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 (Feb 2010 - Dec 2020)

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$92,160 22.56% 15.97%52.60%-9.69%-20.30% 1.332.420.85
Portfolio 2$10,000$98,040 23.26% 14.18%44.74%-8.36%-13.11% 1.523.020.52
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 114.29%35.62%23.18%24.49%21.69%22.56%22.37%18.52%
Portfolio 28.94%43.74%24.00%22.77%22.29%23.26%18.34%15.68%
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 2010 are based on monthly returns from February 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 2PIMCO StocksPLUS Long Duration Instl (PSLDX)ProShares Ultra S&P500 (SSO)ProShares Ultra 20+ Year Treasury (UBT)
ReturnBalanceReturnBalance
20101.15%29.45%$12,94531.03%$13,10329.45%37.13%10.09%
20112.96%21.15%$15,68341.83%$18,58421.15%-2.92%72.72%
20121.74%27.22%$19,95319.71%$22,24627.22%31.04%2.74%
20131.50%18.86%$23,71714.34%$25,43618.86%70.46%-26.78%
20140.76%34.23%$31,83542.33%$36,20334.23%25.53%60.42%
20150.73%-3.19%$30,819-2.89%$35,155-3.19%-1.19%-7.93%
20162.07%20.42%$37,11212.69%$39,61620.42%21.55%0.28%
20172.11%32.87%$49,31029.80%$51,42132.87%44.35%16.12%
20181.91%-9.69%$44,531-8.36%$47,125-9.69%-14.62%-6.53%
20192.29%52.60%$67,95544.74%$68,20852.60%63.45%24.45%
20201.36%35.62%$92,16043.74%$98,04035.62%21.53%31.87%
Annual return for 2010 is from 02/01/2010 to 12/31/2010
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2PIMCO StocksPLUS Long Duration Instl (PSLDX)ProShares Ultra S&P500 (SSO)ProShares Ultra 20+ Year Treasury (UBT)
ReturnBalanceReturnBalance
201022.91%$10,2912.60%$10,2602.91%6.11%-0.90%
201035.91%$10,8994.42%$10,7145.91%12.38%-4.09%
201044.41%$11,3794.76%$11,2244.41%2.81%6.71%
20105-7.27%$10,552-2.78%$10,912-7.27%-16.09%10.04%
20106-1.30%$10,4152.11%$11,143-1.30%-10.92%11.69%
201078.52%$11,3026.09%$11,8228.52%14.06%-1.88%
201080.83%$11,3963.02%$12,1790.83%-9.25%17.30%
201098.06%$12,3155.95%$12,9048.06%18.44%-5.28%
2010102.20%$12,585-0.63%$12,8222.20%7.57%-8.83%
201011-1.94%$12,342-1.92%$12,576-1.94%-0.40%-3.72%
2010124.89%$12,9454.19%$13,1034.89%13.94%-7.71%
201110.91%$13,063-0.85%$12,9920.91%4.33%-6.02%
201124.94%$13,7085.18%$13,6644.94%6.94%3.22%
201130.00%$13,708-0.33%$13,6200.00%-0.39%-0.25%
201145.71%$14,4905.20%$14,3295.71%5.74%4.66%
201151.62%$14,7252.25%$14,6511.62%-2.38%6.92%
20116-3.53%$14,205-4.26%$14,026-3.53%-3.74%-4.75%
201171.94%$14,4802.25%$14,3421.94%-4.22%8.72%
20118-2.99%$14,0474.43%$14,977-2.99%-12.81%19.62%
20119-2.94%$13,63410.92%$16,613-2.94%-13.86%26.84%
20111011.54%$15,2086.85%$17,75211.54%21.81%-8.10%
201111-1.16%$15,0310.59%$17,856-1.16%-1.56%3.43%
2011124.34%$15,6834.08%$18,5844.34%1.91%6.81%
201216.27%$16,6664.07%$19,3406.27%8.97%-0.83%
201223.64%$17,2721.95%$19,7173.64%8.45%-5.19%
201230.40%$17,342-0.13%$19,6910.40%6.71%-8.74%
201242.83%$17,8324.03%$20,4842.83%-1.61%9.67%
20125-1.55%$17,5554.39%$21,383-1.55%-11.37%18.53%
201263.89%$18,2370.84%$21,5633.89%7.27%-3.47%
201275.53%$19,2464.94%$22,6275.53%2.53%7.34%
201281.78%$19,5890.71%$22,7881.78%4.61%-3.02%
201291.90%$19,9600.16%$22,8241.90%4.87%-4.69%
201210-0.87%$19,787-2.75%$22,196-0.87%-4.15%-1.36%
2012110.99%$19,9821.78%$22,5900.99%0.94%2.59%
201212-0.15%$19,953-1.53%$22,246-0.15%2.08%-4.97%
201312.83%$20,5181.74%$22,6322.83%10.27%-6.80%
201322.51%$21,0342.34%$23,1612.51%2.16%2.55%
201333.51%$21,7723.51%$23,9733.51%7.39%-1.07%
201345.32%$22,9306.75%$25,5915.32%3.86%9.63%
20135-2.79%$22,289-4.52%$24,434-2.79%4.55%-13.12%
20136-6.45%$20,851-4.90%$23,237-6.45%-3.11%-6.93%
201374.65%$21,8212.76%$23,8784.65%10.41%-4.90%
20138-4.33%$20,876-4.35%$22,839-4.33%-6.08%-2.35%
201394.04%$21,7203.80%$23,7074.04%6.48%0.81%
2013106.28%$23,0835.99%$25,1276.28%9.07%2.90%
2013111.42%$23,4120.38%$25,2221.42%5.77%-5.33%
2013121.30%$23,7170.85%$25,4361.30%5.13%-4.22%
201411.05%$23,9652.92%$26,1801.05%-7.23%13.08%
201426.07%$25,4214.58%$27,3796.07%9.06%0.90%
201431.12%$25,7051.39%$27,7611.12%1.52%1.28%
201442.76%$26,4152.72%$28,5162.76%1.23%4.20%
201454.97%$27,7285.05%$29,9554.97%4.41%5.67%
201462.18%$28,3321.72%$30,4692.18%4.10%-0.57%
20147-1.13%$28,012-0.71%$30,254-1.13%-2.88%1.47%
201487.25%$30,0438.30%$32,7667.25%7.87%8.72%
20149-3.75%$28,916-3.42%$31,647-3.75%-2.93%-3.87%
2014104.58%$30,2405.07%$33,2504.58%4.38%5.76%
2014114.50%$31,6005.70%$35,1464.50%5.54%5.86%
2014120.74%$31,8353.01%$36,2030.74%-0.84%6.79%
201512.75%$32,7126.96%$38,7222.75%-6.15%20.06%
201522.55%$33,545-2.00%$37,9482.55%11.40%-12.47%
20153-1.10%$33,176-0.68%$37,689-1.10%-3.43%2.05%
20154-1.59%$32,649-2.53%$36,734-1.59%1.84%-6.90%
20155-0.40%$32,518-1.16%$36,310-0.40%2.31%-4.94%
20156-5.41%$30,759-6.10%$34,094-5.41%-4.09%-8.47%
201574.58%$32,1676.72%$36,3854.58%4.22%9.23%
20158-7.52%$29,747-6.82%$33,905-7.52%-12.48%-1.42%
20159-2.26%$29,074-0.76%$33,646-2.26%-5.54%3.28%
2015109.42%$31,8138.01%$36,3419.42%17.45%-1.43%
201511-0.14%$31,769-0.33%$36,222-0.14%0.60%-1.43%
201512-2.99%$30,819-2.94%$35,155-2.99%-3.80%-1.91%
20161-3.34%$29,7890.83%$35,447-3.34%-10.37%12.03%
201621.65%$30,2793.03%$36,5201.65%-0.62%5.95%
2016310.26%$33,3876.12%$38,75610.26%13.98%0.22%
201641.77%$33,977-0.75%$38,4641.77%0.60%-2.11%
201652.03%$34,6652.28%$39,3392.03%3.18%1.35%
201665.16%$36,4536.80%$42,0145.16%0.16%13.74%
201676.64%$38,8735.87%$44,4806.64%7.40%4.34%
201680.25%$38,972-1.16%$43,9630.25%0.10%-2.46%
20169-0.86%$38,638-1.32%$43,384-0.86%-0.28%-2.41%
201610-4.50%$36,897-6.63%$40,508-4.50%-3.68%-9.58%
201611-2.29%$36,052-3.87%$38,941-2.29%7.23%-15.69%
2016122.94%$37,1121.73%$39,6162.94%4.00%-1.34%
201712.51%$38,0442.37%$40,5552.51%3.47%1.27%
201725.91%$40,2915.55%$42,8065.91%7.83%3.22%
20173-0.41%$40,127-0.79%$42,470-0.41%-0.02%-1.60%
201742.60%$41,1692.36%$43,4732.60%1.85%2.88%
201753.20%$42,4843.06%$44,8023.20%2.55%3.56%
201761.23%$43,0081.30%$45,3861.23%1.04%1.56%
201772.30%$43,9991.13%$45,8992.30%3.95%-1.69%
201782.25%$44,9903.45%$47,4832.25%0.31%6.77%
201791.08%$45,475-0.50%$47,2441.08%3.82%-4.79%
2017102.58%$46,6482.18%$48,2752.58%4.53%-0.16%
2017113.23%$48,1563.55%$49,9873.23%5.87%1.11%
2017122.40%$49,3102.87%$51,4212.40%2.36%3.42%
201813.88%$51,2252.28%$52,5913.88%11.17%-6.62%
20182-6.54%$47,873-7.28%$48,761-6.54%-8.07%-6.34%
20183-1.27%$47,268-0.44%$48,545-1.27%-5.54%5.52%
20184-1.75%$46,441-2.12%$47,517-1.75%0.20%-4.43%
201852.97%$47,8193.96%$49,3982.97%4.41%3.48%
201860.46%$48,0401.01%$49,8980.46%1.02%1.01%
201873.74%$49,8352.06%$50,9263.74%7.09%-2.97%
201883.74%$51,6994.28%$53,1043.74%6.15%2.21%
20189-1.04%$51,162-2.25%$51,911-1.04%0.89%-5.85%
201810-9.52%$46,289-10.11%$46,664-9.52%-14.01%-6.20%
2018112.41%$47,4033.11%$48,1152.41%3.15%3.07%
201812-6.06%$44,531-2.06%$47,125-6.06%-17.72%12.31%
201919.75%$48,8747.90%$50,8499.75%15.73%0.08%
201922.91%$50,2951.99%$51,8592.91%6.21%-2.90%
201936.19%$53,4116.77%$55,3676.19%3.45%10.96%
201943.41%$55,2301.78%$56,3513.41%7.72%-4.16%
20195-2.29%$53,964-0.21%$56,231-2.29%-12.77%13.91%
201968.92%$58,7787.40%$60,3948.92%14.09%1.64%
201972.06%$59,9881.36%$61,2162.06%2.52%0.21%
201985.91%$63,5369.19%$66,8425.91%-4.04%22.73%
201990.05%$63,566-1.59%$65,7760.05%3.62%-5.77%
2019101.86%$64,7490.73%$66,2531.86%4.00%-2.55%
2019113.52%$67,0313.05%$68,2773.52%7.07%-1.23%
2019121.38%$67,955-0.10%$68,2081.38%5.65%-6.75%
202015.74%$71,8567.73%$73,4785.74%-0.44%15.89%
20202-4.67%$68,4990.28%$73,684-4.67%-15.46%13.80%
20203-16.39%$57,271-5.66%$69,514-16.39%-29.80%9.75%
2020417.04%$67,02813.61%$78,97417.04%25.18%2.04%
202055.31%$70,5853.17%$81,4815.31%9.16%-4.16%
202063.74%$73,2271.89%$83,0223.74%2.95%0.41%
2020710.43%$80,86210.23%$91,51710.43%11.69%8.78%
202083.75%$83,8982.25%$93,5753.75%14.29%-10.11%
20209-3.89%$80,638-3.83%$89,994-3.89%-7.97%1.58%
202010-4.72%$76,834-6.19%$84,427-4.72%-5.38%-7.00%
20201115.35%$88,62612.77%$95,20615.35%22.51%2.85%
2020123.99%$92,1602.98%$98,0403.99%7.36%-2.33%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth57.28%
Mid-cap Value16.69%
Mid-cap Growth1.90%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets6.18%
Corporate Bonds0.00%
Long-Term Treasuries17.95%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared79.49%
Style analysis is based on monthly returns from February 2010 to December 2020 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
PSLDXPIMCO StocksPLUS Long Duration Instl85%+ Equity100.00%2.97%1.01%15.93$82,160100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity50.00%0.15%0.91%$59,19654.14%
UBTProShares Ultra 20+ Year TreasuryLeveraged Debt50.00%0.95%$28,84445.86%
100.00%0.07%0.93%$88,040100.00%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 04/14/2021. (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)1.81%1.84%
Arithmetic Mean (annualized)24.08%24.45%
Geometric Mean (monthly)1.71%1.76%
Geometric Mean (annualized)22.56%23.26%
Volatility (monthly)4.61%4.09%
Volatility (annualized)15.97%14.18%
Downside Deviation (monthly)2.51%2.03%
Max. Drawdown-20.30%-13.11%
US Market Correlation0.850.52
Beta(*)0.930.50
Alpha (annualized)8.23%14.71%
R271.86%27.02%
Sharpe Ratio1.331.52
Sortino Ratio2.423.02
Treynor Ratio (%)22.9442.74
Calmar Ratio1.141.98
Active Return8.11%8.81%
Tracking Error8.54%14.12%
Information Ratio0.950.62
Skewness-0.19-0.05
Excess Kurtosis2.230.50
Historical Value-at-Risk (5%)-5.73%-5.28%
Analytical Value-at-Risk (5%)-5.77%-5.03%
Conditional Value-at-Risk (5%)-8.54%-6.97%
Upside Capture Ratio (%)111.3982.83
Downside Capture Ratio (%)69.8614.13
Safe Withdrawal Rate23.69%25.73%
Perpetual Withdrawal Rate16.90%17.37%
Positive Periods91 out of 131 (69.47%)89 out of 131 (67.94%)
Gain/Loss Ratio1.191.48
* 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 2020Mar 20202 monthsJun 20203 months5 months-20.30%
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%
6May 2010Jun 20102 monthsAug 20102 months4 months-8.47%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-8.42%
8Sep 2016Nov 20163 monthsFeb 20173 months6 months-7.49%
9Jun 2011Sep 20114 monthsOct 20111 month5 months-7.41%
10Sep 2014Sep 20141 monthOct 20141 month2 months-3.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-13.11%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-12.45%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-12.13%
4May 2013Aug 20134 monthsJan 20145 months9 months-10.75%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-9.78%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-9.65%
7Mar 2020Mar 20201 monthApr 20201 month2 months-5.66%
8Jun 2011Jun 20111 monthAug 20112 months3 months-4.26%
9Sep 2014Sep 20141 monthOct 20141 month2 months-3.42%
10May 2010May 20101 monthJul 20102 months3 months-2.78%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSLDXPIMCO StocksPLUS Long Duration Instl22.56%15.97%52.60%-9.69%-20.30%1.332.420.85
SSOProShares Ultra S&P50024.54%28.82%70.46%-14.62%-40.91%0.891.431.00
UBTProShares Ultra 20+ Year Treasury12.94%26.11%72.72%-26.78%-34.92%0.571.09-0.47

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSLDXSSOUBTPortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl1.000.850.041.000.85
SSOProShares Ultra S&P5000.851.00-0.460.850.53
UBTProShares Ultra 20+ Year Treasury0.04-0.461.000.040.50

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl$82,160
SSOProShares Ultra S&P500$59,196
UBTProShares Ultra 20+ Year Treasury$28,844

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl100.00%
SSOProShares Ultra S&P50054.14%
UBTProShares Ultra 20+ Year Treasury45.86%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year21.52%52.60%-9.73%22.85%57.77%-8.46%
3 years19.50%28.84%12.46%19.27%31.62%8.69%
5 years18.85%26.75%11.54%18.63%31.10%13.02%
7 years19.32%22.46%14.82%18.89%22.64%14.22%
10 years20.87%22.10%18.05%21.89%22.71%20.56%