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 (Jul 2006 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SSO ProShares Ultra S&P500 35.00%
TLT iShares 20+ Year Treasury Bond ETF 65.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$38,772 10.56% 11.02%31.37%-14.84%-34.10% 0.871.270.66
Vanguard Target Retirement 2050 Inv$10,000$26,114 7.37% 13.51%28.31%-34.62%-47.94% 0.520.740.99
   
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 backtested results assume monthly 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
YearInflationReturnBalanceProShares Ultra S&P500 (SSO)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Vanguard Target Retirement 2050 InvPortfolio 1Vanguard Target Retirement 2050 Inv
2006-0.54%12.80%11.84%$11,280$11,18422.63%7.72%
20074.08%7.67%7.49%$12,145$12,0221.04%10.29%
20080.09%-14.84%-34.62%$10,343$7,860-67.94%33.93%
20092.72%-0.27%28.31%$10,315$10,08647.26%-21.80%
20101.50%18.22%15.20%$12,195$11,61926.83%9.05%
20112.96%22.47%-2.54%$14,935$11,324-2.92%33.96%
20121.74%13.04%15.58%$16,883$13,08831.04%2.63%
20131.50%10.72%24.34%$18,693$16,27570.46%-13.37%
20140.76%27.14%7.18%$23,765$17,44325.53%27.30%
20150.73%-0.32%-1.58%$23,689$17,168-1.19%-1.79%
20162.07%8.87%8.85%$25,790$18,68721.55%1.18%
20172.11%20.61%21.39%$31,104$22,68544.35%9.18%
20181.91%-5.11%-7.90%$29,514$20,894-14.62%-1.61%
20192.29%31.37%24.98%$38,772$26,11463.45%14.12%
Annual returns for 2006 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares Ultra S&P500 (SSO)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Vanguard Target Retirement 2050 InvPortfolio 1Vanguard Target Retirement 2050 Inv
200671.57%0.25%$10,157$10,0250.48%2.16%
200683.48%2.30%$10,510$10,2564.25%3.06%
200692.89%1.77%$10,814$10,4374.69%1.91%
2006102.48%3.30%$11,082$10,7815.52%0.85%
2006112.67%2.42%$11,378$11,0423.35%2.31%
200612-0.87%1.29%$11,280$11,1842.52%-2.69%
200710.10%1.55%$11,291$11,3582.12%-1.00%
200720.60%-1.00%$11,359$11,243-4.57%3.39%
20073-0.44%1.32%$11,309$11,3921.90%-1.70%
200743.59%3.61%$11,714$11,8048.57%0.90%
200750.65%3.11%$11,791$12,1716.17%-2.31%
20076-1.98%-1.10%$11,558$12,037-3.77%-1.01%
20077-0.31%-2.56%$11,522$11,730-7.04%3.32%
200781.55%1.02%$11,701$11,8491.10%1.79%
200792.87%3.81%$12,037$12,3007.78%0.23%
2007101.92%2.46%$12,267$12,6032.11%1.81%
2007110.50%-3.86%$12,328$12,117-8.50%5.35%
200712-1.49%-0.78%$12,145$12,022-3.07%-0.64%
20081-3.14%-5.74%$11,764$11,332-12.86%2.10%
20082-2.19%-2.09%$11,506$11,095-5.42%-0.46%
200830.32%-0.50%$11,542$11,039-3.07%2.14%
200841.66%4.61%$11,734$11,5489.35%-2.48%
20085-0.92%1.70%$11,625$11,7452.36%-2.69%
20086-3.97%-7.51%$11,163$10,863-16.28%2.65%
20087-1.13%-1.21%$11,037$10,732-2.55%-0.37%
200882.57%0.33%$11,321$10,7672.25%2.74%
20089-5.91%-9.08%$10,651$9,790-19.63%1.47%
200810-13.44%-16.78%$9,220$8,147-34.93%-1.86%
2008113.38%-6.49%$9,532$7,618-16.98%14.34%
2008128.52%3.18%$10,343$7,860-1.00%13.64%
20091-14.26%-8.04%$8,868$7,229-16.48%-13.07%
20092-8.39%-9.24%$8,124$6,561-21.10%-1.54%
200937.73%8.13%$8,752$7,09414.58%4.04%
200942.59%10.00%$8,979$7,80320.32%-6.95%
200951.52%6.50%$9,116$8,31111.20%-3.69%
200960.27%0.06%$9,140$8,316-0.64%0.76%
200975.44%7.53%$9,637$8,94314.46%0.58%
200984.04%3.36%$10,027$9,2437.39%2.24%
200994.08%4.09%$10,436$9,6217.10%2.46%
200910-3.20%-2.15%$10,102$9,414-4.28%-2.62%
2009115.10%4.84%$10,617$9,86912.33%1.21%
200912-2.84%2.19%$10,315$10,0863.66%-6.34%
20101-0.88%-3.30%$10,225$9,753-7.51%2.69%
201021.92%2.49%$10,421$9,9966.11%-0.34%
201033.00%5.70%$10,733$10,56612.38%-2.06%
201043.14%1.35%$11,070$10,7092.81%3.32%
20105-2.31%-7.59%$10,815$9,896-16.09%5.11%
20106-0.06%-4.11%$10,808$9,490-10.92%5.80%
201074.31%7.01%$11,274$10,15514.06%-0.95%
201082.22%-3.85%$11,524$9,764-9.25%8.40%
201094.82%8.65%$12,080$10,60818.44%-2.51%
201010-0.25%3.48%$12,049$10,9787.57%-4.47%
201011-1.24%-0.43%$11,900$10,930-0.40%-1.69%
2010122.48%6.30%$12,195$11,61913.94%-3.68%
20111-0.49%1.59%$12,136$11,8044.33%-3.08%
201123.50%3.04%$12,561$12,1626.94%1.65%
20113-0.12%0.18%$12,546$12,184-0.39%0.03%
201143.53%3.43%$12,989$12,6025.74%2.34%
201151.39%-1.38%$13,170$12,428-2.38%3.42%
20116-2.82%-1.57%$12,798$12,233-3.74%-2.33%
201171.39%-1.64%$12,976$12,032-4.22%4.42%
201181.80%-5.87%$13,210$11,326-12.81%9.66%
201193.73%-8.10%$13,702$10,408-13.86%13.20%
2011105.14%9.96%$14,406$11,44521.81%-3.84%
2011110.74%-0.95%$14,513$11,337-1.56%1.98%
2011122.91%-0.11%$14,935$11,3241.91%3.44%
201212.92%5.24%$15,372$11,9178.97%-0.33%
201221.27%4.05%$15,567$12,4008.45%-2.59%
20123-0.40%1.66%$15,504$12,6056.71%-4.23%
201242.58%-0.79%$15,904$12,506-1.61%4.83%
201251.89%-6.83%$16,204$11,651-11.37%9.03%
201261.45%4.10%$16,439$12,1287.27%-1.68%
201273.37%0.91%$16,992$12,2392.53%3.82%
201280.76%2.31%$17,121$12,5224.61%-1.32%
201290.06%2.61%$17,131$12,8504.87%-2.53%
201210-1.77%-0.95%$16,828$12,727-4.15%-0.48%
2012111.23%0.96%$17,035$12,8500.94%1.38%
201212-0.89%1.86%$16,883$13,0882.08%-2.49%
201311.53%4.29%$17,141$13,65010.27%-3.19%
201321.56%0.54%$17,409$13,7232.16%1.24%
201332.31%2.64%$17,812$14,0867.39%-0.42%
201344.40%2.13%$18,595$14,3863.86%4.68%
20135-2.80%0.47%$18,073$14,4544.55%-6.76%
20136-3.22%-1.96%$17,492$14,171-3.11%-3.27%
201372.18%4.72%$17,873$14,84010.41%-2.26%
20138-3.00%-2.29%$17,337$14,500-6.08%-1.34%
201392.69%4.34%$17,804$15,1296.48%0.66%
2013104.11%3.63%$18,535$15,6799.07%1.43%
2013110.27%1.84%$18,585$15,9685.77%-2.70%
2013120.58%1.92%$18,693$16,2755.13%-1.87%
201411.56%-3.09%$18,985$15,772-7.23%6.30%
201423.51%4.47%$19,651$16,4779.06%0.52%
201431.01%0.42%$19,850$16,5461.52%0.73%
201441.80%0.49%$20,206$16,6271.23%2.10%
201453.46%1.98%$20,905$16,9564.41%2.95%
201461.27%2.08%$21,171$17,3084.10%-0.25%
20147-0.57%-1.67%$21,049$17,019-2.88%0.67%
201485.82%3.02%$22,275$17,5337.87%4.72%
20149-2.40%-2.77%$21,741$17,048-2.93%-2.11%
2014103.36%1.76%$22,472$17,3484.38%2.81%
2014113.87%1.53%$23,340$17,6145.54%2.97%
2014121.82%-0.97%$23,765$17,443-0.84%3.25%
201514.23%-1.49%$24,770$17,183-6.15%9.82%
201520.00%5.00%$24,770$18,04311.40%-6.14%
20153-0.49%-1.04%$24,649$17,855-3.43%1.10%
20154-1.58%1.68%$24,259$18,1551.84%-3.43%
20155-0.73%0.45%$24,081$18,2372.31%-2.37%
20156-4.08%-1.97%$23,099$17,878-4.09%-4.07%
201574.43%0.76%$24,123$18,0144.22%4.55%
20158-4.82%-5.92%$22,961$16,948-12.48%-0.69%
20159-0.66%-2.88%$22,810$16,459-5.54%1.97%
2015105.84%6.48%$24,142$17,52517.45%-0.41%
201511-0.35%-0.20%$24,056$17,4900.60%-0.87%
201512-1.53%-1.84%$23,689$17,168-3.80%-0.30%
20161-0.01%-4.91%$23,688$16,324-10.37%5.57%
201621.79%-0.78%$24,112$16,198-0.62%3.09%
201634.83%6.81%$25,277$17,30013.98%-0.09%
20164-0.27%1.18%$25,209$17,5050.60%-0.74%
201651.64%0.62%$25,622$17,6143.18%0.81%
201664.56%0.00%$26,791$17,6140.16%6.93%
201673.95%3.80%$27,850$18,2837.40%2.10%
20168-0.62%0.40%$27,677$18,3550.10%-1.01%
20169-1.08%0.56%$27,378$18,457-0.28%-1.51%
201610-4.13%-1.89%$26,246$18,108-3.68%-4.38%
201611-2.81%1.40%$25,509$18,3617.23%-8.21%
2016121.10%1.78%$25,790$18,6874.00%-0.46%
201711.74%2.44%$26,239$19,1423.47%0.81%
201723.77%2.60%$27,229$19,6407.83%1.59%
20173-0.43%1.03%$27,111$19,843-0.02%-0.65%
201741.67%1.46%$27,564$20,1321.85%1.57%
201752.12%1.68%$28,148$20,4712.55%1.89%
201760.88%0.66%$28,395$20,6061.04%0.79%
201770.95%2.27%$28,666$21,0733.95%-0.66%
201782.32%0.41%$29,332$21,1590.31%3.41%
20179-0.17%1.92%$29,282$21,5653.82%-2.32%
2017101.56%1.91%$29,738$21,9774.53%-0.04%
2017112.54%1.90%$30,493$22,3955.87%0.74%
2017122.00%1.29%$31,104$22,6852.36%1.81%
201811.79%4.78%$31,661$23,76911.17%-3.26%
20182-4.80%-3.90%$30,142$22,842-8.07%-3.04%
20183-0.08%-1.23%$30,117$22,560-5.54%2.86%
20184-1.29%0.44%$29,729$22,6600.20%-2.09%
201852.85%0.86%$30,575$22,8544.41%2.01%
201860.78%-0.36%$30,813$22,7731.02%0.65%
201871.55%2.72%$31,290$23,3937.09%-1.44%
201883.01%1.10%$32,230$23,6506.15%1.31%
20189-1.55%0.16%$31,731$23,6880.89%-2.86%
201810-6.81%-7.06%$29,571$22,015-14.01%-2.93%
2018112.26%1.62%$30,240$22,3723.15%1.79%
201812-2.40%-6.61%$29,514$20,894-17.72%5.85%
201915.75%7.44%$31,212$22,44915.73%0.38%
201921.28%2.52%$31,611$23,0146.21%-1.38%
201934.83%1.23%$33,137$23,2973.45%5.57%
201941.41%3.14%$33,604$24,0297.72%-1.99%
20195-0.03%-5.32%$33,595$22,751-12.77%6.84%
201965.55%5.96%$35,460$24,10714.09%0.95%
201971.05%0.16%$35,831$24,1452.52%0.26%
201985.76%-1.68%$37,897$23,740-4.04%11.04%
20199-0.47%1.84%$37,717$24,1773.62%-2.68%
2019100.68%2.34%$37,972$24,7434.00%-1.11%
2019112.21%2.41%$38,811$25,3407.07%-0.41%
201912-0.10%3.05%$38,772$26,1145.65%-3.20%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard Target Retirement 2050 Inv
Large-cap Value16.92%22.19%
Large-cap Growth29.44%29.77%
Mid-cap Value0.00%6.24%
Mid-cap Growth0.00%3.93%
Small-cap Value0.00%1.73%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets1.43%18.67%
Emerging Markets0.70%6.25%
REITs6.58%0.00%
Corporate Bonds0.00%2.16%
Long-Term Treasuries44.94%0.00%
Intermediate-Term Treasuries0.00%1.00%
Short-Term Treasuries0.00%8.07%
R Squared94.08%99.69%
Style analysis is based on monthly returns from Jul 2006 to Dec 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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity35.00%0.90%$17,62061.26%
TLTiShares 20+ Year Treasury Bond ETFLong Government65.00%0.15%18.93$11,15338.74%
100.00%0.41%18.93$28,772100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (c) 2020 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 1Vanguard Target Retirement 2050 Inv
Arithmetic Mean (monthly)0.89%0.67%
Arithmetic Mean (annualized)11.24%8.36%
Geometric Mean (monthly)0.84%0.59%
Geometric Mean (annualized)10.56%7.37%
Volatility (monthly)3.18%3.90%
Volatility (annualized)11.02%13.51%
Downside Deviation (monthly)2.16%2.71%
Max. Drawdown-34.10%-47.94%
US Market Correlation0.660.99
Beta(*)0.551.00
Alpha (annualized)6.26%0.00%
R245.65%100.00%
Sharpe Ratio0.870.52
Sortino Ratio1.270.74
Treynor Ratio (%)17.507.00
Calmar Ratio1.730.98
Active Return3.19%N/A
Tracking Error10.14%N/A
Information Ratio0.31N/A
Skewness-1.38-0.83
Excess Kurtosis4.932.34
Historical Value-at-Risk (5%)-4.13%-7.03%
Analytical Value-at-Risk (5%)-4.32%-5.74%
Conditional Value-at-Risk (5%)-7.82%-9.17%
Upside Capture Ratio (%)68.11100.00
Downside Capture Ratio (%)39.30100.00
Safe Withdrawal Rate10.80%8.93%
Perpetual Withdrawal Rate7.68%5.04%
Positive Periods105 out of 162 (64.81%)107 out of 162 (66.05%)
Gain/Loss Ratio1.150.80
* Vanguard Target Retirement 2050 Inv 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 1Vanguard Target Retirement 2050 Inv
Subprime CrisisNov 2007Mar 2009-34.10%-47.94%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsFeb 20112 years3 years 3 months-34.10%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-8.43%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-8.41%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.92%
5May 2013Aug 20134 monthsDec 20134 months8 months-6.76%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-6.10%
7Jun 2011Jun 20111 monthAug 20112 months3 months-2.82%
8Sep 2014Sep 20141 monthOct 20141 month2 months-2.40%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-2.28%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.77%
Worst 10 drawdowns included above

Drawdowns for Vanguard Target Retirement 2050 Inv

Drawdowns for Vanguard Target Retirement 2050 Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-47.94%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-12.10%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-11.19%
4Apr 2012May 20122 monthsSep 20124 months6 months-7.57%
5May 2019May 20191 monthJun 20191 month2 months-5.32%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-3.63%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.09%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.77%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.44%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.29%
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
TLTiShares 20+ Year Treasury Bond ETF7.04%13.49%33.96%-21.80%-21.80%0.490.87-0.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSOTLTPortfolio 1Vanguard Target Retirement 2050 Inv
SSOProShares Ultra S&P5001.00-0.330.660.98
TLTiShares 20+ Year Treasury Bond ETF-0.331.000.49-0.29

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
SSOProShares Ultra S&P500$17,620
TLTiShares 20+ Year Treasury Bond ETF$11,153

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
SSOProShares Ultra S&P50061.26%
TLTiShares 20+ Year Treasury Bond ETF38.74%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard Target Retirement 2050 Inv
AverageHighLowAverageHighLow
1 year10.74%31.37%-14.84%8.21%28.31%-34.62%
3 years10.45%17.85%-2.94%7.89%15.49%-3.39%
5 years11.32%18.17%5.77%8.11%15.67%0.25%
7 years11.61%14.31%7.48%8.79%11.81%5.46%
10 years10.92%14.16%8.62%8.02%10.27%5.27%
Result statistics are based on annualized rolling returns over full calendar year periods