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.
Ticker | Name | Allocation |
---|---|---|
UPRO | ProShares UltraPro S&P500 | 33.00% |
TMF | Direxion Daily 20+ Yr Trsy Bull 3X ETF | 33.00% |
PFF | iShares Preferred&Income Securities ETF | 17.00% |
IEF | iShares 7-10 Year Treasury Bond ETF | 17.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution | $10,000 | $110,400 | 21.18% | 24.97% | 25.47% | 16.15% | 56.03% | -9.74% | -13.77% (-13.98%) | 1.44 | 2.66 | 0.59 |
* The number in parentheses shows the calculated value taking into account the periodic withdrawals. |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution | 14.25% | 22.87% | 22.87% | 37.70% | 25.57% | 22.45% | 24.97% | 20.90% | 18.51% |
Trailing return and volatility are as of last calendar month ending December 2021 |
Year | Inflation | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution | ProShares UltraPro S&P500 (UPRO) | Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) | iShares Preferred&Income Securities ETF (PFF) | iShares 7-10 Year Treasury Bond ETF (IEF) | ||
---|---|---|---|---|---|---|---|---|
Return | Balance | Cashflow | ||||||
2009 | 0.12% | 20.81% | $11,671 | -$402 | 74.02% | -15.06% | 19.90% | 0.07% |
2010 | 1.50% | 27.95% | $14,013 | -$813 | 36.34% | 16.20% | 13.81% | 9.37% |
2011 | 2.96% | 38.51% | $18,404 | -$838 | -11.88% | 109.14% | -2.00% | 15.64% |
2012 | 1.74% | 24.82% | $22,068 | -$856 | 46.80% | 0.60% | 18.20% | 3.66% |
2013 | 1.50% | 16.37% | $24,763 | -$868 | 118.49% | -39.01% | -0.98% | -6.09% |
2014 | 0.76% | 46.85% | $35,309 | -$882 | 38.00% | 97.34% | 14.11% | 9.07% |
2015 | 0.73% | -1.15% | $34,049 | -$883 | -5.24% | -13.73% | 4.27% | 1.51% |
2016 | 2.07% | 15.08% | $38,298 | -$895 | 30.79% | -2.52% | 1.30% | 1.00% |
2017 | 2.11% | 32.50% | $49,710 | -$914 | 71.37% | 22.73% | 8.10% | 2.55% |
2018 | 1.91% | -9.74% | $43,983 | -$936 | -25.15% | -11.01% | -4.63% | 0.99% |
2019 | 2.29% | 56.03% | $67,505 | -$953 | 102.31% | 34.74% | 15.92% | 8.03% |
2020 | 1.36% | 36.19% | $90,802 | -$965 | 10.08% | 41.60% | 7.44% | 10.01% |
2021 | 7.04% | 22.87% | $110,400 | -$1,010 | 98.56% | -19.81% | 7.13% | -3.33% |
Annual return for 2009 is from 07/01/2009 to 12/31/2009 |
Year | Month | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution Return | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution Balance | ProShares UltraPro S&P500 (UPRO) | Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF) | iShares Preferred&Income Securities ETF (PFF) | iShares 7-10 Year Treasury Bond ETF (IEF) |
---|---|---|---|---|---|---|---|
2009 | 7 | 9.57% | $10,890 | 22.17% | 0.29% | 11.85% | 0.83% |
2009 | 8 | 5.59% | $11,432 | 10.97% | 5.84% | -1.90% | 0.77% |
2009 | 9 | 7.24% | $12,192 | 10.33% | 7.41% | 5.19% | 1.12% |
2009 | 10 | -6.18% | $11,372 | -6.90% | -9.45% | -3.47% | -0.14% |
2009 | 11 | 8.84% | $12,310 | 18.79% | 2.99% | 1.50% | 2.02% |
2009 | 12 | -4.65% | $11,671 | 5.20% | -20.11% | 6.02% | -4.40% |
2010 | 1 | -1.46% | $11,434 | -11.19% | 7.34% | 0.98% | 2.37% |
2010 | 2 | 3.16% | $11,728 | 8.94% | -1.82% | 3.68% | 0.33% |
2010 | 3 | 4.79% | $12,221 | 18.90% | -6.73% | 1.79% | -1.06% |
2010 | 4 | 4.42% | $12,694 | 4.08% | 9.96% | 0.05% | 1.65% |
2010 | 5 | -5.34% | $11,948 | -24.15% | 16.54% | -4.34% | 2.93% |
2010 | 6 | 1.20% | $12,024 | -16.58% | 16.73% | 1.88% | 3.05% |
2010 | 7 | 5.42% | $12,608 | 21.17% | -3.90% | 6.89% | 0.91% |
2010 | 8 | 6.01% | $13,298 | -13.46% | 25.94% | 2.30% | 3.36% |
2010 | 9 | 6.31% | $14,069 | 27.94% | -9.02% | 0.37% | -0.00% |
2010 | 10 | 0.73% | $14,104 | 11.44% | -13.57% | 0.15% | -0.01% |
2010 | 11 | -2.52% | $13,681 | -0.82% | -6.03% | -0.62% | -0.90% |
2010 | 12 | 2.93% | $14,013 | 21.36% | -11.63% | 0.27% | -3.43% |
2011 | 1 | 0.15% | $13,966 | 6.56% | -9.40% | 0.72% | -0.02% |
2011 | 2 | 5.15% | $14,617 | 10.39% | 4.49% | 1.65% | -0.21% |
2011 | 3 | -0.32% | $14,500 | -0.80% | -0.55% | 0.97% | -0.15% |
2011 | 4 | 5.72% | $15,260 | 8.73% | 6.57% | 1.58% | 1.84% |
2011 | 5 | 2.51% | $15,572 | -3.93% | 10.36% | 0.60% | 2.51% |
2011 | 6 | -4.74% | $14,764 | -5.87% | -7.39% | -0.55% | -0.51% |
2011 | 7 | 2.69% | $15,091 | -6.39% | 13.28% | -1.89% | 3.17% |
2011 | 8 | 4.57% | $15,709 | -21.09% | 27.34% | -1.87% | 4.65% |
2011 | 9 | 6.31% | $16,631 | -20.69% | 41.35% | -5.20% | 2.24% |
2011 | 10 | 7.21% | $17,759 | 32.61% | -12.87% | 5.38% | -1.29% |
2011 | 11 | 0.07% | $17,702 | -3.35% | 4.89% | -3.13% | 0.58% |
2011 | 12 | 4.36% | $18,404 | 2.30% | 9.46% | 0.12% | 1.99% |
2012 | 1 | 5.06% | $19,265 | 13.90% | -1.50% | 7.07% | 0.86% |
2012 | 2 | 2.09% | $19,598 | 13.24% | -7.95% | 3.04% | -1.10% |
2012 | 3 | -0.72% | $19,385 | 9.29% | -13.02% | 0.18% | -1.59% |
2012 | 4 | 4.42% | $20,171 | -2.38% | 14.37% | 0.22% | 2.51% |
2012 | 5 | 5.38% | $21,185 | -17.35% | 28.90% | -1.17% | 2.87% |
2012 | 6 | 2.22% | $21,584 | 11.47% | -5.78% | 2.42% | -0.42% |
2012 | 7 | 5.23% | $22,642 | 3.52% | 11.43% | 1.50% | 1.40% |
2012 | 8 | 1.05% | $22,808 | 6.53% | -4.61% | 1.48% | -0.12% |
2012 | 9 | 0.48% | $22,846 | 7.52% | -7.87% | 0.73% | -0.35% |
2012 | 10 | -2.87% | $22,119 | -5.96% | -2.13% | 1.01% | -0.40% |
2012 | 11 | 1.68% | $22,418 | 1.01% | 3.90% | 0.18% | 0.98% |
2012 | 12 | -1.24% | $22,068 | 2.82% | -7.80% | 0.39% | -0.94% |
2013 | 1 | 3.61% | $22,793 | 15.39% | -9.58% | 1.34% | -1.29% |
2013 | 2 | 2.58% | $23,308 | 3.56% | 3.39% | 0.53% | 1.13% |
2013 | 3 | 3.32% | $24,010 | 11.03% | -1.77% | 1.12% | 0.29% |
2013 | 4 | 6.88% | $25,589 | 5.45% | 14.25% | 1.05% | 1.52% |
2013 | 5 | -4.82% | $24,284 | 6.80% | -19.65% | -0.66% | -3.11% |
2013 | 6 | -5.78% | $22,809 | -5.23% | -10.33% | -2.20% | -2.55% |
2013 | 7 | 4.38% | $23,736 | 16.41% | -7.41% | -0.54% | -0.35% |
2013 | 8 | -5.13% | $22,446 | -9.21% | -4.47% | -2.19% | -1.42% |
2013 | 9 | 3.99% | $23,268 | 9.60% | 1.53% | 0.68% | 1.85% |
2013 | 10 | 6.21% | $24,640 | 13.76% | 4.12% | 0.93% | 0.78% |
2013 | 11 | 0.47% | $24,683 | 8.87% | -8.19% | 0.32% | -0.88% |
2013 | 12 | 0.62% | $24,763 | 7.54% | -6.01% | -1.29% | -2.09% |
2014 | 1 | 3.91% | $25,659 | -10.72% | 19.47% | 2.96% | 3.06% |
2014 | 2 | 4.93% | $26,852 | 13.65% | 1.63% | 2.28% | 0.36% |
2014 | 3 | 1.50% | $27,182 | 2.15% | 1.76% | 1.75% | -0.56% |
2014 | 4 | 3.13% | $27,959 | 1.65% | 5.96% | 1.84% | 0.76% |
2014 | 5 | 5.83% | $29,515 | 6.62% | 8.79% | 1.25% | 1.82% |
2014 | 6 | 1.59% | $29,909 | 6.22% | -1.00% | 0.61% | -0.22% |
2014 | 7 | -0.92% | $29,559 | -4.44% | 1.61% | -0.50% | -0.22% |
2014 | 8 | 9.86% | $32,400 | 11.95% | 14.42% | 1.79% | 1.88% |
2014 | 9 | -3.98% | $31,038 | -4.44% | -6.65% | -0.82% | -1.05% |
2014 | 10 | 5.02% | $32,524 | 6.03% | 8.06% | 1.07% | 1.53% |
2014 | 11 | 6.19% | $34,464 | 8.34% | 9.08% | 1.24% | 1.29% |
2014 | 12 | 2.66% | $35,309 | -1.54% | 9.38% | -0.12% | 0.13% |
2015 | 1 | 9.01% | $38,420 | -9.47% | 31.01% | 1.32% | 4.30% |
2015 | 2 | -0.38% | $38,200 | 17.48% | -17.87% | 0.97% | -2.47% |
2015 | 3 | -1.16% | $37,683 | -5.28% | 2.57% | 0.30% | 0.86% |
2015 | 4 | -2.05% | $36,839 | 2.59% | -10.30% | 0.02% | -0.63% |
2015 | 5 | -0.78% | $36,478 | 3.43% | -7.91% | -0.01% | -0.42% |
2015 | 6 | -6.62% | $33,989 | -6.21% | -12.49% | -1.01% | -1.63% |
2015 | 7 | 6.71% | $36,195 | 6.17% | 13.40% | 1.36% | 1.52% |
2015 | 8 | -7.24% | $33,501 | -18.87% | -2.75% | -0.75% | 0.08% |
2015 | 9 | -0.57% | $33,236 | -8.64% | 5.10% | -0.69% | 1.58% |
2015 | 10 | 6.75% | $35,404 | 26.79% | -1.73% | 2.16% | -0.64% |
2015 | 11 | -0.61% | $35,114 | 0.81% | -2.71% | 0.67% | -0.43% |
2015 | 12 | -2.82% | $34,049 | -6.06% | -2.41% | -0.10% | -0.45% |
2016 | 1 | 1.52% | $34,493 | -15.38% | 17.74% | -0.98% | 3.33% |
2016 | 2 | 3.18% | $35,516 | -1.68% | 8.71% | 0.06% | 1.49% |
2016 | 3 | 7.28% | $38,026 | 21.50% | -0.64% | 2.38% | -0.06% |
2016 | 4 | -0.31% | $37,833 | 0.81% | -2.39% | 0.88% | -0.16% |
2016 | 5 | 2.55% | $38,724 | 4.65% | 1.86% | 1.54% | -0.10% |
2016 | 6 | 6.90% | $41,321 | -0.20% | 21.23% | 1.18% | 3.09% |
2016 | 7 | 6.31% | $43,852 | 11.13% | 6.07% | 1.39% | 0.25% |
2016 | 8 | -1.30% | $43,207 | 0.11% | -3.58% | 0.02% | -1.01% |
2016 | 9 | -1.90% | $42,310 | -0.54% | -4.78% | -1.07% | 0.24% |
2016 | 10 | -6.79% | $39,364 | -5.62% | -13.32% | -0.97% | -1.49% |
2016 | 11 | -3.93% | $37,741 | 11.05% | -23.91% | -3.33% | -4.23% |
2016 | 12 | 1.67% | $38,298 | 5.96% | -0.99% | 0.31% | -0.12% |
2017 | 1 | 2.68% | $39,251 | 5.14% | 1.49% | 2.39% | 0.22% |
2017 | 2 | 6.06% | $41,554 | 11.91% | 4.41% | 2.09% | 0.72% |
2017 | 3 | -0.72% | $41,178 | -0.22% | -2.35% | 0.50% | 0.08% |
2017 | 4 | 2.78% | $42,248 | 2.77% | 4.43% | 1.30% | 1.11% |
2017 | 5 | 3.21% | $43,529 | 3.70% | 5.17% | 0.55% | 0.83% |
2017 | 6 | 1.25% | $43,996 | 1.51% | 1.98% | 0.80% | -0.51% |
2017 | 7 | 1.59% | $44,618 | 5.87% | -2.43% | 0.66% | 0.38% |
2017 | 8 | 3.40% | $46,061 | 0.21% | 10.13% | -0.06% | 1.46% |
2017 | 9 | -0.46% | $45,773 | 5.69% | -7.29% | -0.16% | -1.44% |
2017 | 10 | 2.51% | $46,847 | 6.83% | -0.53% | -0.37% | -0.19% |
2017 | 11 | 3.57% | $48,442 | 8.87% | 1.73% | 0.68% | -0.28% |
2017 | 12 | 2.78% | $49,710 | 3.45% | 5.04% | -0.52% | 0.18% |
2018 | 1 | 2.59% | $50,922 | 18.22% | -9.77% | -1.18% | -2.15% |
2018 | 2 | -8.34% | $46,600 | -13.53% | -9.57% | 0.27% | -0.93% |
2018 | 3 | -0.59% | $46,247 | -8.69% | 8.44% | 0.54% | 1.16% |
2018 | 4 | -2.48% | $45,020 | -0.14% | -6.71% | -0.70% | -1.28% |
2018 | 5 | 4.20% | $46,831 | 6.46% | 5.27% | 0.81% | 0.99% |
2018 | 6 | 1.25% | $47,338 | 1.29% | 1.49% | 1.76% | 0.20% |
2018 | 7 | 2.43% | $48,412 | 10.73% | -4.70% | 0.19% | -0.53% |
2018 | 8 | 4.93% | $50,720 | 9.09% | 3.36% | 1.41% | 1.01% |
2018 | 9 | -2.99% | $49,123 | 1.20% | -8.77% | -1.71% | -1.20% |
2018 | 10 | -10.42% | $43,925 | -20.78% | -9.11% | -2.24% | -0.30% |
2018 | 11 | 2.64% | $45,005 | 4.28% | 4.76% | -2.23% | 1.33% |
2018 | 12 | -2.10% | $43,983 | -26.25% | 17.93% | -1.53% | 2.80% |
2019 | 1 | 9.09% | $47,903 | 23.89% | 0.41% | 5.64% | 0.65% |
2019 | 2 | 2.12% | $48,840 | 9.28% | -4.52% | 0.58% | -0.52% |
2019 | 3 | 7.42% | $52,383 | 4.85% | 17.00% | 1.46% | 2.66% |
2019 | 4 | 2.62% | $53,678 | 11.81% | -6.56% | 0.68% | -0.52% |
2019 | 5 | 1.29% | $54,292 | -18.89% | 21.11% | 0.25% | 3.05% |
2019 | 6 | 6.83% | $57,920 | 21.37% | 1.90% | 1.31% | 1.22% |
2019 | 7 | 1.56% | $58,742 | 3.80% | 0.32% | 1.80% | 0.04% |
2019 | 8 | 11.76% | $65,568 | -6.62% | 35.11% | 0.60% | 3.95% |
2019 | 9 | -1.32% | $64,623 | 5.30% | -9.07% | 0.75% | -1.19% |
2019 | 10 | 0.86% | $65,100 | 5.70% | -4.11% | 0.43% | 0.19% |
2019 | 11 | 3.19% | $67,095 | 10.73% | -2.01% | -0.44% | -0.69% |
2019 | 12 | 0.73% | $67,505 | 8.38% | -10.05% | 1.92% | -0.93% |
2020 | 1 | 8.40% | $73,095 | -0.91% | 23.80% | 1.52% | 3.47% |
2020 | 2 | -0.49% | $72,654 | -23.04% | 17.91% | -4.87% | 2.96% |
2020 | 3 | -13.34% | $62,880 | -48.13% | 11.91% | -11.90% | 3.72% |
2020 | 4 | 14.80% | $72,109 | 37.17% | 2.68% | 9.45% | 0.27% |
2020 | 5 | 3.72% | $74,714 | 13.38% | -6.48% | 1.92% | 0.33% |
2020 | 6 | 1.09% | $75,451 | 3.23% | 0.54% | -0.95% | 0.04% |
2020 | 7 | 11.24% | $83,853 | 17.70% | 13.13% | 4.95% | 0.85% |
2020 | 8 | 3.04% | $86,321 | 22.05% | -14.89% | 1.90% | -0.97% |
2020 | 9 | -3.32% | $83,372 | -12.26% | 2.15% | -0.25% | 0.33% |
2020 | 10 | -6.43% | $77,932 | -8.48% | -10.35% | -0.20% | -1.38% |
2020 | 11 | 12.65% | $87,711 | 35.20% | 4.24% | 4.61% | 0.34% |
2020 | 12 | 3.62% | $90,802 | 11.14% | -2.32% | 2.63% | -0.24% |
2021 | 1 | -5.03% | $86,156 | -3.71% | -10.84% | -1.71% | -1.09% |
2021 | 2 | -2.18% | $84,196 | 7.74% | -16.79% | -0.88% | -2.36% |
2021 | 3 | -0.55% | $83,650 | 13.33% | -15.40% | 3.17% | -2.39% |
2021 | 4 | 8.24% | $90,459 | 16.17% | 6.35% | 1.18% | 1.00% |
2021 | 5 | 0.65% | $90,966 | 1.36% | -0.34% | 0.79% | 0.42% |
2021 | 6 | 7.05% | $97,291 | 6.59% | 13.37% | 1.67% | 1.02% |
2021 | 7 | 6.51% | $103,539 | 6.93% | 10.92% | 0.60% | 1.99% |
2021 | 8 | 2.45% | $105,995 | 8.97% | -1.36% | 0.33% | -0.39% |
2021 | 9 | -8.53% | $96,864 | -13.94% | -9.24% | -1.12% | -1.60% |
2021 | 10 | 9.92% | $106,382 | 21.90% | 7.08% | 1.83% | -0.44% |
2021 | 11 | 1.36% | $107,738 | -2.71% | 7.39% | -2.10% | 1.09% |
2021 | 12 | 2.55% | $110,400 | 13.13% | -6.88% | 3.32% | -0.52% |
* End-of-month balance includes the monthly contribution/withdrawal |
Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Duration | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | ||||||
UPRO | ProShares UltraPro S&P500 | Leveraged Equity | 33.00% | 0.75% | 0.91% | 0.91% | 22.40 | $79,177 | 53.64% | ||
TMF | Direxion Daily 20+ Yr Trsy Bull 3X ETF | Leveraged Debt | 33.00% | 2.60% | 1.06% | 1.06% | $24,263 | 38.58% | |||
PFF | iShares Preferred&Income Securities ETF | Preferred Stock | 17.00% | 6.56% | 6.86% | 0.46% | 0.46% | $5,644 | 5.32% | ||
IEF | iShares 7-10 Year Treasury Bond ETF | Long Government | 17.00% | 4.07% | 2.64% | 0.15% | 0.15% | 7.45 | $2,532 | 2.46% | |
100.00% | 1.81% | 2.72% | 0.75% | 0.75% | 22.40 | 7.45 | $111,616 | 100.00% |
Fund fundamentals data as of 09/22/2023. (c) 2023 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.
Metric | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution |
---|---|
Arithmetic Mean (monthly) | 1.98% |
Arithmetic Mean (annualized) | 26.56% |
Geometric Mean (monthly) | 1.87% |
Geometric Mean (annualized) | 24.97% |
Standard Deviation (monthly) | 4.66% |
Standard Deviation (annualized) | 16.15% |
Downside Deviation (monthly) | 2.51% |
Maximum Drawdown | -13.77% |
Stock Market Correlation | 0.59 |
Beta(*) | 0.66 |
Alpha (annualized) | 13.14% |
R2 | 34.30% |
Sharpe Ratio | 1.44 |
Sortino Ratio | 2.66 |
Treynor Ratio (%) | 35.24 |
Calmar Ratio | 2.74 |
Active Return | 8.79% |
Tracking Error | 13.96% |
Information Ratio | 0.63 |
Skewness | -0.32 |
Excess Kurtosis | 0.56 |
Historical Value-at-Risk (5%) | 6.32% |
Analytical Value-at-Risk (5%) | 5.80% |
Conditional Value-at-Risk (5%) | 8.46% |
Upside Capture Ratio (%) | 94.70 |
Downside Capture Ratio (%) | 33.49 |
Safe Withdrawal Rate | 24.60% |
Perpetual Withdrawal Rate | 17.68% |
Positive Periods | 104 out of 150 (69.33%) |
Gain/Loss Ratio | 1.28 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution |
---|---|---|---|
COVID-19 Start | Jan 2020 | Mar 2020 | -13.77% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -13.77% |
2 | Aug 2016 | Nov 2016 | 4 months | May 2017 | 6 months | 10 months | -13.30% |
3 | Sep 2018 | Oct 2018 | 2 months | Mar 2019 | 5 months | 7 months | -13.10% |
4 | Feb 2015 | Sep 2015 | 8 months | Mar 2016 | 6 months | 1 year 2 months | -12.05% |
5 | May 2013 | Aug 2013 | 4 months | Jan 2014 | 5 months | 9 months | -11.19% |
6 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -11.14% |
7 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -9.54% |
8 | Sep 2021 | Sep 2021 | 1 month | Oct 2021 | 1 month | 2 months | -8.53% |
9 | Jan 2021 | Mar 2021 | 3 months | Apr 2021 | 1 month | 4 months | -7.61% |
10 | Oct 2009 | Oct 2009 | 1 month | Nov 2009 | 1 month | 2 months | -6.18% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
UPRO | ProShares UltraPro S&P500 | 39.66% | 43.27% | 118.49% | -25.15% | -60.44% | 0.99 | 1.62 | 0.99 |
TMF | Direxion Daily 20+ Yr Trsy Bull 3X ETF | 10.57% | 38.81% | 109.14% | -39.01% | -50.20% | 0.43 | 0.77 | -0.41 |
PFF | iShares Preferred&Income Securities ETF | 7.93% | 8.63% | 19.90% | -4.63% | -16.20% | 0.87 | 1.51 | 0.66 |
IEF | iShares 7-10 Year Treasury Bond ETF | 4.03% | 5.66% | 15.64% | -6.09% | -7.60% | 0.64 | 1.10 | -0.40 |
Name | Total Return | Annualized Return | Expense Ratio | |||||
---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Net | Gross | |
ProShares UltraPro S&P500 | 34.17% | 98.56% | 98.56% | 64.14% | 41.50% | 41.03% | 0.91% | 0.91% |
Direxion Daily 20+ Yr Trsy Bull 3X ETF | 7.09% | -19.81% | -19.81% | 15.23% | 10.82% | 5.46% | 1.06% | 1.06% |
iShares Preferred&Income Securities ETF | 3.01% | 7.13% | 7.13% | 10.09% | 6.59% | 6.85% | 0.46% | 0.46% |
iShares 7-10 Year Treasury Bond ETF | 0.12% | -3.33% | -3.33% | 4.73% | 3.54% | 2.62% | 0.15% | 0.15% |
Trailing returns as of last calendar month ending December 2021 |
Ticker | Name | UPRO | TMF | PFF | IEF | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution |
---|---|---|---|---|---|---|
UPRO | ProShares UltraPro S&P500 | 1.00 | -0.40 | 0.65 | -0.40 | 0.60 |
TMF | Direxion Daily 20+ Yr Trsy Bull 3X ETF | -0.40 | 1.00 | -0.08 | 0.90 | 0.48 |
PFF | iShares Preferred&Income Securities ETF | 0.65 | -0.08 | 1.00 | -0.07 | 0.58 |
IEF | iShares 7-10 Year Treasury Bond ETF | -0.40 | 0.90 | -0.07 | 1.00 | 0.41 |
Ticker | Name | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution |
---|---|---|
UPRO | ProShares UltraPro S&P500 | $79,177 |
TMF | Direxion Daily 20+ Yr Trsy Bull 3X ETF | $24,263 |
PFF | iShares Preferred&Income Securities ETF | $5,644 |
IEF | iShares 7-10 Year Treasury Bond ETF | $2,532 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Aggressive Fifty-Fifty Portfolio With An 8% Annual Distribution |
---|---|---|
UPRO | ProShares UltraPro S&P500 | 53.64% |
TMF | Direxion Daily 20+ Yr Trsy Bull 3X ETF | 38.58% |
PFF | iShares Preferred&Income Securities ETF | 5.32% |
IEF | iShares 7-10 Year Treasury Bond ETF | 2.46% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 24.57% | 56.90% | -9.74% |
3 years | 22.76% | 37.70% | 9.29% |
5 years | 21.52% | 33.13% | 13.08% |
7 years | 21.28% | 27.72% | 16.44% |
10 years | 23.13% | 24.49% | 21.55% |
# | Date | Allocation |
---|---|---|
1 | 11/30/2009 | ProShares UltraPro S&P500 (UPRO): 43.09% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 27.69% iShares Preferred&Income Securities ETF (PFF): 15.17% iShares 7-10 Year Treasury Bond ETF (IEF): 14.05% |
2 | 08/31/2010 | ProShares UltraPro S&P500 (UPRO): 24.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 41.32% iShares Preferred&Income Securities ETF (PFF): 18.04% iShares 7-10 Year Treasury Bond ETF (IEF): 16.36% |
3 | 10/31/2010 | ProShares UltraPro S&P500 (UPRO): 43.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 24.23% iShares Preferred&Income Securities ETF (PFF): 15.96% iShares 7-10 Year Treasury Bond ETF (IEF): 15.87% |
4 | 01/31/2011 | ProShares UltraPro S&P500 (UPRO): 42.12% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 24.71% iShares Preferred&Income Securities ETF (PFF): 16.98% iShares 7-10 Year Treasury Bond ETF (IEF): 16.19% |
5 | 08/31/2011 | ProShares UltraPro S&P500 (UPRO): 22.59% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 46.37% iShares Preferred&Income Securities ETF (PFF): 14.69% iShares 7-10 Year Treasury Bond ETF (IEF): 16.35% |
6 | 09/30/2011 | ProShares UltraPro S&P500 (UPRO): 24.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 43.88% iShares Preferred&Income Securities ETF (PFF): 15.16% iShares 7-10 Year Treasury Bond ETF (IEF): 16.35% |
7 | 10/31/2011 | ProShares UltraPro S&P500 (UPRO): 40.82% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 26.82% iShares Preferred&Income Securities ETF (PFF): 16.71% iShares 7-10 Year Treasury Bond ETF (IEF): 15.65% |
8 | 03/31/2012 | ProShares UltraPro S&P500 (UPRO): 41.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 26.87% iShares Preferred&Income Securities ETF (PFF): 16.39% iShares 7-10 Year Treasury Bond ETF (IEF): 15.39% |
9 | 05/31/2012 | ProShares UltraPro S&P500 (UPRO): 24.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 44.21% iShares Preferred&Income Securities ETF (PFF): 15.30% iShares 7-10 Year Treasury Bond ETF (IEF): 16.29% |
10 | 01/31/2013 | ProShares UltraPro S&P500 (UPRO): 44.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 23.39% iShares Preferred&Income Securities ETF (PFF): 16.85% iShares 7-10 Year Treasury Bond ETF (IEF): 15.23% |
11 | 07/31/2013 | ProShares UltraPro S&P500 (UPRO): 44.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 24.09% iShares Preferred&Income Securities ETF (PFF): 15.91% iShares 7-10 Year Treasury Bond ETF (IEF): 15.53% |
12 | 12/31/2013 | ProShares UltraPro S&P500 (UPRO): 41.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 27.15% iShares Preferred&Income Securities ETF (PFF): 15.80% iShares 7-10 Year Treasury Bond ETF (IEF): 15.76% |
13 | 08/31/2014 | ProShares UltraPro S&P500 (UPRO): 31.54% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 40.51% iShares Preferred&Income Securities ETF (PFF): 14.33% iShares 7-10 Year Treasury Bond ETF (IEF): 13.62% |
14 | 01/31/2015 | ProShares UltraPro S&P500 (UPRO): 26.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 43.42% iShares Preferred&Income Securities ETF (PFF): 14.57% iShares 7-10 Year Treasury Bond ETF (IEF): 15.07% |
15 | 05/31/2015 | ProShares UltraPro S&P500 (UPRO): 40.72% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 24.00% iShares Preferred&Income Securities ETF (PFF): 17.99% iShares 7-10 Year Treasury Bond ETF (IEF): 17.29% |
16 | 02/29/2016 | ProShares UltraPro S&P500 (UPRO): 24.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 40.27% iShares Preferred&Income Securities ETF (PFF): 17.25% iShares 7-10 Year Treasury Bond ETF (IEF): 17.96% |
17 | 11/30/2016 | ProShares UltraPro S&P500 (UPRO): 45.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 23.49% iShares Preferred&Income Securities ETF (PFF): 16.03% iShares 7-10 Year Treasury Bond ETF (IEF): 15.17% |
18 | 10/31/2017 | ProShares UltraPro S&P500 (UPRO): 42.04% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 29.65% iShares Preferred&Income Securities ETF (PFF): 14.54% iShares 7-10 Year Treasury Bond ETF (IEF): 13.77% |
19 | 08/31/2018 | ProShares UltraPro S&P500 (UPRO): 41.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 27.84% iShares Preferred&Income Securities ETF (PFF): 15.95% iShares 7-10 Year Treasury Bond ETF (IEF): 15.19% |
20 | 12/31/2018 | ProShares UltraPro S&P500 (UPRO): 23.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 38.72% iShares Preferred&Income Securities ETF (PFF): 18.01% iShares 7-10 Year Treasury Bond ETF (IEF): 19.98% |
21 | 04/30/2019 | ProShares UltraPro S&P500 (UPRO): 42.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 28.16% iShares Preferred&Income Securities ETF (PFF): 15.03% iShares 7-10 Year Treasury Bond ETF (IEF): 14.16% |
22 | 08/31/2019 | ProShares UltraPro S&P500 (UPRO): 25.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 44.95% iShares Preferred&Income Securities ETF (PFF): 14.40% iShares 7-10 Year Treasury Bond ETF (IEF): 15.01% |
23 | 12/31/2019 | ProShares UltraPro S&P500 (UPRO): 42.61% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 24.52% iShares Preferred&Income Securities ETF (PFF): 16.87% iShares 7-10 Year Treasury Bond ETF (IEF): 16.01% |
24 | 02/29/2020 | ProShares UltraPro S&P500 (UPRO): 23.33% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 44.66% iShares Preferred&Income Securities ETF (PFF): 15.22% iShares 7-10 Year Treasury Bond ETF (IEF): 16.79% |
25 | 03/31/2020 | ProShares UltraPro S&P500 (UPRO): 19.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 42.62% iShares Preferred&Income Securities ETF (PFF): 17.28% iShares 7-10 Year Treasury Bond ETF (IEF): 20.35% |
26 | 05/31/2020 | ProShares UltraPro S&P500 (UPRO): 43.10% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 26.61% iShares Preferred&Income Securities ETF (PFF): 15.93% iShares 7-10 Year Treasury Bond ETF (IEF): 14.36% |
27 | 08/31/2020 | ProShares UltraPro S&P500 (UPRO): 42.23% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 27.57% iShares Preferred&Income Securities ETF (PFF): 15.54% iShares 7-10 Year Treasury Bond ETF (IEF): 14.66% |
28 | 02/28/2021 | ProShares UltraPro S&P500 (UPRO): 42.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 23.27% iShares Preferred&Income Securities ETF (PFF): 18.04% iShares 7-10 Year Treasury Bond ETF (IEF): 16.57% |
29 | 05/31/2021 | ProShares UltraPro S&P500 (UPRO): 40.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 27.31% iShares Preferred&Income Securities ETF (PFF): 16.51% iShares 7-10 Year Treasury Bond ETF (IEF): 15.54% |