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 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 10
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Portfolio Analysis Results (Jan 2008 - Sep 2021)

Portfolio Allocations

3x
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 54.00%
IYR iShares US Real Estate ETF 54.00%
EMB iShares JP Morgan USD Em Mkts Bd ETF 54.00%
HYG iShares iBoxx $ High Yield Corp Bd ETF 54.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 54.00%
GLD SPDR Gold Shares 30.00%
CASHX Cash -200.00%
Save portfolio »
5x
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 90.00%
IYR iShares US Real Estate ETF 90.00%
EMB iShares JP Morgan USD Em Mkts Bd ETF 90.00%
HYG iShares iBoxx $ High Yield Corp Bd ETF 90.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 90.00%
GLD SPDR Gold Shares 50.00%
CASHX Cash -400.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
3x$10,000$86,951 17.03% 33.17%68.75%-54.14%-73.09% 0.640.940.82
5x$10,000$92,660 17.58% 55.31%125.69%-85.92%-94.70% 0.640.940.82
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
3x-0.63%15.43%38.16%25.06%18.78%22.45%17.03%33.67%27.36%
5x-1.79%24.97%66.34%32.15%25.03%33.92%17.58%56.15%45.61%
Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on monthly returns from January to September
  • 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
Annual returns for the configured portfolios
YearInflation3x5xSPDR S&P 500 ETF Trust (SPY)iShares US Real Estate ETF (IYR)iShares JP Morgan USD Em Mkts Bd ETF (EMB)iShares iBoxx $ High Yield Corp Bd ETF (HYG)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)SPDR Gold Shares (GLD)Cash (CASHX)
ReturnBalanceReturnBalance
20080.09%-54.14%$4,586-85.92%$1,408-36.81%-39.88%-2.14%-17.58%2.40%4.92%1.53%
20092.72%68.75%$7,73999.34%$2,80726.36%30.46%15.38%28.57%8.46%24.03%0.16%
20101.50%53.43%$11,87495.31%$5,48215.06%26.58%10.83%11.89%9.33%29.27%0.14%
20112.96%18.48%$14,06824.83%$6,8431.89%5.52%7.64%6.77%9.73%9.57%0.07%
20121.74%45.69%$20,49782.45%$12,48415.99%18.21%16.92%11.66%10.58%6.60%0.08%
20131.50%2.84%$21,0801.95%$12,72832.31%1.16%-7.79%5.75%-2.00%-28.33%0.05%
20140.76%30.54%$27,51752.84%$19,45413.46%26.69%6.05%1.90%8.21%-2.19%0.03%
20150.73%-4.83%$26,188-9.57%$17,5921.25%1.63%1.04%-5.03%-1.25%-10.67%0.05%
20162.07%29.30%$33,86049.22%$26,25012.00%7.03%9.26%13.41%6.21%8.03%0.30%
20172.11%33.94%$45,35360.75%$42,19721.70%9.34%10.28%6.07%7.06%12.81%0.88%
20181.91%-14.20%$38,911-24.69%$31,779-4.56%-4.30%-5.47%-2.03%-3.79%-1.94%1.90%
20192.29%66.94%$64,957125.69%$71,72031.22%28.19%15.48%14.09%17.37%17.86%2.13%
20201.36%15.97%$75,3283.38%$74,14818.37%-5.27%5.42%4.48%10.97%24.81%0.44%
20215.31%15.43%$86,95124.97%$92,66015.91%21.06%-2.62%2.95%-2.21%-7.93%0.03%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonth3x5xSPDR S&P 500 ETF Trust (SPY)iShares US Real Estate ETF (IYR)iShares JP Morgan USD Em Mkts Bd ETF (EMB)iShares iBoxx $ High Yield Corp Bd ETF (HYG)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)SPDR Gold Shares (GLD)Cash (CASHX)
ReturnBalanceReturnBalance
200810.40%$10,0400.49%$10,049-6.05%0.11%0.95%-1.83%2.57%10.84%0.28%
20082-4.03%$9,636-6.82%$9,364-2.58%-4.20%-0.41%-1.87%-0.71%5.23%0.16%
200830.06%$9,642-0.01%$9,364-0.90%4.46%0.09%0.95%-0.60%-6.00%0.15%
200847.37%$10,35212.20%$10,5064.77%5.81%1.16%3.39%1.25%-4.16%0.11%
20085-0.12%$10,340-0.28%$10,4771.51%0.81%0.10%-0.52%-2.21%0.92%0.12%
20086-13.46%$8,948-22.54%$8,116-8.35%-11.57%-1.98%-3.67%-1.29%4.52%0.15%
200871.06%$9,0431.66%$8,250-0.90%2.47%0.79%0.59%0.39%-1.44%0.16%
20088-1.27%$8,928-2.20%$8,0691.55%1.81%0.72%-0.89%0.15%-9.29%0.14%
20089-20.13%$7,131-33.65%$5,354-9.44%-1.07%-7.15%-10.66%-10.73%4.11%0.14%
200810-48.55%$3,669-80.96%$1,019-16.52%-31.32%-19.39%-11.48%-1.95%-16.14%0.08%
200811-8.57%$3,354-14.32%$873-6.96%-21.55%9.54%-7.10%3.35%12.57%0.04%
20081236.72%$4,58661.20%$1,4080.98%14.41%17.73%16.79%13.80%7.73%0.00%
20091-16.61%$3,824-27.70%$1,018-8.21%-15.82%-6.96%-1.01%-1.80%5.54%0.01%
20092-27.15%$2,786-45.27%$557-10.74%-19.78%-5.59%-9.70%-5.20%1.45%0.02%
200939.66%$3,05516.09%$6478.35%3.52%5.11%1.93%0.47%-2.54%0.02%
2009433.47%$4,07755.77%$1,0089.93%29.62%7.73%13.84%2.78%-3.33%0.02%
2009511.79%$4,55819.64%$1,2055.85%2.27%2.90%2.86%2.32%10.23%0.01%
200960.89%$4,5991.48%$1,223-0.07%-2.51%0.95%3.33%2.89%-5.22%0.01%
2009718.34%$5,44230.56%$1,5977.46%10.58%3.11%6.92%4.63%2.38%0.02%
2009810.21%$5,99817.01%$1,8693.69%13.19%2.43%-1.70%1.31%0.05%0.02%
2009913.82%$6,82723.02%$2,2993.55%6.06%5.21%5.81%1.76%5.84%0.01%
200910-3.46%$6,590-5.78%$2,166-1.92%-4.97%-0.53%-0.52%-0.49%3.72%0.01%
20091113.37%$7,47122.28%$2,6496.16%7.08%0.80%1.68%1.95%12.79%0.00%
2009123.58%$7,7395.97%$2,8071.91%6.89%0.24%3.68%-2.07%-7.20%0.01%
20101-5.89%$7,284-9.81%$2,531-3.63%-5.42%-0.54%-1.83%1.25%-1.26%0.01%
201027.60%$7,83712.67%$2,8523.12%5.46%1.33%1.87%0.51%3.27%0.01%
2010311.31%$8,72418.84%$3,3896.09%9.75%2.61%2.13%0.65%-0.44%0.01%
201048.37%$9,45413.94%$3,8621.55%6.39%0.51%1.93%1.91%5.88%0.01%
20105-10.69%$8,444-17.82%$3,174-7.95%-5.68%-1.82%-4.68%-1.31%3.05%0.01%
20106-0.96%$8,362-1.61%$3,122-5.17%-4.65%2.39%1.11%3.28%2.36%0.01%
2010713.32%$9,47622.19%$3,8156.83%9.40%4.05%5.15%2.11%-5.09%0.02%
201080.96%$9,5671.59%$3,876-4.50%-1.30%2.59%-0.99%2.86%5.71%0.01%
2010911.84%$10,70019.73%$4,6418.96%4.65%1.61%3.65%0.46%4.78%0.01%
2010107.17%$11,46711.93%$5,1953.82%3.93%1.94%1.84%-0.26%3.68%0.01%
201011-4.19%$10,987-6.99%$4,8310.00%-1.58%-4.43%-1.27%-1.62%2.11%0.01%
2010128.08%$11,87413.46%$5,4826.68%4.57%0.37%2.79%-0.75%2.44%0.01%
201111.61%$12,0652.67%$5,6282.33%3.57%-1.04%1.65%0.04%-6.38%0.01%
201127.41%$12,96012.35%$6,3233.47%4.52%-0.06%1.43%1.08%6.00%0.01%
201130.44%$13,0160.72%$6,3680.01%-1.10%1.55%0.04%-0.54%1.60%0.01%
201149.89%$14,30316.47%$7,4172.90%4.66%1.71%1.60%2.50%8.94%0.01%
201150.94%$14,4371.56%$7,533-1.12%1.01%1.45%0.13%1.27%-1.79%0.00%
20116-3.73%$13,898-6.22%$7,065-1.69%-3.11%0.62%-0.57%-0.80%-2.43%0.01%
201174.12%$14,4726.87%$7,550-2.00%0.22%1.97%0.35%2.43%8.42%0.00%
20118-3.19%$14,011-5.31%$7,149-5.50%-5.31%0.51%-2.73%0.34%12.27%0.01%
20119-18.10%$11,475-30.16%$4,992-6.94%-10.68%-4.79%-5.30%0.35%-11.06%0.00%
20111023.50%$14,17239.17%$6,94810.91%13.19%5.16%8.50%2.51%5.87%0.00%
201111-5.41%$13,406-9.01%$6,322-0.41%-3.67%-1.29%-2.42%-3.16%1.67%0.00%
2011124.94%$14,0688.24%$6,8431.04%4.09%1.91%4.55%3.49%-10.66%0.00%
2012112.05%$15,76320.08%$8,2164.64%6.60%1.14%1.46%2.14%11.40%0.00%
201224.42%$16,4607.36%$8,8224.34%-0.69%2.47%2.10%1.63%-2.96%0.01%
201232.40%$16,8554.00%$9,1743.22%4.48%-0.12%-0.95%-1.42%-1.32%0.01%
201243.14%$17,3845.23%$9,654-0.67%2.58%1.79%1.14%1.08%-0.15%0.01%
20125-10.26%$15,601-17.11%$8,002-6.01%-4.21%-2.77%-3.22%0.76%-6.34%0.01%
2012610.96%$17,31118.27%$9,4644.05%5.36%4.07%4.66%0.87%2.35%0.01%
201276.58%$18,45110.97%$10,5021.18%2.33%3.74%1.02%3.48%0.84%0.01%
201284.29%$19,2427.14%$11,2532.51%0.31%1.23%1.24%-0.05%4.94%0.01%
201294.00%$20,0116.66%$12,0022.54%-1.11%1.78%0.52%1.10%4.67%0.01%
201210-0.68%$19,875-1.14%$11,864-1.82%-0.59%0.62%0.84%1.35%-2.94%0.01%
2012110.85%$20,0431.40%$12,0310.57%-0.58%1.24%1.05%-0.42%-0.47%0.01%
2012122.26%$20,4973.77%$12,4840.90%2.89%0.71%1.40%-0.33%-2.43%0.01%
201312.72%$21,0544.53%$13,0505.12%4.02%-2.85%0.34%-1.30%-0.51%0.00%
201321.06%$21,2781.76%$13,2801.28%1.26%0.26%0.93%1.08%-5.09%0.01%
201333.80%$22,0876.33%$14,1213.80%2.87%-0.94%0.87%-0.05%0.95%0.01%
201346.09%$23,43310.15%$15,5551.92%5.73%3.57%2.12%2.17%-7.56%0.01%
20135-9.89%$21,115-16.49%$12,9902.36%-6.49%-4.93%-2.58%-3.22%-6.20%0.00%
20136-10.41%$18,916-17.36%$10,735-1.34%-2.40%-4.44%-1.69%-3.27%-11.06%0.00%
201377.36%$20,30912.27%$12,0525.17%0.24%0.15%2.85%1.11%7.43%0.00%
20138-6.13%$19,065-10.21%$10,821-3.00%-6.53%-2.43%-1.27%-1.00%5.20%0.00%
201394.67%$19,9547.77%$11,6633.17%3.46%3.15%0.78%0.74%-4.78%0.00%
2013108.11%$21,57313.52%$13,2404.63%3.73%2.53%2.52%1.81%-0.34%0.00%
201311-3.47%$20,823-5.79%$12,4732.96%-4.64%-2.02%0.47%-0.14%-5.51%0.00%
2013121.23%$21,0802.05%$12,7282.59%0.90%0.29%0.41%0.22%-3.79%0.01%
201411.76%$21,4512.93%$13,101-3.52%3.44%-0.81%0.40%1.88%3.42%0.01%
2014210.63%$23,73017.71%$15,4214.55%4.75%3.45%2.31%1.14%6.27%0.00%
201430.16%$23,7670.26%$15,4610.83%0.14%1.19%-0.08%-0.03%-3.14%0.00%
201443.67%$24,6396.11%$16,4050.70%3.03%1.06%0.42%1.33%0.49%0.00%
201455.18%$25,9168.64%$17,8232.32%2.80%3.47%1.21%1.51%-3.05%0.00%
201463.91%$26,9296.51%$18,9832.06%1.01%0.04%0.61%0.01%6.32%0.00%
20147-3.50%$25,986-5.84%$17,875-1.34%-0.11%-0.25%-2.43%-0.32%-3.63%0.00%
201487.17%$27,84911.95%$20,0103.95%3.47%1.27%2.38%2.00%0.38%0.00%
20149-8.93%$25,363-14.88%$17,033-1.38%-5.89%-2.16%-1.98%-1.68%-6.18%0.00%
2014107.17%$27,18011.94%$19,0672.36%8.35%1.97%1.06%1.23%-3.05%0.00%
2014112.49%$27,8574.15%$19,8582.75%2.72%-0.41%-1.08%0.91%-0.49%0.00%
201412-1.22%$27,517-2.03%$19,454-0.26%0.81%-2.72%-0.80%-0.02%1.31%0.00%
201517.50%$29,58112.50%$21,885-2.96%5.71%1.87%0.70%3.75%8.69%0.00%
201520.81%$29,8211.35%$22,1815.62%-2.60%0.96%2.23%-1.42%-5.91%0.00%
20153-1.30%$29,433-2.17%$21,699-1.57%1.09%0.02%-0.95%0.20%-2.15%0.00%
20154-1.63%$28,952-2.72%$21,1090.98%-4.82%1.23%0.87%-1.19%-0.17%0.00%
201550.10%$28,9820.17%$21,1441.29%-0.33%-0.31%0.35%-1.12%0.56%0.00%
20156-6.94%$26,971-11.56%$18,699-2.03%-4.39%-1.81%-1.89%-1.88%-1.52%0.00%
201572.16%$27,5543.60%$19,3722.26%4.94%0.15%-0.49%0.83%-6.62%0.00%
20158-7.20%$25,569-12.01%$17,046-6.10%-5.80%-1.13%-1.52%-0.83%3.71%0.01%
20159-2.61%$24,901-4.36%$16,302-2.54%1.60%-1.07%-2.99%1.19%-1.80%0.01%
20151012.01%$27,89120.01%$19,5658.51%6.23%2.43%3.23%0.57%2.28%0.00%
201511-3.22%$26,994-5.36%$18,5160.37%-0.20%0.31%-2.50%-0.15%-6.75%0.01%
201512-2.99%$26,188-4.99%$17,592-1.72%1.10%-1.52%-2.00%-1.08%-0.45%0.02%
20161-4.08%$25,118-6.82%$16,393-4.98%-4.10%0.04%-1.60%0.12%5.41%0.01%
201625.10%$26,4008.49%$17,784-0.08%-0.75%1.76%1.50%1.05%10.93%0.03%
2016313.98%$30,09023.28%$21,9236.72%10.26%3.31%2.54%3.62%-0.84%0.03%
201644.17%$31,3456.94%$23,4450.39%-1.67%1.55%3.12%1.55%5.11%0.02%
20165-0.07%$31,324-0.13%$23,4151.70%2.21%-0.22%0.17%-0.51%-6.14%0.02%
2016611.08%$34,79618.45%$27,7370.35%6.24%4.17%1.79%3.09%8.97%0.03%
201676.64%$37,10511.05%$30,8013.65%3.65%1.37%1.31%1.29%1.98%0.02%
20168-0.89%$36,776-1.50%$30,3410.12%-3.35%1.33%1.97%0.18%-3.26%0.02%
20169-0.01%$36,774-0.03%$30,3330.01%-1.47%0.41%1.08%-0.32%0.69%0.03%
201610-6.83%$34,260-11.41%$26,872-1.73%-4.96%-1.73%-0.98%-1.53%-2.94%0.02%
201611-5.86%$32,251-9.79%$24,2413.68%-2.34%-4.31%0.02%-3.17%-8.36%0.03%
2016124.99%$33,8608.29%$26,2502.03%4.25%1.49%1.84%0.84%-1.91%0.04%
201714.09%$35,2446.78%$28,0311.79%0.13%1.73%0.91%0.15%5.42%0.04%
201727.80%$37,99212.97%$31,6653.93%4.37%1.68%1.53%1.32%3.18%0.04%
20173-0.89%$37,653-1.52%$31,1850.13%-1.45%0.51%-0.14%-0.29%-0.43%0.04%
201743.24%$38,8725.35%$32,8540.99%0.56%1.71%0.82%1.19%1.73%0.06%
201752.22%$39,7353.66%$34,0551.41%-0.11%0.76%1.03%1.33%-0.12%0.07%
201760.61%$39,9750.96%$34,3810.64%2.09%-0.72%0.13%0.48%-2.16%0.08%
201773.84%$41,5106.34%$36,5622.06%1.12%1.18%1.02%0.77%2.31%0.08%
201783.08%$42,7885.07%$38,4160.29%0.67%1.99%0.07%0.68%4.20%0.09%
20179-0.32%$42,653-0.58%$38,1922.01%-0.79%-0.19%0.60%-0.05%-3.37%0.08%
2017101.18%$43,1571.91%$38,9232.36%0.05%0.24%0.09%0.19%-0.75%0.09%
2017112.54%$44,2544.17%$40,5483.06%2.57%-0.27%-0.37%-0.12%0.36%0.09%
2017122.48%$45,3534.07%$42,1971.21%-0.10%1.24%0.25%1.22%2.11%0.10%
201811.17%$45,8831.87%$42,9885.64%-3.02%-0.64%0.05%-1.23%3.23%0.11%
20182-9.28%$41,628-15.54%$36,308-3.64%-6.66%-2.18%-0.87%-2.24%-2.08%0.12%
201830.95%$42,0241.50%$36,852-2.74%3.78%0.55%-0.23%0.56%0.63%0.14%
20184-1.86%$41,241-3.20%$35,6730.52%0.23%-2.05%0.48%-1.57%-0.95%0.14%
201852.34%$42,2063.80%$37,0272.43%3.37%-0.81%0.05%0.52%-1.20%0.15%
201860.09%$42,2420.04%$37,0400.58%4.06%-1.49%0.10%-0.49%-3.61%0.16%
201874.48%$44,1357.36%$39,7683.70%0.83%2.57%1.68%1.34%-2.24%0.16%
201881.17%$44,6531.85%$40,5023.19%2.38%-2.32%0.71%0.02%-2.14%0.17%
20189-0.45%$44,451-0.87%$40,1490.59%-2.84%2.03%0.53%-0.14%-0.66%0.17%
201810-8.28%$40,771-13.91%$34,562-6.91%-2.39%-2.51%-1.98%-2.05%2.12%0.18%
2018112.58%$41,8244.17%$36,0051.85%4.70%-0.49%-0.40%-0.36%0.34%0.19%
201812-6.97%$38,911-11.74%$31,779-8.79%-7.80%1.90%-2.09%1.86%4.94%0.19%
2019118.06%$45,93729.96%$41,3008.01%11.48%4.78%4.94%3.37%2.89%0.20%
201922.33%$47,0063.75%$42,8483.24%0.73%0.40%1.21%-0.20%-0.61%0.20%
201935.44%$49,5638.93%$46,6751.81%4.17%1.51%1.29%2.93%-1.60%0.20%
201942.45%$50,7783.96%$48,5224.09%-0.05%0.18%0.99%0.44%-0.66%0.20%
20195-3.28%$49,112-5.60%$45,804-6.38%-0.15%0.49%-1.93%1.65%1.76%0.20%
2019611.82%$54,91819.57%$54,7696.96%1.27%3.53%3.15%3.25%8.00%0.19%
201972.37%$56,2213.84%$56,8721.51%2.38%0.73%0.16%0.25%0.01%0.17%
201986.29%$59,75810.37%$62,769-1.67%3.43%1.55%0.69%3.88%7.91%0.17%
20199-0.03%$59,737-0.17%$62,6651.95%1.89%-1.10%0.44%-0.76%-3.39%0.16%
2019102.62%$61,3004.26%$65,3342.21%0.77%0.58%-0.01%0.44%2.56%0.15%
2019110.18%$61,4110.22%$65,4763.62%-1.12%-0.95%0.57%0.47%-3.21%0.13%
2019125.77%$64,9579.54%$71,7202.90%0.85%2.95%1.91%0.53%3.66%0.13%
202013.68%$67,3456.04%$76,054-0.04%1.60%1.24%-0.47%2.45%4.50%0.13%
20202-9.60%$60,882-16.08%$63,824-7.92%-7.58%-1.25%-1.29%1.09%-0.64%0.13%
20203-34.54%$39,853-57.64%$27,038-12.46%-19.67%-14.97%-10.03%-6.31%-0.22%0.10%
2020421.69%$48,49736.14%$36,81012.70%9.31%4.40%4.90%4.85%7.26%0.01%
2020510.62%$53,64717.69%$43,3244.76%1.80%6.27%2.95%2.46%2.59%0.01%
202065.53%$56,6129.20%$47,3111.78%2.46%2.97%-0.59%2.13%2.74%0.01%
2020715.11%$65,16325.17%$59,2175.89%4.12%3.86%5.06%3.10%10.79%0.01%
202083.20%$67,2495.33%$62,3736.98%0.23%0.72%-0.02%-1.78%-0.32%0.01%
20209-6.41%$62,937-10.69%$55,704-3.74%-2.32%-2.08%-0.93%-0.44%-4.17%0.01%
202010-3.40%$60,797-5.67%$52,544-2.49%-2.92%-0.46%0.40%-0.51%-0.52%0.01%
20201114.99%$69,91224.98%$65,67110.88%8.58%4.22%3.35%3.77%-5.41%0.01%
2020127.75%$75,32812.91%$74,1483.71%2.51%2.15%1.96%0.15%7.01%0.01%
20211-3.92%$72,376-6.54%$69,301-1.02%-0.43%-1.78%-0.38%-1.83%-3.22%0.01%
20212-2.08%$70,874-3.46%$66,9012.78%2.43%-3.05%-0.25%-2.26%-6.26%0.01%
202134.68%$74,1907.80%$72,1174.54%5.77%-0.73%1.21%-1.48%-1.14%0.00%
2021410.38%$81,89317.30%$84,5955.29%7.89%2.40%0.64%1.04%3.56%0.00%
202154.08%$85,2336.80%$90,3450.66%1.01%0.96%0.04%0.62%7.68%0.00%
202162.66%$87,4984.43%$94,3462.25%2.25%0.86%1.32%2.21%-7.15%0.00%
202175.72%$92,5079.54%$103,3462.44%4.69%0.56%0.10%1.42%2.53%0.00%
202183.25%$95,5145.41%$108,9402.98%1.94%0.90%0.61%-0.34%-0.08%0.01%
20219-8.96%$86,951-14.94%$92,660-4.66%-5.62%-2.64%-0.37%-1.51%-3.22%0.00%
Portfolio return and risk metrics
Metric3x5x
Arithmetic Mean (monthly)1.82%2.99%
Arithmetic Mean (annualized)24.10%42.48%
Geometric Mean (monthly)1.32%1.36%
Geometric Mean (annualized)17.03%17.58%
Volatility (monthly)9.58%15.97%
Volatility (annualized)33.17%55.31%
Downside Deviation (monthly)6.49%10.83%
Max. Drawdown-73.09%-94.70%
US Market Correlation0.820.82
Beta(*)1.682.80
Alpha (annualized)2.74%4.18%
R267.83%67.86%
Sharpe Ratio0.640.64
Sortino Ratio0.940.94
Treynor Ratio (%)12.6212.61
Calmar Ratio0.610.50
Active Return6.57%7.11%
Tracking Error21.83%42.92%
Information Ratio0.300.17
Skewness-0.87-0.87
Excess Kurtosis6.686.68
Historical Value-at-Risk (5%)-10.38%-17.31%
Analytical Value-at-Risk (5%)-13.89%-23.19%
Conditional Value-at-Risk (5%)-22.18%-37.01%
Upside Capture Ratio (%)171.12314.27
Downside Capture Ratio (%)150.21258.73
Safe Withdrawal Rate12.04%5.37%
Perpetual Withdrawal Rate13.57%13.99%
Positive Periods109 out of 165 (66.06%)108 out of 165 (65.45%)
Gain/Loss Ratio0.900.92
* 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 PeriodStartEnd3x5x
COVID-19 StartJan 2020Mar 2020-40.82%-64.45%

Drawdowns for 3x

Drawdowns for 3x (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Feb 200910 monthsSep 20101 year 7 months2 years 5 months-73.09%
2Feb 2020Mar 20202 monthsNov 20208 months10 months-40.82%
3Aug 2011Sep 20112 monthsJan 20124 months6 months-20.71%
4May 2013Jun 20132 monthsFeb 20148 months10 months-19.27%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-16.50%
6Feb 2018Dec 201811 monthsJan 20191 month1 year-15.20%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-13.08%
8May 2012May 20121 monthJul 20122 months3 months-10.26%
9Sep 2021Sep 20211 month-8.96%
10Sep 2014Sep 20141 monthNov 20142 months3 months-8.93%
Worst 10 drawdowns included above

Drawdowns for 5x

Drawdowns for 5x (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Feb 200910 monthsAug 20123 years 6 months4 years 4 months-94.70%
2Feb 2020Mar 20202 monthsApr 20211 year 1 month1 year 3 months-64.45%
3May 2013Jun 20132 monthsApr 201410 months1 year-30.98%
4Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-26.50%
5Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-26.08%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-21.30%
7Sep 2021Sep 20211 month-14.94%
8Sep 2014Sep 20141 monthJan 20154 months5 months-14.88%
9Feb 2008Mar 20082 monthsApr 20081 month3 months-6.82%
10Jul 2014Jul 20141 monthAug 20141 month2 months-5.84%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust10.33%15.65%32.31%-36.81%-48.23%0.670.991.00
IYRiShares US Real Estate ETF7.36%22.18%30.46%-39.88%-62.01%0.410.570.77
EMBiShares JP Morgan USD Em Mkts Bd ETF5.55%11.79%16.92%-7.79%-25.53%0.470.660.56
HYGiShares iBoxx $ High Yield Corp Bd ETF5.52%10.98%28.57%-17.58%-29.81%0.490.770.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.72%7.73%17.37%-3.79%-15.11%0.691.120.35
GLDSPDR Gold Shares5.14%17.74%29.27%-28.33%-42.91%0.340.530.05
CASHXCash0.56%0.22%2.13%0.03%0.00%N/AN/A-0.17

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIYREMBHYGLQDGLDCASHX3x5x
SPYSPDR S&P 500 ETF Trust1.000.760.550.730.350.05-0.170.820.82
IYRiShares US Real Estate ETF0.761.000.640.770.480.10-0.090.890.89
EMBiShares JP Morgan USD Em Mkts Bd ETF0.550.641.000.750.750.37-0.100.850.85
HYGiShares iBoxx $ High Yield Corp Bd ETF0.730.770.751.000.670.15-0.150.900.90
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.350.480.750.671.000.30-0.070.700.70
GLDSPDR Gold Shares0.050.100.370.150.301.000.050.350.34
CASHXCash-0.17-0.09-0.10-0.15-0.070.051.00-0.14-0.14

Portfolio Return Decomposition

Portfolio return decomposition
TickerName3x5x
SPYSPDR S&P 500 ETF Trust$29,781$37,021
IYRiShares US Real Estate ETF$19,689$21,335
EMBiShares JP Morgan USD Em Mkts Bd ETF$8,157$6,793
HYGiShares iBoxx $ High Yield Corp Bd ETF$10,114$10,669
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$9,992$11,590
GLDSPDR Gold Shares$4,980$5,924
CASHXCash-$5,760-$10,670

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName3x5x
SPYSPDR S&P 500 ETF Trust20.84%20.84%
IYRiShares US Real Estate ETF32.23%32.22%
EMBiShares JP Morgan USD Em Mkts Bd ETF16.36%16.36%
HYGiShares iBoxx $ High Yield Corp Bd ETF16.03%16.02%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF8.81%8.81%
GLDSPDR Gold Shares5.54%5.53%
CASHXCash0.18%0.23%

Annual Asset Returns

Rolling returns summary
Roll Period3x5x
AverageHighLowAverageHighLow
1 year25.54%185.56%-71.09%44.07%424.00%-94.05%
3 years22.78%80.79%1.91%33.77%151.11%-18.16%
5 years21.35%53.49%6.25%31.66%94.28%4.39%
7 years20.68%38.65%8.80%30.55%65.42%9.72%
10 years21.63%32.65%14.82%31.34%54.38%13.00%