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 Assets 
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Asset 6
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Portfolio Analysis Results (Jul 2009 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
SPXU ProShares UltraPro Short S&P500 -55.00%
CASHX Cash 110.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$353,861 36.36% 22.47%73.88%-14.16%-19.52% 1.482.950.64
Portfolio 2$10,000$507,393 40.70% 20.52%92.34%-11.90%-20.96% 1.763.820.50
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 116.71%66.39%35.42%34.57%33.99%36.36%29.56%24.70%
Portfolio 213.67%92.34%42.47%40.39%39.49%40.70%27.15%23.01%
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 2009 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 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 2ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro Short S&P500 (SPXU)Cash (CASHX)
ReturnBalanceReturnBalance
20090.12%30.25%$13,02526.82%$12,68274.02%-15.06%-50.55%0.06%
20101.50%45.62%$18,96743.49%$18,19636.34%16.20%-46.51%0.14%
20112.96%59.49%$30,25175.01%$31,846-11.88%109.14%-32.35%0.07%
20121.74%32.64%$40,12333.00%$42,35446.80%0.60%-42.50%0.08%
20131.50%29.54%$51,97725.18%$53,021118.49%-39.01%-60.08%0.05%
20140.76%63.14%$84,79870.28%$90,28438.00%97.34%-36.89%0.03%
20150.73%-5.46%$80,1723.05%$93,038-5.24%-13.73%-16.64%0.05%
20162.07%19.82%$96,06528.51%$119,56230.79%-2.52%-35.64%0.30%
20172.11%48.32%$142,48146.74%$175,44271.37%22.73%-44.23%0.88%
20181.91%-14.16%$122,308-11.90%$154,565-25.15%-11.01%4.03%1.90%
20192.29%73.88%$212,67470.68%$263,805102.31%34.74%-56.27%2.13%
20201.36%66.39%$353,86192.34%$507,39310.08%41.60%-70.39%0.44%
Annual return for 2009 is from 07/01/2009 to 12/31/2009
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro Short S&P500 (SPXU)Cash (CASHX)
2009712.33%11.86%22.17%0.29%-21.30%0.02%
200988.91%6.91%10.97%5.84%-11.72%0.02%
200999.19%6.44%10.33%7.41%-10.87%0.01%
200910-8.05%-5.89%-6.90%-9.45%2.99%0.01%
20091111.79%11.69%18.79%2.99%-17.26%0.00%
200912-5.13%-5.22%5.20%-20.11%-6.28%0.01%
20101-2.85%-2.53%-11.19%7.34%10.61%0.01%
201023.59%5.48%8.94%-1.82%-10.21%0.01%
201036.82%5.74%18.90%-6.73%-16.62%0.01%
201046.73%7.57%4.08%9.96%-5.59%0.01%
20105-5.29%-2.91%-24.15%16.54%21.82%0.01%
201062.42%0.86%-16.58%16.73%13.86%0.01%
201079.89%9.30%21.17%-3.90%-20.08%0.02%
201082.04%5.11%-13.46%25.94%12.85%0.01%
201099.99%5.95%27.94%-9.02%-23.67%0.01%
2010100.19%0.16%11.44%-13.57%-11.37%0.01%
201011-2.84%-1.99%-0.82%-6.03%-0.71%0.01%
2010128.98%4.85%21.36%-11.63%-18.58%0.01%
20111-0.62%-0.37%6.56%-9.40%-7.01%0.01%
201127.97%7.14%10.39%4.49%-10.30%0.01%
20113-0.70%0.46%-0.80%-0.55%-1.54%0.01%
201147.76%7.83%8.73%6.57%-8.85%0.01%
201152.43%3.20%-3.93%10.36%3.03%0.00%
20116-6.60%-5.28%-5.87%-7.39%3.81%0.01%
201172.46%3.32%-6.39%13.28%4.83%0.00%
201183.01%10.35%-21.09%27.34%5.65%0.01%
2011917.47%13.40%-20.69%41.35%19.00%0.00%
20111012.14%10.65%32.61%-12.87%-29.88%0.00%
201111-0.47%2.97%-3.35%4.89%-3.55%0.00%
2011124.94%5.11%2.30%9.46%-5.20%0.00%
201216.97%6.32%13.90%-1.50%-12.72%0.00%
201224.46%2.05%13.24%-7.95%-11.87%0.01%
201231.15%-0.87%9.29%-13.02%-10.30%0.01%
201245.16%5.93%-2.38%14.37%0.99%0.01%
201255.29%4.02%-17.35%28.90%19.13%0.01%
201261.14%4.56%11.47%-5.78%-13.38%0.01%
201277.08%7.54%3.52%11.43%-4.34%0.01%
201281.31%1.53%6.53%-4.61%-7.51%0.01%
201290.73%0.18%7.52%-7.87%-8.12%0.01%
201210-4.24%-3.97%-5.96%-2.13%5.50%0.01%
2012112.34%3.58%1.01%3.90%-2.94%0.01%
201212-2.14%-1.35%2.82%-7.80%-3.94%0.01%
201314.15%3.56%15.39%-9.58%-14.30%0.00%
201323.50%3.32%3.56%3.39%-4.36%0.01%
201336.04%3.90%11.03%-1.77%-10.89%0.01%
201349.41%10.03%5.45%14.25%-6.57%0.01%
20135-5.63%-5.68%6.80%-19.65%-7.49%0.00%
20136-7.27%-5.82%-5.23%-10.33%3.73%0.00%
201375.69%4.95%16.41%-7.41%-15.05%0.00%
20138-7.34%-5.76%-9.21%-4.47%8.95%0.00%
201396.32%5.41%9.60%1.53%-9.31%0.00%
2013109.42%9.20%13.76%4.12%-13.35%0.00%
2013111.57%0.37%8.87%-8.19%-8.90%0.00%
2013122.29%0.81%7.54%-6.01%-8.00%0.01%
201412.87%2.97%-10.72%19.47%10.55%0.01%
201427.37%8.60%13.65%1.63%-13.12%0.00%
201431.95%2.32%2.15%1.76%-3.09%0.00%
201443.59%4.32%1.65%5.96%-2.98%0.00%
201457.62%7.53%6.62%8.79%-6.85%0.00%
201462.86%2.29%6.22%-1.00%-6.21%0.00%
20147-1.72%-1.23%-4.44%1.61%3.55%0.00%
2014813.10%13.17%11.95%14.42%-11.25%0.00%
20149-5.48%-4.83%-4.44%-6.65%3.80%0.00%
2014106.95%8.28%6.03%8.06%-8.46%0.00%
2014118.68%7.77%8.34%9.08%-7.95%0.00%
2014123.45%4.46%-1.54%9.38%-0.50%0.00%
201518.74%9.50%-9.47%31.01%8.10%0.00%
20152-1.68%-1.13%17.48%-17.87%-15.64%0.00%
20153-1.72%-0.58%-5.28%2.57%3.75%0.00%
20154-3.21%-2.83%2.59%-10.30%-3.28%0.00%
20155-1.30%-0.96%3.43%-7.91%-4.25%0.00%
20156-8.65%-7.84%-6.21%-12.49%5.70%0.00%
201579.43%9.94%6.17%13.40%-7.10%0.00%
20158-11.35%-9.11%-18.87%-2.75%16.87%0.01%
20159-1.61%-0.63%-8.64%5.10%5.31%0.01%
20151013.95%11.63%26.79%-1.73%-22.57%0.00%
201511-0.55%-0.35%0.81%-2.71%-1.89%0.01%
201512-4.67%-2.27%-6.06%-2.41%3.63%0.02%
20161-0.47%0.38%-15.38%17.74%13.84%0.01%
201623.85%5.32%-1.68%8.71%-1.11%0.03%
201639.16%10.69%21.50%-0.64%-18.80%0.03%
20164-0.63%-0.15%0.81%-2.39%-1.66%0.02%
201653.42%3.74%4.65%1.86%-5.37%0.02%
201669.13%10.55%-0.20%21.23%-2.74%0.03%
201678.86%8.48%11.13%6.07%-10.40%0.02%
20168-1.51%-1.30%0.11%-3.58%-0.55%0.02%
20169-2.36%-1.56%-0.54%-4.78%-1.03%0.03%
201610-9.09%-8.99%-5.62%-13.32%5.49%0.02%
201611-3.95%-3.24%11.05%-23.91%-10.94%0.03%
2016123.60%3.31%5.96%-0.99%-6.12%0.04%
201713.50%3.52%5.14%1.49%-5.10%0.04%
201728.60%7.59%11.91%4.41%-11.10%0.04%
20173-1.12%-0.79%-0.22%-2.35%-0.41%0.04%
201743.52%3.73%2.77%4.43%-3.03%0.06%
201754.37%4.51%3.70%5.17%-4.09%0.07%
201761.73%1.87%1.51%1.98%-1.88%0.08%
201772.13%2.16%5.87%-2.43%-5.75%0.08%
201784.47%4.86%0.21%10.13%-0.81%0.09%
20179-0.19%-0.45%5.69%-7.29%-5.74%0.08%
2017103.52%3.53%6.83%-0.53%-6.67%0.09%
2017115.79%4.97%8.87%1.73%-8.31%0.09%
2017124.11%3.75%3.45%5.04%-3.54%0.10%
201815.62%4.05%18.22%-9.77%-15.13%0.11%
20182-12.01%-7.70%-13.53%-9.57%9.12%0.12%
20183-1.92%0.03%-8.69%8.44%6.34%0.14%
20184-3.09%-1.68%-0.14%-6.71%-2.15%0.14%
201855.95%6.03%6.46%5.27%-6.59%0.15%
201861.37%1.60%1.29%1.49%-1.65%0.16%
201873.79%3.72%10.73%-4.70%-10.29%0.16%
201886.72%5.62%9.09%3.36%-8.52%0.17%
20189-2.79%-2.84%1.20%-8.77%-1.30%0.17%
201810-15.53%-15.59%-20.78%-9.11%21.25%0.18%
2018114.51%7.49%4.28%4.76%-6.24%0.19%
201812-4.81%-10.34%-26.25%17.93%27.60%0.19%
2019113.33%12.11%23.89%0.41%-21.27%0.20%
201923.78%1.75%9.28%-4.52%-8.76%0.20%
201939.31%8.49%4.85%17.00%-5.41%0.20%
201943.54%3.11%11.81%-6.56%-10.62%0.20%
20195-2.65%-1.34%-18.89%21.11%21.32%0.20%
2019611.54%11.85%21.37%1.90%-18.23%0.19%
201972.24%2.41%3.80%0.32%-3.77%0.17%
2019811.81%14.02%-6.62%35.11%3.18%0.17%
20199-2.37%-2.00%5.30%-9.07%-5.53%0.16%
2019101.28%1.92%5.70%-4.11%-6.54%0.15%
2019115.30%4.21%10.73%-2.01%-9.76%0.13%
2019121.08%-0.27%8.38%-10.05%-8.24%0.13%
2020110.21%10.88%-0.91%23.80%-0.05%0.13%
20202-2.34%-3.58%-23.04%17.91%25.64%0.13%
20203-11.49%9.94%-48.13%11.91%-3.92%0.10%
2020421.65%21.15%37.17%2.68%-36.24%0.01%
202055.84%1.92%13.38%-6.48%-15.15%0.01%
202062.33%2.51%3.23%0.54%-9.58%0.01%
2020715.64%15.01%17.70%13.13%-16.53%0.01%
202085.78%0.91%22.05%-14.89%-18.78%0.01%
20209-7.16%-2.00%-12.26%2.15%8.75%0.01%
202010-9.32%-7.68%-8.48%-10.35%5.52%0.01%
20201121.42%19.32%35.20%4.24%-27.78%0.01%
2020126.00%3.19%11.14%-2.32%-10.71%0.01%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.10%0.93%$252,57670.47%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%3.02%1.06%$91,28529.53%
100.00%1.41%0.99%$343,861100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)2.82%3.06%
Arithmetic Mean (annualized)39.65%43.51%
Geometric Mean (monthly)2.62%2.89%
Geometric Mean (annualized)36.36%40.70%
Volatility (monthly)6.49%5.92%
Volatility (annualized)22.47%20.52%
Downside Deviation (monthly)3.24%2.71%
Max. Drawdown-19.52%-20.96%
US Market Correlation0.640.50
Beta(*)0.990.70
Alpha (annualized)18.62%25.80%
R241.08%25.04%
Sharpe Ratio1.481.76
Sortino Ratio2.953.82
Treynor Ratio (%)33.8251.41
Calmar Ratio1.892.03
Active Return20.96%25.30%
Tracking Error17.25%18.29%
Information Ratio1.221.38
Skewness-0.010.01
Excess Kurtosis0.480.60
Historical Value-at-Risk (5%)-8.14%-6.16%
Analytical Value-at-Risk (5%)-8.26%-6.61%
Conditional Value-at-Risk (5%)-11.06%-9.61%
Upside Capture Ratio (%)147.28135.82
Downside Capture Ratio (%)56.6612.95
Safe Withdrawal Rate36.09%37.41%
Perpetual Withdrawal Rate24.53%26.77%
Positive Periods93 out of 138 (67.39%)96 out of 138 (69.57%)
Gain/Loss Ratio1.451.66
* 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 monthsMay 20168 months1 year 4 months-19.52%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-18.73%
3Aug 2016Nov 20164 monthsApr 20175 months9 months-16.02%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-15.81%
5May 2013Aug 20134 monthsNov 20133 months7 months-14.30%
6Feb 2020Mar 20202 monthsApr 20201 month3 months-13.56%
7Oct 2009Oct 20091 monthNov 20091 month2 months-8.05%
8Dec 2009Jan 20102 monthsMar 20102 months4 months-7.84%
9Jun 2011Jun 20111 monthSep 20113 months4 months-6.60%
10Sep 2014Sep 20141 monthOct 20141 month2 months-5.48%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-20.96%
2Aug 2016Nov 20164 monthsApr 20175 months9 months-14.43%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-13.44%
4May 2013Aug 20134 monthsOct 20132 months6 months-12.14%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-9.53%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-9.23%
7Dec 2009Jan 20102 monthsMar 20102 months4 months-7.62%
8Oct 2009Oct 20091 monthNov 20091 month2 months-5.89%
9Jun 2011Jun 20111 monthAug 20112 months3 months-5.28%
10Sep 2014Sep 20141 monthOct 20141 month2 months-4.83%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50035.45%43.99%118.49%-25.15%-60.44%0.911.470.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF13.71%39.05%109.14%-39.01%-49.74%0.500.92-0.44
SPXUProShares UltraPro Short S&P500-44.95%37.40%4.03%-70.39%-99.90%-1.38-1.52-0.94
CASHXCash0.53%0.22%2.13%0.03%0.00%N/AN/A-0.10

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFSPXUCASHXPortfolio 1Portfolio 2
UPROProShares UltraPro S&P5001.00-0.43-0.92-0.100.650.49
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.431.000.420.070.380.48
SPXUProShares UltraPro Short S&P500-0.920.421.000.12-0.62-0.58
CASHXCash-0.100.070.121.00-0.06-0.05

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
UPROProShares UltraPro S&P500$252,576
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$91,285$102,427
SPXUProShares UltraPro Short S&P500$383,337
CASHXCash$11,628

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
UPROProShares UltraPro S&P50070.47%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF29.53%41.23%
SPXUProShares UltraPro Short S&P50058.83%
CASHXCash-0.06%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year35.57%92.05%-14.16%40.62%102.50%-11.90%
3 years31.02%56.44%13.28%35.31%58.03%18.12%
5 years29.73%48.77%17.86%34.43%51.56%23.38%
7 years29.77%39.23%22.09%34.40%43.40%25.32%
10 years32.84%34.99%30.63%37.17%39.76%34.63%