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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jul 2006 - Dec 2019)

Note: The time period was constrained by the available data for ProShares Ultra S&P500 (SSO) [Jul 2006 - Feb 2021].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
SSO	ProShares Ultra S&P500	100.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
VFINX	Vanguard 500 Index Investor	165.00%
VUSTX	Vanguard Long-Term Treasury Inv	135.00%
CASHX	Cash	-200.00%
Save portfolio »

Portfolio 3
Ticker	Name	Allocation
VFINX	Vanguard 500 Index Investor	126.00%
VUSTX	Vanguard Long-Term Treasury Inv	174.00%
CASHX	Cash	-200.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$48,865	12.47%	29.17%	70.46%	-67.94%	-81.35%	0.52	0.74	0.99
Portfolio 2	$10,000	$159,816	22.79%	26.39%	66.19%	-33.57%	-63.31%	0.88	1.33	0.72
Portfolio 3	$10,000	$153,841	22.44%	24.20%	60.93%	-12.73%	-46.78%	0.92	1.48	0.48
Vanguard 500 Index Investor	$10,000	$33,261	9.31%	14.35%	32.18%	-37.02%	-50.97%	0.62	0.89	1.00

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	17.64%	63.45%	26.30%	19.33%	23.65%	12.47%	24.16%	24.20%
Portfolio 2	6.30%	66.19%	27.78%	20.23%	29.74%	22.79%	19.49%	20.09%
Portfolio 3	2.31%	59.52%	25.03%	17.58%	27.11%	22.44%	18.21%	19.72%
Vanguard 500 Index Investor	9.03%	31.33%	15.12%	11.55%	13.40%	9.31%	12.10%	11.98%
Trailing annualized return and volatility are for full months ending in December 2019 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 2006 are based on monthly returns 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 (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
Year	Inflation	Portfolio 1		Portfolio 2		Portfolio 3		Vanguard 500 Index Investor		ProShares Ultra S&P500 (SSO)	Vanguard 500 Index Investor (VFINX)	Vanguard Long-Term Treasury Inv (VUSTX)	Cash (CASHX)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	ProShares Ultra S&P500 (SSO)	Vanguard 500 Index Investor (VFINX)	Vanguard Long-Term Treasury Inv (VUSTX)	Cash (CASHX)
2006	-0.54%	22.63%	$12,263	24.98%	$12,498	22.72%	$12,272	12.66%	$11,266	22.63%	12.66%	6.81%	2.49%
2007	4.08%	1.04%	$12,390	12.14%	$14,015	13.57%	$13,938	5.39%	$11,873	1.04%	5.39%	9.24%	4.56%
2008	0.09%	-67.94%	$3,972	-33.57%	$9,310	-10.54%	$12,469	-37.02%	$7,478	-67.94%	-37.02%	22.52%	1.53%
2009	2.72%	47.26%	$5,850	27.08%	$11,831	12.07%	$13,974	26.49%	$9,458	47.26%	26.49%	-12.05%	0.16%
2010	1.50%	26.83%	$7,420	36.37%	$16,134	34.04%	$18,731	14.91%	$10,869	26.83%	14.91%	8.93%	0.14%
2011	2.96%	-2.92%	$7,203	42.62%	$23,011	53.27%	$28,708	1.97%	$11,082	-2.92%	1.97%	29.28%	0.07%
2012	1.74%	31.04%	$9,439	30.62%	$30,058	25.80%	$36,116	15.82%	$12,836	31.04%	15.82%	3.47%	0.08%
2013	1.50%	70.46%	$16,090	35.40%	$40,697	17.77%	$42,534	32.18%	$16,966	70.46%	32.18%	-13.03%	0.05%
2014	0.76%	25.53%	$20,198	56.34%	$63,624	60.93%	$68,448	13.51%	$19,258	25.53%	13.51%	25.28%	0.03%
2015	0.73%	-1.19%	$19,956	-0.12%	$63,550	-1.20%	$67,625	1.25%	$19,499	-1.19%	1.25%	-1.54%	0.05%
2016	2.07%	21.55%	$24,256	20.53%	$76,594	16.40%	$78,712	11.82%	$21,803	21.55%	11.82%	1.20%	0.30%
2017	2.11%	44.35%	$35,014	45.48%	$111,430	40.39%	$110,504	21.67%	$26,527	44.35%	21.67%	8.58%	0.88%
2018	1.91%	-14.62%	$29,895	-13.70%	$96,166	-12.73%	$96,439	-4.52%	$25,327	-14.62%	-4.52%	-1.90%	1.90%
2019	2.29%	63.45%	$48,865	66.19%	$159,816	59.52%	$153,841	31.33%	$33,261	63.45%	31.33%	14.13%	2.13%
Annual return for 2006 is from 07/01/2006 to 12/31/2006

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Portfolio 3 Return	Vanguard 500 Index Investor Return	ProShares Ultra S&P500 (SSO)	Vanguard 500 Index Investor (VFINX)	Vanguard Long-Term Treasury Inv (VUSTX)	Cash (CASHX)
2006	7	0.48%	2.67%	3.15%	0.61%	0.48%	0.61%	1.84%	0.41%
2006	8	4.25%	6.65%	6.77%	2.36%	4.25%	2.36%	2.74%	0.42%
2006	9	4.69%	5.23%	4.85%	2.56%	4.69%	2.56%	1.58%	0.41%
2006	10	5.52%	5.13%	4.24%	3.25%	5.52%	3.25%	0.77%	0.40%
2006	11	3.35%	4.34%	4.37%	1.89%	3.35%	1.89%	1.91%	0.42%
2006	12	2.52%	-1.12%	-2.31%	1.39%	2.52%	1.39%	-2.14%	0.41%
2007	1	2.12%	0.50%	-0.42%	1.49%	2.12%	1.49%	-0.85%	0.41%
2007	2	-4.57%	-0.22%	1.70%	-1.97%	-4.57%	-1.97%	2.93%	0.42%
2007	3	1.90%	-0.57%	-1.43%	1.11%	1.90%	1.11%	-1.13%	0.42%
2007	4	8.57%	7.63%	6.23%	4.42%	8.57%	4.42%	0.86%	0.41%
2007	5	6.17%	2.36%	0.35%	3.48%	6.17%	3.48%	-1.93%	0.40%
2007	6	-3.77%	-4.47%	-4.28%	-1.68%	-3.77%	-1.68%	-0.88%	0.39%
2007	7	-7.04%	-2.86%	-0.82%	-3.08%	-7.04%	-3.08%	2.39%	0.39%
2007	8	1.10%	4.27%	4.48%	1.50%	1.10%	1.50%	1.97%	0.40%
2007	9	7.78%	5.60%	4.31%	3.72%	7.78%	3.72%	0.21%	0.33%
2007	10	2.11%	3.62%	3.59%	1.58%	2.11%	1.58%	1.40%	0.31%
2007	11	-8.50%	-1.51%	1.61%	-4.19%	-8.50%	-4.19%	4.59%	0.32%
2007	12	-3.07%	-2.09%	-2.00%	-0.70%	-3.07%	-0.70%	-0.48%	0.26%
2008	1	-12.86%	-6.91%	-3.53%	-6.02%	-12.86%	-6.02%	2.64%	0.28%
2008	2	-5.42%	-5.23%	-3.67%	-3.25%	-5.42%	-3.25%	0.35%	0.16%
2008	3	-3.07%	0.52%	1.10%	-0.44%	-3.07%	-0.44%	1.02%	0.15%
2008	4	9.35%	4.99%	2.10%	4.85%	9.35%	4.85%	-1.84%	0.11%
2008	5	2.36%	-1.22%	-2.56%	1.29%	2.36%	1.29%	-2.13%	0.12%
2008	6	-16.28%	-12.19%	-7.88%	-8.44%	-16.28%	-8.44%	1.80%	0.15%
2008	7	-2.55%	-1.37%	-0.82%	-0.83%	-2.55%	-0.83%	0.30%	0.16%
2008	8	2.25%	5.35%	5.25%	1.45%	2.25%	1.45%	1.80%	0.14%
2008	9	-19.63%	-15.24%	-10.71%	-8.91%	-19.63%	-8.91%	0.28%	0.14%
2008	10	-34.93%	-38.45%	-29.38%	-16.79%	-34.93%	-16.79%	-3.63%	0.08%
2008	11	-16.98%	18.85%	26.10%	-7.17%	-16.98%	-7.17%	12.07%	0.04%
2008	12	-1.00%	27.70%	25.20%	1.07%	-1.00%	1.07%	8.87%	0.00%
2009	1	-16.48%	-25.33%	-25.36%	-8.41%	-16.48%	-8.41%	-8.47%	0.01%
2009	2	-21.10%	-23.29%	-18.68%	-10.66%	-21.10%	-10.66%	-1.01%	0.02%
2009	3	14.58%	31.81%	28.48%	8.76%	14.58%	8.76%	5.27%	0.02%
2009	4	20.32%	10.03%	3.08%	9.56%	20.32%	9.56%	-4.99%	0.02%
2009	5	11.20%	6.91%	3.30%	5.62%	11.20%	5.62%	-2.68%	0.01%
2009	6	-0.64%	1.33%	1.61%	0.22%	-0.64%	0.22%	0.70%	0.01%
2009	7	14.46%	15.36%	13.10%	7.58%	14.46%	7.58%	0.80%	0.02%
2009	8	7.39%	8.27%	7.98%	3.60%	7.39%	3.60%	1.68%	0.02%
2009	9	7.10%	8.41%	8.24%	3.72%	7.10%	3.72%	1.98%	0.01%
2009	10	-4.28%	-4.53%	-4.64%	-1.87%	-4.28%	-1.87%	-1.45%	0.01%
2009	11	12.33%	11.93%	11.13%	5.98%	12.33%	5.98%	1.91%	0.00%
2009	12	3.66%	-2.42%	-5.20%	1.95%	3.66%	1.95%	-5.66%	0.01%
2010	1	-7.51%	-2.36%	0.08%	-3.60%	-7.51%	-3.60%	2.66%	0.01%
2010	2	6.11%	4.73%	3.37%	3.09%	6.11%	3.09%	-0.21%	0.01%
2010	3	12.38%	7.58%	4.65%	6.01%	12.38%	6.01%	-1.51%	0.01%
2010	4	2.81%	5.88%	6.38%	1.58%	2.81%	1.58%	2.76%	0.01%
2010	5	-16.09%	-7.07%	-2.77%	-8.01%	-16.09%	-8.01%	4.23%	0.01%
2010	6	-10.92%	-1.60%	2.01%	-5.24%	-10.92%	-5.24%	4.67%	0.01%
2010	7	14.06%	9.83%	6.88%	7.00%	14.06%	7.00%	-0.17%	0.02%
2010	8	-9.25%	2.82%	6.70%	-4.53%	-9.25%	-4.53%	7.08%	0.01%
2010	9	18.44%	9.16%	5.26%	8.92%	18.44%	8.92%	-1.82%	0.01%
2010	10	7.57%	0.91%	-1.36%	3.79%	7.57%	3.79%	-3.29%	0.01%
2010	11	-0.40%	-1.88%	-2.37%	0.00%	-0.40%	0.00%	-1.60%	0.01%
2010	12	13.94%	4.90%	1.51%	6.67%	13.94%	6.67%	-3.58%	0.01%
2011	1	4.33%	0.66%	-1.18%	2.36%	4.33%	2.36%	-2.38%	0.01%
2011	2	6.94%	7.33%	6.56%	3.42%	6.94%	3.42%	1.24%	0.01%
2011	3	-0.39%	0.04%	0.04%	0.03%	-0.39%	0.03%	0.02%	0.01%
2011	4	5.74%	7.27%	7.05%	2.95%	5.74%	2.95%	2.04%	0.01%
2011	5	-2.38%	2.08%	3.72%	-1.15%	-2.38%	-1.15%	3.29%	0.00%
2011	6	-3.74%	-4.89%	-5.04%	-1.67%	-3.74%	-1.67%	-2.00%	0.01%
2011	7	-4.22%	1.93%	4.22%	-2.05%	-4.22%	-2.05%	4.18%	0.00%
2011	8	-12.81%	2.72%	7.71%	-5.45%	-12.81%	-5.45%	8.68%	0.01%
2011	9	-13.86%	3.78%	9.41%	-7.04%	-13.86%	-7.04%	10.16%	0.00%
2011	10	21.81%	8.74%	3.77%	10.91%	21.81%	10.91%	-3.34%	0.00%
2011	11	-1.56%	1.97%	2.54%	-0.23%	-1.56%	-0.23%	1.82%	0.00%
2011	12	1.91%	5.16%	5.60%	1.02%	1.91%	1.02%	3.13%	0.00%
2012	1	8.97%	7.47%	5.76%	4.46%	8.97%	4.46%	0.08%	0.00%
2012	2	8.45%	4.24%	1.87%	4.31%	8.45%	4.31%	-2.11%	0.01%
2012	3	6.71%	0.81%	-1.79%	3.28%	6.71%	3.28%	-3.77%	0.01%
2012	4	-1.61%	3.86%	5.91%	-0.64%	-1.61%	-0.64%	4.37%	0.01%
2012	5	-11.37%	-0.66%	4.32%	-6.02%	-11.37%	-6.02%	7.79%	0.01%
2012	6	7.27%	4.33%	2.36%	4.11%	7.27%	4.11%	-1.44%	0.01%
2012	7	2.53%	5.88%	6.61%	1.37%	2.53%	1.37%	3.32%	0.01%
2012	8	4.61%	1.97%	0.87%	2.24%	4.61%	2.24%	-1.06%	0.01%
2012	9	4.87%	1.36%	-0.18%	2.58%	4.87%	2.58%	-2.10%	0.01%
2012	10	-4.15%	-3.15%	-2.75%	-1.86%	-4.15%	-1.86%	-0.43%	0.01%
2012	11	0.94%	2.28%	2.59%	0.56%	0.94%	0.56%	1.35%	0.01%
2012	12	2.08%	-0.86%	-1.84%	0.90%	2.08%	0.90%	-1.99%	0.01%
2013	1	10.27%	4.11%	0.82%	5.18%	10.27%	5.18%	-3.27%	0.00%
2013	2	2.16%	3.80%	3.86%	1.34%	2.16%	1.34%	1.26%	0.01%
2013	3	7.39%	6.11%	4.83%	3.74%	7.39%	3.74%	0.03%	0.01%
2013	4	3.86%	7.49%	8.42%	1.91%	3.86%	1.91%	3.87%	0.01%
2013	5	4.55%	-3.44%	-6.50%	2.33%	4.55%	2.33%	-6.23%	0.00%
2013	6	-3.11%	-5.69%	-6.63%	-1.35%	-3.11%	-1.35%	-3.26%	0.00%
2013	7	10.41%	6.33%	4.01%	5.07%	10.41%	5.07%	-1.93%	0.00%
2013	8	-6.08%	-6.13%	-5.93%	-2.91%	-6.08%	-2.91%	-1.28%	0.00%
2013	9	6.48%	6.27%	5.83%	3.12%	6.48%	3.12%	0.88%	0.00%
2013	10	9.07%	8.95%	8.35%	4.59%	9.07%	4.59%	1.32%	0.00%
2013	11	5.77%	2.45%	0.70%	3.03%	5.77%	3.03%	-2.49%	0.00%
2013	12	5.13%	1.87%	0.34%	2.51%	5.13%	2.51%	-2.37%	0.01%
2014	1	-7.23%	2.71%	6.51%	-3.47%	-7.23%	-3.47%	6.26%	0.01%
2014	2	9.06%	7.90%	6.24%	4.56%	9.06%	4.56%	0.60%	0.00%
2014	3	1.52%	2.05%	1.95%	0.82%	1.52%	0.82%	0.63%	0.00%
2014	4	1.23%	3.40%	3.75%	0.72%	1.23%	0.72%	1.82%	0.00%
2014	5	4.41%	6.82%	6.86%	2.33%	4.41%	2.33%	2.73%	0.00%
2014	6	4.10%	2.65%	1.88%	2.05%	4.10%	2.05%	-0.16%	0.00%
2014	7	-2.88%	-1.22%	-0.55%	-1.39%	-2.88%	-1.39%	0.59%	0.00%
2014	8	7.87%	10.56%	10.50%	3.98%	7.87%	3.98%	4.23%	0.00%
2014	9	-2.93%	-4.09%	-4.21%	-1.41%	-2.93%	-1.41%	-1.99%	0.00%
2014	10	4.38%	6.25%	6.23%	2.42%	4.38%	2.42%	2.61%	0.00%
2014	11	5.54%	6.64%	6.62%	2.68%	5.54%	2.68%	2.86%	0.00%
2014	12	-0.84%	2.72%	3.60%	-0.26%	-0.84%	-0.26%	2.82%	0.00%
2015	1	-6.15%	7.12%	11.79%	-3.02%	-6.15%	-3.02%	8.97%	0.00%
2015	2	11.40%	0.80%	-3.32%	5.74%	11.40%	5.74%	-5.66%	0.00%
2015	3	-3.43%	-1.05%	-0.04%	-1.59%	-3.43%	-1.59%	1.13%	0.00%
2015	4	1.84%	-2.56%	-4.03%	0.95%	1.84%	0.95%	-3.07%	0.00%
2015	5	2.31%	-0.77%	-2.08%	1.27%	2.31%	1.27%	-2.16%	0.00%
2015	6	-4.09%	-7.99%	-8.77%	-1.93%	-4.09%	-1.93%	-3.73%	0.00%
2015	7	4.22%	9.32%	10.36%	2.08%	4.22%	2.08%	4.21%	0.00%
2015	8	-12.48%	-10.85%	-8.91%	-6.05%	-12.48%	-6.05%	-0.71%	0.01%
2015	9	-5.54%	-1.57%	0.23%	-2.48%	-5.54%	-2.48%	1.91%	0.01%
2015	10	17.45%	13.71%	9.86%	8.42%	17.45%	8.42%	-0.48%	0.00%
2015	11	0.60%	-0.59%	-1.02%	0.29%	0.60%	0.29%	-0.81%	0.01%
2015	12	-3.80%	-3.10%	-2.65%	-1.59%	-3.80%	-1.59%	-0.34%	0.02%
2016	1	-10.37%	-1.17%	2.81%	-4.98%	-10.37%	-4.98%	5.24%	0.01%
2016	2	-0.62%	3.83%	4.87%	-0.15%	-0.62%	-0.15%	2.86%	0.03%
2016	3	13.98%	10.36%	7.55%	6.78%	13.98%	6.78%	0.05%	0.03%
2016	4	0.60%	-0.29%	-0.64%	0.37%	0.60%	0.37%	-0.63%	0.02%
2016	5	3.18%	3.50%	3.06%	1.78%	3.18%	1.78%	0.69%	0.02%
2016	6	0.16%	8.54%	10.66%	0.25%	0.16%	0.25%	6.57%	0.03%
2016	7	7.40%	7.39%	6.69%	3.68%	7.40%	3.68%	2.01%	0.02%
2016	8	0.10%	-1.03%	-1.37%	0.13%	0.10%	0.13%	-1.00%	0.02%
2016	9	-0.28%	-1.57%	-1.96%	0.01%	-0.28%	0.01%	-1.32%	0.03%
2016	10	-3.68%	-7.44%	-8.11%	-1.83%	-3.68%	-1.83%	-4.23%	0.02%
2016	11	7.23%	-4.30%	-8.17%	3.70%	7.23%	3.70%	-7.86%	0.03%
2016	12	4.00%	2.54%	1.75%	1.96%	4.00%	1.96%	-0.35%	0.04%
2017	1	3.47%	3.90%	3.42%	1.88%	3.47%	1.88%	0.65%	0.04%
2017	2	7.83%	8.38%	7.49%	3.96%	7.83%	3.96%	1.57%	0.04%
2017	3	-0.02%	-0.65%	-0.90%	0.10%	-0.02%	0.10%	-0.59%	0.04%
2017	4	1.85%	3.42%	3.66%	1.02%	1.85%	1.02%	1.58%	0.06%
2017	5	2.55%	4.09%	4.25%	1.39%	2.55%	1.39%	1.73%	0.07%
2017	6	1.04%	1.52%	1.54%	0.61%	1.04%	0.61%	0.63%	0.08%
2017	7	3.95%	2.18%	1.28%	2.04%	3.95%	2.04%	-0.59%	0.08%
2017	8	0.31%	4.00%	5.07%	0.29%	0.31%	0.29%	3.27%	0.09%
2017	9	3.82%	0.24%	-1.20%	2.06%	3.82%	2.06%	-2.27%	0.08%
2017	10	4.53%	3.18%	2.45%	2.32%	4.53%	2.32%	-0.02%	0.09%
2017	11	5.87%	4.90%	4.19%	3.06%	5.87%	3.06%	0.63%	0.09%
2017	12	2.36%	3.21%	3.50%	1.10%	2.36%	1.10%	1.78%	0.10%
2018	1	11.17%	4.60%	1.05%	5.71%	11.17%	5.71%	-3.40%	0.11%
2018	2	-8.07%	-9.98%	-9.90%	-3.69%	-8.07%	-3.69%	-2.89%	0.12%
2018	3	-5.54%	-1.14%	1.04%	-2.56%	-5.54%	-2.56%	2.75%	0.14%
2018	4	0.20%	-2.49%	-3.51%	0.37%	0.20%	0.37%	-2.04%	0.14%
2018	5	4.41%	6.49%	6.34%	2.39%	4.41%	2.39%	1.79%	0.15%
2018	6	1.02%	1.60%	1.65%	0.61%	1.02%	0.61%	0.66%	0.16%
2018	7	7.09%	4.34%	2.40%	3.71%	7.09%	3.71%	-1.28%	0.16%
2018	8	6.15%	6.68%	6.05%	3.25%	6.15%	3.25%	1.18%	0.17%
2018	9	0.89%	-2.65%	-3.99%	0.55%	0.89%	0.55%	-2.74%	0.17%
2018	10	-14.01%	-15.29%	-14.37%	-6.85%	-14.01%	-6.85%	-2.82%	0.18%
2018	11	3.15%	5.77%	5.87%	2.03%	3.15%	2.03%	1.78%	0.19%
2018	12	-17.72%	-9.48%	-3.76%	-9.04%	-17.72%	-9.04%	5.50%	0.19%
2019	1	15.73%	13.47%	10.54%	8.00%	15.73%	8.00%	0.49%	0.20%
2019	2	6.21%	3.11%	1.52%	3.20%	6.21%	3.20%	-1.31%	0.20%
2019	3	3.45%	8.94%	10.45%	1.94%	3.45%	1.94%	5.47%	0.20%
2019	4	7.72%	3.54%	1.58%	4.04%	7.72%	4.04%	-1.88%	0.20%
2019	5	-12.77%	-2.71%	1.58%	-6.36%	-12.77%	-6.36%	6.65%	0.20%
2019	6	14.09%	10.80%	8.81%	7.03%	14.09%	7.03%	1.01%	0.19%
2019	7	2.52%	1.93%	1.57%	1.43%	2.52%	1.43%	0.22%	0.17%
2019	8	-4.04%	8.53%	12.51%	-1.59%	-4.04%	-1.59%	10.68%	0.17%
2019	9	3.62%	-0.65%	-1.96%	1.86%	3.62%	1.86%	-2.62%	0.16%
2019	10	4.00%	1.39%	0.42%	2.15%	4.00%	2.15%	-1.10%	0.15%
2019	11	7.07%	4.03%	2.87%	3.62%	7.07%	3.62%	-0.39%	0.13%
2019	12	5.65%	0.78%	-0.96%	3.01%	5.65%	3.01%	-3.00%	0.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Vanguard 500 Index Investor
Large-cap Value	32.06%	47.05%
Large-cap Growth	0.00%	52.81%
Mid-cap Value	4.11%	0.00%
Mid-cap Growth	13.46%	0.00%
Small-cap Value	31.37%	0.00%
Small-cap Growth	0.00%	0.00%
Global ex-US Developed Markets	0.00%	0.00%
Emerging Markets	18.99%	0.00%
Corporate Bonds	0.00%	0.00%
Long-Term Treasuries	0.00%	0.02%
Intermediate-Term Treasuries	0.00%	0.12%
Short-Term Treasuries	0.00%	0.00%
R Squared	76.83%	99.93%
Style analysis is based on monthly returns from July 2006 to December 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield	Fees	Return Contribution	Risk Contribution
SSO	ProShares Ultra S&P500	Leveraged Equity	100.00%	0.19%	0.91%	$38,865	100.00%

Asset Allocation

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
Metric	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	1.35%	2.03%	1.95%	0.83%
Arithmetic Mean (annualized)	17.51%	27.28%	26.06%	10.45%
Geometric Mean (monthly)	0.98%	1.73%	1.70%	0.74%
Geometric Mean (annualized)	12.47%	22.79%	22.44%	9.31%
Volatility (monthly)	8.42%	7.62%	6.98%	4.14%
Volatility (annualized)	29.17%	26.39%	24.20%	14.35%
Downside Deviation (monthly)	5.89%	5.04%	4.32%	2.85%
Max. Drawdown	-81.35%	-63.31%	-46.78%	-50.97%
US Market Correlation	0.99	0.72	0.48	1.00
Beta^(*)	2.03	1.33	0.84	1.00
Alpha (annualized)	-3.99%	11.05%	15.02%	0.00%
R²	99.52%	52.72%	24.71%	100.00%
Sharpe Ratio	0.52	0.88	0.92	0.62
Sortino Ratio	0.74	1.33	1.48	0.89
Treynor Ratio (%)	7.49	17.47	26.65	8.93
Calmar Ratio	0.97	1.32	1.41	1.12
Active Return	3.16%	13.48%	13.13%	N/A
Tracking Error	14.89%	18.77%	21.12%	N/A
Information Ratio	0.21	0.72	0.62	N/A
Skewness	-0.80	-0.94	-0.40	-0.83
Excess Kurtosis	1.95	7.36	5.44	1.90
Historical Value-at-Risk (5%)	-14.01%	-9.41%	-8.17%	-7.03%
Analytical Value-at-Risk (5%)	-12.50%	-9.47%	-8.86%	-5.98%
Conditional Value-at-Risk (5%)	-19.25%	-17.79%	-14.92%	-9.39%
Upside Capture Ratio (%)	209.56	163.57	117.22	100.00
Downside Capture Ratio (%)	201.85	105.75	49.32	100.00
Safe Withdrawal Rate	7.32%	16.14%	18.16%	9.18%
Perpetual Withdrawal Rate	9.19%	16.56%	16.34%	6.66%
Positive Periods	106 out of 162 (65.43%)	108 out of 162 (66.67%)	109 out of 162 (67.28%)	111 out of 162 (68.52%)
Gain/Loss Ratio	0.81	1.08	1.08	0.76
^* 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 Period	Start	End	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
Subprime Crisis	Nov 2007	Mar 2009	-81.26%	-63.31%	-46.78%	-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
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	Jul 2019	7 months	10 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	Aug 2019	Aug 2019	1 month	Oct 2019	2 months	3 months	-4.04%
9	Sep 2016	Oct 2016	2 months	Nov 2016	1 month	3 months	-3.95%
10	Mar 2015	Mar 2015	1 month	May 2015	2 months	3 months	-3.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Sep 2010	1 year 7 months	2 years 11 months	-63.31%
2	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-21.05%
3	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-15.55%
4	Aug 2016	Nov 2016	4 months	Apr 2017	5 months	9 months	-13.71%
5	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-13.23%
6	May 2013	Aug 2013	4 months	Oct 2013	2 months	6 months	-9.10%
7	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-7.21%
8	Jun 2011	Jun 2011	1 month	Sep 2011	3 months	4 months	-4.89%
9	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-4.09%
10	Oct 2012	Oct 2012	1 month	Jan 2013	3 months	4 months	-3.15%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Dec 2007	Feb 2009	1 year 3 months	Nov 2009	9 months	2 years	-46.78%
2	Aug 2016	Nov 2016	4 months	Jun 2017	7 months	11 months	-18.41%
3	Sep 2018	Oct 2018	2 months	Mar 2019	5 months	7 months	-17.79%
4	Feb 2015	Jun 2015	5 months	Mar 2016	9 months	1 year 2 months	-17.15%
5	May 2013	Aug 2013	4 months	Jan 2014	5 months	9 months	-14.58%
6	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-12.16%
7	Dec 2009	Dec 2009	1 month	Mar 2010	3 months	4 months	-5.20%
8	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-5.06%
9	Jun 2011	Jun 2011	1 month	Aug 2011	2 months	3 months	-5.04%
10	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-4.21%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
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	Apr 2019	4 months	7 months	-13.55%
3	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
4	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
5	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
6	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-4.71%
7	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-3.47%
8	Dec 2014	Jan 2015	2 months	Feb 2015	1 month	3 months	-3.27%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-2.91%
10	Feb 2007	Feb 2007	1 month	Apr 2007	2 months	3 months	-1.97%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
SSO	ProShares Ultra S&P500	12.47%	29.17%	70.46%	-67.94%	-81.35%	0.52	0.74	0.99
VFINX	Vanguard 500 Index Investor	9.31%	14.35%	32.18%	-37.02%	-50.97%	0.62	0.89	1.00
VUSTX	Vanguard Long-Term Treasury Inv	6.76%	11.61%	29.28%	-13.03%	-16.68%	0.53	0.95	-0.31
CASHX	Cash	1.06%	0.43%	4.56%	0.03%	0.00%	N/A	N/A	-0.05

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	SSO	VFINX	VUSTX	CASHX	Portfolio 1	Portfolio 2	Portfolio 3	Vanguard 500 Index Investor
SSO	ProShares Ultra S&P500	1.00	1.00	-0.31	-0.06	1.00	0.70	0.47	1.00
VFINX	Vanguard 500 Index Investor	1.00	1.00	-0.30	-0.04	1.00	0.73	0.50	1.00
VUSTX	Vanguard Long-Term Treasury Inv	-0.31	-0.30	1.00	0.04	-0.31	0.39	0.65	-0.30
CASHX	Cash	-0.06	-0.04	0.04	1.00	-0.06	-0.06	-0.05	-0.04

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
SSO	ProShares Ultra S&P500	$38,865
VFINX	Vanguard 500 Index Investor		$115,518	$95,075
VUSTX	Vanguard Long-Term Treasury Inv		$46,556	$61,080
CASHX	Cash		-$12,258	-$12,314

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
SSO	ProShares Ultra S&P500	100.00%
VFINX	Vanguard 500 Index Investor		73.52%	40.66%
VUSTX	Vanguard Long-Term Treasury Inv		26.24%	59.14%
CASHX	Cash		0.24%	0.19%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	17.06%	119.34%	-74.37%	25.03%	126.88%	-57.80%	23.71%	91.00%	-43.57%	9.72%	53.61%	-43.32%
3 years	15.86%	48.15%	-28.40%	25.42%	69.09%	-5.73%	24.10%	59.88%	1.71%	10.10%	25.43%	-9.84%
5 years	17.58%	44.13%	-11.68%	27.33%	53.27%	11.36%	25.81%	44.77%	15.78%	10.91%	22.85%	-1.26%
7 years	18.55%	31.91%	2.51%	27.71%	43.00%	17.41%	25.83%	38.21%	18.77%	11.45%	17.12%	5.27%
10 years	15.33%	30.24%	6.51%	25.61%	35.65%	19.44%	24.40%	30.48%	19.93%	10.22%	16.52%	6.58%