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 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 8
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Asset 10
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Portfolio Analysis Results (Mar 2010 - 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
UPRO ProShares UltraPro S&P500 27.50%
TQQQ ProShares UltraPro QQQ 27.50%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 52.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 48.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,202,221 55.60% 35.62%33.77%22.21%73.88%-14.16%-19.52%
(-17.44%)
1.472.910.63
Portfolio 2$10,000$1,796,211 61.47% 41.73%40.25%24.14%94.25%-10.90%-21.32%
(-20.62%)
1.563.210.64
Portfolio 3$10,000$2,423,531 66.00% 46.40%45.14%26.29%122.07%-7.51%-22.72%
(-22.12%)
1.583.310.56
Vanguard 500 Index Investor$10,000$359,570 39.19% 14.13%14.41%14.09%32.18%-4.52%-19.63%
(-18.82%)
0.971.591.00
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

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%35.62%29.56%24.70%
Portfolio 217.09%94.25%46.77%42.29%39.86%41.73%31.96%27.00%
Portfolio 316.03%122.07%57.05%48.42%44.33%46.40%33.73%29.31%
Vanguard 500 Index Investor12.12%18.25%14.03%15.07%13.72%14.13%18.80%15.26%
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 March to December
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro QQQ (TQQQ)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20101.12%$10,07345.44%$26,46752.78%$27,41658.47%$28,03315.63%$22,80540.92%10.27%65.62%
20112.96%$12,45459.49%$58,64056.60%$59,01656.99%$60,0271.97%$35,631-11.88%109.14%-8.05%
20121.74%$12,71232.64%$91,23437.63%$94,35840.20%$96,96015.82%$54,49046.80%0.60%52.29%
20131.50%$12,89829.54%$132,61533.73%$141,19532.08%$143,34032.18%$86,643118.49%-39.01%139.73%
20140.76%$13,10763.14%$233,01369.44%$256,26376.92%$271,01713.51%$112,37638.00%97.34%57.09%
20150.73%$13,123-5.46%$232,9260.54%$270,6205.87%$300,1851.25%$126,984-5.24%-13.73%17.23%
20162.07%$13,28819.82%$292,56415.66%$326,33410.55%$344,88111.82%$156,27930.79%-2.52%11.38%
20172.11%$13,57148.32%$450,24159.49%$536,93468.16%$596,44721.67%$205,01971.37%22.73%118.06%
20181.91%$13,903-14.16%$399,177-10.90%$490,953-7.51%$564,283-4.52%$208,600-25.15%-11.01%-19.80%
20192.29%$14,15573.88%$711,31282.68%$914,51788.59%$1,082,14731.33%$289,688102.31%34.74%133.83%
20201.36%$14,32966.39%$1,202,22194.25%$1,796,211122.07%$2,423,53118.25%$359,57010.08%41.60%110.05%
Annual return for 2010 is from 03/01/2010 to 12/31/2010
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard 500 Index Investor ReturnProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro QQQ (TQQQ)
201037.37%8.93%9.55%6.01%18.90%-6.73%24.58%
201046.73%7.28%7.95%1.58%4.08%9.96%6.09%
20105-5.29%-5.03%-3.59%-8.01%-24.15%16.54%-22.85%
201062.42%1.77%2.17%-5.24%-16.58%16.73%-18.88%
201079.89%10.06%9.46%7.00%21.17%-3.90%21.80%
201082.04%1.52%2.18%-4.53%-13.46%25.94%-15.12%
201099.99%13.79%16.05%8.92%27.94%-9.02%43.14%
2010100.19%2.42%3.65%3.79%11.44%-13.57%19.55%
201011-2.84%-3.00%-3.27%0.00%-0.82%-6.03%-1.43%
2010128.98%7.09%4.53%6.67%21.36%-11.63%14.81%
20111-0.62%-0.23%-0.35%2.36%6.56%-9.40%8.01%
201127.97%7.61%7.11%3.42%10.39%4.49%9.14%
20113-0.70%-1.17%-1.59%0.03%-0.80%-0.55%-2.35%
201147.76%7.72%7.61%2.95%8.73%6.57%8.58%
201152.43%2.33%2.66%-1.15%-3.93%10.36%-4.31%
20116-6.60%-6.90%-7.21%-1.67%-5.87%-7.39%-7.01%
201172.46%5.43%8.68%-2.05%-6.39%13.28%4.43%
201183.01%2.75%3.92%-5.45%-21.09%27.34%-19.54%
2011917.47%17.85%19.82%-7.04%-20.69%41.35%-14.31%
20111012.14%11.85%10.22%10.91%32.61%-12.87%31.54%
201111-0.47%-2.66%-4.44%-0.23%-3.35%4.89%-10.15%
2011124.94%3.47%2.29%1.02%2.30%9.46%-2.83%
201216.97%10.53%13.25%4.46%13.90%-1.50%26.86%
201224.46%6.92%8.41%4.31%13.24%-7.95%20.14%
201231.15%3.78%5.36%3.28%9.29%-13.02%15.46%
201245.16%4.63%4.66%-0.64%-2.38%14.37%-4.30%
201255.29%4.62%5.44%-6.02%-17.35%28.90%-20.45%
201261.14%0.70%-0.19%4.11%11.47%-5.78%9.79%
201277.08%6.74%6.67%1.37%3.52%11.43%2.28%
201281.31%3.82%5.71%2.24%6.53%-4.61%16.09%
201290.73%-0.71%-2.39%2.58%7.52%-7.87%2.14%
201210-4.24%-6.90%-9.15%-1.86%-5.96%-2.13%-15.63%
2012112.34%2.92%3.56%0.56%1.01%3.90%3.19%
201212-2.14%-3.44%-4.98%0.90%2.82%-7.80%-1.93%
201314.15%2.02%-0.62%5.18%15.39%-9.58%7.65%
201323.50%2.63%1.81%1.34%3.56%3.39%0.59%
201336.04%5.24%4.08%3.74%11.03%-1.77%8.74%
201349.41%9.82%10.45%1.91%5.45%14.25%6.94%
20135-5.63%-4.53%-4.36%2.33%6.80%-19.65%10.71%
20136-7.27%-8.11%-8.99%-1.35%-5.23%-10.33%-8.02%
201375.69%6.72%6.92%5.07%16.41%-7.41%20.14%
20138-7.34%-5.03%-2.85%-2.91%-9.21%-4.47%-1.69%
201396.32%8.13%9.44%3.12%9.60%1.53%14.91%
2013109.42%9.68%9.62%4.59%13.76%4.12%14.70%
2013111.57%2.00%1.89%3.03%8.87%-8.19%10.34%
2013122.29%2.74%2.75%2.51%7.54%-6.01%8.86%
201412.87%4.07%6.04%-3.47%-10.72%19.47%-6.36%
201427.37%7.88%7.96%4.56%13.65%1.63%15.40%
201431.95%-0.83%-3.21%0.82%2.15%1.76%-8.37%
201443.59%2.58%1.80%0.72%1.65%5.96%-2.03%
201457.62%9.44%11.15%2.33%6.62%8.79%13.50%
201462.86%3.77%4.34%2.05%6.22%-1.00%9.46%
20147-1.72%0.34%2.36%-1.39%-4.44%1.61%3.05%
2014813.10%14.07%14.97%3.98%11.95%14.42%15.47%
20149-5.48%-4.97%-4.61%-1.41%-4.44%-6.65%-2.78%
2014106.95%7.10%7.29%2.42%6.03%8.06%6.58%
2014118.68%10.31%11.78%2.68%8.34%9.08%14.30%
2014123.45%1.67%0.46%-0.26%-1.54%9.38%-7.51%
201518.74%9.44%11.27%-3.02%-9.47%31.01%-6.95%
20152-1.68%-0.33%-0.21%5.74%17.48%-17.87%22.74%
20153-1.72%-2.42%-2.79%-1.59%-5.28%2.57%-7.46%
20154-3.21%-2.50%-2.26%0.95%2.59%-10.30%5.16%
20155-1.30%-0.40%0.07%1.27%3.43%-7.91%6.35%
20156-8.65%-9.07%-9.61%-1.93%-6.21%-12.49%-7.65%
201579.43%11.40%13.38%2.08%6.17%13.40%13.35%
20158-11.35%-12.16%-12.38%-6.05%-18.87%-2.75%-21.28%
20159-1.61%-1.54%-1.08%-2.48%-8.64%5.10%-8.13%
20151013.95%16.82%18.53%8.42%26.79%-1.73%37.23%
201511-0.55%-0.36%-0.29%0.29%0.81%-2.71%1.31%
201512-4.67%-4.61%-4.46%-1.59%-6.06%-2.41%-5.77%
20161-0.47%-2.06%-2.47%-4.98%-15.38%17.74%-21.13%
201623.85%2.97%2.51%-0.15%-1.68%8.71%-6.04%
201639.16%8.75%7.69%6.78%21.50%-0.64%20.97%
20164-0.63%-3.48%-6.12%0.37%0.81%-2.39%-9.56%
201653.42%5.49%7.36%1.78%4.65%1.86%12.84%
201669.13%7.11%5.93%0.25%-0.20%21.23%-7.83%
201678.86%11.99%14.63%3.68%11.13%6.07%22.52%
20168-1.51%-0.60%0.07%0.13%0.11%-3.58%2.99%
20169-2.36%-0.31%1.27%0.01%-0.54%-4.78%5.80%
201610-9.09%-8.81%-8.79%-1.83%-5.62%-13.32%-4.61%
201611-3.95%-6.76%-10.31%3.70%11.05%-23.91%1.10%
2016123.60%2.49%1.21%1.96%5.96%-0.99%2.60%
201713.50%6.42%8.91%1.88%5.14%1.49%15.76%
201728.60%9.13%9.37%3.96%11.91%4.41%13.39%
20173-1.12%0.73%2.23%0.10%-0.22%-2.35%5.64%
201743.52%4.98%6.33%1.02%2.77%4.43%8.07%
201754.37%6.55%8.48%1.39%3.70%5.17%11.43%
201761.73%-1.12%-3.48%0.61%1.51%1.98%-8.07%
201772.13%3.97%5.36%2.04%5.87%-2.43%12.56%
201784.47%5.84%7.30%0.29%0.21%10.13%5.04%
20179-0.19%-2.00%-3.90%2.06%5.69%-7.29%-1.06%
2017103.52%5.42%6.89%2.32%6.83%-0.53%13.74%
2017115.79%4.84%3.82%3.06%8.87%1.73%5.50%
2017124.11%3.43%2.87%1.10%3.45%5.04%1.18%
201815.62%8.23%9.72%5.71%18.22%-9.77%27.70%
20182-12.01%-9.66%-7.51%-3.69%-13.53%-9.57%-6.16%
20183-1.92%-3.85%-4.98%-2.56%-8.69%8.44%-13.42%
20184-3.09%-3.17%-3.44%0.37%-0.14%-6.71%-0.42%
201855.95%8.93%11.56%2.39%6.46%5.27%17.00%
201861.37%1.64%1.88%0.61%1.29%1.49%2.18%
201873.79%2.92%1.68%3.71%10.73%-4.70%7.56%
201886.72%9.18%11.25%3.25%9.09%3.36%17.69%
20189-2.79%-3.60%-4.60%0.55%1.20%-8.77%-1.60%
201810-15.53%-17.13%-18.21%-6.85%-20.78%-9.11%-26.61%
2018114.51%2.76%1.18%2.03%4.28%4.76%-2.91%
201812-4.81%-4.16%-2.12%-9.04%-26.25%17.93%-26.84%
2019113.33%14.16%14.20%8.00%23.89%0.41%26.92%
201923.78%3.60%3.04%3.20%9.28%-4.52%8.57%
201939.31%11.27%13.38%1.94%4.85%17.00%11.05%
201943.54%4.87%5.51%4.04%11.81%-6.56%16.64%
20195-2.65%-4.42%-4.83%-6.36%-18.89%21.11%-24.01%
2019611.54%11.88%11.59%7.03%21.37%1.90%23.00%
201972.24%2.90%3.38%1.43%3.80%0.32%6.20%
2019811.81%11.36%12.19%-1.59%-6.62%35.11%-7.79%
20199-2.37%-3.15%-4.26%1.86%5.30%-9.07%1.88%
2019101.28%3.13%4.49%2.15%5.70%-4.11%12.43%
2019115.30%5.84%5.94%3.62%10.73%-2.01%12.20%
2019121.08%2.19%2.65%3.01%8.38%-10.05%11.37%
2020110.21%12.71%15.68%-0.05%-0.91%23.80%8.19%
20202-2.34%-1.41%0.56%-8.24%-23.04%17.91%-17.77%
20203-11.49%-10.44%-7.99%-12.37%-48.13%11.91%-38.13%
2020421.65%24.20%25.44%12.81%37.17%2.68%46.45%
202055.84%7.70%8.77%4.76%13.38%-6.48%18.63%
202062.33%7.63%12.09%1.98%3.23%0.54%17.98%
2020715.64%16.90%17.88%5.63%17.70%13.13%22.25%
202085.78%9.73%12.10%7.18%22.05%-14.89%35.17%
20209-7.16%-9.74%-11.52%-3.81%-12.26%2.15%-18.88%
202010-9.32%-9.82%-10.31%-2.67%-8.48%-10.35%-10.28%
20201121.42%21.17%20.00%10.94%35.20%4.24%34.54%
2020126.00%7.15%7.81%3.84%11.14%-2.32%15.05%
* End-of-month balance includes the monthly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.11%0.93%$771,16170.61%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.23%1.05%$277,44829.39%
100.00%1.06%0.98%$1,048,609100.00%

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 Equity27.50%0.11%0.93%$507,82632.99%
TQQQProShares UltraPro QQQLeveraged Equity27.50%0.95%$801,38943.05%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.23%1.05%$333,38423.95%
100.00%1.03%0.99%$1,642,599100.00%

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
TQQQProShares UltraPro QQQLeveraged Equity52.00%0.95%$1,876,06474.23%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt48.00%2.23%1.05%$393,85525.77%
100.00%1.07%1.00%$2,269,919100.00%

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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)2.77%3.18%3.51%1.19%
Arithmetic Mean (annualized)38.82%45.66%51.20%15.24%
Geometric Mean (monthly)2.57%2.95%3.23%1.11%
Geometric Mean (annualized)35.62%41.73%46.40%14.13%
Volatility (monthly)6.41%6.97%7.59%4.07%
Volatility (annualized)22.21%24.14%26.29%14.09%
Downside Deviation (monthly)3.22%3.37%3.60%2.46%
Max. Drawdown-19.52%-21.32%-22.72%-19.63%
US Market Correlation0.630.640.561.00
Beta(*)1.011.111.071.00
Alpha (annualized)18.87%22.36%26.76%-0.00%
R240.87%42.01%33.02%100.00%
Sharpe Ratio1.471.561.580.97
Sortino Ratio2.913.213.311.59
Treynor Ratio (%)32.4333.9038.7013.71
Calmar Ratio1.892.192.510.71
Active Return21.49%27.61%32.27%N/A
Tracking Error17.08%18.45%21.54%N/A
Information Ratio1.261.501.50N/A
Skewness0.010.01-0.00-0.33
Excess Kurtosis0.710.390.061.11
Historical Value-at-Risk (5%)-8.06%-8.95%-9.08%-6.22%
Analytical Value-at-Risk (5%)-8.20%-8.58%-9.10%-5.50%
Conditional Value-at-Risk (5%)-11.06%-11.14%-11.64%-8.27%
Upside Capture Ratio (%)151.98176.96186.00100.00
Downside Capture Ratio (%)53.2257.6745.92100.00
Safe Withdrawal Rate38.49%42.76%45.86%16.34%
Perpetual Withdrawal Rate24.67%27.88%30.14%10.72%
Positive Periods88 out of 130 (67.69%)87 out of 130 (66.92%)89 out of 130 (68.46%)91 out of 130 (70.00%)
Gain/Loss Ratio1.431.561.460.89
* Vanguard 500 Index Investor 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%
7Jun 2011Jun 20111 monthSep 20113 months4 months-6.60%
8Sep 2014Sep 20141 monthOct 20141 month2 months-5.48%
9May 2010May 20101 monthJul 20102 months3 months-5.29%
10Oct 2012Oct 20121 monthFeb 20134 months5 months-4.24%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-21.32%
2Sep 2020Oct 20202 monthsDec 20202 months4 months-18.60%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-17.26%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-15.89%
5Aug 2016Nov 20164 monthsFeb 20173 months7 months-15.75%
6May 2013Jun 20132 monthsOct 20134 months6 months-12.27%
7Feb 2020Mar 20202 monthsApr 20201 month3 months-11.70%
8Sep 2012Dec 20124 monthsMar 20133 months7 months-8.13%
9Jun 2011Jun 20111 monthAug 20112 months3 months-6.90%
10May 2010May 20101 monthJul 20102 months3 months-5.03%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-22.72%
2Sep 2020Oct 20202 monthsDec 20202 months4 months-20.65%
3Oct 2016Nov 20162 monthsMar 20174 months6 months-18.19%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-15.74%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-15.14%
6Sep 2012Jan 20135 monthsApr 20133 months8 months-13.28%
7May 2013Jun 20132 monthsOct 20134 months6 months-12.96%
8Mar 2020Mar 20201 monthApr 20201 month2 months-7.99%
9Jun 2011Jun 20111 monthJul 20111 month2 months-7.21%
10Apr 2016Apr 20161 monthMay 20161 month2 months-6.12%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50031.52%44.23%118.49%-25.15%-60.44%0.841.340.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF15.79%39.42%109.14%-39.01%-49.74%0.541.04-0.46
TQQQProShares UltraPro QQQ52.68%51.82%139.73%-19.80%-49.12%1.071.950.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFTQQQPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.00-0.450.930.640.650.581.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.451.00-0.390.370.320.35-0.46
TQQQProShares UltraPro QQQ0.93-0.391.000.640.720.710.93

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$771,161$507,826
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$277,448$333,384$393,855
TQQQProShares UltraPro QQQ$801,389$1,876,064

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P50070.61%32.99%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF29.39%23.95%25.77%
TQQQProShares UltraPro QQQ43.05%74.23%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year35.28%92.05%-14.16%41.36%101.51%-10.90%46.57%135.49%-8.23%13.41%32.18%-7.11%
3 years29.49%50.27%13.28%34.09%53.65%16.62%37.24%60.57%18.26%13.45%22.80%4.96%
5 years28.12%47.37%17.86%32.74%52.09%22.86%35.98%55.36%26.35%12.80%17.17%6.58%
7 years28.84%35.25%22.09%33.60%42.07%26.07%36.89%49.26%27.89%13.31%16.74%9.47%
10 years33.25%34.99%30.63%38.81%41.77%35.31%43.06%46.79%39.21%13.10%15.00%10.37%