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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Feb 2010 - Sep 2019)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$63,566 21.09% 13.63%42.74%-9.69%-13.86% 1.452.720.80
Portfolio 2$10,000$62,216 20.82% 12.97%42.90%-8.80%-12.82% 1.502.780.47
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2010 are based on full calendar months from February to December
  • The annual results for 2019 are based on full calendar months from January to September
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalancePIMCO StocksPLUS Long Duration Instl (PSLDX)ProShares Ultra S&P500 (SSO)ProShares Ultra 20+ Year Treasury (UBT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20101.15%29.45%28.62%$12,945$12,86229.45%37.13%10.09%
20112.96%21.15%35.60%$15,683$17,44221.15%-2.92%72.72%
20121.74%27.22%18.69%$19,953$20,70227.22%31.04%2.74%
20131.50%18.86%13.48%$23,717$23,49218.86%70.46%-26.78%
20140.76%34.23%42.90%$31,835$33,57034.23%25.53%60.42%
20150.73%-3.19%-2.29%$30,819$32,801-3.19%-1.19%-7.93%
20162.07%20.42%12.55%$37,112$36,91620.42%21.55%0.28%
20172.11%32.87%29.82%$49,310$47,92532.87%44.35%16.12%
20181.91%-9.69%-8.80%$44,531$43,707-9.69%-14.62%-6.53%
20192.12%42.74%42.35%$63,566$62,21642.74%38.94%38.66%
Annual returns for 2010 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO StocksPLUS Long Duration Instl (PSLDX)ProShares Ultra S&P500 (SSO)ProShares Ultra 20+ Year Treasury (UBT)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201022.91%2.60%$10,291$10,2602.91%6.11%-0.90%
201035.91%4.14%$10,899$10,6855.91%12.38%-4.09%
201044.41%4.76%$11,379$11,1944.41%2.81%6.71%
20105-7.27%-3.03%$10,552$10,855-7.27%-16.09%10.04%
20106-1.30%0.38%$10,415$10,897-1.30%-10.92%11.69%
201078.52%6.09%$11,302$11,5618.52%14.06%-1.88%
201080.83%4.02%$11,396$12,0260.83%-9.25%17.30%
201098.06%6.58%$12,315$12,8178.06%18.44%-5.28%
2010102.20%-0.63%$12,585$12,7362.20%7.57%-8.83%
201011-1.94%-2.06%$12,342$12,474-1.94%-0.40%-3.72%
2010124.89%3.12%$12,945$12,8624.89%13.94%-7.71%
201110.91%-0.85%$13,063$12,7540.91%4.33%-6.02%
201124.94%5.08%$13,708$13,4014.94%6.94%3.22%
201130.00%-0.32%$13,708$13,3580.00%-0.39%-0.25%
201145.71%5.20%$14,490$14,0545.71%5.74%4.66%
201151.62%2.27%$14,725$14,3731.62%-2.38%6.92%
20116-3.53%-4.24%$14,205$13,763-3.53%-3.74%-4.75%
201171.94%2.25%$14,480$14,0731.94%-4.22%8.72%
20118-2.99%3.40%$14,047$14,552-2.99%-12.81%19.62%
20119-2.94%6.49%$13,634$15,496-2.94%-13.86%26.84%
20111011.54%6.85%$15,208$16,55811.54%21.81%-8.10%
201111-1.16%0.93%$15,031$16,713-1.16%-1.56%3.43%
2011124.34%4.36%$15,683$17,4424.34%1.91%6.81%
201216.27%4.07%$16,666$18,1516.27%8.97%-0.83%
201223.64%1.63%$17,272$18,4473.64%8.45%-5.19%
201230.40%-1.01%$17,342$18,2600.40%6.71%-8.74%
201242.83%4.03%$17,832$18,9962.83%-1.61%9.67%
20125-1.55%3.58%$17,555$19,676-1.55%-11.37%18.53%
201263.89%1.90%$18,237$20,0493.89%7.27%-3.47%
201275.53%4.94%$19,246$21,0395.53%2.53%7.34%
201281.78%0.80%$19,589$21,2071.78%4.61%-3.02%
201291.90%0.09%$19,960$21,2251.90%4.87%-4.69%
201210-0.87%-2.75%$19,787$20,641-0.87%-4.15%-1.36%
2012110.99%1.77%$19,982$21,0060.99%0.94%2.59%
201212-0.15%-1.45%$19,953$20,702-0.15%2.08%-4.97%
201312.83%1.74%$20,518$21,0612.83%10.27%-6.80%
201322.51%2.36%$21,034$21,5572.51%2.16%2.55%
201333.51%3.16%$21,772$22,2383.51%7.39%-1.07%
201345.32%6.75%$22,930$23,7395.32%3.86%9.63%
20135-2.79%-4.28%$22,289$22,722-2.79%4.55%-13.12%
20136-6.45%-5.02%$20,851$21,581-6.45%-3.11%-6.93%
201374.65%2.76%$21,821$22,1764.65%10.41%-4.90%
20138-4.33%-4.21%$20,876$21,242-4.33%-6.08%-2.35%
201394.04%3.65%$21,720$22,0164.04%6.48%0.81%
2013106.28%5.99%$23,083$23,3346.28%9.07%2.90%
2013111.42%0.22%$23,412$23,3861.42%5.77%-5.33%
2013121.30%0.45%$23,717$23,4921.30%5.13%-4.22%
201411.05%2.92%$23,965$24,1781.05%-7.23%13.08%
201426.07%4.98%$25,421$25,3836.07%9.06%0.90%
201431.12%1.40%$25,705$25,7391.12%1.52%1.28%
201442.76%2.72%$26,415$26,4392.76%1.23%4.20%
201454.97%5.04%$27,728$27,7714.97%4.41%5.67%
201462.18%1.76%$28,332$28,2612.18%4.10%-0.57%
20147-1.13%-0.71%$28,012$28,062-1.13%-2.88%1.47%
201487.25%8.29%$30,043$30,3897.25%7.87%8.72%
20149-3.75%-3.40%$28,916$29,354-3.75%-2.93%-3.87%
2014104.58%5.07%$30,240$30,8424.58%4.38%5.76%
2014114.50%5.70%$31,600$32,6004.50%5.54%5.86%
2014120.74%2.98%$31,835$33,5700.74%-0.84%6.79%
201512.75%6.96%$32,712$35,9062.75%-6.15%20.06%
201522.55%-0.54%$33,545$35,7132.55%11.40%-12.47%
20153-1.10%-0.69%$33,176$35,467-1.10%-3.43%2.05%
20154-1.59%-2.53%$32,649$34,569-1.59%1.84%-6.90%
20155-0.40%-1.32%$32,518$34,113-0.40%2.31%-4.94%
20156-5.41%-6.28%$30,759$31,970-5.41%-4.09%-8.47%
201574.58%6.72%$32,167$34,1194.58%4.22%9.23%
20158-7.52%-6.95%$29,747$31,749-7.52%-12.48%-1.42%
20159-2.26%-1.13%$29,074$31,391-2.26%-5.54%3.28%
2015109.42%8.01%$31,813$33,9059.42%17.45%-1.43%
201511-0.14%-0.42%$31,769$33,763-0.14%0.60%-1.43%
201512-2.99%-2.85%$30,819$32,801-2.99%-3.80%-1.91%
20161-3.34%0.83%$29,789$33,073-3.34%-10.37%12.03%
201621.65%2.66%$30,279$33,9541.65%-0.62%5.95%
2016310.26%7.10%$33,387$36,36510.26%13.98%0.22%
201641.77%-0.75%$33,977$36,0911.77%0.60%-2.11%
201652.03%2.26%$34,665$36,9082.03%3.18%1.35%
201665.16%6.95%$36,453$39,4745.16%0.16%13.74%
201676.64%5.87%$38,873$41,7906.64%7.40%4.34%
201680.25%-1.18%$38,972$41,2970.25%0.10%-2.46%
20169-0.86%-1.35%$38,638$40,741-0.86%-0.28%-2.41%
201610-4.50%-6.63%$36,897$38,040-4.50%-3.68%-9.58%
201611-2.29%-4.23%$36,052$36,431-2.29%7.23%-15.69%
2016122.94%1.33%$37,112$36,9162.94%4.00%-1.34%
201712.51%2.37%$38,044$37,7912.51%3.47%1.27%
201725.91%5.53%$40,291$39,8795.91%7.83%3.22%
20173-0.41%-0.81%$40,127$39,556-0.41%-0.02%-1.60%
201742.60%2.36%$41,169$40,4912.60%1.85%2.88%
201753.20%3.05%$42,484$41,7273.20%2.55%3.56%
201761.23%1.30%$43,008$42,2701.23%1.04%1.56%
201772.30%1.13%$43,999$42,7472.30%3.95%-1.69%
201782.25%3.54%$44,990$44,2612.25%0.31%6.77%
201791.08%-0.49%$45,475$44,0451.08%3.82%-4.79%
2017102.58%2.18%$46,648$45,0062.58%4.53%-0.16%
2017113.23%3.49%$48,156$46,5783.23%5.87%1.11%
2017122.40%2.89%$49,310$47,9252.40%2.36%3.42%
201813.88%2.28%$51,225$49,0163.88%11.17%-6.62%
20182-6.54%-7.21%$47,873$45,483-6.54%-8.07%-6.34%
20183-1.27%-0.01%$47,268$45,477-1.27%-5.54%5.52%
20184-1.75%-2.12%$46,441$44,514-1.75%0.20%-4.43%
201852.97%3.95%$47,819$46,2712.97%4.41%3.48%
201860.46%1.01%$48,040$46,7390.46%1.02%1.01%
201873.74%2.06%$49,835$47,7023.74%7.09%-2.97%
201883.74%4.18%$51,699$49,6963.74%6.15%2.21%
20189-1.04%-2.48%$51,162$48,466-1.04%0.89%-5.85%
201810-9.52%-10.11%$46,289$43,567-9.52%-14.01%-6.20%
2018112.41%3.11%$47,403$44,9222.41%3.15%3.07%
201812-6.06%-2.70%$44,531$43,707-6.06%-17.72%12.31%
201919.75%7.90%$48,874$47,1619.75%15.73%0.08%
201922.91%1.66%$50,295$47,9422.91%6.21%-2.90%
201936.19%7.21%$53,411$51,3966.19%3.45%10.96%
201943.41%1.78%$55,230$52,3093.41%7.72%-4.16%
20195-2.29%0.57%$53,964$52,605-2.29%-12.77%13.91%
201968.92%7.87%$58,778$56,7448.92%14.09%1.64%
201972.06%1.36%$59,988$57,5172.06%2.52%0.21%
201985.91%9.34%$63,536$62,8915.91%-4.04%22.73%
201990.05%-1.07%$63,566$62,2160.05%3.62%-5.77%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth58.11%43.03%
Mid-cap Value4.44%0.00%
Mid-cap Growth5.62%8.02%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets10.26%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries21.57%48.95%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared77.99%72.39%
Style analysis is based on monthly returns from Feb 2010 to Sep 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
PSLDXPIMCO StocksPLUS Long Duration Instl85%+ Equity14.471.11%100.00%$53,566100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity0.90%50.00%$32,99147.25%
UBTProShares Ultra 20+ Year TreasuryLeveraged Debt0.95%50.00%$19,22552.75%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 10/03/2019. © 2019 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)1.68%1.66%
Arithmetic Mean (annualized)22.18%21.81%
Geometric Mean (monthly)1.61%1.59%
Geometric Mean (annualized)21.09%20.82%
Volatility (monthly)3.93%3.74%
Volatility (annualized)13.63%12.97%
Downside Deviation (monthly)2.07%2.00%
Max. Drawdown-13.86%-12.82%
US Market Correlation0.800.47
Beta(*)0.840.47
Alpha (annualized)8.99%13.66%
R264.29%21.99%
Sharpe Ratio1.451.50
Sortino Ratio2.722.78
Treynor Ratio (%)23.3841.36
Calmar Ratio1.301.23
Active Return7.89%7.62%
Tracking Error8.39%13.36%
Information Ratio0.940.57
Skewness-0.25-0.45
Excess Kurtosis0.300.18
Historical Value-at-Risk (5%)-6.12%-5.21%
Analytical Value-at-Risk (5%)-4.79%-4.47%
Conditional Value-at-Risk (5%)-7.46%-7.43%
Upside Capture Ratio (%)110.9383.38
Downside Capture Ratio (%)64.7516.00
Safe Withdrawal Rate25.54%26.22%
Perpetual Withdrawal Rate17.03%16.84%
Positive Periods80 out of 116 (68.97%)79 out of 116 (68.10%)
Gain/Loss Ratio1.261.39
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-13.86%
2Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-13.33%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-9.34%
4May 2013Jun 20132 monthsOct 20134 months6 months-9.07%
5May 2010Jun 20102 monthsAug 20102 months4 months-8.47%
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

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Nov 20164 monthsJun 20177 months11 months-12.82%
2Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-12.58%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-12.33%
4May 2013Aug 20134 monthsJan 20145 months9 months-10.52%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-9.18%
6Jun 2011Jun 20111 monthAug 20112 months3 months-4.24%
7Sep 2014Sep 20141 monthOct 20141 month2 months-3.40%
8May 2010May 20101 monthJul 20102 months3 months-3.03%
9Oct 2012Oct 20121 monthFeb 20134 months5 months-2.75%
10Oct 2010Nov 20102 monthsDec 20101 month3 months-2.68%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSLDXPIMCO StocksPLUS Long Duration Instl21.09%13.63%42.74%-9.69%-13.86%1.452.720.80
SSOProShares Ultra S&P50023.47%25.44%70.46%-14.62%-32.40%0.941.551.00
UBTProShares Ultra 20+ Year Treasury12.74%26.16%72.72%-26.78%-34.92%0.571.08-0.50

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSLDXSSOUBTPortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl-0.810.071.000.87
SSOProShares Ultra S&P5000.81--0.500.810.48
UBTProShares Ultra 20+ Year Treasury0.07-0.50-0.070.52

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl$53,566
SSOProShares Ultra S&P500$32,991
UBTProShares Ultra 20+ Year Treasury$19,225

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl100.00%
SSOProShares Ultra S&P50047.25%
UBTProShares Ultra 20+ Year Treasury52.75%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year17.73%34.23%-9.69%17.74%42.90%-8.80%
3 years18.24%26.62%13.05%17.02%24.39%10.04%
5 years17.75%19.84%13.43%17.07%20.59%13.22%
7 years18.56%21.05%16.08%17.35%20.67%14.02%
Result statistics are based on annualized rolling returns over full calendar year periods