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 Analysis Results (Sep 2007 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SSO ProShares Ultra S&P500 50.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
PSLDX PIMCO StocksPLUS Long Duration Instl 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$40,288 11.96% 14.37%38.06%-26.95%-46.51% 0.811.170.87
Portfolio 2$10,000$59,331 15.53% 17.53%52.60%-33.13%-50.85% 0.881.300.85
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.49%38.06%17.58%12.53%17.11%11.96%11.35%11.56%
Portfolio 26.90%52.60%22.34%16.38%20.95%15.53%13.24%14.07%
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 2007 are based on monthly returns from September 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 2ProShares Ultra S&P500 (SSO)iShares 20+ Year Treasury Bond ETF (TLT)PIMCO StocksPLUS Long Duration Instl (PSLDX)
ReturnBalanceReturnBalance
20071.02%2.51%$10,2514.20%$10,420-2.40%6.82%4.20%
20080.09%-26.95%$7,489-33.13%$6,968-67.94%33.93%-33.13%
20092.72%10.87%$8,30327.13%$8,85847.26%-21.80%27.13%
20101.50%21.86%$10,11827.60%$11,30326.83%9.05%27.60%
20112.96%19.77%$12,11821.15%$13,693-2.92%33.96%21.15%
20121.74%18.02%$14,30227.22%$17,42131.04%2.63%27.22%
20131.50%23.43%$17,65318.86%$20,70770.46%-13.37%18.86%
20140.76%26.49%$22,32934.23%$27,79425.53%27.30%34.23%
20150.73%-0.58%$22,200-3.19%$26,908-1.19%-1.79%-3.19%
20162.07%11.64%$24,78520.42%$32,40221.55%1.18%20.42%
20172.11%25.92%$31,21032.87%$43,05244.35%9.18%32.87%
20181.91%-6.50%$29,181-9.69%$38,880-14.62%-1.61%-9.69%
20192.29%38.06%$40,28852.60%$59,33163.45%14.12%52.60%
Annual return for 2007 is from 09/01/2007 to 12/31/2007
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnProShares Ultra S&P500 (SSO)iShares 20+ Year Treasury Bond ETF (TLT)PIMCO StocksPLUS Long Duration Instl (PSLDX)
200794.00%3.80%7.78%0.23%3.80%
2007101.96%2.79%2.11%1.81%2.79%
200711-1.59%-1.69%-8.50%5.35%-1.69%
200712-1.77%-0.67%-3.07%-0.64%-0.67%
20081-5.38%-3.99%-12.86%2.10%-3.99%
20082-2.74%-3.85%-5.42%-0.46%-3.85%
20083-0.19%-0.43%-3.07%2.14%-0.43%
200843.43%5.10%9.35%-2.48%5.10%
20085-0.02%-1.24%2.36%-2.69%-1.24%
20086-7.59%-8.73%-16.28%2.65%-8.73%
20087-1.46%-1.49%-2.55%-0.37%-1.49%
200882.50%2.45%2.25%2.74%2.45%
20089-8.94%-14.25%-19.63%1.47%-14.25%
200810-18.40%-22.84%-34.93%-1.86%-22.84%
2008111.85%2.58%-16.98%14.34%2.58%
2008128.88%12.12%-1.00%13.64%12.12%
20091-14.78%-13.73%-16.48%-13.07%-13.73%
20092-11.12%-12.76%-21.10%-1.54%-12.76%
200938.63%10.09%14.58%4.04%10.09%
200946.68%9.12%20.32%-6.95%9.12%
200954.71%6.86%11.20%-3.69%6.86%
20096-0.08%1.84%-0.64%0.76%1.84%
200977.52%11.90%14.46%0.58%11.90%
200984.98%5.39%7.39%2.24%5.39%
200994.99%5.85%7.10%2.46%5.85%
200910-3.45%-2.25%-4.28%-2.62%-2.25%
2009116.72%7.41%12.33%1.21%7.41%
200912-1.13%-1.42%3.66%-6.34%-1.42%
20101-2.41%-1.43%-7.51%2.69%-1.43%
201022.72%2.91%6.11%-0.34%2.91%
201035.01%5.91%12.38%-2.06%5.91%
201043.07%4.41%2.81%3.32%4.41%
20105-5.46%-7.27%-16.09%5.11%-7.27%
20106-1.61%-1.30%-10.92%5.80%-1.30%
201076.56%8.52%14.06%-0.95%8.52%
20108-1.05%0.83%-9.25%8.40%0.83%
201097.77%8.06%18.44%-2.51%8.06%
2010101.55%2.20%7.57%-4.47%2.20%
201011-1.01%-1.94%-0.40%-1.69%-1.94%
2010125.71%4.89%13.94%-3.68%4.89%
201110.62%0.91%4.33%-3.08%0.91%
201124.39%4.94%6.94%1.65%4.94%
20113-0.19%0.00%-0.39%0.03%0.00%
201144.04%5.71%5.74%2.34%5.71%
201150.47%1.62%-2.38%3.42%1.62%
20116-3.02%-3.53%-3.74%-2.33%-3.53%
201170.10%1.94%-4.22%4.42%1.94%
20118-1.09%-2.99%-12.81%9.66%-2.99%
201191.79%-2.94%-13.86%13.20%-2.94%
2011108.99%11.54%21.81%-3.84%11.54%
2011110.00%-1.16%-1.56%1.98%-1.16%
2011122.60%4.34%1.91%3.44%4.34%
201214.32%6.27%8.97%-0.33%6.27%
201223.17%3.64%8.45%-2.59%3.64%
201231.77%0.40%6.71%-4.23%0.40%
201241.61%2.83%-1.61%4.83%2.83%
20125-0.85%-1.55%-11.37%9.03%-1.55%
201262.19%3.89%7.27%-1.68%3.89%
201273.17%5.53%2.53%3.82%5.53%
201281.63%1.78%4.61%-1.32%1.78%
201291.25%1.90%4.87%-2.53%1.90%
201210-2.32%-0.87%-4.15%-0.48%-0.87%
2012111.16%0.99%0.94%1.38%0.99%
201212-0.25%-0.15%2.08%-2.49%-0.15%
201313.54%2.83%10.27%-3.19%2.83%
201321.73%2.51%2.16%1.24%2.51%
201333.75%3.51%7.39%-0.42%3.51%
201344.27%5.32%3.86%4.68%5.32%
20135-1.13%-2.79%4.55%-6.76%-2.79%
20136-3.19%-6.45%-3.11%-3.27%-6.45%
201374.08%4.65%10.41%-2.26%4.65%
20138-3.85%-4.33%-6.08%-1.34%-4.33%
201393.67%4.04%6.48%0.66%4.04%
2013105.25%6.28%9.07%1.43%6.28%
2013111.69%1.42%5.77%-2.70%1.42%
2013121.90%1.30%5.13%-1.87%1.30%
20141-0.47%1.05%-7.23%6.30%1.05%
201424.50%6.07%9.06%0.52%6.07%
201431.12%1.12%1.52%0.73%1.12%
201441.67%2.76%1.23%2.10%2.76%
201453.67%4.97%4.41%2.95%4.97%
201461.93%2.18%4.10%-0.25%2.18%
20147-1.10%-1.13%-2.88%0.67%-1.13%
201486.27%7.25%7.87%4.72%7.25%
20149-2.52%-3.75%-2.93%-2.11%-3.75%
2014103.59%4.58%4.38%2.81%4.58%
2014114.26%4.50%5.54%2.97%4.50%
2014121.16%0.74%-0.84%3.25%0.74%
201511.83%2.75%-6.15%9.82%2.75%
201521.94%2.55%11.40%-6.14%2.55%
20153-1.18%-1.10%-3.43%1.10%-1.10%
20154-0.79%-1.59%1.84%-3.43%-1.59%
201550.03%-0.40%2.31%-2.37%-0.40%
20156-4.08%-5.41%-4.09%-4.07%-5.41%
201574.38%4.58%4.22%4.55%4.58%
20158-6.57%-7.52%-12.48%-0.69%-7.52%
20159-1.54%-2.26%-5.54%1.97%-2.26%
2015108.52%9.42%17.45%-0.41%9.42%
201511-0.07%-0.14%0.60%-0.87%-0.14%
201512-2.21%-2.99%-3.80%-0.30%-2.99%
20161-2.40%-3.34%-10.37%5.57%-3.34%
201621.38%1.65%-0.62%3.09%1.65%
201636.24%10.26%13.98%-0.09%10.26%
20164-0.07%1.77%0.60%-0.74%1.77%
201652.00%2.03%3.18%0.81%2.03%
201663.49%5.16%0.16%6.93%5.16%
201674.75%6.64%7.40%2.10%6.64%
20168-0.44%0.25%0.10%-1.01%0.25%
20169-0.87%-0.86%-0.28%-1.51%-0.86%
201610-4.03%-4.50%-3.68%-4.38%-4.50%
201611-0.47%-2.29%7.23%-8.21%-2.29%
2016121.95%2.94%4.00%-0.46%2.94%
201712.14%2.51%3.47%0.81%2.51%
201724.75%5.91%7.83%1.59%5.91%
20173-0.32%-0.41%-0.02%-0.65%-0.41%
201741.71%2.60%1.85%1.57%2.60%
201752.22%3.20%2.55%1.89%3.20%
201760.92%1.23%1.04%0.79%1.23%
201771.64%2.30%3.95%-0.66%2.30%
201781.82%2.25%0.31%3.41%2.25%
201790.77%1.08%3.82%-2.32%1.08%
2017102.24%2.58%4.53%-0.04%2.58%
2017113.37%3.23%5.87%0.74%3.23%
2017122.10%2.40%2.36%1.81%2.40%
201813.96%3.88%11.17%-3.26%3.88%
20182-5.73%-6.54%-8.07%-3.04%-6.54%
20183-1.52%-1.27%-5.54%2.86%-1.27%
20184-0.94%-1.75%0.20%-2.09%-1.75%
201853.22%2.97%4.41%2.01%2.97%
201860.84%0.46%1.02%0.65%0.46%
201872.83%3.74%7.09%-1.44%3.74%
201883.83%3.74%6.15%1.31%3.74%
20189-0.86%-1.04%0.89%-2.86%-1.04%
201810-8.47%-9.52%-14.01%-2.93%-9.52%
2018112.43%2.41%3.15%1.79%2.41%
201812-5.30%-6.06%-17.72%5.85%-6.06%
201918.05%9.75%15.73%0.38%9.75%
201922.69%2.91%6.21%-1.38%2.91%
201934.40%6.19%3.45%5.57%6.19%
201942.86%3.41%7.72%-1.99%3.41%
20195-3.43%-2.29%-12.77%6.84%-2.29%
201967.17%8.92%14.09%0.95%8.92%
201971.39%2.06%2.52%0.26%2.06%
201983.42%5.91%-4.04%11.04%5.91%
201990.28%0.05%3.62%-2.68%0.05%
2019101.44%1.86%4.00%-1.11%1.86%
2019113.42%3.52%7.07%-0.41%3.52%
2019121.50%1.38%5.65%-3.20%1.38%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value31.56%14.88%
Large-cap Growth31.95%22.98%
Mid-cap Value0.00%3.95%
Mid-cap Growth7.59%12.15%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets4.50%14.06%
Emerging Markets1.36%10.38%
Corporate Bonds0.00%0.00%
Long-Term Treasuries23.04%21.61%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared91.46%80.68%
Style analysis is based on monthly returns from September 2007 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
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity50.00%0.19%0.91%$22,40691.52%
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%1.88%0.15%19.07$7,8818.48%
100.00%1.03%0.53%19.07$30,288100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
PSLDXPIMCO StocksPLUS Long Duration Instl85%+ Equity100.00%2.17%1.01%15.93$49,331100.00%

Asset Allocation

Fixed Income Maturity

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 2
Arithmetic Mean (monthly)1.03%1.34%
Arithmetic Mean (annualized)13.14%17.34%
Geometric Mean (monthly)0.95%1.21%
Geometric Mean (annualized)11.96%15.53%
Volatility (monthly)4.15%5.06%
Volatility (annualized)14.37%17.53%
Downside Deviation (monthly)2.86%3.39%
Max. Drawdown-46.51%-50.85%
US Market Correlation0.870.85
Beta(*)0.810.97
Alpha (annualized)4.57%6.74%
R274.96%71.92%
Sharpe Ratio0.810.88
Sortino Ratio1.171.30
Treynor Ratio (%)14.4215.88
Calmar Ratio1.471.61
Active Return3.17%6.74%
Tracking Error7.74%9.30%
Information Ratio0.410.72
Skewness-1.29-1.13
Excess Kurtosis4.013.76
Historical Value-at-Risk (5%)-5.64%-7.01%
Analytical Value-at-Risk (5%)-5.82%-6.98%
Conditional Value-at-Risk (5%)-10.20%-12.08%
Upside Capture Ratio (%)91.81113.51
Downside Capture Ratio (%)73.2482.65
Safe Withdrawal Rate10.51%11.80%
Perpetual Withdrawal Rate8.69%11.37%
Positive Periods95 out of 148 (64.19%)97 out of 148 (65.54%)
Gain/Loss Ratio1.091.04
* US stock market 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 2
Subprime CrisisNov 2007Mar 2009-46.51%-50.85%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-46.51%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-11.99%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.69%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-8.04%
5Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.73%
6May 2013Jun 20132 monthsOct 20134 months6 months-4.28%
7Jun 2011Aug 20113 monthsOct 20112 months5 months-3.99%
8May 2019May 20191 monthJun 20191 month2 months-3.43%
9Sep 2014Sep 20141 monthOct 20141 month2 months-2.52%
10Oct 2012Oct 20121 monthJan 20133 months4 months-2.32%
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-50.85%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-13.86%
3Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-13.33%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-9.34%
5May 2013Jun 20132 monthsOct 20134 months6 months-9.07%
6Sep 2016Nov 20163 monthsFeb 20173 months6 months-7.49%
7Jun 2011Sep 20114 monthsOct 20111 month5 months-7.41%
8Sep 2014Sep 20141 monthOct 20141 month2 months-3.75%
9May 2019May 20191 monthJun 20191 month2 months-2.29%
10Nov 2010Nov 20101 monthDec 20101 month2 months-1.94%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SSOProShares Ultra S&P50011.55%30.19%70.46%-67.94%-81.26%0.500.711.00
TLTiShares 20+ Year Treasury Bond ETF6.81%13.95%33.96%-21.80%-21.80%0.490.87-0.33
PSLDXPIMCO StocksPLUS Long Duration Instl15.53%17.53%52.60%-33.13%-50.85%0.881.300.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSOTLTPSLDXPortfolio 1Portfolio 2
SSOProShares Ultra S&P5001.00-0.330.850.870.85
TLTiShares 20+ Year Treasury Bond ETF-0.331.000.180.170.18
PSLDXPIMCO StocksPLUS Long Duration Instl0.850.181.000.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P500$22,406
TLTiShares 20+ Year Treasury Bond ETF$7,881
PSLDXPIMCO StocksPLUS Long Duration Instl$49,331

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P50091.52%
TLTiShares 20+ Year Treasury Bond ETF8.48%
PSLDXPIMCO StocksPLUS Long Duration Instl100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year13.48%46.73%-39.87%17.69%71.33%-45.48%
3 years15.44%31.99%-4.05%19.30%42.20%-0.17%
5 years15.89%26.48%5.97%19.46%33.45%10.12%
7 years15.97%21.34%10.13%19.49%26.03%13.54%
10 years14.83%19.03%10.77%18.71%23.68%14.33%