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.

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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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jul 2006 - Dec 2019)

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
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$48,865 12.47% 29.17%70.46%-67.94%-81.35% 0.520.740.99
Portfolio 2$10,000$159,816 22.79% 26.39%66.19%-33.57%-63.31% 0.881.330.72
Portfolio 3$10,000$153,841 22.44% 24.20%60.93%-12.73%-46.78% 0.921.480.48
Vanguard 500 Index Investor$10,000$33,261 9.31% 14.35%32.18%-37.02%-50.97% 0.620.891.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 117.64%63.45%26.30%19.33%23.65%12.47%24.16%24.20%
Portfolio 26.30%66.19%27.78%20.23%29.74%22.79%19.49%20.09%
Portfolio 32.31%59.52%25.03%17.58%27.11%22.44%18.21%19.72%
Vanguard 500 Index Investor9.03%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
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorProShares Ultra S&P500 (SSO)Vanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2006-0.54%22.63%$12,26324.98%$12,49822.72%$12,27212.66%$11,26622.63%12.66%6.81%2.49%
20074.08%1.04%$12,39012.14%$14,01513.57%$13,9385.39%$11,8731.04%5.39%9.24%4.56%
20080.09%-67.94%$3,972-33.57%$9,310-10.54%$12,469-37.02%$7,478-67.94%-37.02%22.52%1.53%
20092.72%47.26%$5,85027.08%$11,83112.07%$13,97426.49%$9,45847.26%26.49%-12.05%0.16%
20101.50%26.83%$7,42036.37%$16,13434.04%$18,73114.91%$10,86926.83%14.91%8.93%0.14%
20112.96%-2.92%$7,20342.62%$23,01153.27%$28,7081.97%$11,082-2.92%1.97%29.28%0.07%
20121.74%31.04%$9,43930.62%$30,05825.80%$36,11615.82%$12,83631.04%15.82%3.47%0.08%
20131.50%70.46%$16,09035.40%$40,69717.77%$42,53432.18%$16,96670.46%32.18%-13.03%0.05%
20140.76%25.53%$20,19856.34%$63,62460.93%$68,44813.51%$19,25825.53%13.51%25.28%0.03%
20150.73%-1.19%$19,956-0.12%$63,550-1.20%$67,6251.25%$19,499-1.19%1.25%-1.54%0.05%
20162.07%21.55%$24,25620.53%$76,59416.40%$78,71211.82%$21,80321.55%11.82%1.20%0.30%
20172.11%44.35%$35,01445.48%$111,43040.39%$110,50421.67%$26,52744.35%21.67%8.58%0.88%
20181.91%-14.62%$29,895-13.70%$96,166-12.73%$96,439-4.52%$25,327-14.62%-4.52%-1.90%1.90%
20192.29%63.45%$48,86566.19%$159,81659.52%$153,84131.33%$33,26163.45%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
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard 500 Index Investor ReturnProShares Ultra S&P500 (SSO)Vanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
200670.48%2.67%3.15%0.61%0.48%0.61%1.84%0.41%
200684.25%6.65%6.77%2.36%4.25%2.36%2.74%0.42%
200694.69%5.23%4.85%2.56%4.69%2.56%1.58%0.41%
2006105.52%5.13%4.24%3.25%5.52%3.25%0.77%0.40%
2006113.35%4.34%4.37%1.89%3.35%1.89%1.91%0.42%
2006122.52%-1.12%-2.31%1.39%2.52%1.39%-2.14%0.41%
200712.12%0.50%-0.42%1.49%2.12%1.49%-0.85%0.41%
20072-4.57%-0.22%1.70%-1.97%-4.57%-1.97%2.93%0.42%
200731.90%-0.57%-1.43%1.11%1.90%1.11%-1.13%0.42%
200748.57%7.63%6.23%4.42%8.57%4.42%0.86%0.41%
200756.17%2.36%0.35%3.48%6.17%3.48%-1.93%0.40%
20076-3.77%-4.47%-4.28%-1.68%-3.77%-1.68%-0.88%0.39%
20077-7.04%-2.86%-0.82%-3.08%-7.04%-3.08%2.39%0.39%
200781.10%4.27%4.48%1.50%1.10%1.50%1.97%0.40%
200797.78%5.60%4.31%3.72%7.78%3.72%0.21%0.33%
2007102.11%3.62%3.59%1.58%2.11%1.58%1.40%0.31%
200711-8.50%-1.51%1.61%-4.19%-8.50%-4.19%4.59%0.32%
200712-3.07%-2.09%-2.00%-0.70%-3.07%-0.70%-0.48%0.26%
20081-12.86%-6.91%-3.53%-6.02%-12.86%-6.02%2.64%0.28%
20082-5.42%-5.23%-3.67%-3.25%-5.42%-3.25%0.35%0.16%
20083-3.07%0.52%1.10%-0.44%-3.07%-0.44%1.02%0.15%
200849.35%4.99%2.10%4.85%9.35%4.85%-1.84%0.11%
200852.36%-1.22%-2.56%1.29%2.36%1.29%-2.13%0.12%
20086-16.28%-12.19%-7.88%-8.44%-16.28%-8.44%1.80%0.15%
20087-2.55%-1.37%-0.82%-0.83%-2.55%-0.83%0.30%0.16%
200882.25%5.35%5.25%1.45%2.25%1.45%1.80%0.14%
20089-19.63%-15.24%-10.71%-8.91%-19.63%-8.91%0.28%0.14%
200810-34.93%-38.45%-29.38%-16.79%-34.93%-16.79%-3.63%0.08%
200811-16.98%18.85%26.10%-7.17%-16.98%-7.17%12.07%0.04%
200812-1.00%27.70%25.20%1.07%-1.00%1.07%8.87%0.00%
20091-16.48%-25.33%-25.36%-8.41%-16.48%-8.41%-8.47%0.01%
20092-21.10%-23.29%-18.68%-10.66%-21.10%-10.66%-1.01%0.02%
2009314.58%31.81%28.48%8.76%14.58%8.76%5.27%0.02%
2009420.32%10.03%3.08%9.56%20.32%9.56%-4.99%0.02%
2009511.20%6.91%3.30%5.62%11.20%5.62%-2.68%0.01%
20096-0.64%1.33%1.61%0.22%-0.64%0.22%0.70%0.01%
2009714.46%15.36%13.10%7.58%14.46%7.58%0.80%0.02%
200987.39%8.27%7.98%3.60%7.39%3.60%1.68%0.02%
200997.10%8.41%8.24%3.72%7.10%3.72%1.98%0.01%
200910-4.28%-4.53%-4.64%-1.87%-4.28%-1.87%-1.45%0.01%
20091112.33%11.93%11.13%5.98%12.33%5.98%1.91%0.00%
2009123.66%-2.42%-5.20%1.95%3.66%1.95%-5.66%0.01%
20101-7.51%-2.36%0.08%-3.60%-7.51%-3.60%2.66%0.01%
201026.11%4.73%3.37%3.09%6.11%3.09%-0.21%0.01%
2010312.38%7.58%4.65%6.01%12.38%6.01%-1.51%0.01%
201042.81%5.88%6.38%1.58%2.81%1.58%2.76%0.01%
20105-16.09%-7.07%-2.77%-8.01%-16.09%-8.01%4.23%0.01%
20106-10.92%-1.60%2.01%-5.24%-10.92%-5.24%4.67%0.01%
2010714.06%9.83%6.88%7.00%14.06%7.00%-0.17%0.02%
20108-9.25%2.82%6.70%-4.53%-9.25%-4.53%7.08%0.01%
2010918.44%9.16%5.26%8.92%18.44%8.92%-1.82%0.01%
2010107.57%0.91%-1.36%3.79%7.57%3.79%-3.29%0.01%
201011-0.40%-1.88%-2.37%0.00%-0.40%0.00%-1.60%0.01%
20101213.94%4.90%1.51%6.67%13.94%6.67%-3.58%0.01%
201114.33%0.66%-1.18%2.36%4.33%2.36%-2.38%0.01%
201126.94%7.33%6.56%3.42%6.94%3.42%1.24%0.01%
20113-0.39%0.04%0.04%0.03%-0.39%0.03%0.02%0.01%
201145.74%7.27%7.05%2.95%5.74%2.95%2.04%0.01%
20115-2.38%2.08%3.72%-1.15%-2.38%-1.15%3.29%0.00%
20116-3.74%-4.89%-5.04%-1.67%-3.74%-1.67%-2.00%0.01%
20117-4.22%1.93%4.22%-2.05%-4.22%-2.05%4.18%0.00%
20118-12.81%2.72%7.71%-5.45%-12.81%-5.45%8.68%0.01%
20119-13.86%3.78%9.41%-7.04%-13.86%-7.04%10.16%0.00%
20111021.81%8.74%3.77%10.91%21.81%10.91%-3.34%0.00%
201111-1.56%1.97%2.54%-0.23%-1.56%-0.23%1.82%0.00%
2011121.91%5.16%5.60%1.02%1.91%1.02%3.13%0.00%
201218.97%7.47%5.76%4.46%8.97%4.46%0.08%0.00%
201228.45%4.24%1.87%4.31%8.45%4.31%-2.11%0.01%
201236.71%0.81%-1.79%3.28%6.71%3.28%-3.77%0.01%
20124-1.61%3.86%5.91%-0.64%-1.61%-0.64%4.37%0.01%
20125-11.37%-0.66%4.32%-6.02%-11.37%-6.02%7.79%0.01%
201267.27%4.33%2.36%4.11%7.27%4.11%-1.44%0.01%
201272.53%5.88%6.61%1.37%2.53%1.37%3.32%0.01%
201284.61%1.97%0.87%2.24%4.61%2.24%-1.06%0.01%
201294.87%1.36%-0.18%2.58%4.87%2.58%-2.10%0.01%
201210-4.15%-3.15%-2.75%-1.86%-4.15%-1.86%-0.43%0.01%
2012110.94%2.28%2.59%0.56%0.94%0.56%1.35%0.01%
2012122.08%-0.86%-1.84%0.90%2.08%0.90%-1.99%0.01%
2013110.27%4.11%0.82%5.18%10.27%5.18%-3.27%0.00%
201322.16%3.80%3.86%1.34%2.16%1.34%1.26%0.01%
201337.39%6.11%4.83%3.74%7.39%3.74%0.03%0.01%
201343.86%7.49%8.42%1.91%3.86%1.91%3.87%0.01%
201354.55%-3.44%-6.50%2.33%4.55%2.33%-6.23%0.00%
20136-3.11%-5.69%-6.63%-1.35%-3.11%-1.35%-3.26%0.00%
2013710.41%6.33%4.01%5.07%10.41%5.07%-1.93%0.00%
20138-6.08%-6.13%-5.93%-2.91%-6.08%-2.91%-1.28%0.00%
201396.48%6.27%5.83%3.12%6.48%3.12%0.88%0.00%
2013109.07%8.95%8.35%4.59%9.07%4.59%1.32%0.00%
2013115.77%2.45%0.70%3.03%5.77%3.03%-2.49%0.00%
2013125.13%1.87%0.34%2.51%5.13%2.51%-2.37%0.01%
20141-7.23%2.71%6.51%-3.47%-7.23%-3.47%6.26%0.01%
201429.06%7.90%6.24%4.56%9.06%4.56%0.60%0.00%
201431.52%2.05%1.95%0.82%1.52%0.82%0.63%0.00%
201441.23%3.40%3.75%0.72%1.23%0.72%1.82%0.00%
201454.41%6.82%6.86%2.33%4.41%2.33%2.73%0.00%
201464.10%2.65%1.88%2.05%4.10%2.05%-0.16%0.00%
20147-2.88%-1.22%-0.55%-1.39%-2.88%-1.39%0.59%0.00%
201487.87%10.56%10.50%3.98%7.87%3.98%4.23%0.00%
20149-2.93%-4.09%-4.21%-1.41%-2.93%-1.41%-1.99%0.00%
2014104.38%6.25%6.23%2.42%4.38%2.42%2.61%0.00%
2014115.54%6.64%6.62%2.68%5.54%2.68%2.86%0.00%
201412-0.84%2.72%3.60%-0.26%-0.84%-0.26%2.82%0.00%
20151-6.15%7.12%11.79%-3.02%-6.15%-3.02%8.97%0.00%
2015211.40%0.80%-3.32%5.74%11.40%5.74%-5.66%0.00%
20153-3.43%-1.05%-0.04%-1.59%-3.43%-1.59%1.13%0.00%
201541.84%-2.56%-4.03%0.95%1.84%0.95%-3.07%0.00%
201552.31%-0.77%-2.08%1.27%2.31%1.27%-2.16%0.00%
20156-4.09%-7.99%-8.77%-1.93%-4.09%-1.93%-3.73%0.00%
201574.22%9.32%10.36%2.08%4.22%2.08%4.21%0.00%
20158-12.48%-10.85%-8.91%-6.05%-12.48%-6.05%-0.71%0.01%
20159-5.54%-1.57%0.23%-2.48%-5.54%-2.48%1.91%0.01%
20151017.45%13.71%9.86%8.42%17.45%8.42%-0.48%0.00%
2015110.60%-0.59%-1.02%0.29%0.60%0.29%-0.81%0.01%
201512-3.80%-3.10%-2.65%-1.59%-3.80%-1.59%-0.34%0.02%
20161-10.37%-1.17%2.81%-4.98%-10.37%-4.98%5.24%0.01%
20162-0.62%3.83%4.87%-0.15%-0.62%-0.15%2.86%0.03%
2016313.98%10.36%7.55%6.78%13.98%6.78%0.05%0.03%
201640.60%-0.29%-0.64%0.37%0.60%0.37%-0.63%0.02%
201653.18%3.50%3.06%1.78%3.18%1.78%0.69%0.02%
201660.16%8.54%10.66%0.25%0.16%0.25%6.57%0.03%
201677.40%7.39%6.69%3.68%7.40%3.68%2.01%0.02%
201680.10%-1.03%-1.37%0.13%0.10%0.13%-1.00%0.02%
20169-0.28%-1.57%-1.96%0.01%-0.28%0.01%-1.32%0.03%
201610-3.68%-7.44%-8.11%-1.83%-3.68%-1.83%-4.23%0.02%
2016117.23%-4.30%-8.17%3.70%7.23%3.70%-7.86%0.03%
2016124.00%2.54%1.75%1.96%4.00%1.96%-0.35%0.04%
201713.47%3.90%3.42%1.88%3.47%1.88%0.65%0.04%
201727.83%8.38%7.49%3.96%7.83%3.96%1.57%0.04%
20173-0.02%-0.65%-0.90%0.10%-0.02%0.10%-0.59%0.04%
201741.85%3.42%3.66%1.02%1.85%1.02%1.58%0.06%
201752.55%4.09%4.25%1.39%2.55%1.39%1.73%0.07%
201761.04%1.52%1.54%0.61%1.04%0.61%0.63%0.08%
201773.95%2.18%1.28%2.04%3.95%2.04%-0.59%0.08%
201780.31%4.00%5.07%0.29%0.31%0.29%3.27%0.09%
201793.82%0.24%-1.20%2.06%3.82%2.06%-2.27%0.08%
2017104.53%3.18%2.45%2.32%4.53%2.32%-0.02%0.09%
2017115.87%4.90%4.19%3.06%5.87%3.06%0.63%0.09%
2017122.36%3.21%3.50%1.10%2.36%1.10%1.78%0.10%
2018111.17%4.60%1.05%5.71%11.17%5.71%-3.40%0.11%
20182-8.07%-9.98%-9.90%-3.69%-8.07%-3.69%-2.89%0.12%
20183-5.54%-1.14%1.04%-2.56%-5.54%-2.56%2.75%0.14%
201840.20%-2.49%-3.51%0.37%0.20%0.37%-2.04%0.14%
201854.41%6.49%6.34%2.39%4.41%2.39%1.79%0.15%
201861.02%1.60%1.65%0.61%1.02%0.61%0.66%0.16%
201877.09%4.34%2.40%3.71%7.09%3.71%-1.28%0.16%
201886.15%6.68%6.05%3.25%6.15%3.25%1.18%0.17%
201890.89%-2.65%-3.99%0.55%0.89%0.55%-2.74%0.17%
201810-14.01%-15.29%-14.37%-6.85%-14.01%-6.85%-2.82%0.18%
2018113.15%5.77%5.87%2.03%3.15%2.03%1.78%0.19%
201812-17.72%-9.48%-3.76%-9.04%-17.72%-9.04%5.50%0.19%
2019115.73%13.47%10.54%8.00%15.73%8.00%0.49%0.20%
201926.21%3.11%1.52%3.20%6.21%3.20%-1.31%0.20%
201933.45%8.94%10.45%1.94%3.45%1.94%5.47%0.20%
201947.72%3.54%1.58%4.04%7.72%4.04%-1.88%0.20%
20195-12.77%-2.71%1.58%-6.36%-12.77%-6.36%6.65%0.20%
2019614.09%10.80%8.81%7.03%14.09%7.03%1.01%0.19%
201972.52%1.93%1.57%1.43%2.52%1.43%0.22%0.17%
20198-4.04%8.53%12.51%-1.59%-4.04%-1.59%10.68%0.17%
201993.62%-0.65%-1.96%1.86%3.62%1.86%-2.62%0.16%
2019104.00%1.39%0.42%2.15%4.00%2.15%-1.10%0.15%
2019117.07%4.03%2.87%3.62%7.07%3.62%-0.39%0.13%
2019125.65%0.78%-0.96%3.01%5.65%3.01%-3.00%0.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value32.06%47.05%
Large-cap Growth0.00%52.81%
Mid-cap Value4.11%0.00%
Mid-cap Growth13.46%0.00%
Small-cap Value31.37%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets18.99%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.02%
Intermediate-Term Treasuries0.00%0.12%
Short-Term Treasuries0.00%0.00%
R Squared76.83%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
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity100.00%0.19%0.91%$38,865100.00%

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
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 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 Correlation0.990.720.481.00
Beta(*)2.031.330.841.00
Alpha (annualized)-3.99%11.05%15.02%0.00%
R299.52%52.72%24.71%100.00%
Sharpe Ratio0.520.880.920.62
Sortino Ratio0.741.331.480.89
Treynor Ratio (%)7.4917.4726.658.93
Calmar Ratio0.971.321.411.12
Active Return3.16%13.48%13.13%N/A
Tracking Error14.89%18.77%21.12%N/A
Information Ratio0.210.720.62N/A
Skewness-0.80-0.94-0.40-0.83
Excess Kurtosis1.957.365.441.90
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 (%)209.56163.57117.22100.00
Downside Capture Ratio (%)201.85105.7549.32100.00
Safe Withdrawal Rate7.32%16.14%18.16%9.18%
Perpetual Withdrawal Rate9.19%16.56%16.34%6.66%
Positive Periods106 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 Ratio0.811.081.080.76
* 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 2009-81.26%-63.31%-46.78%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsOct 20134 years 8 months6 years 5 months-81.35%
2Oct 2018Dec 20183 monthsJul 20197 months10 months-27.03%
3Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.36%
4Feb 2018Mar 20182 monthsAug 20185 months7 months-13.17%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-7.23%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-6.94%
7Feb 2007Feb 20071 monthApr 20072 months3 months-4.57%
8Aug 2019Aug 20191 monthOct 20192 months3 months-4.04%
9Sep 2016Oct 20162 monthsNov 20161 month3 months-3.95%
10Mar 2015Mar 20151 monthMay 20152 months3 months-3.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-63.31%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-21.05%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-15.55%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-13.71%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-13.23%
6May 2013Aug 20134 monthsOct 20132 months6 months-9.10%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-7.21%
8Jun 2011Jun 20111 monthSep 20113 months4 months-4.89%
9Sep 2014Sep 20141 monthOct 20141 month2 months-4.09%
10Oct 2012Oct 20121 monthJan 20133 months4 months-3.15%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-46.78%
2Aug 2016Nov 20164 monthsJun 20177 months11 months-18.41%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-17.79%
4Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-17.15%
5May 2013Aug 20134 monthsJan 20145 months9 months-14.58%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-12.16%
7Dec 2009Dec 20091 monthMar 20103 months4 months-5.20%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-5.06%
9Jun 2011Jun 20111 monthAug 20112 months3 months-5.04%
10Sep 2014Sep 20141 monthOct 20141 month2 months-4.21%
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&P50012.47%29.17%70.46%-67.94%-81.35%0.520.740.99
VFINXVanguard 500 Index Investor9.31%14.35%32.18%-37.02%-50.97%0.620.891.00
VUSTXVanguard Long-Term Treasury Inv6.76%11.61%29.28%-13.03%-16.68%0.530.95-0.31
CASHXCash1.06%0.43%4.56%0.03%0.00%N/AN/A-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSOVFINXVUSTXCASHXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
SSOProShares Ultra S&P5001.001.00-0.31-0.061.000.700.471.00
VFINXVanguard 500 Index Investor1.001.00-0.30-0.041.000.730.501.00
VUSTXVanguard Long-Term Treasury Inv-0.31-0.301.000.04-0.310.390.65-0.30
CASHXCash-0.06-0.040.041.00-0.06-0.06-0.05-0.04

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SSOProShares Ultra S&P500$38,865
VFINXVanguard 500 Index Investor$115,518$95,075
VUSTXVanguard Long-Term Treasury Inv$46,556$61,080
CASHXCash-$12,258-$12,314

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SSOProShares Ultra S&P500100.00%
VFINXVanguard 500 Index Investor73.52%40.66%
VUSTXVanguard Long-Term Treasury Inv26.24%59.14%
CASHXCash0.24%0.19%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year17.06%119.34%-74.37%25.03%126.88%-57.80%23.71%91.00%-43.57%9.72%53.61%-43.32%
3 years15.86%48.15%-28.40%25.42%69.09%-5.73%24.10%59.88%1.71%10.10%25.43%-9.84%
5 years17.58%44.13%-11.68%27.33%53.27%11.36%25.81%44.77%15.78%10.91%22.85%-1.26%
7 years18.55%31.91%2.51%27.71%43.00%17.41%25.83%38.21%18.77%11.45%17.12%5.27%
10 years15.33%30.24%6.51%25.61%35.65%19.44%24.40%30.48%19.93%10.22%16.52%6.58%