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.

Time Period

Start Year

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End Year

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Calendar Aligned

Include YTD

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End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

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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 7

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Asset 8

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Asset 9

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Asset 10

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Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2011 - Dec 2019)

Note: The time period was constrained by the available data for Direxion Daily Gold Miners Bull 2X ETF (NUGT) [Jan 2011 - Feb 2021].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
NUGT	Direxion Daily Gold Miners Bull 2X ETF	100.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
GDX	VanEck Vectors Gold Miners ETF	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$50,000	$118	-48.96%	105.62%	100.67%	-95.00%	-99.91%	-0.14	-0.22	0.03
Portfolio 2	$50,000	$25,300	-7.29%	35.41%	52.92%	-54.02%	-77.47%	-0.06	-0.09	0.03

Trailing Returns

Trailing Returns
Name	Annualized Return					Annualized Volatility
Name	3 Month	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	25.65%	100.67%	4.91%	-16.94%	-48.96%	72.28%	115.97%
Portfolio 2	10.38%	39.79%	12.60%	10.45%	-7.29%	23.72%	36.87%
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.
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

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1		Portfolio 2		Direxion Daily Gold Miners Bull 2X ETF (NUGT)	VanEck Vectors Gold Miners ETF (GDX)
Year	Inflation	Return	Balance	Return	Balance	Direxion Daily Gold Miners Bull 2X ETF (NUGT)	VanEck Vectors Gold Miners ETF (GDX)
2011	2.96%	-47.85%	$26,074	-16.10%	$41,952	-47.85%	-16.10%
2012	1.74%	-43.94%	$14,616	-8.87%	$38,231	-43.94%	-8.87%
2013	1.50%	-95.00%	$730	-54.02%	$17,577	-95.00%	-54.02%
2014	0.76%	-59.28%	$297	-12.41%	$15,395	-59.28%	-12.41%
2015	0.73%	-78.24%	$64.70	-24.72%	$11,589	-78.24%	-24.72%
2016	2.07%	57.33%	$102	52.92%	$17,721	57.33%	52.92%
2017	2.11%	3.73%	$106	11.97%	$19,843	3.73%	11.97%
2018	1.91%	-44.52%	$58.58	-8.79%	$18,099	-44.52%	-8.79%
2019	2.29%	100.67%	$118	39.79%	$25,300	100.67%	39.79%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Direxion Daily Gold Miners Bull 2X ETF (NUGT)	VanEck Vectors Gold Miners ETF (GDX)
2011	1	-23.52%	-12.28%	-23.52%	-12.28%
2011	2	22.38%	10.96%	22.38%	10.96%
2011	3	0.11%	0.45%	0.11%	0.45%
2011	4	6.43%	3.49%	6.43%	3.49%
2011	5	-13.33%	-6.51%	-13.33%	-6.51%
2011	6	-12.57%	-6.12%	-12.57%	-6.12%
2011	7	8.04%	4.21%	8.04%	4.21%
2011	8	20.12%	10.39%	20.12%	10.39%
2011	9	-24.25%	-12.12%	-24.25%	-12.12%
2011	10	11.57%	6.60%	11.57%	6.60%
2011	11	3.11%	2.69%	3.11%	2.69%
2011	12	-38.98%	-14.62%	-38.98%	-14.62%
2012	1	27.80%	9.78%	27.80%	9.78%
2012	2	-6.64%	-1.88%	-6.64%	-1.88%
2012	3	-29.94%	-10.58%	-29.94%	-10.58%
2012	4	-19.80%	-6.36%	-19.80%	-6.36%
2012	5	-19.36%	-5.63%	-19.36%	-5.63%
2012	6	3.21%	2.26%	3.21%	2.26%
2012	7	-13.92%	-4.33%	-13.92%	-4.33%
2012	8	37.23%	11.93%	37.23%	11.93%
2012	9	37.36%	11.99%	37.36%	11.99%
2012	10	-6.60%	-1.47%	-6.60%	-1.47%
2012	11	-29.18%	-10.11%	-29.18%	-10.11%
2012	12	-6.40%	-1.43%	-6.40%	-1.43%
2013	1	-29.17%	-10.28%	-29.17%	-10.28%
2013	2	-28.96%	-10.14%	-28.96%	-10.14%
2013	3	1.81%	1.20%	1.81%	1.20%
2013	4	-53.95%	-19.79%	-53.95%	-19.79%
2013	5	-13.76%	-2.83%	-13.76%	-2.83%
2013	6	-47.49%	-16.98%	-47.49%	-16.98%
2013	7	25.43%	10.21%	25.43%	10.21%
2013	8	3.44%	4.22%	3.44%	4.22%
2013	9	-33.89%	-11.06%	-33.89%	-11.06%
2013	10	-4.02%	0.32%	-4.02%	0.32%
2013	11	-32.42%	-11.24%	-32.42%	-11.24%
2013	12	-15.92%	-4.27%	-15.92%	-4.27%
2014	1	33.27%	11.12%	33.27%	11.12%
2014	2	29.78%	10.22%	29.78%	10.22%
2014	3	-26.91%	-8.77%	-26.91%	-8.77%
2014	4	5.02%	2.12%	5.02%	2.12%
2014	5	-20.25%	-6.68%	-20.25%	-6.68%
2014	6	59.34%	17.56%	59.34%	17.56%
2014	7	-7.66%	-2.04%	-7.66%	-2.04%
2014	8	7.12%	3.01%	7.12%	3.01%
2014	9	-49.98%	-19.97%	-49.98%	-19.97%
2014	10	-52.27%	-19.43%	-52.27%	-19.43%
2014	11	9.25%	6.68%	9.25%	6.68%
2014	12	-6.45%	0.80%	-6.45%	0.80%
2015	1	66.31%	21.27%	66.31%	21.27%
2015	2	-15.57%	-4.53%	-15.57%	-4.53%
2015	3	-39.89%	-14.29%	-39.89%	-14.29%
2015	4	29.51%	10.25%	29.51%	10.25%
2015	5	-9.84%	-2.64%	-9.84%	-2.64%
2015	6	-26.27%	-9.30%	-26.27%	-9.30%
2015	7	-57.71%	-22.58%	-57.71%	-22.58%
2015	8	-3.21%	2.62%	-3.21%	2.62%
2015	9	-13.25%	-2.62%	-13.25%	-2.62%
2015	10	20.45%	8.88%	20.45%	8.88%
2015	11	-26.64%	-8.02%	-26.64%	-8.02%
2015	12	-4.60%	0.55%	-4.60%	0.55%
2016	1	5.72%	3.57%	5.72%	3.57%
2016	2	126.10%	36.38%	126.10%	36.38%
2016	3	0.86%	3.04%	0.86%	3.04%
2016	4	103.40%	29.34%	103.40%	29.34%
2016	5	-38.63%	-12.58%	-38.63%	-12.58%
2016	6	72.60%	22.72%	72.60%	22.72%
2016	7	27.27%	10.39%	27.27%	10.39%
2016	8	-44.58%	-16.67%	-44.58%	-16.67%
2016	9	6.41%	3.69%	6.41%	3.69%
2016	10	-25.73%	-7.23%	-25.73%	-7.23%
2016	11	-43.60%	-15.05%	-43.60%	-15.05%
2016	12	-3.66%	0.72%	-3.66%	0.72%
2017	1	45.03%	14.39%	45.03%	14.39%
2017	2	-14.44%	-4.51%	-14.44%	-4.51%
2017	3	-5.17%	-0.18%	-5.17%	-0.18%
2017	4	-9.34%	-2.54%	-9.34%	-2.54%
2017	5	3.80%	2.07%	3.80%	2.07%
2017	6	-10.58%	-2.69%	-10.58%	-2.69%
2017	7	8.39%	3.53%	8.39%	3.53%
2017	8	21.65%	8.14%	21.65%	8.14%
2017	9	-20.20%	-7.12%	-20.20%	-7.12%
2017	10	-8.48%	-2.09%	-8.48%	-2.09%
2017	11	-2.75%	-0.04%	-2.75%	-0.04%
2017	12	11.86%	4.25%	11.86%	4.25%
2018	1	2.18%	2.19%	2.18%	2.19%
2018	2	-29.76%	-10.11%	-29.76%	-10.11%
2018	3	7.57%	2.95%	7.57%	2.95%
2018	4	3.32%	1.36%	3.32%	1.36%
2018	5	0.04%	0.27%	0.04%	0.27%
2018	6	-3.53%	-0.13%	-3.53%	-0.13%
2018	7	-13.19%	-4.62%	-13.19%	-4.62%
2018	8	-37.03%	-12.83%	-37.03%	-12.83%
2018	9	-2.63%	-0.16%	-2.63%	-0.16%
2018	10	2.32%	2.21%	2.32%	2.21%
2018	11	0.53%	0.85%	0.53%	0.85%
2018	12	31.65%	11.04%	31.65%	11.04%
2019	1	21.94%	7.59%	21.94%	7.59%
2019	2	-7.26%	-1.98%	-7.26%	-1.98%
2019	3	0.14%	0.81%	0.14%	0.81%
2019	4	-20.67%	-6.82%	-20.67%	-6.82%
2019	5	8.79%	3.35%	8.79%	3.35%
2019	6	60.89%	18.39%	60.89%	18.39%
2019	7	7.18%	3.68%	7.18%	3.68%
2019	8	38.13%	12.68%	38.13%	12.68%
2019	9	-31.40%	-10.55%	-31.40%	-10.55%
2019	10	13.24%	5.39%	13.24%	5.39%
2019	11	-12.33%	-3.80%	-12.33%	-3.80%
2019	12	26.56%	8.87%	26.56%	8.87%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Fees	P/E	Return Contribution	Risk Contribution
NUGT	Direxion Daily Gold Miners Bull 2X ETF	Leveraged Equity	100.00%	1.14%	12.98	-$49,882	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Yield	Fees	P/E	Return Contribution	Risk Contribution
GDX	VanEck Vectors Gold Miners ETF	Equity Precious Metals	100.00%	0.70%	0.53%	20.02	-$24,700	100.00%

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
Metric	Portfolio 1	Portfolio 2
Arithmetic Mean (monthly)	-1.15%	-0.12%
Arithmetic Mean (annualized)	-12.93%	-1.43%
Geometric Mean (monthly)	-5.45%	-0.63%
Geometric Mean (annualized)	-48.96%	-7.29%
Volatility (monthly)	30.49%	10.22%
Volatility (annualized)	105.62%	35.41%
Downside Deviation (monthly)	19.18%	6.90%
Max. Drawdown	-99.91%	-77.47%
US Market Correlation	0.03	0.03
Beta^(*)	0.23	0.10
Alpha (annualized)	-16.78%	-2.74%
R²	0.07%	0.12%
Sharpe Ratio	-0.14	-0.06
Sortino Ratio	-0.22	-0.09
Treynor Ratio (%)	-61.32	-20.21
Calmar Ratio	0.07	0.51
Active Return	-61.84%	-20.17%
Tracking Error	105.98%	36.99%
Information Ratio	-0.58	-0.55
Skewness	1.19	0.51
Excess Kurtosis	3.08	1.16
Historical Value-at-Risk (5%)	-44.24%	-16.10%
Analytical Value-at-Risk (5%)	-51.30%	-16.93%
Conditional Value-at-Risk (5%)	-51.00%	-19.24%
Upside Capture Ratio (%)	-155.36	-24.77
Downside Capture Ratio (%)	146.32	9.56
Safe Withdrawal Rate	0.03%	3.97%
Perpetual Withdrawal Rate	0.00%	0.00%
Positive Periods	50 out of 108 (46.30%)	55 out of 108 (50.93%)
Gain/Loss Ratio	1.05	0.93
^* 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
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2011	Sep 2018	7 years 9 months				-99.91%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2011	Sep 2015	4 years 1 month				-77.47%
2	Jan 2011	Jan 2011	1 month	Apr 2011	3 months	4 months	-12.28%
3	May 2011	Jun 2011	2 months	Aug 2011	2 months	4 months	-12.23%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
NUGT	Direxion Daily Gold Miners Bull 2X ETF	-48.96%	105.62%	100.67%	-95.00%	-99.91%	-0.14	-0.22	0.03
GDX	VanEck Vectors Gold Miners ETF	-7.29%	35.41%	52.92%	-54.02%	-77.47%	-0.06	-0.09	0.03

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	NUGT	GDX	Portfolio 1	Portfolio 2
NUGT	Direxion Daily Gold Miners Bull 2X ETF	1.00	0.99	1.00	0.99
GDX	VanEck Vectors Gold Miners ETF	0.99	1.00	0.99	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2
NUGT	Direxion Daily Gold Miners Bull 2X ETF	-$49,882
GDX	VanEck Vectors Gold Miners ETF		-$24,700

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2
NUGT	Direxion Daily Gold Miners Bull 2X ETF	100.00%
GDX	VanEck Vectors Gold Miners ETF		100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2
Roll Period	Average	High	Low	Average	High	Low
1 year	-28.33%	367.96%	-95.00%	-4.46%	124.35%	-54.02%
3 years	-50.36%	4.91%	-85.19%	-8.22%	17.50%	-35.95%
5 years	-54.26%	-16.94%	-73.55%	-8.38%	11.03%	-25.35%
7 years	-57.01%	-49.79%	-63.25%	-10.72%	-5.73%	-15.40%