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 5
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Portfolio Analysis Results (Mar 2010 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 55.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,884,893 85.09% 55.57%57.51%50.82%139.73%-19.80%-49.12%
(-49.02%)
1.122.060.92
Portfolio 2$10,000$5,671,451 73.56% 47.02%45.60%27.27%124.65%-7.78%-24.28%
(-23.63%)
1.553.270.60
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 145.72%64.46%85.29%60.61%71.39%59.13%55.57%64.98%53.99%
Portfolio 235.87%24.20%28.25%59.37%48.33%45.91%47.02%35.96%31.30%
Trailing annualized return and volatility are for full months ending in August 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 2010 are based on monthly returns from March to December
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 $2,000 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 2ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ReturnBalanceReturnBalance
20101.12%$20,14665.62%$45,60960.31%$40,74165.62%10.27%
20112.96%$24,908-8.05%$63,80953.39%$93,928-8.05%109.14%
20121.74%$25,42352.29%$122,31741.70%$158,69052.29%0.60%
20131.50%$25,796139.73%$335,71937.49%$249,390139.73%-39.01%
20140.76%$26,21457.09%$561,31075.71%$472,97557.09%97.34%
20150.73%$26,24517.23%$686,1846.79%$531,76917.23%-13.73%
20162.07%$26,57611.38%$795,80310.93%$616,27611.38%-2.52%
20172.11%$27,142118.06%$1,771,62471.05%$1,087,321118.06%22.73%
20181.91%$27,805-19.80%$1,439,848-7.78%$1,027,672-19.80%-11.01%
20192.29%$28,309133.83%$3,406,95791.59%$2,005,104133.83%34.74%
20201.36%$28,658110.05%$7,210,082124.65%$4,546,208110.05%41.60%
20215.03%$19,78464.46%$11,884,89324.20%$5,671,45164.46%-17.49%
Annual return for 2010 is from 03/01/2010 to 12/31/2010 and annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ReturnBalanceReturnBalance
2010324.58%$14,46610.49%$13,05824.58%-6.73%
201046.09%$17,3607.83%$16,0926.09%9.96%
20105-22.85%$15,406-4.78%$17,337-22.85%16.54%
20106-18.88%$14,5091.12%$19,542-18.88%16.73%
2010721.80%$19,68310.23%$23,55421.80%-3.90%
20108-15.12%$18,7220.99%$25,801-15.12%25.94%
2010943.14%$28,81417.62%$32,36343.14%-9.02%
20101019.55%$36,4664.65%$35,88519.55%-13.57%
201011-1.43%$37,963-3.14%$36,777-1.43%-6.03%
20101214.81%$45,6095.28%$40,74114.81%-11.63%
201118.01%$51,2930.17%$42,8438.01%-9.40%
201129.14%$58,0247.25%$47,9909.14%4.49%
20113-2.35%$58,721-1.64%$49,266-2.35%-0.55%
201148.58%$65,8337.67%$55,1218.58%6.57%
20115-4.31%$65,0832.22%$58,433-4.31%10.36%
20116-7.01%$62,602-7.20%$56,312-7.01%-7.39%
201174.43%$67,4588.41%$63,1324.43%13.28%
20118-19.54%$56,3672.50%$66,803-19.54%27.34%
20119-14.31%$50,39218.20%$81,058-14.31%41.35%
20111031.54%$68,37311.55%$92,51231.54%-12.87%
201111-10.15%$63,524-4.86%$90,104-10.15%4.89%
201112-2.83%$63,8091.93%$93,928-2.83%9.46%
2012126.86%$83,03714.10%$109,26226.86%-1.50%
2012220.14%$101,8619.23%$121,44420.14%-7.95%
2012315.46%$119,7266.14%$131,01315.46%-13.02%
20124-4.30%$116,6954.10%$138,508-4.30%14.37%
20125-20.45%$94,9553.95%$146,101-20.45%28.90%
201269.79%$106,3720.25%$148,5809.79%-5.78%
201272.28%$110,9126.40%$160,2012.28%11.43%
2012816.09%$130,8866.34%$172,47916.09%-4.61%
201292.14%$135,822-2.09%$171,0042.14%-7.87%
201210-15.63%$116,723-9.55%$156,799-15.63%-2.13%
2012113.19%$122,5663.54%$164,4683.19%3.90%
201212-1.93%$122,317-4.80%$158,690-1.93%-7.80%
201317.65%$133,798-0.10%$160,6497.65%-9.58%
201320.59%$136,7321.73%$165,5720.59%3.39%
201338.74%$150,8324.39%$174,9918.74%-1.77%
201346.94%$163,44310.23%$195,0376.94%14.25%
2013510.71%$183,093-3.45%$190,45710.71%-19.65%
20136-8.02%$170,559-8.92%$175,623-8.02%-10.33%
2013720.14%$207,0677.74%$191,38020.14%-7.41%
20138-1.69%$205,720-2.77%$188,243-1.69%-4.47%
2013914.91%$238,5559.83%$208,90414.91%1.53%
20131014.70%$275,7699.94%$231,81914.70%4.12%
20131110.34%$306,4232.44%$239,62410.34%-8.19%
2013128.86%$335,7193.18%$249,3908.86%-6.01%
20141-6.36%$316,5355.27%$264,681-6.36%19.47%
2014215.40%$367,4548.37%$288,99915.40%1.63%
20143-8.37%$338,894-3.52%$281,015-8.37%1.76%
20144-2.03%$334,1881.56%$287,594-2.03%5.96%
2014513.50%$381,51611.29%$322,26813.50%8.79%
201469.46%$419,7964.66%$339,4829.46%-1.00%
201473.05%$434,7942.40%$349,8333.05%1.61%
2014815.47%$504,24515.00%$404,50815.47%14.42%
20149-2.78%$492,444-4.49%$388,522-2.78%-6.65%
2014106.58%$527,0257.25%$418,8646.58%8.06%
20141114.30%$604,54211.93%$471,02114.30%9.08%
201412-7.51%$561,310-0.05%$472,975-7.51%9.38%
20151-6.95%$524,47110.13%$523,058-6.95%31.01%
2015222.74%$645,8981.00%$530,46822.74%-17.87%
20153-7.46%$599,916-3.09%$516,247-7.46%2.57%
201545.16%$633,030-1.80%$509,1445.16%-10.30%
201556.35%$675,4390.49%$513,8276.35%-7.91%
20156-7.65%$625,978-9.47%$467,350-7.65%-12.49%
2015713.35%$711,74613.37%$532,05513.35%13.40%
20158-21.28%$562,469-12.94%$465,405-21.28%-2.75%
20159-8.13%$518,914-1.48%$460,711-8.13%5.10%
20151037.23%$714,29519.70%$553,64537.23%-1.73%
2015111.31%$725,858-0.17%$554,8691.31%-2.71%
201512-5.77%$686,184-4.56%$531,769-5.77%-2.41%
20161-21.13%$543,361-3.64%$514,604-21.13%17.74%
20162-6.04%$512,7382.07%$527,441-6.04%8.71%
2016320.97%$622,4508.31%$573,48620.97%-0.64%
20164-9.56%$565,148-6.34%$539,360-9.56%-2.39%
2016512.84%$639,9237.69%$583,04612.84%1.86%
20166-7.83%$592,0565.06%$614,762-7.83%21.23%
2016722.52%$727,59915.12%$709,92522.52%6.07%
201682.99%$751,5860.27%$714,0412.99%-3.58%
201695.80%$797,4101.58%$727,5675.80%-4.78%
201610-4.61%$762,868-8.53%$667,730-4.61%-13.32%
2016111.10%$773,491-9.56%$606,1001.10%-23.91%
2016122.60%$795,8031.31%$616,2762.60%-0.99%
2017115.76%$923,4539.34%$676,07115.76%1.49%
2017213.39%$1,049,3479.64%$743,48813.39%4.41%
201735.64%$1,110,7872.46%$764,0515.64%-2.35%
201748.07%$1,202,7026.43%$815,4718.07%4.43%
2017511.43%$1,342,4778.67%$888,40211.43%5.17%
20176-8.07%$1,236,435-3.77%$857,134-8.07%1.98%
2017712.56%$1,394,0395.81%$909,23212.56%-2.43%
201785.04%$1,466,5587.15%$976,5135.04%10.13%
20179-1.06%$1,453,341-3.71%$942,533-1.06%-7.29%
20171013.74%$1,655,3327.32%$1,013,81013.74%-0.53%
2017115.50%$1,748,6863.93%$1,055,9345.50%1.73%
2017121.18%$1,771,6242.76%$1,087,3211.18%5.04%
2018127.70%$2,264,70910.84%$1,207,48127.70%-9.77%
20182-6.16%$2,127,404-7.41%$1,120,264-6.16%-9.57%
20183-13.42%$1,844,184-5.60%$1,059,828-13.42%8.44%
20184-0.42%$1,838,680-3.25%$1,027,679-0.42%-6.71%
2018517.00%$2,153,54211.91%$1,152,38217.00%5.27%
201862.18%$2,202,8761.90%$1,176,6012.18%1.49%
201877.56%$2,371,8352.05%$1,202,9907.56%-4.70%
2018817.69%$2,793,85711.67%$1,345,71517.69%3.36%
20189-1.60%$2,751,361-4.39%$1,288,951-1.60%-8.77%
201810-26.61%$2,021,571-18.74%$1,049,792-26.61%-9.11%
201811-2.91%$1,965,0420.95%$1,062,081-2.91%4.76%
201812-26.84%$1,439,848-3.46%$1,027,672-26.84%17.93%
2019126.92%$1,829,73214.99%$1,184,04426.92%0.41%
201928.57%$1,988,9213.43%$1,226,9438.57%-4.52%
2019311.05%$2,211,04113.21%$1,391,33811.05%17.00%
2019416.64%$2,581,3866.20%$1,479,99016.64%-6.56%
20195-24.01%$1,963,888-6.15%$1,391,357-24.01%21.11%
2019623.00%$2,417,92212.22%$1,563,76623.00%1.90%
201976.20%$2,570,2113.55%$1,621,7236.20%0.32%
20198-7.79%$2,372,36910.91%$1,801,046-7.79%35.11%
201991.88%$2,419,448-3.93%$1,732,5621.88%-9.07%
20191012.43%$2,722,5364.98%$1,821,30212.43%-4.11%
20191112.20%$3,056,9266.36%$1,939,46112.20%-2.01%
20191211.37%$3,406,9573.26%$2,005,10411.37%-10.05%
202018.19%$3,688,42815.22%$2,312,5738.19%23.80%
20202-17.77%$3,035,375-0.52%$2,303,007-17.77%17.91%
20203-38.13%$1,880,372-9.45%$2,087,702-38.13%11.91%
2020446.45%$2,756,21926.76%$2,648,66346.45%2.68%
2020518.63%$3,272,1429.48%$2,902,11618.63%-6.48%
2020617.98%$3,862,77112.55%$3,268,66817.98%0.54%
2020722.25%$4,724,74218.15%$3,864,29322.25%13.13%
2020835.17%$6,388,59613.60%$4,392,07835.17%-14.89%
20209-18.88%$5,185,020-12.09%$3,863,471-18.88%2.15%
202010-10.28%$4,654,661-10.31%$3,467,553-10.28%-10.35%
20201134.54%$6,264,89220.91%$4,195,11434.54%4.24%
20201215.05%$7,210,0828.31%$4,546,20815.05%-2.32%
20211-0.47%$7,178,388-5.14%$4,314,982-0.47%-10.84%
20212-1.38%$7,081,634-7.90%$3,976,605-1.38%-16.79%
202132.29%$7,245,998-4.47%$3,801,1742.29%-15.40%
2021417.97%$8,550,61412.74%$4,287,99517.97%6.35%
20215-4.71%$8,150,427-2.86%$4,168,053-4.71%-0.34%
2021619.41%$9,734,71616.78%$4,869,96119.41%13.37%
202178.36%$10,550,9779.51%$5,335,6458.36%10.92%
2021812.62%$11,884,8936.25%$5,671,45112.62%-1.36%
* End-of-month balance includes the monthly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightFeesReturn ContributionRisk Contribution
TQQQProShares UltraPro QQQLeveraged Equity100.00%0.95%$11,567,886100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
TQQQProShares UltraPro QQQLeveraged Equity55.00%0.95%$4,889,20179.17%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.47%1.06%$465,24320.83%
100.00%1.11%1.00%$5,354,444100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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)4.80%3.56%
Arithmetic Mean (annualized)75.57%52.20%
Geometric Mean (monthly)3.75%3.26%
Geometric Mean (annualized)55.57%47.02%
Volatility (monthly)14.67%7.87%
Volatility (annualized)50.82%27.27%
Downside Deviation (monthly)7.99%3.70%
Max. Drawdown-49.12%-24.28%
US Market Correlation0.920.60
Beta(*)3.251.14
Alpha (annualized)8.01%25.30%
R284.21%36.17%
Sharpe Ratio1.121.55
Sortino Ratio2.063.27
Treynor Ratio (%)17.5536.91
Calmar Ratio1.232.45
Active Return40.37%31.82%
Tracking Error38.10%21.88%
Information Ratio1.061.45
Skewness-0.020.03
Excess Kurtosis0.35-0.07
Historical Value-at-Risk (5%)-20.55%-9.46%
Analytical Value-at-Risk (5%)-19.33%-9.57%
Conditional Value-at-Risk (5%)-25.84%-11.81%
Upside Capture Ratio (%)451.76191.93
Downside Capture Ratio (%)293.2463.46
Safe Withdrawal Rate41.42%46.68%
Perpetual Withdrawal Rate35.65%31.73%
Positive Periods87 out of 138 (63.04%)94 out of 138 (68.12%)
Gain/Loss Ratio1.341.44
* 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 PeriodStartEndPortfolio 1Portfolio 2
COVID-19 StartJan 2020Mar 2020-49.12%-9.92%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-49.12%
2Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-48.71%
3May 2010Jun 20102 monthsOct 20104 months6 months-37.42%
4May 2011Sep 20115 monthsFeb 20125 months10 months-35.94%
5Dec 2015Feb 20163 monthsAug 20166 months9 months-30.17%
6Aug 2015Sep 20152 monthsNov 20152 months4 months-27.69%
7Sep 2020Oct 20202 monthsDec 20202 months4 months-27.21%
8Apr 2012May 20122 monthsSep 20124 months6 months-23.87%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-19.10%
10Oct 2012Oct 20121 monthMar 20135 months6 months-15.63%
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-24.28%
2Sep 2020Oct 20202 monthsDec 20202 months4 months-21.15%
3Oct 2016Nov 20162 monthsFeb 20173 months5 months-17.28%
4Jan 2021Mar 20213 monthsJun 20213 months6 months-16.54%
5Mar 2015Sep 20157 monthsOct 20151 month8 months-15.82%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-15.44%
7Sep 2012Jan 20135 monthsApr 20133 months8 months-12.81%
8May 2013Jun 20132 monthsSep 20133 months5 months-12.06%
9Feb 2020Mar 20202 monthsApr 20201 month3 months-9.92%
10Nov 2015Jan 20163 monthsMar 20162 months5 months-8.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TQQQProShares UltraPro QQQ55.57%50.82%139.73%-19.80%-49.12%1.122.060.92
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF12.90%39.44%109.14%-39.01%-50.20%0.480.88-0.45

Monthly Correlations

Correlations for the portfolio assets
TickerNameTQQQTMFPortfolio 1Portfolio 2
TQQQProShares UltraPro QQQ1.00-0.351.000.76
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.351.00-0.350.32

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
TQQQProShares UltraPro QQQ$11,567,886$4,889,201
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$465,243

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
TQQQProShares UltraPro QQQ100.00%79.17%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF20.83%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year60.41%283.12%-23.94%48.07%140.98%-7.78%
3 years49.04%81.97%17.52%39.69%62.04%19.60%
5 years48.61%72.54%22.69%38.05%56.42%26.84%
7 years49.14%61.66%37.73%38.60%50.47%29.16%
10 years49.20%59.13%35.33%43.94%48.27%39.70%