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 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 - Aug 2019)

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
SPY SPDR S&P 500 ETF 60.00%
IEF iShares 7-10 Year Treasury Bond ETF 40.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF 40.00%
IEF iShares 7-10 Year Treasury Bond ETF 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$47,505 12.56% 12.10%25.12%-6.51%-21.70% 0.961.570.65
Portfolio 2$10,000$27,819 8.08% 8.10%16.95%-14.92%-26.78% 0.881.320.94
Portfolio 3$10,000$25,656 7.42% 5.78%13.78%-3.98%-13.93% 1.091.740.76
Vanguard 500 Index Investor$10,000$29,948 8.69% 14.49%32.18%-37.02%-50.97% 0.580.831.00
   
Notes on results:
  • Past performance is not a guarantee of future returns. 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
  • The annual results for 2019 are based on full calendar months from January to August
  • 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)SPDR S&P 500 ETF (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
2006-0.54%15.14%9.55%8.13%12.66%$11,514$10,955$10,813$11,26622.63%10.14%12.38%5.30%
20074.08%11.10%7.23%8.28%5.39%$12,791$11,747$11,708$11,8731.04%17.80%5.14%10.37%
20080.09%0.19%-14.92%-3.98%-37.02%$12,816$9,994$11,243$7,478-67.94%45.61%-36.81%17.91%
20092.72%7.48%13.18%6.59%26.49%$13,775$11,312$11,984$9,45847.26%-19.04%26.36%-6.59%
20101.50%17.75%12.78%11.65%14.91%$16,221$12,757$13,379$10,86926.83%11.70%15.06%9.37%
20112.96%17.07%7.39%10.14%1.97%$18,990$13,700$14,736$11,082-2.92%30.40%1.89%15.64%
20121.74%15.71%11.06%8.59%15.82%$21,973$15,215$16,002$12,83631.04%5.49%15.99%3.66%
20131.50%19.63%16.95%9.27%32.18%$26,287$17,794$17,486$16,96670.46%-14.26%32.31%-6.09%
20140.76%20.35%11.70%10.82%13.51%$31,637$19,877$19,379$19,25825.53%16.90%13.46%9.07%
20150.73%-0.21%1.35%1.41%1.25%$31,569$20,146$19,651$19,499-1.19%0.44%1.25%1.51%
20162.07%7.76%7.60%5.40%11.82%$34,019$21,678$20,713$21,80321.55%-1.43%12.00%1.00%
20172.11%19.38%14.04%10.21%21.67%$40,611$24,722$22,828$26,52744.35%2.73%21.70%2.55%
20181.91%-6.51%-2.34%-1.23%-4.52%$37,969$24,144$22,548$25,327-14.62%-1.10%-4.56%0.99%
20192.12%25.12%15.22%13.78%18.25%$47,505$27,819$25,656$29,94834.09%19.14%18.10%10.91%
Annual returns for 2006 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares Ultra S&P500 (SSO)Direxion Mthly 7-10 Yr Treasury Bull 2X (DXKLX)SPDR S&P 500 ETF (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
200672.20%0.94%1.19%0.61%$10,220$10,094$10,119$10,0610.48%3.34%0.45%1.68%
200684.38%2.01%1.93%2.36%$10,667$10,297$10,314$10,2984.25%4.46%2.18%1.76%
200693.40%2.10%1.80%2.56%$11,030$10,513$10,500$10,5624.69%2.56%2.70%1.21%
2006101.91%2.11%1.59%3.25%$11,241$10,735$10,666$10,9065.52%-0.47%3.15%0.54%
2006112.33%1.72%1.59%1.89%$11,504$10,920$10,836$11,1123.35%1.62%1.99%1.31%
2006120.09%0.32%-0.21%1.39%$11,514$10,955$10,813$11,2662.52%-1.65%1.34%-1.28%
200710.00%0.74%0.36%1.49%$11,514$11,036$10,852$11,4352.12%-1.41%1.50%-0.40%
200720.58%-0.37%0.43%-1.97%$11,581$10,995$10,899$11,209-4.57%4.14%-1.96%2.06%
200730.11%0.63%0.37%1.11%$11,594$11,065$10,940$11,3341.90%-1.02%1.16%-0.14%
200743.75%2.89%2.13%4.42%$12,029$11,385$11,173$11,8358.57%0.62%4.43%0.61%
20075-0.16%1.51%0.55%3.48%$12,009$11,557$11,234$12,2466.17%-4.61%3.39%-1.39%
20076-2.59%-1.08%-0.88%-1.68%$11,699$11,431$11,135$12,041-3.77%-1.66%-1.46%-0.47%
20077-0.08%-1.06%0.02%-3.08%$11,689$11,310$11,137$11,669-7.04%5.24%-3.13%2.26%
200783.01%1.67%1.87%1.50%$12,041$11,499$11,345$11,8441.10%4.30%1.28%2.26%
200793.26%2.36%1.60%3.72%$12,433$11,771$11,527$12,2857.78%0.30%3.87%0.09%
2007102.03%1.25%1.19%1.58%$12,686$11,917$11,664$12,4792.11%1.98%1.36%1.08%
2007112.18%-0.79%0.80%-4.19%$12,963$11,824$11,757$11,957-8.50%9.72%-3.87%4.04%
200712-1.32%-0.65%-0.41%-0.70%$12,791$11,747$11,708$11,873-3.07%-0.30%-1.13%0.05%
20081-0.24%-2.29%-0.40%-6.02%$12,761$11,478$11,661$11,159-12.86%8.18%-6.05%3.36%
200820.21%-0.97%-0.20%-3.25%$12,787$11,367$11,637$10,796-5.42%3.23%-2.58%1.24%
200830.89%0.07%0.51%-0.44%$12,901$11,375$11,697$10,749-3.07%2.84%-0.90%1.34%
20084-1.55%1.62%0.19%4.85%$12,702$11,559$11,719$11,2709.35%-6.60%4.77%-2.41%
20085-2.36%0.13%-0.53%1.29%$12,401$11,574$11,657$11,4162.36%-4.93%1.51%-1.78%
20086-3.87%-4.43%-2.54%-8.44%$11,921$11,061$11,362$10,453-16.28%3.38%-8.35%1.14%
200870.34%-0.19%0.13%-0.83%$11,961$11,040$11,377$10,366-2.55%1.70%-0.90%0.72%
200883.06%1.54%1.53%1.45%$12,327$11,210$11,551$10,5162.25%3.43%1.55%1.53%
20089-7.22%-5.34%-3.49%-8.91%$11,437$10,611$11,148$9,579-19.63%-1.66%-9.44%-0.14%
200810-11.25%-9.24%-6.16%-16.79%$10,150$9,630$10,460$7,971-34.93%-2.57%-16.52%-0.87%
20081114.31%0.51%3.32%-7.17%$11,602$9,679$10,808$7,399-16.98%21.96%-6.96%7.75%
20081210.46%3.25%4.02%1.07%$12,816$9,994$11,243$7,478-1.00%12.37%0.98%5.15%
20091-11.74%-6.48%-5.62%-8.41%$11,311$9,346$10,611$6,849-16.48%-8.58%-8.21%-3.89%
20092-9.60%-6.63%-4.63%-10.66%$10,226$8,727$10,120$6,119-21.10%-2.59%-10.74%-0.74%
2009310.25%6.15%5.14%8.76%$11,274$9,263$10,640$6,65514.58%8.11%8.35%3.31%
200942.33%4.54%2.01%9.56%$11,537$9,683$10,854$7,29120.32%-7.08%9.93%-2.75%
200951.22%2.71%1.13%5.62%$11,678$9,946$10,977$7,70011.20%-5.54%5.85%-2.08%
20096-1.26%-0.25%-0.35%0.22%$11,530$9,921$10,939$7,717-0.64%-1.75%-0.07%-0.55%
200977.65%4.97%3.64%7.58%$12,413$10,414$11,337$8,30214.46%2.17%7.46%0.83%
200984.42%2.64%2.05%3.60%$12,962$10,688$11,570$8,6017.39%1.75%3.69%0.77%
200994.61%2.69%2.21%3.72%$13,559$10,976$11,825$8,9217.10%2.23%3.55%1.12%
200910-2.77%-1.30%-0.95%-1.87%$13,184$10,833$11,713$8,754-4.28%-1.25%-1.92%-0.14%
2009117.85%4.70%3.88%5.98%$14,218$11,342$12,167$9,27812.33%3.51%6.16%2.02%
200912-3.12%-0.27%-1.51%1.95%$13,775$11,312$11,984$9,4583.66%-10.23%1.91%-4.40%
20101-0.53%-1.23%-0.03%-3.60%$13,701$11,172$11,980$9,117-7.51%4.11%-3.63%2.37%
201022.32%1.96%1.41%3.09%$14,019$11,392$12,148$9,3996.11%0.08%3.12%0.33%
201032.80%3.17%1.75%6.01%$14,412$11,753$12,360$9,96412.38%-3.21%6.09%-1.06%
201043.06%1.59%1.61%1.58%$14,853$11,940$12,559$10,1222.81%3.24%1.55%1.65%
20105-3.27%-3.69%-1.51%-8.01%$14,367$11,500$12,370$9,311-16.09%6.04%-7.95%2.93%
20106-0.04%-1.73%-0.09%-5.24%$14,361$11,300$12,358$8,824-10.92%6.21%-5.17%3.05%
201075.11%4.23%3.06%7.00%$15,095$11,779$12,736$9,44114.06%0.79%6.83%0.91%
201081.72%-1.16%0.41%-4.53%$15,355$11,642$12,788$9,013-9.25%7.71%-4.50%3.36%
201095.37%4.98%3.20%8.92%$16,179$12,221$13,197$9,81718.44%-0.63%8.96%-0.00%
2010101.73%2.20%1.44%3.79%$16,460$12,490$13,386$10,1897.57%-1.47%3.82%-0.01%
201011-1.73%-0.37%-0.55%0.00%$16,175$12,444$13,313$10,189-0.40%-2.52%0.00%-0.90%
2010120.28%2.52%0.50%6.67%$16,221$12,757$13,379$10,86913.94%-8.06%6.68%-3.43%
201110.96%1.39%0.92%2.36%$16,376$12,935$13,502$11,1254.33%-1.29%2.33%-0.02%
201122.73%2.02%1.29%3.42%$16,823$13,196$13,676$11,5056.94%-0.24%3.47%-0.21%
20113-0.57%-0.05%-0.09%0.03%$16,727$13,189$13,664$11,508-0.39%-0.71%0.01%-0.15%
201144.34%2.49%2.28%2.95%$17,452$13,518$13,975$11,8475.74%3.27%2.90%1.84%
201151.61%0.27%0.99%-1.15%$17,733$13,554$14,114$11,711-2.38%4.71%-1.12%2.51%
20116-2.62%-1.23%-0.99%-1.67%$17,269$13,388$13,974$11,516-3.74%-1.81%-1.69%-0.51%
201171.96%0.04%1.07%-2.05%$17,608$13,393$14,124$11,280-4.22%6.34%-2.00%3.17%
201181.43%-1.37%0.66%-5.45%$17,859$13,209$14,217$10,666-12.81%10.52%-5.50%4.65%
20119-0.71%-2.98%-1.15%-7.04%$17,732$12,815$14,053$9,914-13.86%5.91%-6.94%2.24%
2011103.56%5.37%2.95%10.91%$18,363$13,503$14,468$10,99621.81%-3.92%10.91%-1.29%
2011110.34%0.01%0.21%-0.23%$18,424$13,505$14,499$10,971-1.56%1.32%-0.41%0.58%
2011123.07%1.45%1.64%1.02%$18,990$13,700$14,736$11,0821.91%3.66%1.04%1.99%
201214.45%3.13%2.37%4.46%$19,835$14,129$15,085$11,5778.97%1.44%4.64%0.86%
201221.98%2.21%1.12%4.31%$20,227$14,441$15,255$12,0768.45%-2.65%4.34%-1.10%
201230.62%1.40%0.44%3.28%$20,352$14,643$15,322$12,4726.71%-4.24%3.22%-1.59%
201242.06%0.50%1.13%-0.64%$20,771$14,716$15,495$12,392-1.61%5.32%-0.67%2.51%
20125-1.45%-2.68%-0.91%-6.02%$20,469$14,322$15,354$11,647-11.37%6.79%-6.01%2.87%
201262.18%2.28%1.39%4.11%$20,916$14,648$15,567$12,1257.27%-1.32%4.05%-0.42%
201272.81%1.27%1.31%1.37%$21,504$14,834$15,771$12,2912.53%3.02%1.18%1.40%
201281.72%1.49%0.97%2.24%$21,874$15,055$15,924$12,5664.61%-0.44%2.51%-0.12%
201291.66%1.44%0.86%2.58%$22,236$15,272$16,062$12,8904.87%-0.86%2.54%-0.35%
201210-2.22%-1.29%-1.00%-1.86%$21,743$15,075$15,900$12,651-4.15%-0.62%-1.82%-0.40%
2012111.58%0.72%0.80%0.56%$22,085$15,184$16,028$12,7210.94%2.09%0.57%0.98%
201212-0.51%0.20%-0.16%0.90%$21,973$15,215$16,002$12,8362.08%-2.56%0.90%-0.94%
201311.74%2.55%1.27%5.18%$22,356$15,604$16,206$13,50110.27%-3.95%5.12%-1.29%
201322.26%1.22%1.19%1.34%$22,860$15,794$16,399$13,6812.16%2.33%1.28%1.13%
201333.56%2.45%1.75%3.74%$23,673$16,181$16,685$14,1937.39%0.63%3.80%0.29%
201343.34%1.77%1.69%1.91%$24,465$16,468$16,968$14,4643.86%2.92%1.92%1.52%
20135-1.44%0.31%-0.78%2.33%$24,113$16,518$16,835$14,8004.55%-6.37%2.36%-3.11%
20136-4.23%-1.78%-2.02%-1.35%$23,094$16,225$16,496$14,600-3.11%-5.25%-1.34%-2.55%
201374.59%3.18%2.08%5.07%$24,154$16,741$16,839$15,34110.41%-0.88%5.17%-0.35%
20138-4.57%-2.45%-2.14%-2.91%$23,049$16,331$16,479$14,894-6.08%-2.99%-3.00%-1.42%
201395.03%2.70%2.44%3.12%$24,209$16,772$16,882$15,3596.48%3.56%3.17%1.85%
2013105.34%3.29%2.53%4.59%$25,501$17,324$17,308$16,0649.07%1.44%4.63%0.78%
2013112.18%1.66%0.90%3.03%$26,057$17,611$17,464$16,5505.77%-1.84%2.96%-0.88%
2013120.88%1.04%0.12%2.51%$26,287$17,794$17,486$16,9665.13%-4.24%2.59%-2.09%
201410.69%-0.89%0.43%-3.47%$26,469$17,636$17,561$16,378-7.23%5.98%-3.52%3.06%
201423.73%2.81%1.97%4.56%$27,456$18,131$17,906$17,1259.06%0.62%4.55%0.36%
20143-0.16%0.27%-0.01%0.82%$27,412$18,179$17,904$17,2661.52%-1.22%0.83%-0.56%
201441.34%0.72%0.73%0.72%$27,778$18,310$18,035$17,3911.23%1.40%0.70%0.76%
201453.88%2.12%2.02%2.33%$28,856$18,698$18,400$17,7974.41%3.54%2.32%1.82%
201461.30%1.15%0.69%2.05%$29,232$18,913$18,527$18,1624.10%-0.53%2.06%-0.22%
20147-1.48%-0.90%-0.67%-1.39%$28,798$18,743$18,402$17,910-2.88%-0.53%-1.34%-0.22%
201485.34%3.12%2.71%3.98%$30,335$19,328$18,901$18,6237.87%3.64%3.95%1.88%
20149-2.51%-1.25%-1.18%-1.41%$29,574$19,087$18,677$18,360-2.93%-2.21%-1.38%-1.05%
2014103.55%2.03%1.87%2.42%$30,623$19,475$19,026$18,8054.38%2.97%2.36%1.53%
2014113.71%2.17%1.88%2.68%$31,760$19,898$19,384$19,3095.54%2.44%2.75%1.29%
201412-0.39%-0.11%-0.03%-0.26%$31,637$19,877$19,379$19,258-0.84%-0.06%-0.26%0.13%
201512.55%-0.06%1.40%-3.02%$32,443$19,866$19,649$18,677-6.15%8.35%-2.96%4.30%
201520.92%2.24%0.63%5.74%$32,743$20,311$19,772$19,74911.40%-5.13%5.62%-2.47%
20153-0.48%-0.61%-0.12%-1.59%$32,585$20,188$19,748$19,434-3.43%1.52%-1.57%0.86%
20154-0.17%0.33%0.01%0.95%$32,530$20,255$19,750$19,6191.84%-1.46%0.98%-0.63%
201550.29%0.60%0.26%1.27%$32,624$20,377$19,802$19,8682.31%-1.06%1.29%-0.42%
20156-3.70%-1.87%-1.79%-1.93%$31,415$19,996$19,447$19,484-4.09%-3.44%-2.03%-1.63%
201573.40%1.97%1.82%2.08%$32,483$20,389$19,801$19,8904.22%2.84%2.26%1.52%
20158-5.14%-3.65%-2.42%-6.04%$30,812$19,644$19,322$18,688-12.48%-0.06%-6.10%0.08%
20159-0.25%-0.85%-0.03%-2.49%$30,736$19,477$19,317$18,223-5.54%2.97%-2.54%1.58%
2015105.30%4.66%2.83%8.42%$32,365$20,384$19,864$19,75817.45%-1.47%8.51%-0.64%
201511-0.40%0.05%-0.11%0.29%$32,236$20,394$19,842$19,8140.60%-1.06%0.37%-0.43%
201512-2.07%-1.22%-0.96%-1.59%$31,569$20,146$19,651$19,499-3.80%-0.90%-1.72%-0.45%
20161-0.42%-1.65%0.01%-4.98%$31,435$19,813$19,653$18,528-10.37%6.20%-4.98%3.33%
201621.54%0.58%0.89%-0.15%$31,919$19,927$19,828$18,501-0.62%2.75%-0.08%1.49%
201634.70%3.85%2.49%6.78%$33,420$20,694$20,322$19,75513.98%-0.35%6.72%-0.06%
20164-0.10%0.17%0.06%0.37%$33,386$20,729$20,334$19,8290.60%-0.54%0.39%-0.16%
201650.96%0.97%0.61%1.78%$33,707$20,929$20,457$20,1823.18%-0.43%1.70%-0.10%
201663.66%1.45%2.00%0.25%$34,942$21,233$20,866$20,2330.16%5.95%0.35%3.09%
201672.96%2.26%1.58%3.68%$35,978$21,712$21,195$20,9767.40%0.23%3.65%0.25%
20168-1.33%-0.33%-0.56%0.13%$35,499$21,640$21,077$21,0040.10%-2.28%0.12%-1.01%
201690.01%0.10%0.15%0.01%$35,503$21,661$21,107$21,005-0.28%0.21%0.01%0.24%
201610-3.40%-1.64%-1.59%-1.83%$34,296$21,307$20,772$20,620-3.68%-3.21%-1.73%-1.49%
201611-2.29%0.52%-1.06%3.70%$33,512$21,418$20,552$21,3837.23%-8.66%3.68%-4.23%
2016121.51%1.21%0.78%1.96%$34,019$21,678$20,713$21,8034.00%-0.44%2.03%-0.12%
201711.46%1.16%0.85%1.88%$34,515$21,930$20,888$22,2133.47%0.12%1.79%0.22%
201723.91%2.66%2.02%3.96%$35,866$22,513$21,310$23,0937.83%1.22%3.93%0.72%
20173-0.08%0.11%0.10%0.10%$35,838$22,537$21,331$23,117-0.02%-0.12%0.13%0.08%
201741.90%1.04%1.06%1.02%$36,519$22,771$21,557$23,3521.85%1.94%0.99%1.11%
201751.87%1.18%1.07%1.39%$37,203$23,041$21,787$23,6772.55%1.38%1.41%0.83%
20176-0.21%0.19%-0.04%0.61%$37,126$23,085$21,780$23,8221.04%-1.14%0.64%-0.51%
201772.05%1.41%1.07%2.04%$37,885$23,410$22,013$24,3093.95%0.60%2.06%0.38%
201781.69%0.74%0.97%0.29%$38,525$23,582$22,226$24,3800.31%2.77%0.29%1.46%
20179-0.06%0.69%-0.00%2.06%$38,502$23,745$22,226$24,8823.82%-3.03%2.01%-1.44%
2017101.76%1.40%0.89%2.32%$39,178$24,077$22,424$25,4594.53%-0.52%2.36%-0.19%
2017112.35%1.82%1.16%3.06%$40,097$24,516$22,684$26,2385.87%-0.69%3.06%-0.28%
2017121.28%0.84%0.63%1.10%$40,611$24,722$22,828$26,5272.36%0.29%1.21%0.18%
201811.73%2.52%0.96%5.71%$41,313$25,345$23,048$28,04211.17%-4.57%5.64%-2.15%
20182-4.67%-2.60%-2.06%-3.69%$39,384$24,685$22,573$27,006-8.07%-2.03%-3.64%-0.93%
20183-1.00%-1.23%-0.45%-2.56%$38,991$24,382$22,471$26,316-5.54%2.32%-2.74%1.16%
20184-1.69%-0.20%-0.56%0.37%$38,333$24,334$22,346$26,4140.20%-2.96%0.52%-1.28%
201852.84%1.86%1.57%2.39%$39,420$24,787$22,698$27,0474.41%1.74%2.43%0.99%
201860.55%0.43%0.35%0.61%$39,636$24,894$22,778$27,2101.02%0.21%0.58%0.20%
201872.22%2.06%1.21%3.71%$40,515$25,406$23,054$28,2207.09%-1.28%3.70%-0.53%
201883.70%2.37%1.93%3.25%$42,015$26,007$23,500$29,1366.15%1.79%3.19%1.01%
20189-1.04%-0.08%-0.44%0.55%$41,578$25,987$23,397$29,2970.89%-2.61%0.59%-1.20%
201810-6.86%-4.47%-3.15%-6.85%$38,724$24,826$22,660$27,291-14.01%-0.84%-6.91%-0.30%
2018112.73%1.65%1.55%2.03%$39,780$25,236$23,011$27,8443.15%2.42%1.85%1.33%
201812-4.55%-4.33%-2.01%-9.04%$37,969$24,144$22,548$25,327-17.72%5.13%-8.79%2.80%
201916.99%5.06%3.59%8.00%$40,624$25,367$23,358$27,35315.73%1.17%8.01%0.65%
201921.88%1.80%1.05%3.20%$41,389$25,823$23,602$28,2296.21%-1.41%3.24%-0.52%
201934.22%2.13%2.29%1.94%$43,137$26,372$24,144$28,7753.45%4.86%1.81%2.66%
201942.68%2.35%1.43%4.04%$44,294$26,992$24,490$29,9387.72%-1.40%4.09%-0.52%
20195-2.99%-2.93%-1.05%-6.36%$42,968$26,202$24,232$28,033-12.77%5.67%-6.38%3.05%
201967.13%4.73%3.58%7.03%$46,031$27,441$25,100$30,00414.09%2.04%6.96%1.22%
201970.96%0.96%0.66%1.43%$46,472$27,704$25,267$30,4322.52%-0.32%1.51%0.04%
201982.22%0.42%1.54%-1.59%$47,505$27,819$25,656$29,948-4.04%7.49%-1.67%3.95%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value20.51%27.65%18.43%47.13%
Large-cap Growth32.33%31.90%21.26%52.73%
Mid-cap Value1.87%0.00%0.00%0.00%
Mid-cap Growth0.00%0.18%0.12%0.00%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets4.25%0.00%0.00%0.00%
Emerging Markets3.17%0.00%0.00%0.00%
Corporate Bonds0.00%0.51%0.34%0.00%
Long-Term Treasuries37.89%0.00%0.00%0.02%
Intermediate-Term Treasuries0.00%39.67%59.78%0.12%
Short-Term Treasuries0.00%0.10%0.07%0.00%
R Squared85.68%99.90%99.91%99.93%
Style analysis is based on monthly returns from Jul 2006 to Aug 2019 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity0.90%40.00%$23,83164.75%
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2XLeveraged Debt1.46%60.00%$13,67435.25%

Asset Allocation

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%60.00%$13,30399.89%
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.560.15%40.00%$4,5160.11%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%40.00%$9,00976.03%
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.560.15%60.00%$6,64723.97%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 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 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.05%0.68%0.61%0.79%
Arithmetic Mean (annualized)13.38%8.43%7.60%9.84%
Geometric Mean (monthly)0.99%0.65%0.60%0.70%
Geometric Mean (annualized)12.56%8.08%7.42%8.69%
Volatility (monthly)3.49%2.34%1.67%4.18%
Volatility (annualized)12.10%8.10%5.78%14.49%
Downside Deviation (monthly)2.11%1.52%1.03%2.88%
Max. Drawdown-21.70%-26.78%-13.93%-50.97%
US Market Correlation0.650.940.761.00
Beta(*)0.550.530.311.00
Alpha (annualized)7.43%3.13%4.46%0.00%
R243.51%90.03%58.92%100.00%
Sharpe Ratio0.960.881.090.58
Sortino Ratio1.571.321.740.83
Treynor Ratio (%)21.0913.4220.718.41
Calmar Ratio1.061.221.670.93
Active Return3.88%-0.61%-1.27%N/A
Tracking Error11.19%7.27%10.72%N/A
Information Ratio0.35-0.08-0.12N/A
Skewness-0.33-0.91-0.88-0.79
Excess Kurtosis3.022.382.661.79
Historical Value-at-Risk (5%)-4.58%-3.72%-2.15%-7.22%
Analytical Value-at-Risk (5%)-4.75%-3.26%-2.19%-6.10%
Conditional Value-at-Risk (5%)-8.07%-5.85%-4.00%-10.04%
Upside Capture Ratio (%)73.7659.4240.04100.00
Downside Capture Ratio (%)41.3347.2320.73100.00
Safe Withdrawal Rate13.95%10.49%10.65%9.51%
Perpetual Withdrawal Rate9.68%5.89%5.29%6.42%
Positive Periods104 out of 158 (65.82%)109 out of 158 (68.99%)109 out of 158 (68.99%)107 out of 158 (67.72%)
Gain/Loss Ratio1.180.961.180.76
* 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 2Portfolio 3Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-21.70%-26.78%-13.93%-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 monthsMar 20193 months7 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 2019May 20191 monthJun 20191 month2 months-2.99%
10May 2007Jul 20073 monthsAug 20071 month4 months-2.82%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-26.78%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-7.16%
3Jun 2011Sep 20114 monthsDec 20113 months7 months-5.45%
4May 2010Jun 20102 monthsSep 20103 months5 months-5.36%
5Aug 2015Sep 20152 monthsNov 20152 months4 months-4.47%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.99%
7May 2019May 20191 monthJun 20191 month2 months-2.93%
8Dec 2015Jan 20162 monthsMar 20162 months4 months-2.85%
9May 2012May 20121 monthJul 20122 months3 months-2.68%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.45%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-13.93%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.05%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-3.05%
4Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.04%
5May 2013Aug 20134 monthsOct 20132 months6 months-2.88%
6Jun 2015Sep 20154 monthsOct 20151 month5 months-2.45%
7May 2010Jun 20102 monthsJul 20101 month3 months-1.60%
8Dec 2009Jan 20102 monthsMar 20102 months4 months-1.54%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.18%
10Sep 2011Sep 20111 monthOct 20111 month2 months-1.15%
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 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SSOProShares Ultra S&P50011.12%29.46%70.46%-67.94%-81.35%0.480.680.99
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X8.20%14.44%45.61%-19.04%-19.04%0.550.98-0.33
SPYSPDR S&P 500 ETF8.69%14.46%32.31%-36.81%-50.80%0.580.841.00
IEFiShares 7-10 Year Treasury Bond ETF5.50%6.29%17.91%-6.59%-7.60%0.731.30-0.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSODXKLXSPYIEFPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
SSOProShares Ultra S&P500--0.341.00-0.320.640.940.751.00
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X-0.34--0.320.990.47-0.010.36-0.32
SPYSPDR S&P 500 ETF1.00-0.32--0.300.660.950.771.00
IEFiShares 7-10 Year Treasury Bond ETF-0.320.99-0.30-0.460.000.37-0.30

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SSOProShares Ultra S&P500$23,831
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X$13,674
SPYSPDR S&P 500 ETF$13,303$9,009
IEFiShares 7-10 Year Treasury Bond ETF$4,516$6,647

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SSOProShares Ultra S&P50064.75%
DXKLXDirexion Mthly 7-10 Yr Treasury Bull 2X35.25%
SPYSPDR S&P 500 ETF99.89%76.03%
IEFiShares 7-10 Year Treasury Bond ETF0.11%23.97%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.81%20.35%-6.51%7.17%16.95%-14.92%6.43%11.65%-3.98%8.62%32.18%-37.02%
3 years11.81%18.55%6.16%8.06%13.21%1.07%6.97%10.12%3.49%9.64%20.22%-5.66%
5 years12.85%18.09%7.63%8.71%12.23%4.57%7.47%10.09%5.22%10.65%17.81%-0.33%
7 years13.05%14.01%10.40%8.93%10.53%7.18%7.53%8.30%6.26%11.11%14.67%6.02%
10 years11.72%12.25%11.44%8.00%9.22%7.06%6.94%7.21%6.72%9.39%12.97%6.82%
Result statistics are based on annualized rolling returns over full calendar year periods