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
%
%
%
%
$ .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 (Jul 2006 - Dec 2021)

Portfolio Allocations

ProShares Ultra S&P500
Ticker Name Allocation
SSO ProShares Ultra S&P500 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ProShares Ultra S&P500$10,000$95,284 15.65% 30.92%70.46%-67.94%-81.35% 0.600.880.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
ProShares Ultra S&P50022.16%60.45%60.45%47.17%31.47%29.46%15.65%36.32%31.74%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2006 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 monthly 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
YearInflationProShares Ultra S&P500 ReturnProShares Ultra S&P500 BalanceProShares Ultra S&P500 (SSO)
2006-0.54%22.63%$12,26322.63%
20074.08%1.04%$12,3901.04%
20080.09%-67.94%$3,972-67.94%
20092.72%47.26%$5,85047.26%
20101.50%26.83%$7,42026.83%
20112.96%-2.92%$7,203-2.92%
20121.74%31.04%$9,43931.04%
20131.50%70.46%$16,09070.46%
20140.76%25.53%$20,19825.53%
20150.73%-1.19%$19,956-1.19%
20162.07%21.55%$24,25621.55%
20172.11%44.35%$35,01444.35%
20181.91%-14.62%$29,895-14.62%
20192.29%63.45%$48,86563.45%
20201.36%21.53%$59,38521.53%
20217.04%60.45%$95,28460.45%
Annual return for 2006 is from 07/01/2006 to 12/31/2006
Monthly returns for the configured portfolios
YearMonthProShares Ultra S&P500 ReturnProShares Ultra S&P500 BalanceProShares Ultra S&P500 (SSO)
200670.48%$10,0480.48%
200684.25%$10,4754.25%
200694.69%$10,9674.69%
2006105.52%$11,5725.52%
2006113.35%$11,9613.35%
2006122.52%$12,2632.52%
200712.12%$12,5232.12%
20072-4.57%$11,950-4.57%
200731.90%$12,1771.90%
200748.57%$13,2208.57%
200756.17%$14,0356.17%
20076-3.77%$13,506-3.77%
20077-7.04%$12,556-7.04%
200781.10%$12,6951.10%
200797.78%$13,6827.78%
2007102.11%$13,9702.11%
200711-8.50%$12,782-8.50%
200712-3.07%$12,390-3.07%
20081-12.86%$10,796-12.86%
20082-5.42%$10,211-5.42%
20083-3.07%$9,898-3.07%
200849.35%$10,8239.35%
200852.36%$11,0782.36%
20086-16.28%$9,275-16.28%
20087-2.55%$9,038-2.55%
200882.25%$9,2422.25%
20089-19.63%$7,428-19.63%
200810-34.93%$4,833-34.93%
200811-16.98%$4,013-16.98%
200812-1.00%$3,972-1.00%
20091-16.48%$3,318-16.48%
20092-21.10%$2,618-21.10%
2009314.58%$2,99914.58%
2009420.32%$3,60920.32%
2009511.20%$4,01311.20%
20096-0.64%$3,987-0.64%
2009714.46%$4,56414.46%
200987.39%$4,9017.39%
200997.10%$5,2497.10%
200910-4.28%$5,024-4.28%
20091112.33%$5,64412.33%
2009123.66%$5,8503.66%
20101-7.51%$5,411-7.51%
201026.11%$5,7416.11%
2010312.38%$6,45212.38%
201042.81%$6,6332.81%
20105-16.09%$5,566-16.09%
20106-10.92%$4,958-10.92%
2010714.06%$5,65514.06%
20108-9.25%$5,132-9.25%
2010918.44%$6,07818.44%
2010107.57%$6,5387.57%
201011-0.40%$6,512-0.40%
20101213.94%$7,42013.94%
201114.33%$7,7414.33%
201126.94%$8,2786.94%
20113-0.39%$8,246-0.39%
201145.74%$8,7205.74%
20115-2.38%$8,512-2.38%
20116-3.74%$8,194-3.74%
20117-4.22%$7,849-4.22%
20118-12.81%$6,843-12.81%
20119-13.86%$5,895-13.86%
20111021.81%$7,18021.81%
201111-1.56%$7,068-1.56%
2011121.91%$7,2031.91%
201218.97%$7,8498.97%
201228.45%$8,5128.45%
201236.71%$9,0836.71%
20124-1.61%$8,937-1.61%
20125-11.37%$7,921-11.37%
201267.27%$8,4967.27%
201272.53%$8,7112.53%
201284.61%$9,1134.61%
201294.87%$9,5574.87%
201210-4.15%$9,160-4.15%
2012110.94%$9,2460.94%
2012122.08%$9,4392.08%
2013110.27%$10,40810.27%
201322.16%$10,6342.16%
201337.39%$11,4197.39%
201343.86%$11,8603.86%
201354.55%$12,4004.55%
20136-3.11%$12,014-3.11%
2013710.41%$13,26510.41%
20138-6.08%$12,459-6.08%
201396.48%$13,2666.48%
2013109.07%$14,4709.07%
2013115.77%$15,3055.77%
2013125.13%$16,0905.13%
20141-7.23%$14,926-7.23%
201429.06%$16,2789.06%
201431.52%$16,5261.52%
201441.23%$16,7301.23%
201454.41%$17,4684.41%
201464.10%$18,1834.10%
20147-2.88%$17,660-2.88%
201487.87%$19,0507.87%
20149-2.93%$18,491-2.93%
2014104.38%$19,3004.38%
2014115.54%$20,3695.54%
201412-0.84%$20,198-0.84%
20151-6.15%$18,956-6.15%
2015211.40%$21,11711.40%
20153-3.43%$20,392-3.43%
201541.84%$20,7681.84%
201552.31%$21,2472.31%
20156-4.09%$20,378-4.09%
201574.22%$21,2374.22%
20158-12.48%$18,587-12.48%
20159-5.54%$17,558-5.54%
20151017.45%$20,62117.45%
2015110.60%$20,7440.60%
201512-3.80%$19,956-3.80%
20161-10.37%$17,888-10.37%
20162-0.62%$17,777-0.62%
2016313.98%$20,26213.98%
201640.60%$20,3830.60%
201653.18%$21,0313.18%
201660.16%$21,0650.16%
201677.40%$22,6237.40%
201680.10%$22,6450.10%
20169-0.28%$22,582-0.28%
201610-3.68%$21,751-3.68%
2016117.23%$23,3237.23%
2016124.00%$24,2564.00%
201713.47%$25,0973.47%
201727.83%$27,0637.83%
20173-0.02%$27,056-0.02%
201741.85%$27,5571.85%
201752.55%$28,2592.55%
201761.04%$28,5531.04%
201773.95%$29,6793.95%
201780.31%$29,7720.31%
201793.82%$30,9093.82%
2017104.53%$32,3084.53%
2017115.87%$34,2065.87%
2017122.36%$35,0142.36%
2018111.17%$38,92411.17%
20182-8.07%$35,782-8.07%
20183-5.54%$33,799-5.54%
201840.20%$33,8660.20%
201854.41%$35,3594.41%
201861.02%$35,7191.02%
201877.09%$38,2517.09%
201886.15%$40,6046.15%
201890.89%$40,9670.89%
201810-14.01%$35,226-14.01%
2018113.15%$36,3343.15%
201812-17.72%$29,895-17.72%
2019115.73%$34,59715.73%
201926.21%$36,7456.21%
201933.45%$38,0123.45%
201947.72%$40,9457.72%
20195-12.77%$35,714-12.77%
2019614.09%$40,74814.09%
201972.52%$41,7732.52%
20198-4.04%$40,085-4.04%
201993.62%$41,5373.62%
2019104.00%$43,1994.00%
2019117.07%$46,2527.07%
2019125.65%$48,8655.65%
20201-0.44%$48,651-0.44%
20202-15.46%$41,129-15.46%
20203-29.80%$28,872-29.80%
2020425.18%$36,14325.18%
202059.16%$39,4529.16%
202062.95%$40,6172.95%
2020711.69%$45,36511.69%
2020814.29%$51,84614.29%
20209-7.97%$47,716-7.97%
202010-5.38%$45,151-5.38%
20201122.51%$55,31522.51%
2020127.36%$59,3857.36%
20211-2.30%$58,020-2.30%
202125.29%$61,0885.29%
202138.95%$66,5578.95%
2021410.61%$73,61510.61%
202151.09%$74,4151.09%
202164.37%$77,6654.37%
202174.67%$81,2894.67%
202185.92%$86,1055.92%
20219-9.41%$78,001-9.41%
20211014.28%$89,13914.28%
202111-1.72%$87,609-1.72%
2021128.76%$95,2848.76%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryProShares Ultra S&P500
Large-cap Value0.00%
Large-cap Growth26.43%
Mid-cap Value59.59%
Mid-cap Growth0.00%
Small-cap Value8.24%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets5.73%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared76.04%
Style analysis is based on monthly returns from July 2006 to December 2021 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 ProShares Ultra S&P500

Holdings Based Style Analysis for ProShares Ultra S&P500
TickerNameCategoryWeightTTM YieldExpense RatioContribution
NetGrossReturnRisk
SSOProShares Ultra S&P500Leveraged Equity100.00%0.18%0.89%0.89%$85,284100.00%

Asset Allocation

Fund fundamentals data as of 01/19/2022. (c) 2022 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
MetricProShares Ultra S&P500
Arithmetic Mean (monthly)1.63%
Arithmetic Mean (annualized)21.46%
Geometric Mean (monthly)1.22%
Geometric Mean (annualized)15.65%
Standard Deviation (monthly)8.93%
Standard Deviation (annualized)30.92%
Downside Deviation (monthly)6.11%
Max. Drawdown-81.35%
US Market Correlation0.99
Beta(*)1.97
Alpha (annualized)-3.52%
R299.00%
Sharpe Ratio0.60
Sortino Ratio0.88
Treynor Ratio (%)9.47
Calmar Ratio1.15
Active Return4.63%
Tracking Error15.47%
Information Ratio0.30
Skewness-0.73
Excess Kurtosis1.93
Historical Value-at-Risk (5%)-15.10%
Analytical Value-at-Risk (5%)-13.05%
Conditional Value-at-Risk (5%)-20.45%
Upside Capture Ratio (%)207.54
Downside Capture Ratio (%)196.39
Safe Withdrawal Rate7.14%
Perpetual Withdrawal Rate11.40%
Positive Periods122 out of 186 (65.59%)
Gain/Loss Ratio0.85
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProShares Ultra S&P500
Subprime CrisisNov 2007Mar 2009-81.26%
COVID-19 StartJan 2020Mar 2020-40.91%

Drawdowns for ProShares Ultra S&P500

Drawdowns for ProShares Ultra S&P500 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsOct 20134 years 8 months6 years 5 months-81.35%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-40.91%
3Oct 2018Dec 20183 monthsJul 20197 months10 months-27.03%
4Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.36%
5Feb 2018Mar 20182 monthsAug 20185 months7 months-13.17%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-12.91%
7Sep 2021Sep 20211 monthOct 20211 month2 months-9.41%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-7.23%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-6.94%
10Feb 2007Feb 20071 monthApr 20072 months3 months-4.57%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SSOProShares Ultra S&P50015.65%30.92%70.46%-67.94%-81.35%0.600.880.99

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
ProShares Ultra S&P50022.16%60.45%60.45%47.17%31.47%29.46%0.89%0.89%
Trailing returns as of last calendar month ending December 2021

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year20.62%130.52%-74.37%
3 years16.79%48.15%-28.40%
5 years18.65%44.13%-11.68%
7 years19.20%31.91%2.51%
10 years18.47%30.24%6.51%
15 years14.58%15.08%13.97%