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 Analysis Results (Sep 2018 - Jun 2021)

Portfolio Allocations

Levered Golden Ratio
Ticker Name Allocation
NTSX WisdomTree U.S. Efficient Core Fund 35.00%
TNA Direxion Daily Small Cap Bull 3X ETF 10.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 10.00%
GLD SPDR Gold Shares 25.00%
O Realty Income Corporation 15.00%
VIXM ProShares VIX Mid-Term Futures 3.00%
BLOK Amplify Transformational Data Shrg ETF 1.00%
GBTC Grayscale Bitcoin Trust (BTC) 1.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Levered Golden Ratio$10,000$17,124 20.91% 16.01%32.56%-6.31%-15.31% 1.202.250.87
Vanguard 500 Index Investor$10,000$15,548 16.86% 19.00%31.33%-13.07%-19.63% 0.851.321.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
Levered Golden Ratio6.34%5.81%32.17%20.91%
Vanguard 500 Index Investor8.51%15.18%40.62%16.86%
Trailing annualized returns are for full months ending in June 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 2018 are based on monthly returns from September to December
  • The annual results for 2021 are based on monthly returns from January to June
  • 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 bands based (5.00% corridor) 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
YearInflationLevered Golden RatioVanguard 500 Index InvestorWisdomTree U.S. Efficient Core Fund (NTSX)Direxion Daily Small Cap Bull 3X ETF (TNA)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)SPDR Gold Shares (GLD)Realty Income Corporation (O)ProShares VIX Mid-Term Futures (VIXM)Amplify Transformational Data Shrg ETF (BLOK)Grayscale Bitcoin Trust (BTC) (GBTC)
ReturnBalanceReturnBalance
2018-0.36%-6.31%$9,369-13.07%$8,693-11.24%-56.24%2.44%6.82%9.20%25.54%-26.62%-58.26%
20192.29%30.32%$12,21031.33%$11,41632.15%71.89%34.74%17.86%21.26%-20.38%29.57%106.56%
20201.36%32.56%$16,18418.25%$13,49924.85%-7.83%41.60%24.81%-11.55%72.38%90.15%290.72%
20214.31%5.81%$17,12415.18%$15,54811.54%47.60%-24.58%-7.14%9.73%-16.78%36.28%-6.84%
Annual return for 2018 is from 09/01/2018 to 12/31/2018 and annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthLevered Golden RatioVanguard 500 Index InvestorWisdomTree U.S. Efficient Core Fund (NTSX)Direxion Daily Small Cap Bull 3X ETF (TNA)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)SPDR Gold Shares (GLD)Realty Income Corporation (O)ProShares VIX Mid-Term Futures (VIXM)Amplify Transformational Data Shrg ETF (BLOK)Grayscale Bitcoin Trust (BTC) (GBTC)
ReturnBalanceReturnBalance
20189-2.44%$9,7560.55%$10,055-0.12%-7.24%-8.77%-0.66%-2.49%-2.91%-0.64%-16.42%
201810-4.09%$9,357-6.85%$9,367-5.95%-30.90%-9.11%2.12%6.33%20.40%-13.87%-15.11%
2018111.96%$9,5402.03%$9,5571.49%2.99%4.76%0.34%6.70%-4.42%-3.67%-25.96%
201812-1.79%$9,369-9.04%$8,693-6.90%-33.70%17.93%4.94%-1.29%12.35%-11.00%-20.54%
201918.24%$10,1418.00%$9,3887.86%35.69%0.41%2.89%9.32%-12.23%12.13%0.63%
201922.38%$10,3823.20%$9,6892.48%15.60%-4.52%-0.61%1.01%-8.39%6.19%11.78%
201932.13%$10,6041.94%$9,8762.86%-7.42%17.00%-1.60%6.69%0.42%0.02%7.17%
201941.32%$10,7434.04%$10,2753.45%9.51%-6.56%-0.66%-4.52%-1.90%1.82%38.28%
20195-1.21%$10,613-6.36%$9,621-4.27%-22.83%21.11%1.76%0.42%8.03%-3.02%67.32%
201967.24%$11,3827.03%$10,2986.63%20.99%1.90%8.00%-1.26%-5.46%5.35%36.80%
201970.45%$11,4331.43%$10,4451.33%1.12%0.32%0.01%0.68%0.28%2.70%-9.85%
201984.39%$11,934-1.59%$10,2790.40%-15.97%35.11%7.91%6.97%8.81%-4.17%-14.08%
20199-0.79%$11,8401.86%$10,4701.09%5.14%-9.07%-3.39%4.20%0.30%-0.39%-9.64%
2019102.45%$12,1302.15%$10,6951.65%7.13%-4.11%2.56%6.96%-3.55%0.95%5.00%
2019110.12%$12,1443.62%$11,0833.07%11.90%-2.01%-3.21%-6.03%-3.15%3.79%-13.94%
2019120.54%$12,2103.01%$11,4162.16%8.09%-10.05%3.66%-3.62%-3.71%1.81%-14.42%
202014.39%$12,746-0.05%$11,4102.03%-9.68%23.80%4.50%6.81%-0.66%0.75%33.09%
20202-4.13%$12,219-8.24%$10,470-6.55%-24.64%17.91%-0.64%-7.38%11.58%-5.35%-9.63%
20203-11.66%$10,794-12.37%$9,174-8.64%-66.22%11.91%-0.22%-30.80%62.89%-14.04%-27.72%
2020411.97%$12,08612.81%$10,35011.76%35.77%2.68%7.26%10.62%1.35%17.05%38.62%
202054.11%$12,5834.76%$10,8425.04%15.80%-6.48%2.59%1.13%1.54%6.84%10.33%
202062.97%$12,9571.98%$11,0571.34%5.31%0.54%2.74%8.00%1.72%4.99%-11.80%
202077.47%$13,9245.63%$11,6796.08%7.74%13.13%10.79%1.32%-1.39%14.08%33.42%
202083.81%$14,4547.18%$12,5176.26%16.30%-14.89%-0.32%3.69%1.06%10.46%5.58%
20209-3.46%$13,954-3.81%$12,040-3.17%-10.84%2.15%-4.17%-1.69%1.45%-3.62%-18.92%
202010-2.15%$13,655-2.67%$11,718-3.22%5.20%-10.35%-0.52%-4.37%1.30%1.51%40.20%
2020119.81%$14,99510.94%$13,00010.43%61.76%4.24%-5.41%4.05%-13.08%21.72%50.81%
2020127.93%$16,1843.84%$13,4993.29%27.39%-2.32%7.01%4.06%2.46%17.73%37.97%
20211-1.07%$16,011-1.02%$13,361-1.42%13.50%-10.84%-3.22%-4.62%15.94%9.81%8.41%
202120.08%$16,0242.75%$13,7290.61%17.78%-16.79%-6.26%2.43%-2.94%31.81%24.53%
202130.50%$16,1044.37%$14,3293.09%0.97%-15.40%-1.14%5.77%-15.11%10.29%15.83%
202144.81%$16,8785.32%$15,0924.93%4.77%6.35%3.56%9.27%-2.57%-5.25%-6.37%
202150.93%$17,0350.69%$15,1950.74%-0.42%-0.34%7.68%-0.74%-5.94%-13.40%-35.50%
202160.53%$17,1242.32%$15,5483.21%4.82%13.37%-7.15%-2.08%-4.95%4.04%-1.36%

Holdings Based Style Analysis for Levered Golden Ratio

Holdings Based Style Analysis for Levered Golden Ratio
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
NTSXWisdomTree U.S. Efficient Core FundLarge Blend35.00%0.92%0.20%26.94$2,38032.15%
TNADirexion Daily Small Cap Bull 3X ETFLeveraged Equity10.00%0.01%1.11%$2,06640.45%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt10.00%2.70%1.06%$5041.45%
GLDSPDR Gold SharesCommodities Focused25.00%0.40%$94310.25%
ORealty Income CorporationReal Estate / REIT - Retail15.00%3.99%$56517.10%
VIXMProShares VIX Mid-Term FuturesMiscellaneous3.00%0.87%$170-5.51%
BLOKAmplify Transformational Data Shrg ETFTechnology1.00%0.28%0.71%25.56$1661.35%
GBTCGrayscale Bitcoin Trust (BTC)Miscellaneous1.00%2.00%$3302.76%
100.00%1.19%0.52%26.90$7,124100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/28/2021. (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
MetricLevered Golden RatioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.70%1.45%
Arithmetic Mean (annualized)22.38%18.91%
Geometric Mean (monthly)1.59%1.31%
Geometric Mean (annualized)20.91%16.86%
Volatility (monthly)4.62%5.49%
Volatility (annualized)16.01%19.00%
Downside Deviation (monthly)2.42%3.50%
Max. Drawdown-15.31%-19.63%
US Market Correlation0.871.00
Beta(*)0.721.00
Alpha (annualized)7.76%0.00%
R273.63%100.00%
Sharpe Ratio1.200.85
Sortino Ratio2.251.32
Treynor Ratio (%)26.5616.28
Active Return4.05%N/A
Tracking Error9.76%N/A
Information Ratio0.41N/A
Skewness-0.18-0.55
Excess Kurtosis1.230.59
Historical Value-at-Risk (5%)-4.11%-8.52%
Analytical Value-at-Risk (5%)-5.77%-7.57%
Conditional Value-at-Risk (5%)-7.90%-10.71%
Upside Capture Ratio (%)73.90100.00
Downside Capture Ratio (%)42.90100.00
Safe Withdrawal Rate39.43%35.66%
Perpetual Withdrawal Rate14.31%11.51%
Positive Periods24 out of 34 (70.59%)24 out of 34 (70.59%)
Gain/Loss Ratio1.150.81
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Levered Golden Ratio

Drawdowns for Levered Golden Ratio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-15.31%
2Sep 2018Oct 20182 monthsJan 20193 months5 months-6.43%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-5.53%
4May 2019May 20191 monthJun 20191 month2 months-1.21%
5Jan 2021Jan 20211 monthApr 20213 months4 months-1.07%
6Sep 2019Sep 20191 monthOct 20191 month2 months-0.79%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
4May 2019May 20191 monthJun 20191 month2 months-6.36%
5Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%
6Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree U.S. Efficient Core Fund18.91%16.22%32.15%-11.24%-14.63%1.081.860.98
TNADirexion Daily Small Cap Bull 3X ETF0.82%79.12%71.89%-56.24%-82.71%0.450.670.93
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF14.68%43.02%41.60%-24.58%-50.20%0.490.93-0.33
GLDSPDR Gold Shares14.27%15.22%24.81%-7.14%-13.74%0.881.680.08
ORealty Income Corporation9.26%25.76%21.26%-11.55%-38.00%0.440.570.57
VIXMProShares VIX Mid-Term Futures13.56%45.78%72.38%-20.38%-28.23%0.431.17-0.73
BLOKAmplify Transformational Data Shrg ETF37.47%35.13%90.15%-26.62%-26.62%1.042.160.72
GBTCGrayscale Bitcoin Trust (BTC)49.72%88.75%290.72%-58.26%-58.26%0.841.760.40

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXTNATMFGLDOVIXMBLOKGBTCLevered Golden RatioVanguard 500 Index Investor
NTSXWisdomTree U.S. Efficient Core Fund1.000.86-0.180.160.55-0.660.660.400.890.98
TNADirexion Daily Small Cap Bull 3X ETF0.861.00-0.40-0.050.52-0.740.780.460.810.91
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.18-0.401.000.32-0.020.25-0.36-0.000.05-0.33
GLDSPDR Gold Shares0.16-0.050.321.000.230.03-0.160.070.430.10
ORealty Income Corporation0.550.52-0.020.231.00-0.690.330.210.700.57
VIXMProShares VIX Mid-Term Futures-0.66-0.740.250.03-0.691.00-0.47-0.27-0.63-0.72
BLOKAmplify Transformational Data Shrg ETF0.660.78-0.36-0.160.33-0.471.000.590.610.70
GBTCGrayscale Bitcoin Trust (BTC)0.400.46-0.000.070.21-0.270.591.000.490.38

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameLevered Golden Ratio
NTSXWisdomTree U.S. Efficient Core Fund$2,380
TNADirexion Daily Small Cap Bull 3X ETF$2,066
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$504
GLDSPDR Gold Shares$943
ORealty Income Corporation$565
VIXMProShares VIX Mid-Term Futures$170
BLOKAmplify Transformational Data Shrg ETF$166
GBTCGrayscale Bitcoin Trust (BTC)$330

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameLevered Golden Ratio
NTSXWisdomTree U.S. Efficient Core Fund32.15%
TNADirexion Daily Small Cap Bull 3X ETF40.45%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF1.45%
GLDSPDR Gold Shares10.25%
ORealty Income Corporation17.10%
VIXMProShares VIX Mid-Term Futures-5.51%
BLOKAmplify Transformational Data Shrg ETF1.35%
GBTCGrayscale Bitcoin Trust (BTC)2.76%

Annual Asset Returns

Levered Golden Ratio Rebalancing Events

Rebalancing dates for levered golden ratio
#DateAllocation
112/31/2018WisdomTree U.S. Efficient Core Fund (NTSX): 33.16%
Direxion Daily Small Cap Bull 3X ETF (TNA): 4.67%
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 10.93%
SPDR Gold Shares (GLD): 28.50%
Realty Income Corporation (O): 17.48%
ProShares VIX Mid-Term Futures (VIXM): 4.02%
Amplify Transformational Data Shrg ETF (BLOK): 0.78%
Grayscale Bitcoin Trust (BTC) (GBTC): 0.45%
202/29/2020WisdomTree U.S. Efficient Core Fund (NTSX): 33.81%
Direxion Daily Small Cap Bull 3X ETF (TNA): 8.97%
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 15.08%
SPDR Gold Shares (GLD): 23.46%
Realty Income Corporation (O): 13.80%
ProShares VIX Mid-Term Futures (VIXM): 2.03%
Amplify Transformational Data Shrg ETF (BLOK): 0.95%
Grayscale Bitcoin Trust (BTC) (GBTC): 1.90%
303/31/2020WisdomTree U.S. Efficient Core Fund (NTSX): 36.20%
Direxion Daily Small Cap Bull 3X ETF (TNA): 3.82%
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 12.67%
SPDR Gold Shares (GLD): 28.24%
Realty Income Corporation (O): 11.75%
ProShares VIX Mid-Term Futures (VIXM): 5.53%
Amplify Transformational Data Shrg ETF (BLOK): 0.97%
Grayscale Bitcoin Trust (BTC) (GBTC): 0.82%
408/31/2020WisdomTree U.S. Efficient Core Fund (NTSX): 35.05%
Direxion Daily Small Cap Bull 3X ETF (TNA): 15.49%
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 6.94%
SPDR Gold Shares (GLD): 23.31%
Realty Income Corporation (O): 14.22%
ProShares VIX Mid-Term Futures (VIXM): 2.34%
Amplify Transformational Data Shrg ETF (BLOK): 1.24%
Grayscale Bitcoin Trust (BTC) (GBTC): 1.42%
512/31/2020WisdomTree U.S. Efficient Core Fund (NTSX): 33.41%
Direxion Daily Small Cap Bull 3X ETF (TNA): 17.26%
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 8.33%
SPDR Gold Shares (GLD): 21.55%
Realty Income Corporation (O): 13.64%
ProShares VIX Mid-Term Futures (VIXM): 2.45%
Amplify Transformational Data Shrg ETF (BLOK): 1.25%
Grayscale Bitcoin Trust (BTC) (GBTC): 2.11%