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
SPY SPDR S&P 500 ETF Trust 30.00%
SSO ProShares Ultra S&P500 70.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 150.00%
CASHX Cash -150.00%
SHY iShares 1-3 Year Treasury Bond ETF 40.00%
VUSTX Vanguard Long-Term Treasury Inv 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,715 11.92% 24.66%58.31%-59.91%-74.33% 0.540.771.00
Portfolio 2$10,000$94,376 18.09% 20.70%58.15%-41.78%-62.94% 0.861.290.93
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 115.04%53.34%23.09%17.13%20.74%11.92%20.50%20.50%
Portfolio 210.35%58.15%25.34%19.02%25.30%18.09%16.93%16.87%
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 quarterly 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 2Vanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)ProShares Ultra S&P500 (SSO)Cash (CASHX)iShares 1-3 Year Treasury Bond ETF (SHY)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
2006-0.54%19.50%$11,95020.41%$12,04112.66%$11,26612.38%22.63%2.49%2.85%6.81%
20074.08%2.31%$12,2279.60%$13,1975.39%$11,8735.14%1.04%4.56%7.35%9.24%
20080.09%-59.91%$4,901-41.78%$7,683-37.02%$7,478-36.81%-67.94%1.53%6.62%22.52%
20092.72%41.60%$6,94028.73%$9,89026.49%$9,45826.36%47.26%0.16%0.35%-12.05%
20101.50%23.72%$8,58631.45%$13,00114.91%$10,86915.06%26.83%0.14%2.28%8.93%
20112.96%-1.05%$8,49623.45%$16,0501.97%$11,0821.89%-2.92%0.07%1.44%29.28%
20121.74%26.56%$10,75327.92%$20,53115.82%$12,83615.99%31.04%0.08%0.28%3.47%
20131.50%58.31%$17,02239.91%$28,72432.18%$16,96632.31%70.46%0.05%0.21%-13.03%
20140.76%21.83%$20,73837.59%$39,52213.51%$19,25813.46%25.53%0.03%0.45%25.28%
20150.73%-0.36%$20,6641.29%$40,0341.25%$19,4991.25%-1.19%0.05%0.43%-1.54%
20162.07%18.63%$24,51419.71%$47,92311.82%$21,80312.00%21.55%0.30%0.82%1.20%
20172.11%37.26%$33,64838.55%$66,39821.67%$26,52721.70%44.35%0.88%0.26%8.58%
20181.91%-11.40%$29,813-10.13%$59,675-4.52%$25,327-4.56%-14.62%1.90%1.46%-1.90%
20192.29%53.34%$45,71558.15%$94,37631.33%$33,26131.22%63.45%2.13%3.38%14.13%
Annual return for 2006 is from 07/01/2006 to 12/31/2006
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnVanguard 500 Index Investor ReturnSPDR S&P 500 ETF Trust (SPY)ProShares Ultra S&P500 (SSO)Cash (CASHX)iShares 1-3 Year Treasury Bond ETF (SHY)Vanguard Long-Term Treasury Inv (VUSTX)
200670.47%1.43%0.61%0.45%0.48%0.41%0.66%1.84%
200683.63%4.56%2.36%2.18%4.25%0.42%0.75%2.74%
200694.10%4.41%2.56%2.70%4.69%0.41%0.44%1.58%
2006104.81%4.75%3.25%3.15%5.52%0.40%0.42%0.77%
2006112.95%3.62%1.89%1.99%3.35%0.42%0.48%1.91%
2006122.18%0.18%1.39%1.34%2.52%0.41%0.07%-2.14%
200711.94%1.20%1.49%1.50%2.12%0.41%0.16%-0.85%
20072-3.79%-1.56%-1.97%-1.96%-4.57%0.42%0.73%2.93%
200731.67%0.59%1.11%1.16%1.90%0.42%0.45%-1.13%
200747.33%6.66%4.42%4.43%8.57%0.41%0.31%0.86%
200755.36%3.29%3.48%3.39%6.17%0.40%-0.07%-1.93%
20076-3.11%-2.97%-1.68%-1.46%-3.77%0.39%0.48%-0.88%
20077-5.87%-3.49%-3.08%-3.13%-7.04%0.39%0.90%2.39%
200781.16%2.99%1.50%1.28%1.10%0.40%1.05%1.97%
200796.57%5.57%3.72%3.87%7.78%0.33%0.55%0.21%
2007101.88%2.60%1.58%1.36%2.11%0.31%0.48%1.40%
200711-7.12%-2.78%-4.19%-3.87%-8.50%0.32%1.79%4.59%
200712-2.47%-2.22%-0.70%-1.13%-3.07%0.26%0.30%-0.48%
20081-10.82%-7.24%-6.02%-6.05%-12.86%0.28%1.65%2.64%
20082-4.52%-3.50%-3.25%-2.58%-5.42%0.16%1.03%0.35%
20083-2.37%-0.82%-0.44%-0.90%-3.07%0.15%0.25%1.02%
200847.97%5.54%4.85%4.77%9.35%0.11%-0.84%-1.84%
200852.11%0.77%1.29%1.51%2.36%0.12%-0.35%-2.13%
20086-13.99%-11.66%-8.44%-8.35%-16.28%0.15%0.24%1.80%
20087-2.05%-1.23%-0.83%-0.90%-2.55%0.16%0.43%0.30%
200882.03%3.40%1.45%1.55%2.25%0.14%0.47%1.80%
20089-16.55%-13.66%-8.91%-9.44%-19.63%0.14%0.78%0.28%
200810-29.41%-26.63%-16.79%-16.52%-34.93%0.08%1.10%-3.63%
200811-13.42%-1.83%-7.17%-6.96%-16.98%0.04%1.10%12.07%
200812-0.24%9.88%1.07%0.98%-1.00%0.00%0.56%8.87%
20091-14.00%-17.59%-8.41%-8.21%-16.48%0.01%-0.44%-8.47%
20092-17.79%-18.73%-10.66%-10.74%-21.10%0.02%-0.15%-1.01%
2009312.42%19.83%8.76%8.35%14.58%0.02%0.50%5.27%
2009417.21%11.82%9.56%9.93%20.32%0.02%-0.17%-4.99%
200959.70%7.26%5.62%5.85%11.20%0.01%0.06%-2.68%
20096-0.49%0.18%0.22%-0.07%-0.64%0.01%-0.09%0.70%
2009712.36%11.69%7.58%7.46%14.46%0.02%0.11%0.80%
200986.33%6.37%3.60%3.69%7.39%0.02%0.41%1.68%
200996.11%6.08%3.72%3.55%7.10%0.01%0.24%1.98%
200910-3.58%-3.72%-1.87%-1.92%-4.28%0.01%0.14%-1.45%
20091110.45%10.82%5.98%6.16%12.33%0.00%0.60%1.91%
2009123.14%-0.73%1.95%1.91%3.66%0.01%-0.84%-5.66%
20101-6.34%-3.54%-3.60%-3.63%-7.51%0.01%0.80%2.66%
201025.18%4.60%3.09%3.12%6.11%0.01%0.16%-0.21%
2010310.48%7.95%6.01%6.09%12.38%0.01%-0.27%-1.51%
201042.43%4.08%1.58%1.55%2.81%0.01%0.30%2.76%
20105-13.67%-8.97%-8.01%-7.95%-16.09%0.01%0.45%4.23%
20106-9.10%-4.34%-5.24%-5.17%-10.92%0.01%0.42%4.67%
2010711.89%10.20%7.00%6.83%14.06%0.02%0.19%-0.17%
20108-7.89%-2.62%-4.53%-4.50%-9.25%0.01%0.24%7.08%
2010915.62%11.71%8.92%8.96%18.44%0.01%0.12%-1.82%
2010106.44%3.83%3.79%3.82%7.57%0.01%0.22%-3.29%
201011-0.28%-0.99%0.00%0.00%-0.40%0.01%-0.20%-1.60%
20101211.81%8.05%6.67%6.68%13.94%0.01%-0.16%-3.58%
201113.73%2.11%2.36%2.33%4.33%0.01%0.13%-2.38%
201125.92%5.86%3.42%3.47%6.94%0.01%-0.12%1.24%
20113-0.27%-0.04%0.03%0.01%-0.39%0.01%-0.13%0.02%
201144.89%5.77%2.95%2.90%5.74%0.01%0.53%2.04%
20115-2.01%0.40%-1.15%-1.12%-2.38%0.00%0.36%3.29%
20116-3.13%-3.62%-1.67%-1.69%-3.74%0.01%-0.00%-2.00%
20117-3.55%-0.38%-2.05%-2.00%-4.22%0.00%0.29%4.18%
20118-10.58%-2.54%-5.45%-5.50%-12.81%0.01%0.34%8.68%
20119-11.63%-2.87%-7.04%-6.94%-13.86%0.00%-0.10%10.16%
20111018.54%14.38%10.91%10.91%21.81%0.00%0.03%-3.34%
201111-1.23%0.34%-0.23%-0.41%-1.56%0.00%0.04%1.82%
2011121.66%3.14%1.02%1.04%1.91%0.00%0.05%3.13%
201217.67%7.03%4.46%4.64%8.97%0.00%0.08%0.08%
201227.25%5.12%4.31%4.34%8.45%0.01%-0.14%-2.11%
201235.72%2.68%3.28%3.22%6.71%0.01%-0.08%-3.77%
20124-1.33%1.69%-0.64%-0.67%-1.61%0.01%0.20%4.37%
20125-9.75%-3.99%-6.02%-6.01%-11.37%0.01%0.06%7.79%
201266.26%4.77%4.11%4.05%7.27%0.01%-0.10%-1.44%
201272.13%3.84%1.37%1.18%2.53%0.01%0.22%3.32%
201283.99%3.02%2.24%2.51%4.61%0.01%0.01%-1.06%
201294.18%2.48%2.58%2.54%4.87%0.01%0.02%-2.10%
201210-3.45%-3.03%-1.86%-1.82%-4.15%0.01%-0.07%-0.43%
2012110.82%1.70%0.56%0.57%0.94%0.01%0.05%1.35%
2012121.72%0.13%0.90%0.90%2.08%0.01%0.02%-1.99%
201318.73%5.71%5.18%5.12%10.27%0.00%0.01%-3.27%
201321.91%2.61%1.34%1.28%2.16%0.01%0.06%1.26%
201336.35%5.61%3.74%3.80%7.39%0.01%0.03%0.03%
201343.28%5.22%1.91%1.92%3.86%0.01%0.07%3.87%
201353.90%-0.32%2.33%2.36%4.55%0.00%-0.13%-6.23%
20136-2.59%-3.85%-1.35%-1.34%-3.11%0.00%-0.10%-3.26%
201378.84%6.65%5.07%5.17%10.41%0.00%0.16%-1.93%
20138-5.19%-5.18%-2.91%-3.00%-6.08%0.00%-0.10%-1.28%
201395.50%5.38%3.12%3.17%6.48%0.00%0.22%0.88%
2013107.74%7.77%4.59%4.63%9.07%0.00%0.07%1.32%
2013114.95%2.94%3.03%2.96%5.77%0.00%0.09%-2.49%
2013124.40%2.43%2.51%2.59%5.13%0.01%-0.18%-2.37%
20141-6.12%-1.46%-3.47%-3.52%-7.23%0.01%0.20%6.26%
201427.67%7.08%4.56%4.55%9.06%0.00%0.04%0.60%
201431.32%1.53%0.82%0.83%1.52%0.00%-0.11%0.63%
201441.07%2.17%0.72%0.70%1.23%0.00%0.11%1.82%
201453.78%5.13%2.33%2.32%4.41%0.00%0.18%2.73%
201463.50%2.84%2.05%2.06%4.10%0.00%-0.08%-0.16%
20147-2.42%-1.70%-1.39%-1.34%-2.88%0.00%-0.08%0.59%
201486.68%8.61%3.98%3.95%7.87%0.00%0.19%4.23%
20149-2.47%-3.19%-1.41%-1.38%-2.93%0.00%-0.07%-1.99%
2014103.77%5.20%2.42%2.36%4.38%0.00%0.26%2.61%
2014114.71%5.72%2.68%2.75%5.54%0.00%0.11%2.86%
201412-0.67%1.13%-0.26%-0.26%-0.84%0.00%-0.29%2.82%
20151-5.19%1.18%-3.02%-2.96%-6.15%0.00%0.63%8.97%
201529.63%4.31%5.74%5.62%11.40%0.00%-0.29%-5.66%
20153-2.88%-1.54%-1.59%-1.57%-3.43%0.00%0.25%1.13%
201541.58%-0.36%0.95%0.98%1.84%0.00%0.03%-3.07%
201552.00%0.71%1.27%1.29%2.31%0.00%0.04%-2.16%
20156-3.48%-5.20%-1.93%-2.03%-4.09%0.00%0.03%-3.73%
201573.63%5.93%2.08%2.26%4.22%0.00%0.04%4.21%
20158-10.59%-9.28%-6.05%-6.10%-12.48%0.01%-0.05%-0.71%
20159-4.61%-2.46%-2.48%-2.54%-5.54%0.01%0.30%1.91%
20151014.76%12.41%8.42%8.51%17.45%0.00%-0.14%-0.48%
2015110.53%-0.00%0.29%0.37%0.60%0.01%-0.26%-0.81%
201512-3.21%-2.75%-1.59%-1.72%-3.80%0.02%-0.15%-0.34%
20161-8.75%-4.09%-4.98%-4.98%-10.37%0.01%0.65%5.24%
20162-0.45%1.76%-0.15%-0.08%-0.62%0.03%0.11%2.86%
2016311.71%9.86%6.78%6.72%13.98%0.03%0.14%0.05%
201640.54%0.20%0.37%0.39%0.60%0.02%0.04%-0.63%
201652.74%2.89%1.78%1.70%3.18%0.02%-0.12%0.69%
201660.22%4.54%0.25%0.35%0.16%0.03%0.60%6.57%
201676.27%6.62%3.68%3.65%7.40%0.02%-0.05%2.01%
201680.10%-0.52%0.13%0.12%0.10%0.02%-0.23%-1.00%
20169-0.20%-0.73%0.01%0.01%-0.28%0.03%0.13%-1.32%
201610-3.09%-5.19%-1.83%-1.73%-3.68%0.02%-0.05%-4.23%
2016116.15%0.72%3.70%3.68%7.23%0.03%-0.47%-7.86%
2016123.41%3.02%1.96%2.03%4.00%0.04%0.07%-0.35%
201712.96%3.05%1.88%1.79%3.47%0.04%0.11%0.65%
201726.67%6.69%3.96%3.93%7.83%0.04%0.04%1.57%
201730.02%-0.18%0.10%0.13%-0.02%0.04%0.06%-0.59%
201741.59%2.42%1.02%0.99%1.85%0.06%0.19%1.58%
201752.21%3.05%1.39%1.41%2.55%0.07%0.07%1.73%
201760.92%1.16%0.61%0.64%1.04%0.08%-0.08%0.63%
201773.38%2.68%2.04%2.06%3.95%0.08%0.19%-0.59%
201780.31%2.29%0.29%0.29%0.31%0.09%0.20%3.27%
201793.28%1.42%2.06%2.01%3.82%0.08%-0.19%-2.27%
2017103.88%3.36%2.32%2.36%4.53%0.09%-0.09%-0.02%
2017115.04%4.68%3.06%3.06%5.87%0.09%-0.22%0.63%
2017122.03%2.61%1.10%1.21%2.36%0.10%-0.02%1.78%
201819.51%6.12%5.71%5.64%11.17%0.11%-0.29%-3.40%
20182-6.79%-7.21%-3.69%-3.64%-8.07%0.12%-0.10%-2.89%
20183-4.70%-2.78%-2.56%-2.74%-5.54%0.14%0.25%2.75%
201840.29%-0.75%0.37%0.52%0.20%0.14%-0.23%-2.04%
201853.81%4.66%2.39%2.43%4.41%0.15%0.35%1.79%
201860.89%1.02%0.61%0.58%1.02%0.16%0.04%0.66%
201876.07%4.53%3.71%3.70%7.09%0.16%-0.06%-1.28%
201885.28%5.31%3.25%3.19%6.15%0.17%0.35%1.18%
201890.81%-0.91%0.55%0.59%0.89%0.17%-0.14%-2.74%
201810-11.88%-12.26%-6.85%-6.91%-14.01%0.18%0.15%-2.82%
2018112.74%3.98%2.03%1.85%3.15%0.19%0.38%1.78%
201812-14.92%-10.09%-9.04%-8.79%-17.72%0.19%0.76%5.50%
2019113.41%12.11%8.00%8.01%15.73%0.20%0.25%0.49%
201925.36%3.74%3.20%3.24%6.21%0.20%0.09%-1.31%
201932.99%5.34%1.94%1.81%3.45%0.20%0.63%5.47%
201946.63%4.78%4.04%4.09%7.72%0.20%0.18%-1.88%
20195-10.90%-5.77%-6.36%-6.38%-12.77%0.20%0.72%6.65%
2019611.90%10.81%7.03%6.96%14.09%0.19%0.46%1.01%
201972.21%2.11%1.43%1.51%2.52%0.17%-0.06%0.22%
20198-3.34%3.84%-1.59%-1.67%-4.04%0.17%0.78%10.68%
201993.11%0.82%1.86%1.95%3.62%0.16%-0.13%-2.62%
2019103.46%2.55%2.15%2.21%4.00%0.15%0.31%-1.10%
2019116.04%4.98%3.62%3.62%7.07%0.13%-0.05%-0.39%
2019124.85%2.51%3.01%2.90%5.65%0.13%0.16%-3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value43.34%47.05%
Large-cap Growth7.05%52.81%
Mid-cap Value0.00%0.00%
Mid-cap Growth16.76%0.00%
Small-cap Value19.59%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets13.25%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 Squared84.21%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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend30.00%1.39%0.09%27.17$7,16717.37%
SSOProShares Ultra S&P500Leveraged Equity70.00%0.19%0.91%$28,54882.63%
100.00%0.55%0.67%27.17$35,715100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.20%1.58%0.83%
Arithmetic Mean (annualized)15.44%20.69%10.45%
Geometric Mean (monthly)0.94%1.40%0.74%
Geometric Mean (annualized)11.92%18.09%9.31%
Volatility (monthly)7.12%5.98%4.14%
Volatility (annualized)24.66%20.70%14.35%
Downside Deviation (monthly)4.96%3.98%2.85%
Max. Drawdown-74.33%-62.94%-50.97%
US Market Correlation1.000.931.00
Beta(*)1.711.341.00
Alpha (annualized)-2.66%5.53%0.00%
R299.63%86.92%100.00%
Sharpe Ratio0.540.860.62
Sortino Ratio0.771.290.89
Treynor Ratio (%)7.8113.318.93
Calmar Ratio1.001.351.12
Active Return2.61%8.78%N/A
Tracking Error10.37%8.98%N/A
Information Ratio0.250.98N/A
Skewness-0.80-1.02-0.83
Excess Kurtosis1.923.931.90
Historical Value-at-Risk (5%)-11.87%-8.88%-7.03%
Analytical Value-at-Risk (5%)-10.50%-8.13%-5.98%
Conditional Value-at-Risk (5%)-16.18%-14.32%-9.39%
Upside Capture Ratio (%)174.86153.43100.00
Downside Capture Ratio (%)171.86118.09100.00
Safe Withdrawal Rate8.15%12.71%9.18%
Perpetual Withdrawal Rate8.76%13.36%6.66%
Positive Periods107 out of 162 (66.05%)108 out of 162 (66.67%)111 out of 162 (68.52%)
Gain/Loss Ratio0.801.020.76
* 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 2Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-74.33%-62.94%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20134 years 3 months5 years 7 months-74.33%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-22.98%
3Aug 2015Sep 20152 monthsJun 20169 months11 months-14.71%
4Feb 2018Mar 20182 monthsAug 20185 months7 months-11.17%
5May 2019May 20191 monthJul 20192 months3 months-10.90%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-8.79%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-6.12%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-5.83%
9Aug 2013Aug 20131 monthSep 20131 month2 months-5.19%
10Feb 2007Feb 20071 monthApr 20072 months3 months-3.79%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-62.94%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-18.73%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-12.21%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-10.47%
5Jun 2011Sep 20114 monthsOct 20111 month5 months-9.12%
6Aug 2016Oct 20163 monthsJan 20173 months6 months-6.38%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-6.36%
8May 2019May 20191 monthJun 20191 month2 months-5.77%
9Aug 2013Aug 20131 monthOct 20132 months3 months-5.18%
10May 2013Jun 20132 monthsJul 20131 month3 months-4.15%
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
SPYSPDR S&P 500 ETF Trust9.32%14.32%32.31%-36.81%-50.80%0.620.901.00
SSOProShares Ultra S&P50012.47%29.17%70.46%-67.94%-81.35%0.520.740.99
CASHXCash1.06%0.43%4.56%0.03%0.00%N/AN/A-0.05
SHYiShares 1-3 Year Treasury Bond ETF2.06%1.28%7.35%0.21%-1.18%0.861.74-0.35
VUSTXVanguard Long-Term Treasury Inv6.76%11.61%29.28%-13.03%-16.68%0.530.95-0.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYSSOCASHXSHYVUSTXPortfolio 1Portfolio 2Vanguard 500 Index Investor
SPYSPDR S&P 500 ETF Trust1.001.00-0.04-0.34-0.301.000.931.00
SSOProShares Ultra S&P5001.001.00-0.06-0.36-0.311.000.921.00
CASHXCash-0.04-0.061.000.440.04-0.06-0.06-0.04
SHYiShares 1-3 Year Treasury Bond ETF-0.34-0.360.441.000.54-0.35-0.15-0.34
VUSTXVanguard Long-Term Treasury Inv-0.30-0.310.040.541.00-0.310.06-0.30

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$7,167$72,833
SSOProShares Ultra S&P500$28,548
CASHXCash-$6,804
SHYiShares 1-3 Year Treasury Bond ETF$2,681
VUSTXVanguard Long-Term Treasury Inv$15,666

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust17.37%98.18%
SSOProShares Ultra S&P50082.63%
CASHXCash0.18%
SHYiShares 1-3 Year Treasury Bond ETF-0.37%
VUSTXVanguard Long-Term Treasury Inv2.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year14.83%97.30%-66.71%19.59%93.91%-56.44%9.72%53.61%-43.32%
3 years14.37%41.47%-22.52%20.01%51.96%-9.51%10.10%25.43%-9.84%
5 years15.84%37.78%-8.01%21.67%42.57%4.13%10.91%22.85%-1.26%
7 years16.72%27.32%3.95%22.21%33.59%12.37%11.45%17.12%5.27%
10 years14.16%26.24%6.99%20.16%29.72%14.49%10.22%16.52%6.58%