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 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 9
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Asset 10
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Portfolio Analysis Results (Jul 2009 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 47.00%
EDV Vanguard Extended Duration Trs ETF 24.00%
UPRO ProShares UltraPro S&P500 16.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 13.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTIVX Vanguard Target Retirement 2045 Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$10,483,376 21.30% 12.54%39.90%-6.61%-11.06% 1.573.170.66
Portfolio 2$1,000,000$4,177,393 12.47% 12.75%24.94%-7.90%-19.88% 0.951.530.98
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 113.15%17.22%23.62%25.55%19.89%20.71%21.30%16.60%14.17%
Portfolio 24.00%14.33%26.80%13.65%13.60%11.86%12.47%16.62%13.33%
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 2009 are based on monthly returns from July to December
  • The annual results for 2021 are based on monthly returns from January to August
  • 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 quarterly 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
YearInflationPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)Vanguard Extended Duration Trs ETF (EDV)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Target Retirement 2045 Inv (VTIVX)
ReturnBalanceReturnBalance
20090.12%17.39%$1,173,87421.31%$1,213,05322.43%-7.49%74.02%-15.06%21.31%
20101.50%23.97%$1,455,21915.19%$1,397,35815.06%9.87%36.34%16.20%15.19%
20112.96%32.58%$1,929,342-2.51%$1,362,2231.89%56.08%-11.88%109.14%-2.51%
20121.74%18.18%$2,280,04515.58%$1,574,44415.99%2.37%46.80%0.60%15.58%
20131.50%17.43%$2,677,39024.37%$1,958,14232.31%-19.86%118.49%-39.01%24.37%
20140.76%34.13%$3,591,2917.16%$2,098,33213.46%44.66%38.00%97.34%7.16%
20150.73%-1.64%$3,532,305-1.57%$2,065,3171.25%-4.84%-5.24%-13.73%-1.57%
20162.07%12.37%$3,969,4268.87%$2,248,51812.00%1.65%30.79%-2.52%8.87%
20172.11%27.10%$5,045,27621.42%$2,730,24621.70%13.96%71.37%22.73%21.42%
20181.91%-6.61%$4,711,900-7.90%$2,514,605-4.56%-3.39%-25.15%-11.01%-7.90%
20192.29%39.90%$6,591,78024.94%$3,141,71831.22%18.68%102.31%34.74%24.94%
20201.36%35.68%$8,943,51316.30%$3,653,76118.37%23.62%10.08%41.60%16.30%
20215.03%17.22%$10,483,37614.33%$4,177,39321.57%-6.51%71.97%-17.49%14.33%
Annual return for 2009 is from 07/01/2009 to 12/31/2009 and annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)Vanguard Extended Duration Trs ETF (EDV)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Target Retirement 2045 Inv (VTIVX)
ReturnBalanceReturnBalance
200977.00%$1,069,9517.62%$1,076,1627.46%-0.40%22.17%0.29%7.62%
200985.50%$1,128,7833.40%$1,112,7603.69%4.65%10.97%5.84%3.40%
200995.30%$1,188,5764.00%$1,157,2703.55%3.44%10.33%7.41%4.00%
200910-4.71%$1,132,569-2.14%$1,132,542-1.92%-6.15%-6.90%-9.45%-2.14%
2009116.37%$1,204,6664.89%$1,187,9336.16%0.33%18.79%2.99%4.89%
200912-2.56%$1,173,8742.11%$1,213,0531.91%-8.87%5.20%-20.11%2.11%
20101-1.87%$1,151,973-3.24%$1,173,695-3.63%2.83%-11.19%7.34%-3.24%
201022.29%$1,178,3402.49%$1,202,9613.12%-0.74%8.94%-1.82%2.49%
201033.81%$1,223,2705.70%$1,271,5876.09%-4.17%18.90%-6.73%5.70%
201044.13%$1,273,7611.35%$1,288,7431.55%6.05%4.08%9.96%1.35%
20105-3.18%$1,233,288-7.60%$1,190,851-7.95%8.41%-24.15%16.54%-7.60%
201060.71%$1,242,013-4.15%$1,141,401-5.17%8.31%-16.58%16.73%-4.15%
201075.55%$1,310,9857.07%$1,222,1366.83%-2.24%21.17%-3.90%7.07%
201081.32%$1,328,297-3.88%$1,174,704-4.50%12.88%-13.46%25.94%-3.88%
201095.99%$1,407,8698.59%$1,275,6248.96%-4.37%27.94%-9.02%8.59%
201010-0.33%$1,403,2173.56%$1,321,0373.82%-9.14%11.44%-13.57%3.56%
201011-1.24%$1,385,880-0.46%$1,314,9820.00%-1.87%-0.82%-6.03%-0.46%
2010125.00%$1,455,2196.26%$1,397,3586.68%-4.15%21.36%-11.63%6.26%
20111-0.56%$1,447,0071.63%$1,420,1302.33%-6.20%6.56%-9.40%1.63%
201124.61%$1,513,6482.99%$1,462,5693.47%2.70%10.39%4.49%2.99%
20113-0.23%$1,510,1650.21%$1,465,6740.01%-0.12%-0.80%-0.55%0.21%
201144.36%$1,576,0173.39%$1,515,3582.90%3.12%8.73%6.57%3.39%
201151.56%$1,600,574-1.37%$1,494,656-1.12%5.73%-3.93%10.36%-1.37%
20116-3.82%$1,539,362-1.52%$1,471,884-1.69%-4.33%-5.87%-7.39%-1.52%
201171.20%$1,557,856-1.69%$1,447,042-2.00%5.99%-6.39%13.28%-1.69%
201182.47%$1,596,350-5.87%$1,362,166-5.50%16.37%-21.09%27.34%-5.87%
201199.00%$1,739,984-8.05%$1,252,447-6.94%23.80%-20.69%41.35%-8.05%
2011107.07%$1,863,02110.00%$1,377,69210.91%-6.68%32.61%-12.87%10.00%
2011110.38%$1,870,067-1.05%$1,363,201-0.41%3.46%-3.35%4.89%-1.05%
2011123.17%$1,929,342-0.07%$1,362,2231.04%5.48%2.30%9.46%-0.07%
201213.84%$2,003,4835.28%$1,434,1974.64%-1.53%13.90%-1.50%5.28%
201222.65%$2,056,6164.06%$1,492,4124.34%-3.28%13.24%-7.95%4.06%
201230.49%$2,066,6271.63%$1,516,7563.22%-6.63%9.29%-13.02%1.63%
201242.79%$2,124,189-0.77%$1,505,113-0.67%6.72%-2.38%14.37%-0.77%
201252.33%$2,173,600-6.82%$1,402,444-6.01%14.08%-17.35%28.90%-6.82%
201261.42%$2,204,5474.08%$1,459,6004.05%-2.24%11.47%-5.78%4.08%
201274.00%$2,292,7310.87%$1,472,3011.18%5.81%3.52%11.43%0.87%
201280.92%$2,313,8922.30%$1,506,1712.51%-2.54%6.53%-4.61%2.30%
201290.45%$2,324,3722.67%$1,546,3922.54%-4.04%7.52%-7.87%2.67%
201210-2.18%$2,273,701-0.96%$1,531,574-1.82%-0.39%-5.96%-2.13%-0.96%
2012111.37%$2,304,7660.97%$1,546,3920.57%1.78%1.01%3.90%0.97%
201212-1.07%$2,280,0451.81%$1,574,4440.90%-3.61%2.82%-7.80%1.81%
201312.42%$2,335,1384.33%$1,642,6155.12%-5.03%15.39%-9.58%4.33%
201321.99%$2,381,6630.53%$1,651,2721.28%1.55%3.56%3.39%0.53%
201333.48%$2,464,4952.62%$1,694,5563.80%-0.70%11.03%-1.77%2.62%
201345.39%$2,597,2162.17%$1,731,3471.92%7.32%5.45%14.25%2.17%
20135-2.99%$2,519,4320.44%$1,738,9222.36%-9.77%6.80%-19.65%0.44%
20136-3.81%$2,423,502-1.93%$1,705,377-1.34%-4.57%-5.23%-10.33%-1.93%
201373.22%$2,501,6494.70%$1,785,4515.17%-3.61%16.41%-7.41%4.70%
20138-3.88%$2,404,700-2.30%$1,744,332-3.00%-1.14%-9.21%-4.47%-2.30%
201393.25%$2,482,8354.34%$1,820,0783.17%-0.41%9.60%1.53%4.34%
2013105.37%$2,616,0923.69%$1,887,1684.63%1.89%13.76%4.12%3.69%
2013110.85%$2,638,3371.78%$1,920,7132.96%-4.37%8.87%-8.19%1.78%
2013121.48%$2,677,3901.95%$1,958,1422.59%-2.07%7.54%-6.01%1.95%
201411.49%$2,717,305-3.10%$1,897,501-3.52%9.71%-10.72%19.47%-3.10%
201424.30%$2,834,0284.47%$1,982,3984.55%0.35%13.65%1.63%4.47%
201431.44%$2,874,8810.44%$1,991,2180.83%1.91%2.15%1.76%0.44%
201442.07%$2,934,4630.50%$2,001,1410.70%2.94%1.65%5.96%0.50%
201454.31%$3,060,9401.93%$2,039,7312.32%4.10%6.62%8.79%1.93%
201461.75%$3,114,5372.11%$2,082,7312.06%-0.25%6.22%-1.00%2.11%
20147-0.78%$3,090,321-1.69%$2,047,449-1.34%1.48%-4.44%1.61%-1.69%
201487.32%$3,316,4543.07%$2,110,2943.95%6.97%11.95%14.42%3.07%
20149-3.01%$3,216,704-2.77%$2,051,859-1.38%-2.97%-4.44%-6.65%-2.77%
2014104.13%$3,349,4491.72%$2,087,1412.36%4.19%6.03%8.06%1.72%
2014114.90%$3,513,4421.53%$2,119,1152.75%4.34%8.34%9.08%1.53%
2014122.22%$3,591,291-0.98%$2,098,332-0.26%5.33%-1.54%9.38%-0.98%
201514.54%$3,754,439-1.50%$2,066,829-2.96%14.25%-9.47%31.01%-1.50%
20152-0.43%$3,738,3855.01%$2,170,3395.62%-9.12%17.48%-17.87%5.01%
20153-0.90%$3,704,745-0.98%$2,148,962-1.57%1.45%-5.28%2.57%-0.98%
20154-1.81%$3,637,7011.62%$2,183,8400.98%-5.62%2.59%-10.30%1.62%
20155-0.58%$3,616,4480.46%$2,193,9661.29%-3.64%3.43%-7.91%0.46%
20156-4.81%$3,442,486-1.95%$2,151,212-2.03%-6.07%-6.21%-12.49%-1.95%
201575.48%$3,631,1720.73%$2,166,9632.26%7.04%6.17%13.40%0.73%
20158-6.39%$3,399,065-5.87%$2,039,826-6.10%-0.79%-18.87%-2.75%-5.87%
20159-1.05%$3,363,296-2.92%$1,980,195-2.54%2.23%-8.64%5.10%-2.92%
2015107.96%$3,631,0606.53%$2,109,5838.51%-0.41%26.79%-1.73%6.53%
201511-0.31%$3,619,725-0.21%$2,105,0820.37%-1.43%0.81%-2.71%-0.21%
201512-2.42%$3,532,305-1.89%$2,065,317-1.72%-0.77%-6.06%-2.41%-1.89%
20161-0.47%$3,515,652-4.89%$1,964,259-4.98%8.43%-15.38%17.74%-4.89%
201622.14%$3,590,839-0.77%$1,949,158-0.08%4.07%-1.68%8.71%-0.77%
201635.61%$3,792,3666.79%$2,081,5806.72%-0.19%21.50%-0.64%6.79%
20164-0.26%$3,782,4271.17%$2,105,9730.39%-1.10%0.81%-2.39%1.17%
201652.04%$3,859,4570.66%$2,119,9121.70%1.02%4.65%1.86%0.66%
201665.12%$4,056,954-0.05%$2,118,7510.35%9.72%-0.20%21.23%-0.05%
201675.09%$4,263,4333.84%$2,200,0633.65%3.35%11.13%6.07%3.84%
20168-0.74%$4,231,7490.37%$2,208,1940.12%-1.47%0.11%-3.58%0.37%
20169-1.24%$4,179,1010.58%$2,220,9710.01%-2.34%-0.54%-4.78%0.58%
201610-4.93%$3,973,054-1.88%$2,179,154-1.73%-6.18%-5.62%-13.32%-1.88%
201611-2.01%$3,893,2021.39%$2,209,3553.68%-11.49%11.05%-23.91%1.39%
2016121.96%$3,969,4261.77%$2,248,5182.03%-0.31%5.96%-0.99%1.77%
201712.16%$4,055,0582.44%$2,303,2731.79%1.25%5.14%1.49%2.44%
201724.83%$4,251,1092.64%$2,363,9793.93%1.95%11.91%4.41%2.64%
20173-0.51%$4,229,5611.01%$2,387,7860.13%-0.97%-0.22%-2.35%1.01%
201741.93%$4,311,1431.45%$2,422,3050.99%1.84%2.77%4.43%1.45%
201752.71%$4,427,9301.67%$2,462,7761.41%3.20%3.70%5.17%1.67%
201761.11%$4,477,1970.68%$2,479,4410.64%1.26%1.51%1.98%0.68%
201771.29%$4,534,8092.30%$2,536,5762.06%-1.26%5.87%-2.43%2.30%
201782.59%$4,652,0440.38%$2,546,0990.29%4.89%0.21%10.13%0.38%
201790.08%$4,655,7751.92%$2,594,9022.01%-3.35%5.69%-7.29%1.92%
2017102.16%$4,756,1121.88%$2,643,7052.36%0.09%6.83%-0.53%1.88%
2017113.46%$4,920,7461.94%$2,694,8893.06%1.35%8.87%1.73%1.94%
2017122.53%$5,045,2761.31%$2,730,2461.21%3.16%3.45%5.04%1.31%
201813.27%$5,210,1514.76%$2,860,0845.64%-4.27%18.22%-9.77%4.76%
20182-6.27%$4,883,536-3.90%$2,748,447-3.64%-4.29%-13.53%-9.57%-3.90%
20183-0.96%$4,836,486-1.24%$2,714,471-2.74%4.12%-8.69%8.44%-1.24%
20184-1.31%$4,772,8870.45%$2,726,6050.52%-2.77%-0.14%-6.71%0.45%
201853.41%$4,935,6310.85%$2,749,6612.43%2.33%6.46%5.27%0.85%
201860.99%$4,984,519-0.35%$2,739,9530.58%1.35%1.29%1.49%-0.35%
201872.32%$5,099,9352.70%$2,813,9733.70%-2.21%10.73%-4.70%2.70%
201883.88%$5,297,8241.12%$2,845,5233.19%1.65%9.09%3.36%1.12%
20189-1.48%$5,219,5520.17%$2,850,3760.59%-4.10%1.20%-8.77%0.17%
201810-8.86%$4,756,946-7.07%$2,648,945-6.91%-4.61%-20.78%-9.11%-7.07%
2018112.65%$4,883,0351.60%$2,691,4151.85%2.18%4.28%4.76%1.60%
201812-3.50%$4,711,900-6.57%$2,514,605-8.79%8.08%-26.25%17.93%-6.57%
201917.68%$5,073,8677.42%$2,701,2408.01%0.18%23.89%0.41%7.42%
201922.29%$5,190,2452.53%$2,769,6733.24%-1.77%9.28%-4.52%2.53%
201935.35%$5,467,6941.21%$2,803,2681.81%7.50%4.85%17.00%1.21%
201942.24%$5,590,0633.15%$2,891,6094.09%-3.00%11.81%-6.56%3.15%
20195-1.63%$5,498,867-5.29%$2,738,567-6.38%9.74%-18.89%21.11%-5.29%
201966.72%$5,868,5085.95%$2,901,5636.96%0.75%21.37%1.90%5.95%
201971.47%$5,954,5920.13%$2,905,2951.51%0.44%3.80%0.32%0.13%
201986.32%$6,330,700-1.67%$2,856,770-1.67%15.47%-6.62%35.11%-1.67%
20199-0.78%$6,281,4921.83%$2,909,0281.95%-3.50%5.30%-9.07%1.83%
2019100.94%$6,340,4592.35%$2,977,4612.21%-1.99%5.70%-4.11%2.35%
2019113.25%$6,546,8012.42%$3,049,6273.62%-0.08%10.73%-2.01%2.42%
2019120.69%$6,591,7803.02%$3,141,7182.90%-4.56%8.38%-10.05%3.02%
202015.40%$6,948,057-1.01%$3,109,919-0.04%10.32%-0.91%23.80%-1.01%
20202-2.19%$6,795,921-6.67%$2,902,591-7.92%8.24%-23.04%17.91%-6.67%
20203-6.50%$6,354,003-13.28%$2,517,190-12.46%8.03%-48.13%11.91%-13.28%
2020412.83%$7,169,16110.26%$2,775,39612.70%2.35%37.17%2.68%10.26%
202053.37%$7,410,7774.67%$2,905,1354.76%-3.23%13.38%-6.48%4.67%
202061.69%$7,535,9892.85%$2,987,8121.78%0.47%3.23%0.54%2.85%
202078.82%$8,200,3304.64%$3,126,4555.89%6.29%17.70%13.13%4.64%
202083.42%$8,480,5295.37%$3,294,3526.98%-6.73%22.05%-14.89%5.37%
20209-3.81%$8,157,693-2.63%$3,207,859-3.74%1.07%-12.26%2.15%-2.63%
202010-4.95%$7,753,674-1.98%$3,144,262-2.49%-4.49%-8.48%-10.35%-1.98%
20201111.77%$8,666,34211.21%$3,496,59210.88%2.42%35.20%4.24%11.21%
2020123.20%$8,943,5134.49%$3,653,7613.71%-1.74%11.14%-2.32%4.49%
20211-3.61%$8,620,648-0.28%$3,643,392-1.02%-4.70%-3.71%-10.84%-0.28%
20212-1.28%$8,510,5702.35%$3,728,9362.78%-7.74%7.74%-16.79%2.35%
202131.66%$8,651,5482.36%$3,817,0724.54%-6.27%13.33%-15.40%2.36%
202146.59%$9,221,5993.80%$3,962,2375.29%2.87%16.17%6.35%3.80%
202150.47%$9,265,2111.37%$4,016,6740.66%-0.11%1.36%-0.34%1.37%
202165.19%$9,745,7901.26%$4,067,2232.25%5.48%6.59%13.37%1.26%
202174.87%$10,220,2060.61%$4,091,8492.44%4.97%6.93%10.92%0.61%
202182.57%$10,483,3762.09%$4,177,3932.98%-0.28%8.97%-1.36%2.09%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%18.96%
Large-cap Growth50.61%28.93%
Mid-cap Value12.55%3.13%
Mid-cap Growth0.00%5.36%
Small-cap Value0.00%4.04%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%20.86%
Emerging Markets0.00%7.21%
Corporate Bonds0.00%6.05%
Long-Term Treasuries36.83%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%5.46%
R Squared82.34%99.69%
Style analysis is based on monthly returns from July 2009 to August 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend47.00%1.23%0.09%25.30$3,827,03434.69%
EDVVanguard Extended Duration Trs ETFLong Government24.00%1.93%0.07%24.52$995,88713.31%
UPROProShares UltraPro S&P500Leveraged Equity16.00%0.04%0.93%$3,661,29037.16%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt13.00%2.47%1.06%$999,16414.84%
100.00%1.37%0.35%25.3024.52$9,483,376100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VTIVXVanguard Target Retirement 2045 InvTarget-Date 2045100.00%1.40%0.15%19.837.30$3,177,393100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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)1.69%1.05%
Arithmetic Mean (annualized)22.23%13.37%
Geometric Mean (monthly)1.62%0.98%
Geometric Mean (annualized)21.30%12.47%
Volatility (monthly)3.62%3.68%
Volatility (annualized)12.54%12.75%
Downside Deviation (monthly)1.77%2.26%
Max. Drawdown-11.06%-19.88%
US Market Correlation0.660.98
Beta(*)0.580.88
Alpha (annualized)10.81%-1.58%
R244.04%96.71%
Sharpe Ratio1.570.95
Sortino Ratio3.171.53
Treynor Ratio (%)33.8813.80
Calmar Ratio2.310.69
Active Return5.04%-3.80%
Tracking Error11.12%2.90%
Information Ratio0.45-1.31
Skewness-0.05-0.44
Excess Kurtosis0.461.66
Historical Value-at-Risk (5%)-4.50%-5.87%
Analytical Value-at-Risk (5%)-4.41%-5.00%
Conditional Value-at-Risk (5%)-5.93%-7.74%
Upside Capture Ratio (%)83.1682.57
Downside Capture Ratio (%)34.2192.68
Safe Withdrawal Rate21.51%14.95%
Perpetual Withdrawal Rate16.14%9.46%
Positive Periods100 out of 146 (68.49%)100 out of 146 (68.49%)
Gain/Loss Ratio1.470.97
* 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 2020-8.55%-19.88%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-11.06%
2Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-10.42%
3Aug 2016Nov 20164 monthsApr 20175 months9 months-8.68%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-8.57%
5Feb 2020Mar 20202 monthsApr 20201 month3 months-8.55%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-8.39%
7May 2013Aug 20134 monthsOct 20132 months6 months-7.41%
8Jan 2021Feb 20212 monthsApr 20212 months4 months-4.84%
9Oct 2009Oct 20091 monthNov 20091 month2 months-4.71%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-4.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-19.88%
2May 2011Sep 20115 monthsMar 20126 months11 months-17.35%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-12.08%
4May 2010Jun 20102 monthsOct 20104 months6 months-11.43%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-11.16%
6Apr 2012May 20122 monthsSep 20124 months6 months-7.54%
7May 2019May 20191 monthJun 20191 month2 months-5.29%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-4.56%
9Jan 2010Jan 20101 monthMar 20102 months3 months-3.24%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.10%
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 Trust16.20%13.70%32.31%-4.56%-19.43%1.131.901.00
EDVVanguard Extended Duration Trs ETF8.67%19.35%56.08%-19.86%-26.75%0.500.91-0.44
UPROProShares UltraPro S&P50039.29%43.13%118.49%-25.15%-60.44%0.991.610.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF11.14%39.07%109.14%-39.01%-50.20%0.440.79-0.43
VTIVXVanguard Target Retirement 2045 Inv12.47%12.75%24.94%-7.90%-19.88%0.951.530.98

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYEDVUPROTMFVTIVXPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.00-0.431.00-0.420.980.680.98
EDVVanguard Extended Duration Trs ETF-0.431.00-0.430.99-0.430.36-0.43
UPROProShares UltraPro S&P5001.00-0.431.00-0.420.980.680.98
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.420.99-0.421.00-0.420.37-0.42
VTIVXVanguard Target Retirement 2045 Inv0.98-0.430.98-0.421.000.651.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$3,827,034
EDVVanguard Extended Duration Trs ETF$995,887
UPROProShares UltraPro S&P500$3,661,290
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$999,164
VTIVXVanguard Target Retirement 2045 Inv$3,177,393

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust34.69%
EDVVanguard Extended Duration Trs ETF13.31%
UPROProShares UltraPro S&P50037.16%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF14.84%
VTIVXVanguard Target Retirement 2045 Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year20.49%47.17%-6.61%11.40%51.64%-10.21%
3 years18.56%30.15%9.29%9.98%17.89%1.77%
5 years17.73%26.65%11.39%9.85%15.80%3.21%
7 years17.65%22.15%13.61%9.72%12.47%5.82%
10 years19.34%20.71%17.91%9.95%11.86%7.07%