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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Sep 2011 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 45.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 55.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 45.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 50.00%
XVZ iPath S&P 500 Dynamic VIX ETN 5.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 45.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
XVZ iPath S&P 500 Dynamic VIX ETN 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$86,682 26.04% 21.33%70.64%-17.37%-23.43% 1.172.090.40
Portfolio 2$10,000$82,159 25.31% 19.84%64.99%-17.30%-21.87% 1.212.160.43
Portfolio 3$10,000$77,688 24.56% 18.49%60.99%-17.23%-20.27% 1.262.220.45
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 15.00%27.42%20.25%23.11%26.04%24.97%22.24%
Portfolio 24.60%30.03%20.59%23.09%25.31%23.24%20.71%
Portfolio 34.22%32.63%20.90%23.04%24.56%21.77%19.38%
Trailing annualized return and volatility are for full months ending in December 2020 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 2011 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 annual 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 2Portfolio 3ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)iPath S&P 500 Dynamic VIX ETN (XVZ)
ReturnBalanceReturnBalanceReturnBalance
2011-0.39%24.56%$12,45622.34%$12,23420.12%$12,0123.97%41.41%-3.00%
20121.74%21.39%$15,12020.43%$14,73319.47%$14,35146.80%0.60%-18.59%
20131.50%31.87%$19,93932.48%$19,51933.09%$19,100118.49%-39.01%-26.74%
20140.76%70.64%$34,02364.99%$32,20559.35%$30,43538.00%97.34%-15.57%
20150.73%-9.91%$30,651-9.70%$29,082-9.48%$27,550-5.24%-13.73%-9.44%
20162.07%12.47%$34,47312.96%$32,85213.46%$31,25730.79%-2.52%7.37%
20172.11%44.62%$49,85642.63%$46,85640.63%$43,95871.37%22.73%-17.16%
20181.91%-17.37%$41,194-17.30%$38,748-17.23%$36,382-25.15%-11.01%-9.62%
20192.29%65.15%$68,03063.07%$63,18760.99%$58,573102.31%34.74%-6.79%
20201.36%27.42%$86,68230.03%$82,15932.63%$77,68810.08%41.60%93.79%
Annual return for 2011 is from 09/01/2011 to 12/31/2011
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)iPath S&P 500 Dynamic VIX ETN (XVZ)
2011913.43%11.77%10.12%-20.69%41.35%8.18%
2011101.44%1.67%1.92%32.61%-12.87%-12.35%
2011111.50%1.41%1.32%-3.35%4.89%3.71%
2011126.66%6.16%5.64%2.30%9.46%-1.36%
201215.43%5.55%5.66%13.90%-1.50%0.80%
201222.35%2.85%3.34%13.24%-7.95%2.68%
20123-1.02%-0.52%-0.03%9.29%-13.02%-1.13%
201244.42%3.72%3.03%-2.38%14.37%-2.80%
201253.22%2.12%1.03%-17.35%28.90%1.74%
201261.89%2.17%2.46%11.47%-5.78%-0.52%
201277.58%6.96%6.33%3.52%11.43%-2.66%
201280.60%0.87%1.15%6.53%-4.61%1.04%
20129-0.25%-0.11%0.03%7.52%-7.87%-5.77%
201210-4.18%-4.32%-4.47%-5.96%-2.13%-5.77%
2012112.39%2.11%1.83%1.01%3.90%-3.40%
201212-2.31%-2.13%-1.95%2.82%-7.80%-4.14%
201311.66%1.68%1.71%15.39%-9.58%-9.08%
201323.48%3.21%2.94%3.56%3.39%-2.58%
201334.78%4.89%5.01%11.03%-1.77%0.66%
201349.48%8.68%7.88%5.45%14.25%-5.31%
20135-5.85%-4.92%-3.97%6.80%-19.65%3.29%
20136-7.31%-6.67%-6.03%-5.23%-10.33%6.48%
201377.01%6.96%6.92%16.41%-7.41%-5.73%
20138-7.59%-7.39%-7.19%-9.21%-4.47%0.15%
201396.75%6.47%6.20%9.60%1.53%-3.84%
20131010.52%10.04%9.57%13.76%4.12%-7.34%
2013113.47%3.69%3.90%8.87%-8.19%-0.28%
2013123.73%3.68%3.64%7.54%-6.01%-5.94%
201415.89%4.97%4.05%-10.72%19.47%1.10%
201426.19%5.87%5.54%13.65%1.63%-5.95%
201431.92%1.74%1.56%2.15%1.76%-2.37%
201444.21%3.83%3.44%1.65%5.96%-2.68%
201457.93%7.62%7.30%6.62%8.79%1.12%
201461.83%1.81%1.79%6.22%-1.00%-3.14%
20147-0.87%-1.00%-1.13%-4.44%1.61%-0.75%
2014813.45%12.97%12.46%11.95%14.42%1.05%
20149-5.79%-5.47%-5.14%-4.44%-6.65%2.87%
2014107.26%6.77%6.26%6.03%8.06%-6.01%
2014118.79%8.57%8.32%8.34%9.08%1.62%
2014125.14%4.67%4.17%-1.54%9.38%-3.16%
2015112.79%11.25%9.70%-9.47%31.01%0.07%
20152-5.10%-4.16%-3.19%17.48%-17.87%-0.93%
20153-0.94%-0.97%-1.01%-5.28%2.57%2.11%
20154-4.79%-4.21%-3.62%2.59%-10.30%1.31%
20155-2.69%-2.35%-2.02%3.43%-7.91%-1.13%
20156-9.42%-8.80%-8.20%-6.21%-12.49%-0.28%
201579.74%8.61%7.51%6.17%13.40%-7.45%
20158-10.65%-9.98%-9.31%-18.87%-2.75%11.05%
20159-1.02%-1.30%-1.57%-8.64%5.10%-0.54%
2015109.99%9.57%9.15%26.79%-1.73%-7.61%
201511-1.04%-0.94%-0.84%0.81%-2.71%-0.64%
201512-4.17%-4.27%-4.38%-6.06%-2.41%-4.57%
201612.84%2.16%1.49%-15.38%17.74%4.23%
201624.86%4.44%4.00%-1.68%8.71%0.86%
201637.04%7.03%7.02%21.50%-0.64%-2.58%
20164-1.13%-0.87%-0.60%0.81%-2.39%3.18%
201652.98%3.02%3.06%4.65%1.86%2.50%
2016612.48%11.40%10.31%-0.20%21.23%-0.47%
201677.91%7.79%7.67%11.13%6.07%2.52%
20168-2.20%-1.93%-1.64%0.11%-3.58%2.74%
20169-3.16%-3.00%-2.84%-0.54%-4.78%-1.57%
201610-10.30%-9.79%-9.26%-5.62%-13.32%-2.05%
201611-9.48%-8.42%-7.34%11.05%-23.91%-3.29%
2016122.53%2.64%2.74%5.96%-0.99%1.43%
201713.13%2.99%2.85%5.14%1.49%-1.37%
201727.85%7.67%7.48%11.91%4.41%0.44%
20173-1.33%-1.31%-1.28%-0.22%-2.35%-1.79%
201743.63%3.12%2.61%2.77%4.43%-6.98%
201754.47%4.20%3.94%3.70%5.17%-1.23%
201761.76%1.56%1.36%1.51%1.98%-3.22%
201771.49%1.57%1.66%5.87%-2.43%-1.53%
201785.24%4.70%4.14%0.21%10.13%-3.68%
20179-1.19%-0.78%-0.35%5.69%-7.29%2.40%
2017103.17%3.19%3.21%6.83%-0.53%-1.40%
2017115.45%5.52%5.60%8.87%1.73%2.66%
2017124.19%3.94%3.69%3.45%5.04%-2.59%
201812.82%3.18%3.53%18.22%-9.77%-2.70%
20182-11.62%-11.74%-11.85%-13.53%-9.57%-12.14%
20183-0.23%-0.45%-0.66%-8.69%8.44%3.42%
20184-3.66%-3.61%-3.55%-0.14%-6.71%-5.57%
201855.84%5.51%5.17%6.46%5.27%-1.78%
201861.39%1.36%1.32%1.29%1.49%0.74%
201872.75%2.87%3.01%10.73%-4.70%-2.27%
201886.34%6.34%6.33%9.09%3.36%3.12%
20189-3.45%-3.09%-2.73%1.20%-8.77%-0.13%
201810-15.64%-15.03%-14.43%-20.78%-9.11%5.02%
2018114.51%4.23%3.96%4.28%4.76%-0.57%
201812-5.22%-5.75%-6.28%-26.25%17.93%4.10%
2019110.98%10.49%10.00%23.89%0.41%-9.34%
201922.41%2.42%2.43%9.28%-4.52%-5.07%
2019310.49%9.86%9.22%4.85%17.00%1.18%
201942.79%3.18%3.59%11.81%-6.56%2.07%
20195-1.03%-1.91%-2.81%-18.89%21.11%-0.41%
2019610.73%10.74%10.75%21.37%1.90%-1.72%
201972.05%2.08%2.11%3.80%0.32%0.46%
2019814.01%12.60%11.14%-6.62%35.11%-0.74%
20199-3.12%-2.63%-2.12%5.30%-9.07%2.91%
2019100.30%0.59%0.89%5.70%-4.11%2.43%
2019114.03%4.31%4.61%10.73%-2.01%3.54%
201912-0.74%-0.34%0.08%8.38%-10.05%-1.55%
2020112.68%11.37%10.07%-0.91%23.80%-2.28%
202021.71%1.02%0.31%-23.04%17.91%6.53%
20203-6.07%-3.02%0.14%-48.13%11.91%85.01%
202048.39%8.04%7.70%37.17%2.68%-0.40%
20205-2.32%-1.75%-1.19%13.38%-6.48%1.04%
202061.20%1.19%1.17%3.23%0.54%0.52%
2020714.26%13.45%12.67%17.70%13.13%3.58%
20208-5.46%-4.20%-2.96%22.05%-14.89%2.82%
20209-2.60%-2.40%-2.21%-12.26%2.15%3.32%
202010-9.80%-8.73%-7.71%-8.48%-10.35%2.20%
20201113.56%11.59%9.75%35.20%4.24%-12.78%
2020122.50%2.70%2.88%11.14%-2.32%1.41%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity45.00%0.11%0.93%$45,19937.21%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt55.00%2.23%1.05%$31,48362.79%
100.00%1.28%1.00%$76,682100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity45.00%0.11%0.93%$43,17342.70%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt50.00%2.23%1.05%$27,18558.59%
XVZiPath S&P 500 Dynamic VIX ETNVolatility5.00%0.95%$1,802-1.29%
100.00%1.16%0.99%$72,159100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity45.00%0.11%0.93%$41,19748.93%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.23%1.05%$23,22353.01%
XVZiPath S&P 500 Dynamic VIX ETNVolatility10.00%0.95%$3,269-1.94%
100.00%1.05%0.99%$67,688100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/26/2021. (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 2Portfolio 3
Arithmetic Mean (monthly)2.13%2.06%1.99%
Arithmetic Mean (annualized)28.83%27.72%26.65%
Geometric Mean (monthly)1.95%1.90%1.85%
Geometric Mean (annualized)26.04%25.31%24.56%
Volatility (monthly)6.16%5.73%5.34%
Volatility (annualized)21.33%19.84%18.49%
Downside Deviation (monthly)3.43%3.19%3.00%
Max. Drawdown-23.43%-21.87%-20.27%
US Market Correlation0.400.430.45
Beta(*)0.600.590.59
Alpha (annualized)16.64%15.83%15.03%
R215.90%18.09%20.51%
Sharpe Ratio1.171.211.26
Sortino Ratio2.092.162.22
Treynor Ratio (%)41.9740.8239.66
Calmar Ratio1.031.041.04
Active Return11.04%10.32%9.57%
Tracking Error20.40%18.89%17.52%
Information Ratio0.540.550.55
Skewness-0.25-0.33-0.42
Excess Kurtosis-0.010.080.21
Historical Value-at-Risk (5%)-9.44%-8.56%-7.51%
Analytical Value-at-Risk (5%)-8.36%-7.67%-7.05%
Conditional Value-at-Risk (5%)-11.25%-10.68%-10.13%
Upside Capture Ratio (%)105.66105.10104.55
Downside Capture Ratio (%)37.4541.1345.02
Safe Withdrawal Rate26.83%25.83%24.82%
Perpetual Withdrawal Rate18.29%17.85%17.39%
Positive Periods73 out of 112 (65.18%)73 out of 112 (65.18%)76 out of 112 (67.86%)
Gain/Loss Ratio1.261.301.20
* 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
1Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-23.43%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-23.10%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-19.64%
4Aug 2020Oct 20203 months-16.94%
5May 2013Aug 20134 monthsOct 20132 months6 months-13.70%
6Mar 2020Mar 20201 monthApr 20201 month2 months-6.07%
7Sep 2014Sep 20141 monthOct 20141 month2 months-5.79%
8Sep 2012Oct 20122 monthsFeb 20134 months6 months-4.41%
9Sep 2019Sep 20191 monthNov 20192 months3 months-3.12%
10May 2020May 20201 monthJul 20202 months3 months-2.32%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-21.87%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-21.41%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-19.85%
4Aug 2020Oct 20203 months-14.66%
5May 2013Aug 20134 monthsOct 20132 months6 months-12.10%
6Sep 2014Sep 20141 monthOct 20141 month2 months-5.47%
7Sep 2012Dec 20124 monthsFeb 20132 months6 months-4.49%
8Mar 2020Mar 20201 monthApr 20201 month2 months-3.02%
9Sep 2019Sep 20191 monthNov 20192 months3 months-2.63%
10May 2019May 20191 monthJun 20191 month2 months-1.91%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-20.27%
2Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-20.06%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-19.65%
4Aug 2020Oct 20203 months-12.42%
5May 2013Aug 20134 monthsOct 20132 months6 months-10.46%
6Sep 2014Sep 20141 monthOct 20141 month2 months-5.14%
7Oct 2012Dec 20123 monthsMar 20133 months6 months-4.62%
8May 2019May 20191 monthJun 20191 month2 months-2.81%
9Sep 2019Sep 20191 monthNov 20192 months3 months-2.12%
10May 2020May 20201 monthJul 20202 months3 months-1.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50034.85%42.99%118.49%-25.15%-60.44%0.911.450.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF12.49%38.64%97.34%-39.01%-49.74%0.470.88-0.39
XVZiPath S&P 500 Dynamic VIX ETN-4.63%31.39%93.79%-26.74%-71.71%-0.06-0.15-0.50

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFXVZPortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P5001.00-0.38-0.540.410.440.46
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.381.000.150.640.600.56
XVZiPath S&P 500 Dynamic VIX ETN-0.540.151.00-0.20-0.16-0.11

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$45,199$43,173$41,197
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$31,483$27,185$23,223
XVZiPath S&P 500 Dynamic VIX ETN$1,802$3,269

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P50037.21%42.70%48.93%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF62.79%58.59%53.01%
XVZiPath S&P 500 Dynamic VIX ETN-1.29%-1.94%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year26.36%86.94%-17.86%25.50%81.22%-17.30%24.63%75.56%-17.23%
3 years22.72%43.31%7.55%21.88%41.08%7.51%21.01%38.83%7.47%
5 years21.12%33.72%14.84%20.38%31.91%14.43%19.61%30.08%13.75%
7 years22.99%27.18%18.63%22.18%26.54%17.90%21.35%25.85%17.15%