Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 (Jul 2006 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SSO ProShares Ultra S&P500 40.00%
DXKLX Direxion Mthly 7-10 Yr Treasury Bull 2X 60.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$37,969 11.26% 12.08%20.35%-6.51%-21.70% 0.871.390.63
Portfolio 2$10,000$22,464 6.69% 8.56%18.40%-20.19%-30.78% 0.691.010.98
Vanguard 500 Index Investor$10,000$25,327 7.72% 14.42%32.18%-37.02%-50.97% 0.520.741.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2006 are based on full calendar months from July 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceProShares Ultra S&P500 (SSO)Direxion Mthly 7-10 Yr Treasury Bull 2X (DXKLX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
2006-0.54%15.14%9.70%12.66%$11,514$10,970$11,26622.63%10.14%12.66%5.25%
20074.08%11.10%6.00%5.39%$12,791$11,628$11,8731.04%17.80%5.39%6.92%
20080.09%0.19%-20.19%-37.02%$12,816$9,280$7,478-67.94%45.61%-37.02%5.05%
20092.72%7.48%18.27%26.49%$13,775$10,975$9,45847.26%-19.04%26.49%5.93%
20101.50%17.75%11.52%14.91%$16,221$12,239$10,86926.83%11.70%14.91%6.42%
20112.96%17.07%4.20%1.97%$18,990$12,754$11,082-2.92%30.40%1.97%7.56%
20121.74%15.71%11.11%15.82%$21,973$14,171$12,83631.04%5.49%15.82%4.05%
20131.50%19.63%18.40%32.18%$26,287$16,778$16,96670.46%-14.26%32.18%-2.26%
20140.76%20.35%10.41%13.51%$31,637$18,525$19,25825.53%16.90%13.51%5.76%
20150.73%-0.21%0.87%1.25%$31,569$18,686$19,499-1.19%0.44%1.25%0.30%
20162.07%7.76%8.09%11.82%$34,019$20,197$21,80321.55%-1.43%11.82%2.50%
20172.11%19.38%14.39%21.67%$40,611$23,103$26,52744.35%2.73%21.67%3.46%
20181.91%-6.51%-2.77%-4.52%$37,969$22,464$25,327-14.62%-1.10%-4.52%-0.13%
Annual returns for 2006 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares Ultra S&P500 (SSO)Direxion Mthly 7-10 Yr Treasury Bull 2X (DXKLX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
200672.20%0.90%0.61%$10,220$10,090$10,0610.48%3.34%0.61%1.35%
200684.38%2.07%2.36%$10,667$10,299$10,2984.25%4.46%2.36%1.64%
200693.40%1.86%2.56%$11,030$10,491$10,5624.69%2.56%2.56%0.81%
2006101.91%2.25%3.25%$11,241$10,727$10,9065.52%-0.47%3.25%0.72%
2006112.33%1.58%1.89%$11,504$10,897$11,1123.35%1.62%1.89%1.11%
2006120.09%0.67%1.39%$11,514$10,970$11,2662.52%-1.65%1.39%-0.48%
200710.00%0.86%1.49%$11,514$11,064$11,4352.12%-1.41%1.49%-0.08%
200720.58%-0.59%-1.97%$11,581$10,999$11,209-4.57%4.14%-1.97%1.50%
200730.11%0.67%1.11%$11,594$11,073$11,3341.90%-1.02%1.11%0.02%
200743.75%2.85%4.42%$12,029$11,388$11,8358.57%0.62%4.42%0.51%
20075-0.16%1.81%3.48%$12,009$11,594$12,2466.17%-4.61%3.48%-0.78%
20076-2.59%-1.18%-1.68%$11,699$11,456$12,041-3.77%-1.66%-1.68%-0.39%
20077-0.08%-1.57%-3.08%$11,689$11,277$11,669-7.04%5.24%-3.08%0.84%
200783.01%1.44%1.50%$12,041$11,439$11,8441.10%4.30%1.50%1.34%
200793.26%2.54%3.72%$12,433$11,729$12,2857.78%0.30%3.72%0.72%
2007102.03%1.33%1.58%$12,686$11,884$12,4792.11%1.98%1.58%0.93%
2007112.18%-1.83%-4.19%$12,963$11,667$11,957-8.50%9.72%-4.19%1.91%
200712-1.32%-0.33%-0.70%$12,791$11,628$11,873-3.07%-0.30%-0.70%0.22%
20081-0.24%-2.93%-6.02%$12,761$11,287$11,159-12.86%8.18%-6.02%1.69%
200820.21%-1.81%-3.25%$12,787$11,083$10,796-5.42%3.23%-3.25%0.19%
200830.89%-0.13%-0.44%$12,901$11,069$10,749-3.07%2.84%-0.44%0.30%
20084-1.55%2.64%4.85%$12,702$11,361$11,2709.35%-6.60%4.85%-0.30%
20085-2.36%0.43%1.29%$12,401$11,409$11,4162.36%-4.93%1.29%-0.79%
20086-3.87%-4.96%-8.44%$11,921$10,843$10,453-16.28%3.38%-8.44%-0.01%
200870.34%-0.47%-0.83%$11,961$10,792$10,366-2.55%1.70%-0.83%0.00%
200883.06%1.12%1.45%$12,327$10,913$10,5162.25%3.43%1.45%0.70%
20089-7.22%-5.52%-8.91%$11,437$10,310$9,579-19.63%-1.66%-8.91%-1.10%
200810-11.25%-10.32%-16.79%$10,150$9,246$7,971-34.93%-2.57%-16.79%-2.53%
20081114.31%-1.84%-7.17%$11,602$9,077$7,399-16.98%21.96%-7.17%3.64%
20081210.46%2.24%1.07%$12,816$9,280$7,478-1.00%12.37%1.07%3.32%
20091-11.74%-5.33%-8.41%$11,311$8,786$6,849-16.48%-8.58%-8.41%-0.70%
20092-9.60%-6.36%-10.66%$10,226$8,227$6,119-21.10%-2.59%-10.66%-0.42%
2009310.25%5.51%8.76%$11,274$8,680$6,65514.58%8.11%8.76%1.48%
200942.33%5.61%9.56%$11,537$9,167$7,29120.32%-7.08%9.56%0.36%
200951.22%3.67%5.62%$11,678$9,504$7,70011.20%-5.54%5.62%0.85%
20096-1.26%0.35%0.22%$11,530$9,537$7,717-0.64%-1.75%0.22%0.54%
200977.65%5.13%7.58%$12,413$10,026$8,30214.46%2.17%7.58%1.43%
200984.42%2.61%3.60%$12,962$10,288$8,6017.39%1.75%3.60%1.01%
200994.61%2.76%3.72%$13,559$10,572$8,9217.10%2.23%3.72%1.19%
200910-2.77%-1.02%-1.87%$13,184$10,464$8,754-4.28%-1.25%-1.87%0.41%
2009117.85%4.24%5.98%$14,218$10,908$9,27812.33%3.51%5.98%1.36%
200912-3.12%0.62%1.95%$13,775$10,975$9,4583.66%-10.23%1.95%-1.68%
20101-0.53%-1.53%-3.60%$13,701$10,807$9,117-7.51%4.11%-3.60%1.57%
201022.32%1.90%3.09%$14,019$11,012$9,3996.11%0.08%3.09%0.20%
201032.80%3.54%6.01%$14,412$11,402$9,96412.38%-3.21%6.01%-0.08%
201043.06%1.38%1.58%$14,853$11,559$10,1222.81%3.24%1.58%1.06%
20105-3.27%-4.54%-8.01%$14,367$11,034$9,311-16.09%6.04%-8.01%0.87%
20106-0.04%-2.41%-5.24%$14,361$10,767$8,824-10.92%6.21%-5.24%1.61%
201075.11%4.39%7.00%$15,095$11,241$9,44114.06%0.79%7.00%0.94%
201081.72%-2.03%-4.53%$15,355$11,012$9,013-9.25%7.71%-4.53%1.48%
201095.37%5.08%8.92%$16,179$11,571$9,81718.44%-0.63%8.92%-0.01%
2010101.73%2.39%3.79%$16,460$11,847$10,1897.57%-1.47%3.79%0.36%
201011-1.73%-0.23%0.00%$16,175$11,820$10,189-0.40%-2.52%0.00%-0.57%
2010120.28%3.55%6.67%$16,221$12,239$10,86913.94%-8.06%6.67%-1.15%
201110.96%1.45%2.36%$16,376$12,416$11,1254.33%-1.29%2.36%0.08%
201122.73%2.13%3.42%$16,823$12,681$11,5056.94%-0.24%3.42%0.16%
20113-0.57%0.01%0.03%$16,727$12,683$11,508-0.39%-0.71%0.03%-0.01%
201144.34%2.32%2.95%$17,452$12,977$11,8475.74%3.27%2.95%1.32%
201151.61%-0.21%-1.15%$17,733$12,950$11,711-2.38%4.71%-1.15%1.30%
20116-2.62%-1.17%-1.67%$17,269$12,798$11,516-3.74%-1.81%-1.67%-0.39%
201171.96%-0.63%-2.05%$17,608$12,718$11,280-4.22%6.34%-2.05%1.58%
201181.43%-2.68%-5.45%$17,859$12,377$10,666-12.81%10.52%-5.45%1.46%
20119-0.71%-3.73%-7.04%$17,732$11,916$9,914-13.86%5.91%-7.04%0.89%
2011103.56%6.21%10.91%$18,363$12,655$10,99621.81%-3.92%10.91%0.16%
2011110.34%-0.26%-0.23%$18,424$12,622$10,971-1.56%1.32%-0.23%-0.30%
2011123.07%1.04%1.02%$18,990$12,754$11,0821.91%3.66%1.02%1.08%
201214.45%3.03%4.46%$19,835$13,140$11,5778.97%1.44%4.46%0.87%
201221.98%2.60%4.31%$20,227$13,482$12,0768.45%-2.65%4.31%-0.05%
201230.62%1.81%3.28%$20,352$13,725$12,4726.71%-4.24%3.28%-0.58%
201242.06%0.02%-0.64%$20,771$13,728$12,392-1.61%5.32%-0.64%1.14%
20125-1.45%-3.39%-6.02%$20,469$13,263$11,647-11.37%6.79%-6.02%0.95%
201262.18%2.51%4.11%$20,916$13,595$12,1257.27%-1.32%4.11%0.04%
201272.81%1.38%1.37%$21,504$13,782$12,2912.53%3.02%1.37%1.39%
201281.72%1.39%2.24%$21,874$13,974$12,5664.61%-0.44%2.24%0.03%
201291.66%1.64%2.58%$22,236$14,203$12,8904.87%-0.86%2.58%0.11%
201210-2.22%-1.12%-1.86%$21,743$14,043$12,651-4.15%-0.62%-1.86%0.11%
2012111.58%0.42%0.56%$22,085$14,102$12,7210.94%2.09%0.56%0.19%
201212-0.51%0.49%0.90%$21,973$14,171$12,8362.08%-2.56%0.90%-0.20%
201311.74%2.82%5.18%$22,356$14,571$13,50110.27%-3.95%5.18%-0.71%
201322.26%1.03%1.34%$22,860$14,721$13,6812.16%2.33%1.34%0.54%
201333.56%2.33%3.74%$23,673$15,064$14,1937.39%0.63%3.74%0.08%
201343.34%1.53%1.91%$24,465$15,296$14,4643.86%2.92%1.91%0.91%
20135-1.44%0.82%2.33%$24,113$15,421$14,8004.55%-6.37%2.33%-1.71%
20136-4.23%-1.46%-1.35%$23,094$15,196$14,600-3.11%-5.25%-1.35%-1.65%
201374.59%3.30%5.07%$24,154$15,697$15,34110.41%-0.88%5.07%0.20%
20138-4.57%-2.11%-2.91%$23,049$15,366$14,894-6.08%-2.99%-2.91%-0.64%
201395.03%2.35%3.12%$24,209$15,726$15,3596.48%3.56%3.12%0.96%
2013105.34%3.24%4.59%$25,501$16,236$16,0649.07%1.44%4.59%0.78%
2013112.18%1.86%3.03%$26,057$16,539$16,5505.77%-1.84%3.03%-0.35%
2013120.88%1.45%2.51%$26,287$16,778$16,9665.13%-4.24%2.51%-0.65%
201410.69%-1.46%-3.47%$26,469$16,533$16,378-7.23%5.98%-3.47%1.54%
201423.73%2.88%4.56%$27,456$17,009$17,1259.06%0.62%4.56%0.48%
20143-0.16%0.43%0.82%$27,412$17,082$17,2661.52%-1.22%0.82%-0.15%
201441.34%0.74%0.72%$27,778$17,209$17,3911.23%1.40%0.72%0.77%
201453.88%1.82%2.33%$28,856$17,522$17,7974.41%3.54%2.33%1.05%
201461.30%1.28%2.05%$29,232$17,747$18,1624.10%-0.53%2.05%0.11%
20147-1.48%-0.94%-1.39%$28,798$17,579$17,910-2.88%-0.53%-1.39%-0.26%
201485.34%2.85%3.98%$30,335$18,081$18,6237.87%3.64%3.98%1.13%
20149-2.51%-1.14%-1.41%$29,574$17,874$18,360-2.93%-2.21%-1.41%-0.72%
2014103.55%1.84%2.42%$30,623$18,203$18,8054.38%2.97%2.42%0.94%
2014113.71%1.90%2.68%$31,760$18,549$19,3095.54%2.44%2.68%0.65%
201412-0.39%-0.13%-0.26%$31,637$18,525$19,258-0.84%-0.06%-0.26%0.09%
201512.55%-0.89%-3.02%$32,443$18,361$18,677-6.15%8.35%-3.02%2.31%
201520.92%2.92%5.74%$32,743$18,897$19,74911.40%-5.13%5.74%-1.08%
20153-0.48%-0.80%-1.59%$32,585$18,746$19,434-3.43%1.52%-1.59%0.41%
20154-0.17%0.42%0.95%$32,530$18,825$19,6191.84%-1.46%0.95%-0.36%
201550.29%0.59%1.27%$32,624$18,936$19,8682.31%-1.06%1.27%-0.45%
20156-3.70%-1.57%-1.93%$31,415$18,639$19,484-4.09%-3.44%-1.93%-1.01%
201573.40%1.56%2.08%$32,483$18,929$19,8904.22%2.84%2.08%0.76%
20158-5.14%-3.80%-6.04%$30,812$18,209$18,688-12.48%-0.06%-6.04%-0.36%
20159-0.25%-1.17%-2.49%$30,736$17,997$18,223-5.54%2.97%-2.49%0.76%
2015105.30%4.93%8.42%$32,365$18,883$19,75817.45%-1.47%8.42%0.01%
201511-0.40%0.07%0.29%$32,236$18,896$19,8140.60%-1.06%0.29%-0.27%
201512-2.07%-1.11%-1.59%$31,569$18,686$19,499-3.80%-0.90%-1.59%-0.38%
20161-0.42%-2.41%-4.98%$31,435$18,235$18,528-10.37%6.20%-4.98%1.43%
201621.54%0.19%-0.15%$31,919$18,269$18,501-0.62%2.75%-0.15%0.66%
201634.70%4.34%6.78%$33,420$19,062$19,75513.98%-0.35%6.78%0.94%
20164-0.10%0.38%0.37%$33,386$19,133$19,8290.60%-0.54%0.37%0.38%
201650.96%1.07%1.78%$33,707$19,338$20,1823.18%-0.43%1.78%0.01%
201663.66%0.92%0.25%$34,942$19,517$20,2330.16%5.95%0.25%1.94%
201672.96%2.45%3.68%$35,978$19,995$20,9767.40%0.23%3.68%0.64%
20168-1.33%0.01%0.13%$35,499$19,997$21,0040.10%-2.28%0.13%-0.17%
201690.01%-0.03%0.01%$35,503$19,991$21,005-0.28%0.21%0.01%-0.09%
201610-3.40%-1.43%-1.83%$34,296$19,706$20,620-3.68%-3.21%-1.83%-0.81%
201611-2.29%1.17%3.70%$33,512$19,937$21,3837.23%-8.66%3.70%-2.64%
2016121.51%1.30%1.96%$34,019$20,197$21,8034.00%-0.44%1.96%0.24%
201711.46%1.25%1.88%$34,515$20,449$22,2133.47%0.12%1.88%0.29%
201723.91%2.65%3.96%$35,866$20,992$23,0937.83%1.22%3.96%0.66%
20173-0.08%0.03%0.10%$35,838$20,999$23,117-0.02%-0.12%0.10%-0.07%
201741.90%0.92%1.02%$36,519$21,192$23,3521.85%1.94%1.02%0.76%
201751.87%1.11%1.39%$37,203$21,428$23,6772.55%1.38%1.39%0.67%
20176-0.21%0.38%0.61%$37,126$21,509$23,8221.04%-1.14%0.61%0.01%
201772.05%1.41%2.04%$37,885$21,812$24,3093.95%0.60%2.04%0.39%
201781.69%0.51%0.29%$38,525$21,923$24,3800.31%2.77%0.29%0.85%
20179-0.06%1.07%2.06%$38,502$22,156$24,8823.82%-3.03%2.06%-0.54%
2017101.76%1.49%2.32%$39,178$22,486$25,4594.53%-0.52%2.32%0.11%
2017112.35%1.86%3.06%$40,097$22,905$26,2385.87%-0.69%3.06%-0.17%
2017121.28%0.86%1.10%$40,611$23,103$26,5272.36%0.29%1.10%0.44%
201811.73%2.99%5.71%$41,313$23,793$28,04211.17%-4.57%5.71%-1.09%
20182-4.67%-2.67%-3.69%$39,384$23,158$27,006-8.07%-2.03%-3.69%-1.03%
20183-1.00%-1.31%-2.56%$38,991$22,854$26,316-5.54%2.32%-2.56%0.63%
20184-1.69%-0.11%0.37%$38,333$22,830$26,4140.20%-2.96%0.37%-0.83%
201852.84%1.69%2.39%$39,420$23,215$27,0474.41%1.74%2.39%0.61%
201860.55%0.38%0.61%$39,636$23,303$27,2101.02%0.21%0.61%0.03%
201872.22%2.28%3.71%$40,515$23,834$28,2207.09%-1.28%3.71%0.03%
201883.70%2.21%3.25%$42,015$24,359$29,1366.15%1.79%3.25%0.52%
20189-1.04%0.14%0.55%$41,578$24,394$29,2970.89%-2.61%0.55%-0.54%
201810-6.86%-4.57%-6.85%$38,724$23,279$27,291-14.01%-0.84%-6.85%-0.73%
2018112.73%1.45%2.03%$39,780$23,616$27,8443.15%2.42%2.03%0.53%
201812-4.55%-4.88%-9.04%$37,969$22,464$25,327-17.72%5.13%-9.04%1.80%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Vanguard 500 Index Investor
Large-cap Value19.35%26.68%47.12%
Large-cap Growth32.57%33.18%52.72%
Mid-cap Value1.22%0.86%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets5.54%0.00%0.00%
Emerging Markets2.91%0.89%0.00%
Corporate Bonds0.00%4.67%0.00%
Long-Term Treasuries38.41%0.50%0.00%
Intermediate-Term Treasuries0.00%13.54%0.17%
Short-Term Treasuries0.00%19.68%0.00%
R Squared85.52%99.72%99.93%
Style analysis is based on monthly returns from Jul 2006 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity0.90%40.00%$18,65462.99%
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2XLeveraged Debt1.46%60.00%$9,31537.01%

Asset Allocation

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%60.00%$9,90197.91%
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond5.960.15%40.00%$2,5622.09%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/03/2019. © 2019 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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.95%0.57%0.71%
Arithmetic Mean (annualized)12.07%7.08%8.85%
Geometric Mean (monthly)0.89%0.54%0.62%
Geometric Mean (annualized)11.26%6.69%7.72%
Volatility (monthly)3.49%2.47%4.16%
Volatility (annualized)12.08%8.56%14.42%
Downside Deviation (monthly)2.15%1.67%2.91%
Max. Drawdown-21.70%-30.78%-50.97%
US Market Correlation0.630.981.00
Beta(*)0.540.591.00
Alpha (annualized)6.85%1.87%0.00%
R241.60%97.39%100.00%
Sharpe Ratio0.870.690.52
Sortino Ratio1.391.010.74
Treynor Ratio (%)19.4510.117.57
Calmar Ratio0.660.800.67
Active Return3.55%-1.03%N/A
Tracking Error11.36%6.13%N/A
Information Ratio0.31-0.17N/A
Skewness-0.33-0.91-0.82
Excess Kurtosis3.222.351.94
Historical Value-at-Risk (5%)-4.62%-4.55%-7.55%
Analytical Value-at-Risk (5%)-4.86%-3.57%-6.14%
Conditional Value-at-Risk (5%)-8.07%-5.99%-10.04%
Upside Capture Ratio (%)72.2562.20100.00
Downside Capture Ratio (%)42.5956.09100.00
Safe Withdrawal Rate13.95%9.96%9.51%
Perpetual Withdrawal Rate8.26%4.48%5.36%
Positive Periods97 out of 150 (64.67%)101 out of 150 (67.33%)101 out of 150 (67.33%)
Gain/Loss Ratio1.160.880.74
* Vanguard 500 Index Investor 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 2Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-21.70%-30.78%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Oct 200811 monthsSep 200911 months1 year 10 months-21.70%
2Sep 2018Dec 20184 months-9.63%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-7.21%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-6.85%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.13%
6May 2013Aug 20134 monthsOct 20132 months6 months-5.79%
7Dec 2009Jan 20102 monthsMar 20102 months4 months-3.64%
8May 2010Jun 20102 monthsJul 20101 month3 months-3.31%
9May 2007Jul 20073 monthsAug 20071 month4 months-2.82%
10Oct 2009Oct 20091 monthNov 20091 month2 months-2.77%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-30.78%
2May 2011Sep 20115 monthsJan 20124 months9 months-8.17%
3Oct 2018Dec 20183 months-7.91%
4Jun 2015Sep 20154 monthsMar 20166 months10 months-4.96%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-4.05%
6May 2012May 20121 monthJul 20122 months3 months-3.39%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-2.73%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.11%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-1.46%
10Jun 2013Jun 20131 monthJul 20131 month2 months-1.46%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Oct 2018Dec 20183 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
9Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SSOProShares Ultra S&P5009.16%29.33%70.46%-67.94%-81.35%0.420.590.99
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X7.15%14.55%45.61%-19.04%-19.04%0.480.85-0.33
VFINXVanguard 500 Index Investor7.72%14.42%32.18%-37.02%-50.97%0.520.741.00
VBMFXVanguard Total Bond Market Index Inv4.03%3.26%7.56%-2.26%-3.99%0.941.66-0.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSODXKLXVFINXVBMFXPortfolio 1Portfolio 2Vanguard 500 Index Investor
SSOProShares Ultra S&P500--0.341.00-0.030.620.981.00
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X-0.34--0.310.860.49-0.17-0.31
VFINXVanguard 500 Index Investor1.00-0.31--0.010.640.991.00
VBMFXVanguard Total Bond Market Index Inv-0.030.86-0.01-0.630.14-0.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P500$18,654
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X$9,315
VFINXVanguard 500 Index Investor$9,901
VBMFXVanguard Total Bond Market Index Inv$2,562

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P50062.99%
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X37.01%
VFINXVanguard 500 Index Investor97.91%
VBMFXVanguard Total Bond Market Index Inv2.09%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year10.81%20.35%-6.51%6.69%18.40%-20.19%8.62%32.18%-37.02%
3 years11.81%18.55%6.16%7.62%13.25%0.02%9.64%20.22%-5.66%
5 years12.85%18.09%7.63%8.18%12.57%3.06%10.65%17.81%-0.33%
7 years13.05%14.01%10.40%8.45%10.52%6.26%11.11%14.67%6.02%
10 years11.72%12.25%11.44%7.55%9.24%6.29%9.39%12.97%6.82%
Result statistics are based on annualized rolling returns over full calendar year periods