 2012 | 8 | 4.61% | 2.24% | 4.61% |
| 2012 | 9 | 4.87% | 2.58% | 4.87% |
| 2012 | 10 | -4.15% | -1.86% | -4.15% |
| 2012 | 11 | 0.94% | 0.56% | 0.94% |
| 2012 | 12 | 2.08% | 0.90% | 2.08% |
| 2013 | 1 | 10.27% | 5.18% | 10.27% |
| 2013 | 2 | 2.16% | 1.34% | 2.16% |
| 2013 | 3 | 7.39% | 3.74% | 7.39% |
| 2013 | 4 | 3.86% | 1.91% | 3.86% |
| 2013 | 5 | 4.55% | 2.33% | 4.55% |
| 2013 | 6 | -3.11% | -1.35% | -3.11% |
| 2013 | 7 | 10.41% | 5.07% | 10.41% |
| 2013 | 8 | -6.08% | -2.91% | -6.08% |
| 2013 | 9 | 6.48% | 3.12% | 6.48% |
| 2013 | 10 | 9.07% | 4.59% | 9.07% |
| 2013 | 11 | 5.77% | 3.03% | 5.77% |
| 2013 | 12 | 5.13% | 2.51% | 5.13% |
| 2014 | 1 | -7.23% | -3.47% | -7.23% |
| 2014 | 2 | 9.06% | 4.56% | 9.06% |
| 2014 | 3 | 1.52% | 0.82% | 1.52% |
| 2014 | 4 | 1.23% | 0.72% | 1.23% |
| 2014 | 5 | 4.41% | 2.33% | 4.41% |
| 2014 | 6 | 4.10% | 2.05% | 4.10% |
| 2014 | 7 | -2.88% | -1.39% | -2.88% |
| 2014 | 8 | 7.87% | 3.98% | 7.87% |
| 2014 | 9 | -2.93% | -1.41% | -2.93% |
| 2014 | 10 | 4.38% | 2.42% | 4.38% |
| 2014 | 11 | 5.54% | 2.68% | 5.54% |
| 2014 | 12 | -0.84% | -0.26% | -0.84% |
| 2015 | 1 | -6.15% | -3.02% | -6.15% |
| 2015 | 2 | 11.40% | 5.74% | 11.40% |
| 2015 | 3 | -3.43% | -1.59% | -3.43% |
| 2015 | 4 | 1.84% | 0.95% | 1.84% |
| 2015 | 5 | 2.31% | 1.27% | 2.31% |
| 2015 | 6 | -4.09% | -1.93% | -4.09% |
| 2015 | 7 | 4.22% | 2.08% | 4.22% |
| 2015 | 8 | -12.48% | -6.05% | -12.48% |
| 2015 | 9 | -5.54% | -2.48% | -5.54% |
| 2015 | 10 | 17.45% | 8.42% | 17.45% |
| 2015 | 11 | 0.60% | 0.29% | 0.60% |
| 2015 | 12 | -3.80% | -1.59% | -3.80% |
| 2016 | 1 | -10.37% | -4.98% | -10.37% |
| 2016 | 2 | -0.62% | -0.15% | -0.62% |
| 2016 | 3 | 13.98% | 6.78% | 13.98% |
| 2016 | 4 | 0.60% | 0.37% | 0.60% |
| 2016 | 5 | 3.18% | 1.78% | 3.18% |
| 2016 | 6 | 0.16% | 0.25% | 0.16% |
| 2016 | 7 | 7.40% | 3.68% | 7.40% |
| 2016 | 8 | 0.10% | 0.13% | 0.10% |
| 2016 | 9 | -0.28% | 0.01% | -0.28% |
| 2016 | 10 | -3.68% | -1.83% | -3.68% |
| 2016 | 11 | 7.23% | 3.70% | 7.23% |
| 2016 | 12 | 4.00% | 1.96% | 4.00% |
| 2017 | 1 | 3.47% | 1.88% | 3.47% |
| 2017 | 2 | 7.83% | 3.96% | 7.83% |
| 2017 | 3 | -0.02% | 0.10% | -0.02% |
| 2017 | 4 | 1.85% | 1.02% | 1.85% |
| 2017 | 5 | 2.55% | 1.39% | 2.55% |
| 2017 | 6 | 1.04% | 0.61% | 1.04% |
| 2017 | 7 | 3.95% | 2.04% | 3.95% |
| 2017 | 8 | 0.31% | 0.29% | 0.31% |
| 2017 | 9 | 3.82% | 2.06% | 3.82% |
| 2017 | 10 | 4.53% | 2.32% | 4.53% |
| 2017 | 11 | 5.87% | 3.06% | 5.87% |
| 2017 | 12 | 2.36% | 1.10% | 2.36% |
| 2018 | 1 | 11.17% | 5.71% | 11.17% |
| 2018 | 2 | -8.07% | -3.69% | -8.07% |
| 2018 | 3 | -5.54% | -2.56% | -5.54% |
| 2018 | 4 | 0.20% | 0.37% | 0.20% |
| 2018 | 5 | 4.41% | 2.39% | 4.41% |
| 2018 | 6 | 1.02% | 0.61% | 1.02% |
| 2018 | 7 | 7.09% | 3.71% | 7.09% |
| 2018 | 8 | 6.15% | 3.25% | 6.15% |
| 2018 | 9 | 0.89% | 0.55% | 0.89% |
| 2018 | 10 | -14.01% | -6.85% | -14.01% |
| 2018 | 11 | 3.15% | 2.03% | 3.15% |
| 2018 | 12 | -17.72% | -9.04% | -17.72% |
| Style Category | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|
| Large-cap Value | 29.43% | 47.12% |
| Large-cap Growth | 0.00% | 52.72% |
| Mid-cap Value | 0.00% | 0.00% |
| Mid-cap Growth | 16.66% | 0.00% |
| Small-cap Value | 31.52% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 3.66% | 0.00% |
| Emerging Markets | 18.73% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 0.00% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.17% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 76.87% | 99.93% |
| Style analysis is based on monthly returns from July 2006 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 |
|---|---|---|---|---|---|---|---|
| SSO | ProShares Ultra S&P500 | Leveraged Equity | 100.00% | 0.19% | 0.91% | $19,895 | 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 | Vanguard 500 Index Investor |
|---|---|---|
| Arithmetic Mean (monthly) | 1.11% | 0.71% |
| Arithmetic Mean (annualized) | 14.12% | 8.85% |
| Geometric Mean (monthly) | 0.73% | 0.62% |
| Geometric Mean (annualized) | 9.16% | 7.72% |
| Volatility (monthly) | 8.47% | 4.16% |
| Volatility (annualized) | 29.33% | 14.42% |
| Downside Deviation (monthly) | 6.03% | 2.91% |
| Max. Drawdown | -81.35% | -50.97% |
| US Market Correlation | 0.99 | 1.00 |
| Beta(*) | 2.03 | 1.00 |
| Alpha (annualized) | -3.98% | 0.00% |
| R2 | 99.49% | 100.00% |
| Sharpe Ratio | 0.42 | 0.52 |
| Sortino Ratio | 0.59 | 0.74 |
| Treynor Ratio (%) | 6.07 | 7.54 |
| Calmar Ratio | 0.53 | 0.67 |
| Active Return | 1.44% | N/A |
| Tracking Error | 14.98% | N/A |
| Information Ratio | 0.10 | N/A |
| Skewness | -0.79 | -0.82 |
| Excess Kurtosis | 1.99 | 1.94 |
| Historical Value-at-Risk (5%) | -15.16% | -7.12% |
| Analytical Value-at-Risk (5%) | -12.82% | -6.14% |
| Conditional Value-at-Risk (5%) | -19.90% | -9.68% |
| Upside Capture Ratio (%) | 208.40 | 100.00 |
| Downside Capture Ratio (%) | 201.32 | 100.00 |
| Safe Withdrawal Rate | 7.47% | 9.51% |
| Perpetual Withdrawal Rate | 6.56% | 5.36% |
| Positive Periods | 96 out of 150 (64.00%) | 101 out of 150 (67.33%) |
| Gain/Loss Ratio | 0.80 | 0.74 |
| * Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | ||
| Stress Period | Start | End | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|---|---|
| Subprime Crisis | Nov 2007 | Mar 2009 | -81.26% | -50.97% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Oct 2013 | 4 years 8 months | 6 years 5 months | -81.35% |
| 2 | Oct 2018 | Dec 2018 | 3 months | -27.03% | |||
| 3 | Jun 2015 | Sep 2015 | 4 months | Jul 2016 | 10 months | 1 year 2 months | -17.36% |
| 4 | Feb 2018 | Mar 2018 | 2 months | Aug 2018 | 5 months | 7 months | -13.17% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -7.23% |
| 6 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -6.94% |
| 7 | Feb 2007 | Feb 2007 | 1 month | Apr 2007 | 2 months | 3 months | -4.57% |
| 8 | Sep 2016 | Oct 2016 | 2 months | Nov 2016 | 1 month | 3 months | -3.95% |
| 9 | Mar 2015 | Mar 2015 | 1 month | May 2015 | 2 months | 3 months | -3.43% |
| 10 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 1 month | 2 months | -2.93% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
| 2 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
| 3 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 4 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
| 5 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.71% |
| 6 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 7 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| 8 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -2.91% |
| 9 | Feb 2007 | Feb 2007 | 1 month | Apr 2007 | 2 months | 3 months | -1.97% |
| 10 | Jun 2015 | Jun 2015 | 1 month | Jul 2015 | 1 month | 2 months | -1.93% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| SSO | ProShares Ultra S&P500 | 9.16% | 29.33% | 70.46% | -67.94% | -81.35% | 0.42 | 0.59 | 0.99 |
| Roll Period | Portfolio 1 | Vanguard 500 Index Investor | ||||
|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | |
| 1 year | 17.37% | 119.34% | -74.37% | 9.73% | 53.61% | -43.32% |
| 3 years | 15.00% | 48.15% | -28.40% | 9.70% | 25.43% | -9.84% |
| 5 years | 17.55% | 44.13% | -11.68% | 10.94% | 22.85% | -1.26% |
| 7 years | 17.52% | 31.91% | 2.51% | 11.09% | 17.12% | 5.27% |
| 10 years | 11.40% | 24.65% | 6.51% | 8.66% | 14.17% | 6.58% |