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 (Jul 2009 - Mar 2021)

Portfolio Allocations

50 NTSX, 25 TMF, 25 UPRO
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 45.00%
IEI iShares 3-7 Year Treasury Bond ETF 10.00%
IEF iShares 7-10 Year Treasury Bond ETF 20.00%
CASHX Cash -25.00%
UPRO ProShares UltraPro S&P500 25.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 25.00%
Save portfolio »
60 NTSX, 30 EDV, 10 UPRO
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 54.00%
IEI iShares 3-7 Year Treasury Bond ETF 12.00%
IEF iShares 7-10 Year Treasury Bond ETF 24.00%
CASHX Cash -30.00%
UPRO ProShares UltraPro S&P500 10.00%
EDV Vanguard Extended Duration Trs ETF 30.00%
Save portfolio »
60 NTSX, 30 EDV, 10 SSO
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 54.00%
IEI iShares 3-7 Year Treasury Bond ETF 12.00%
IEF iShares 7-10 Year Treasury Bond ETF 24.00%
CASHX Cash -30.00%
EDV Vanguard Extended Duration Trs ETF 30.00%
SSO ProShares Ultra S&P500 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
50 NTSX, 25 TMF, 25 UPRO$10,000$137,871 25.02% 15.53%50.37%-8.74%-13.40% 1.492.970.72
60 NTSX, 30 EDV, 10 UPRO$10,000$68,949 17.86% 10.64%34.40%-4.89%-9.52% 1.563.130.75
60 NTSX, 30 EDV, 10 SSO$10,000$59,076 16.32% 9.56%31.12%-4.21%-8.38% 1.583.220.69
Vanguard 500 Index Investor$10,000$54,097 15.45% 13.92%32.18%-4.52%-19.63% 1.071.781.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
50 NTSX, 25 TMF, 25 UPRO-3.43%-3.43%47.75%26.66%21.92%23.18%25.02%20.33%17.40%
60 NTSX, 30 EDV, 10 UPRO-1.73%-1.73%34.61%19.26%16.08%16.72%17.86%14.02%11.93%
60 NTSX, 30 EDV, 10 SSO-2.28%-2.28%28.97%17.55%14.53%15.41%16.32%12.44%10.67%
Vanguard 500 Index Investor6.15%6.15%56.19%16.63%16.14%13.75%15.45%18.40%14.89%
Trailing annualized return and volatility are for full months ending in March 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 March
  • 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
YearInflation50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSOVanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 3-7 Year Treasury Bond ETF (IEI)iShares 7-10 Year Treasury Bond ETF (IEF)Cash (CASHX)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Extended Duration Trs ETF (EDV)ProShares Ultra S&P500 (SSO)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20090.12%23.41%$12,34116.47%$11,64714.12%$11,41222.56%$12,25622.43%1.51%0.07%0.06%74.02%-15.06%-7.49%46.71%
20101.50%32.00%$16,29021.73%$14,17819.83%$13,67514.91%$14,08315.06%6.32%9.37%0.14%36.34%16.20%9.87%26.83%
20112.96%37.39%$22,38125.53%$17,79825.52%$17,1651.97%$14,3601.89%8.30%15.64%0.07%-11.88%109.14%56.08%-2.92%
20121.74%23.57%$27,65616.48%$20,73114.72%$19,69215.82%$16,63315.99%1.85%3.66%0.08%46.80%0.60%2.37%31.04%
20131.50%23.55%$34,17017.21%$24,29913.87%$22,42332.18%$21,98532.31%-1.84%-6.09%0.05%118.49%-39.01%-19.86%70.46%
20140.76%39.79%$47,76626.75%$30,80025.52%$28,14513.51%$24,95413.46%3.17%9.07%0.03%38.00%97.34%44.66%25.53%
20150.73%-1.63%$46,9890.12%$30,8380.33%$28,2391.25%$25,2661.25%1.64%1.51%0.05%-5.24%-13.73%-4.84%-1.19%
20162.07%15.26%$54,15910.88%$34,1919.99%$31,06111.82%$28,25112.00%1.22%1.00%0.30%30.79%-2.52%1.65%21.55%
20172.11%32.67%$71,85222.92%$42,02720.67%$37,48121.67%$34,37321.70%1.22%2.55%0.88%71.37%22.73%13.96%44.35%
20181.91%-8.74%$65,571-4.89%$39,971-4.21%$35,905-4.52%$32,818-4.56%1.36%0.99%1.90%-25.15%-11.01%-3.39%-14.62%
20192.29%50.37%$98,59934.40%$53,72331.12%$47,08031.33%$43,09931.22%5.70%8.03%2.13%102.31%34.74%18.68%63.45%
20201.36%44.79%$142,76430.61%$70,16628.41%$60,45718.25%$50,96318.37%6.95%10.01%0.44%10.08%41.60%23.62%21.53%
20210.98%-3.43%$137,871-1.73%$68,949-2.28%$59,0766.15%$54,0976.35%-2.20%-5.73%0.02%17.58%-37.24%-17.59%12.08%
Annual return for 2009 is from 07/01/2009 to 12/31/2009 and annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonth50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSOVanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 3-7 Year Treasury Bond ETF (IEI)iShares 7-10 Year Treasury Bond ETF (IEF)Cash (CASHX)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Extended Duration Trs ETF (EDV)ProShares Ultra S&P500 (SSO)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
200979.19%$10,9196.38%$10,6385.61%$10,5617.58%$10,7587.46%0.53%0.83%0.02%22.17%0.29%-0.40%14.46%
200986.26%$11,6034.85%$11,1544.42%$11,0283.60%$11,1453.69%0.86%0.77%0.02%10.97%5.84%4.65%7.39%
200996.50%$12,3574.45%$11,6514.03%$11,4723.72%$11,5593.55%0.73%1.12%0.01%10.33%7.41%3.44%7.10%
200910-4.97%$11,743-3.59%$11,232-3.33%$11,089-1.87%$11,343-1.92%0.14%-0.14%0.01%-6.90%-9.45%-6.15%-4.28%
2009118.79%$12,7756.02%$11,9095.42%$11,6905.98%$12,0226.16%1.81%2.02%0.00%18.79%2.99%0.33%12.33%
200912-3.40%$12,341-2.20%$11,647-2.38%$11,4121.95%$12,2561.91%-2.52%-4.40%0.01%5.20%-20.11%-8.87%3.66%
20101-1.95%$12,100-1.46%$11,477-1.09%$11,287-3.60%$11,814-3.63%1.71%2.37%0.01%-11.19%7.34%2.83%-7.51%
201023.01%$12,4642.35%$11,7472.11%$11,5253.09%$12,1793.12%0.40%0.33%0.01%8.94%-1.82%-0.74%6.11%
201035.17%$13,1093.43%$12,1502.82%$11,8506.01%$12,9126.09%-0.78%-1.06%0.01%18.90%-6.73%-4.17%12.38%
201044.63%$13,7163.56%$12,5833.44%$12,2571.58%$13,1151.55%0.93%1.65%0.01%4.08%9.96%6.05%2.81%
20105-4.42%$13,110-3.18%$12,182-2.36%$11,968-8.01%$12,066-7.95%1.52%2.93%0.01%-24.15%16.54%8.41%-16.09%
201060.74%$13,206-0.06%$12,1740.30%$12,004-5.24%$11,433-5.17%1.86%3.05%0.01%-16.58%16.73%8.31%-10.92%
201077.68%$14,2205.48%$12,8414.77%$12,5767.00%$12,2336.83%1.09%0.91%0.02%21.17%-3.90%-2.24%14.06%
201080.75%$14,3280.51%$12,9061.06%$12,710-4.53%$11,679-4.50%1.45%3.36%0.01%-13.46%25.94%12.88%-9.25%
201098.07%$15,4836.11%$13,6945.15%$13,3648.92%$12,7218.96%0.47%-0.00%0.01%27.94%-9.02%-4.37%18.44%
2010101.24%$15,6760.53%$13,7670.14%$13,3833.79%$13,2033.82%0.58%-0.01%0.01%11.44%-13.57%-9.14%7.57%
201011-1.79%$15,395-0.93%$13,639-0.89%$13,2650.00%$13,2030.00%-0.96%-0.90%0.01%-0.82%-6.03%-1.87%-0.40%
2010125.81%$16,2903.95%$14,1783.09%$13,6756.67%$14,0836.68%-2.04%-3.43%0.01%21.36%-11.63%-4.15%13.94%
201110.39%$16,3540.12%$14,195-0.10%$13,6612.36%$14,4152.33%0.60%-0.02%0.01%6.56%-9.40%-6.20%4.33%
201125.28%$17,2173.68%$14,7173.30%$14,1123.42%$14,9083.47%-0.42%-0.21%0.01%10.39%4.49%2.70%6.94%
20113-0.40%$17,148-0.19%$14,690-0.14%$14,0920.03%$14,9120.01%-0.26%-0.15%0.01%-0.80%-0.55%-0.12%-0.39%
201145.65%$18,1184.00%$15,2783.70%$14,6142.95%$15,3512.90%1.59%1.84%0.01%8.73%6.57%3.12%5.74%
201151.75%$18,4341.47%$15,5031.65%$14,855-1.15%$15,175-1.12%1.62%2.51%0.00%-3.93%10.36%5.73%-2.38%
20116-4.28%$17,645-2.94%$15,047-2.73%$14,449-1.67%$14,922-1.69%-0.15%-0.51%0.01%-5.87%-7.39%-4.33%-3.74%
201171.66%$17,9371.08%$15,2091.30%$14,637-2.05%$14,616-2.00%2.03%3.17%0.00%-6.39%13.28%5.99%-4.22%
201181.50%$18,2071.68%$15,4642.41%$14,990-5.45%$13,820-5.50%1.83%4.65%0.01%-21.09%27.34%16.37%-12.81%
201198.44%$19,7444.30%$16,1294.62%$15,682-7.04%$12,847-6.94%0.30%2.24%0.00%-20.69%41.35%23.80%-13.86%
2011109.59%$21,6376.84%$17,2335.76%$16,58510.91%$14,24910.91%-0.02%-1.29%0.00%32.61%-12.87%-6.68%21.81%
201111-0.10%$21,6140.41%$17,3040.66%$16,695-0.23%$14,216-0.41%0.23%0.58%0.00%-3.35%4.89%3.46%-1.56%
2011123.55%$22,3812.86%$17,7982.82%$17,1651.02%$14,3601.04%0.71%1.99%0.00%2.30%9.46%5.48%1.91%
201215.42%$23,5943.72%$18,4603.23%$17,7194.46%$15,0014.64%0.63%0.86%0.00%13.90%-1.50%-1.53%8.97%
201223.39%$24,3942.55%$18,9312.00%$18,0724.31%$15,6484.34%-0.62%-1.10%0.01%13.24%-7.95%-3.28%8.45%
201231.15%$24,6730.70%$19,0650.33%$18,1313.28%$16,1613.22%-0.58%-1.59%0.01%9.29%-13.02%-6.63%6.71%
201243.32%$25,4912.16%$19,4762.24%$18,537-0.64%$16,058-0.67%1.19%2.51%0.01%-2.38%14.37%6.72%-1.61%
201251.95%$25,9890.39%$19,5530.95%$18,714-6.02%$15,091-6.01%0.84%2.87%0.01%-17.35%28.90%14.08%-11.37%
201261.69%$26,4271.97%$19,9371.67%$19,0274.11%$15,7114.05%-0.20%-0.42%0.01%11.47%-5.78%-2.24%7.27%
201274.62%$27,6483.15%$20,5663.05%$19,6081.37%$15,9271.18%0.70%1.40%0.01%3.52%11.43%5.81%2.53%
201281.46%$28,0521.18%$20,8100.99%$19,8022.24%$16,2832.51%0.12%-0.12%0.01%6.53%-4.61%-2.54%4.61%
201291.03%$28,3400.87%$20,9910.58%$19,9172.58%$16,7032.54%-0.03%-0.35%0.01%7.52%-7.87%-4.04%4.87%
201210-2.96%$27,503-1.83%$20,606-1.65%$19,587-1.86%$16,392-1.82%-0.33%-0.40%0.01%-5.96%-2.13%-0.39%-4.15%
2012111.74%$27,9811.25%$20,8631.24%$19,8300.56%$16,4840.57%0.53%0.98%0.01%1.01%3.90%1.78%0.94%
201212-1.16%$27,656-0.63%$20,731-0.70%$19,6920.90%$16,6330.90%-0.40%-0.94%0.01%2.82%-7.80%-3.61%2.08%
201313.46%$28,6122.44%$21,2361.93%$20,0715.18%$17,4945.12%-0.39%-1.29%0.00%15.39%-9.58%-5.03%10.27%
201322.59%$29,3541.87%$21,6341.71%$20,4151.34%$17,7281.28%0.61%1.13%0.01%3.56%3.39%1.55%2.16%
201334.49%$30,6723.24%$22,3342.79%$20,9843.74%$18,3913.80%0.10%0.29%0.01%11.03%-1.77%-0.70%7.39%
201346.15%$32,5594.21%$23,2744.05%$21,8341.91%$18,7421.92%0.56%1.52%0.01%5.45%14.25%7.32%3.86%
20135-3.30%$31,485-1.97%$22,817-2.20%$21,3532.33%$19,1782.36%-1.34%-3.11%0.00%6.80%-19.65%-9.77%4.55%
20136-4.97%$29,920-3.35%$22,052-3.12%$20,687-1.35%$18,919-1.34%-1.30%-2.55%0.00%-5.23%-10.33%-4.57%-3.11%
201374.53%$31,2753.29%$22,7782.69%$21,2445.07%$19,8795.17%0.25%-0.35%0.00%16.41%-7.41%-3.61%10.41%
20138-5.26%$29,630-3.43%$21,997-3.06%$20,594-2.91%$19,300-3.00%-0.77%-1.42%0.00%-9.21%-4.47%-1.14%-6.08%
201394.86%$31,0703.23%$22,7072.89%$21,1903.12%$19,9023.17%1.21%1.85%0.00%9.60%1.53%-0.41%6.48%
2013106.76%$33,1704.69%$23,7724.22%$22,0844.59%$20,8154.63%0.50%0.78%0.00%13.76%4.12%1.89%9.07%
2013111.51%$33,6711.09%$24,0310.73%$22,2453.03%$21,4452.96%0.01%-0.88%0.00%8.87%-8.19%-4.37%5.77%
2013121.48%$34,1701.12%$24,2990.80%$22,4232.51%$21,9852.59%-1.26%-2.09%0.01%7.54%-6.01%-2.07%5.13%
201411.34%$34,6290.83%$24,4991.17%$22,686-3.47%$21,222-3.52%1.28%3.06%0.01%-10.72%19.47%9.71%-7.23%
201425.52%$36,5423.78%$25,4253.39%$23,4554.56%$22,1904.55%0.15%0.36%0.00%13.65%1.63%0.35%9.06%
201431.19%$36,9751.03%$25,6870.97%$23,6830.82%$22,3720.83%-0.68%-0.56%0.00%2.15%1.76%1.91%1.52%
201442.42%$37,8691.66%$26,1151.62%$24,0670.72%$22,5340.70%0.49%0.76%0.00%1.65%5.96%2.94%1.23%
201455.39%$39,9093.68%$27,0773.46%$24,9002.33%$23,0612.32%0.87%1.82%0.00%6.62%8.79%4.10%4.41%
201462.13%$40,7581.58%$27,5061.36%$25,2382.05%$23,5342.06%-0.15%-0.22%0.00%6.22%-1.00%-0.25%4.10%
20147-1.40%$40,186-0.84%$27,276-0.68%$25,067-1.39%$23,207-1.34%-0.47%-0.22%0.00%-4.44%1.61%1.48%-2.88%
201488.86%$43,7465.97%$28,9055.58%$26,4673.98%$24,1313.95%0.91%1.88%0.00%11.95%14.42%6.97%7.87%
20149-3.75%$42,108-2.40%$28,211-2.25%$25,872-1.41%$23,790-1.38%-0.52%-1.05%0.00%-4.44%-6.65%-2.97%-2.93%
2014104.99%$44,2073.62%$29,2313.45%$26,7652.42%$24,3672.36%0.96%1.53%0.00%6.03%8.06%4.19%4.38%
2014115.96%$46,8434.01%$30,4043.72%$27,7612.68%$25,0202.75%0.68%1.29%0.00%8.34%9.08%4.34%5.54%
2014121.97%$47,7661.30%$30,8001.39%$28,145-0.26%$24,954-0.26%-0.37%0.13%0.00%-1.54%9.38%5.33%-0.84%
201515.14%$50,2223.04%$31,7353.37%$29,094-3.02%$24,201-2.96%2.31%4.30%0.00%-9.47%31.01%14.25%-6.15%
20152-0.09%$50,1780.60%$31,9260.10%$29,1245.74%$25,5905.62%-1.33%-2.47%0.00%17.48%-17.87%-9.12%11.40%
20153-1.13%$49,611-0.65%$31,717-0.46%$28,990-1.59%$25,183-1.57%0.79%0.86%0.00%-5.28%2.57%1.45%-3.43%
20154-1.62%$48,807-1.06%$31,381-1.13%$28,6610.95%$25,4220.98%-0.10%-0.63%0.00%2.59%-10.30%-5.62%1.84%
20155-0.41%$48,609-0.09%$31,354-0.20%$28,6031.27%$25,7451.29%-0.07%-0.42%0.00%3.43%-7.91%-3.64%2.31%
20156-5.64%$45,865-3.92%$30,124-3.69%$27,546-1.93%$25,247-2.03%-0.46%-1.63%0.00%-6.21%-12.49%-6.07%-4.09%
201576.28%$48,7464.39%$31,4474.20%$28,7022.08%$25,7732.26%0.67%1.52%0.00%6.17%13.40%7.04%4.22%
20158-8.07%$44,810-5.37%$29,757-4.71%$27,350-6.05%$24,214-6.10%-0.04%0.08%0.01%-18.87%-2.75%-0.79%-12.48%
20159-1.15%$44,295-0.85%$29,505-0.60%$27,185-2.48%$23,613-2.54%1.09%1.58%0.01%-8.64%5.10%2.23%-5.54%
2015109.92%$48,6876.94%$31,5526.01%$28,8188.42%$25,6018.51%-0.48%-0.64%0.00%26.79%-1.73%-0.41%17.45%
201511-0.32%$48,529-0.25%$31,475-0.28%$28,7370.29%$25,6750.37%-0.41%-0.43%0.01%0.81%-2.71%-1.43%0.60%
201512-3.17%$46,989-2.02%$30,838-1.73%$28,239-1.59%$25,266-1.72%-0.28%-0.45%0.02%-6.06%-2.41%-0.77%-3.80%
20161-0.77%$46,627-0.64%$30,639-0.14%$28,198-4.98%$24,008-4.98%2.15%3.33%0.01%-15.38%17.74%8.43%-10.37%
201622.55%$47,8151.58%$31,1231.66%$28,666-0.15%$23,974-0.08%0.55%1.49%0.03%-1.68%8.71%4.07%-0.62%
201637.02%$51,1715.13%$32,7194.57%$29,9756.78%$25,5986.72%0.24%-0.06%0.03%21.50%-0.64%-0.19%13.98%
20164-0.27%$51,033-0.10%$32,688-0.12%$29,9390.37%$25,6940.39%-0.14%-0.16%0.02%0.81%-2.39%-1.10%0.60%
201652.35%$52,2351.64%$33,2241.49%$30,3861.78%$26,1521.70%-0.22%-0.10%0.02%4.65%1.86%1.02%3.18%
201666.05%$55,3933.97%$34,5434.02%$31,6060.25%$26,2170.35%1.81%3.09%0.03%-0.20%21.23%9.72%0.16%
201675.99%$58,7134.15%$35,9763.77%$32,7993.68%$27,1813.65%0.06%0.25%0.02%11.13%6.07%3.35%7.40%
20168-1.08%$58,079-0.68%$35,730-0.69%$32,5730.13%$27,2160.12%-0.72%-1.01%0.02%0.11%-3.58%-1.47%0.10%
20169-1.23%$57,363-0.66%$35,495-0.63%$32,3670.01%$27,2180.01%0.34%0.24%0.03%-0.54%-4.78%-2.34%-0.28%
201610-5.88%$53,988-3.79%$34,148-3.60%$31,202-1.83%$26,719-1.73%-0.62%-1.49%0.02%-5.62%-13.32%-6.18%-3.68%
201611-2.13%$52,840-1.56%$33,614-1.92%$30,6033.70%$27,7083.68%-2.19%-4.23%0.03%11.05%-23.91%-11.49%7.23%
2016122.50%$54,1591.72%$34,1911.50%$31,0611.96%$28,2512.03%0.02%-0.12%0.04%5.96%-0.99%-0.31%4.00%
201712.53%$55,5261.93%$34,8521.76%$31,6091.88%$28,7831.79%0.29%0.22%0.04%5.14%1.49%1.25%3.47%
201726.06%$58,8894.12%$36,2863.69%$32,7753.96%$29,9243.93%0.26%0.72%0.04%11.91%4.41%1.95%7.83%
20173-0.56%$58,559-0.22%$36,206-0.20%$32,7090.10%$29,9540.13%0.11%0.08%0.04%-0.22%-2.35%-0.97%-0.02%
201742.52%$60,0351.69%$36,8191.60%$33,2331.02%$30,2590.99%0.66%1.11%0.06%2.77%4.43%1.84%1.85%
201753.06%$61,8702.32%$37,6732.20%$33,9651.39%$30,6811.41%0.44%0.83%0.07%3.70%5.17%3.20%2.55%
201761.03%$62,5060.70%$37,9350.65%$34,1840.61%$30,8680.64%-0.31%-0.51%0.08%1.51%1.98%1.26%1.04%
201771.88%$63,6791.43%$38,4771.24%$34,6072.04%$31,4992.06%0.37%0.38%0.08%5.87%-2.43%-1.26%3.95%
201782.95%$65,5572.02%$39,2542.03%$35,3100.29%$31,5910.29%0.76%1.46%0.09%0.21%10.13%4.89%0.31%
201790.08%$65,6110.19%$39,330-0.00%$35,3092.06%$32,2422.01%-0.79%-1.44%0.08%5.69%-7.29%-3.35%3.82%
2017102.56%$67,2901.89%$40,0741.66%$35,8952.32%$32,9892.36%-0.19%-0.19%0.09%6.83%-0.53%0.09%4.53%
2017113.99%$69,9742.85%$41,2162.53%$36,8023.06%$33,9983.06%-0.37%-0.28%0.09%8.87%1.73%1.35%5.87%
2017122.68%$71,8521.97%$42,0271.84%$37,4811.10%$34,3731.21%-0.01%0.18%0.10%3.45%5.04%3.16%2.36%
201814.07%$74,7752.89%$43,2402.18%$38,2995.71%$36,3365.64%-1.22%-2.15%0.11%18.22%-9.77%-4.27%11.17%
20182-7.82%$68,930-5.06%$41,053-4.41%$36,611-3.69%$34,994-3.64%-0.37%-0.93%0.12%-13.53%-9.57%-4.29%-8.07%
20183-1.57%$67,849-0.99%$40,648-0.66%$36,371-2.56%$34,100-2.74%0.60%1.16%0.14%-8.69%8.44%4.12%-5.54%
20184-1.85%$66,596-1.01%$40,239-0.97%$36,0170.37%$34,2270.52%-0.77%-1.28%0.14%-0.14%-6.71%-2.77%0.20%
201854.25%$69,4262.95%$41,4262.74%$37,0052.39%$35,0472.43%0.74%0.99%0.15%6.46%5.27%2.33%4.41%
201860.95%$70,0860.84%$41,7760.82%$37,3070.61%$35,2590.58%-0.00%0.20%0.16%1.29%1.49%1.35%1.02%
201873.00%$72,1902.20%$42,6961.84%$37,9923.71%$36,5673.70%-0.28%-0.53%0.16%10.73%-4.70%-2.21%7.09%
201884.89%$75,7183.47%$44,1793.14%$39,1873.25%$37,7543.19%0.68%1.01%0.17%9.09%3.36%1.65%6.15%
20189-1.72%$74,413-1.09%$43,696-1.14%$38,7400.55%$37,9630.59%-0.66%-1.20%0.17%1.20%-8.77%-4.10%0.89%
201810-10.68%$66,464-7.31%$40,502-6.63%$36,170-6.85%$35,363-6.91%0.07%-0.30%0.18%-20.78%-9.11%-4.61%-14.01%
2018113.36%$68,7002.43%$41,4872.34%$37,0172.03%$36,0791.85%0.82%1.33%0.19%4.28%4.76%2.18%3.15%
201812-4.55%$65,571-3.65%$39,971-3.01%$35,905-9.04%$32,818-8.79%1.78%2.80%0.19%-26.25%17.93%8.08%-17.72%
201919.81%$72,0056.92%$42,7396.11%$38,0988.00%$35,4448.01%0.52%0.65%0.20%23.89%0.41%0.18%15.73%
201922.86%$74,0612.15%$43,6571.76%$38,7673.20%$36,5783.24%-0.22%-0.52%0.20%9.28%-4.52%-1.77%6.21%
201936.42%$78,8194.32%$45,5444.16%$40,3781.94%$37,2871.81%1.56%2.66%0.20%4.85%17.00%7.50%3.45%
201942.99%$81,1792.30%$46,5911.89%$41,1414.04%$38,7944.09%-0.05%-0.52%0.20%11.81%-6.56%-3.00%7.72%
20195-2.52%$79,130-1.93%$45,691-1.22%$40,641-6.36%$36,324-6.38%1.81%3.05%0.20%-18.89%21.11%9.74%-12.77%
201968.68%$86,0026.16%$48,5075.53%$42,8897.03%$38,8796.96%0.87%1.22%0.19%21.37%1.90%0.75%14.09%
201971.66%$87,4301.27%$49,1211.14%$43,3781.43%$39,4331.51%-0.16%0.04%0.17%3.80%0.32%0.44%2.52%
201987.16%$93,6894.15%$51,1594.42%$45,297-1.59%$38,806-1.67%2.09%3.95%0.17%-6.62%35.11%15.47%-4.04%
20199-1.16%$92,604-0.07%$51,125-0.22%$45,1991.86%$39,5271.95%-0.58%-1.19%0.16%5.30%-9.07%-3.50%3.62%
2019101.42%$93,9181.20%$51,7391.03%$45,6652.15%$40,3792.21%0.29%0.19%0.15%5.70%-4.11%-1.99%4.00%
2019113.76%$97,4482.83%$53,2012.44%$46,7773.62%$41,8413.62%-0.37%-0.69%0.13%10.73%-2.01%-0.08%7.07%
2019121.18%$98,5990.98%$53,7230.65%$47,0803.01%$43,0992.90%-0.16%-0.93%0.13%8.38%-10.05%-4.56%5.65%
202016.55%$105,0564.00%$55,8704.04%$48,984-0.05%$43,077-0.04%1.84%3.47%0.13%-0.91%23.80%10.32%-0.44%
20202-2.77%$102,148-2.79%$54,312-2.07%$47,968-8.24%$39,527-7.92%1.89%2.96%0.13%-23.04%17.91%8.24%-15.46%
20203-8.65%$93,311-5.69%$51,220-4.51%$45,805-12.37%$34,637-12.46%2.49%3.72%0.10%-48.13%11.91%8.03%-29.80%
2020415.74%$108,00111.36%$57,03710.16%$50,45812.81%$39,07512.70%0.12%0.27%0.01%37.17%2.68%2.35%25.18%
202054.70%$113,0743.46%$59,0132.88%$51,9104.76%$40,9334.76%0.32%0.33%0.01%13.38%-6.48%-3.23%9.16%
202061.94%$115,2661.56%$59,9331.50%$52,6871.98%$41,7431.78%0.12%0.04%0.01%3.23%0.54%0.47%2.95%
2020710.56%$127,4427.08%$64,1796.48%$56,1035.63%$44,0925.89%0.38%0.85%0.01%17.70%13.13%6.29%11.69%
202084.86%$133,6383.89%$66,6782.98%$57,7737.18%$47,2566.98%-0.27%-0.97%0.01%22.05%-14.89%-6.73%14.29%
20209-4.93%$127,045-3.27%$64,494-2.64%$56,246-3.81%$45,455-3.74%0.08%0.33%0.01%-12.26%2.15%1.07%-7.97%
202010-6.15%$119,230-3.93%$61,960-3.62%$54,210-2.67%$44,241-2.49%-0.44%-1.38%0.01%-8.48%-10.35%-4.49%-5.38%
20201114.76%$136,83210.14%$68,2408.97%$59,07310.94%$49,07910.88%0.14%0.34%0.01%35.20%4.24%2.42%22.51%
2020124.34%$142,7642.82%$70,1662.34%$60,4573.84%$50,9633.71%0.11%-0.24%0.01%11.14%-2.32%-1.74%7.36%
20211-4.34%$136,562-2.63%$68,321-2.49%$58,952-1.02%$50,443-1.02%-0.28%-1.09%0.01%-3.71%-10.84%-4.70%-2.30%
20212-1.27%$134,823-0.69%$67,847-0.93%$58,4052.75%$51,8322.78%-1.10%-2.36%0.01%7.74%-16.79%-7.74%5.29%
202132.26%$137,8711.63%$68,9491.15%$59,0764.37%$54,0974.54%-0.84%-2.39%0.00%13.33%-15.40%-6.27%8.95%
Portfolio return and risk metrics
Metric50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSOVanguard 500 Index Investor
Arithmetic Mean (monthly)1.98%1.43%1.31%1.28%
Arithmetic Mean (annualized)26.47%18.51%16.84%16.55%
Geometric Mean (monthly)1.88%1.38%1.27%1.20%
Geometric Mean (annualized)25.02%17.86%16.32%15.45%
Volatility (monthly)4.48%3.07%2.76%4.02%
Volatility (annualized)15.53%10.64%9.56%13.92%
Downside Deviation (monthly)2.23%1.50%1.34%2.39%
Max. Drawdown-13.40%-9.52%-8.38%-19.63%
US Market Correlation0.720.750.691.00
Beta(*)0.810.580.481.00
Alpha (annualized)11.22%8.09%8.23%0.00%
R252.81%58.49%49.35%100.00%
Sharpe Ratio1.491.561.581.07
Sortino Ratio2.973.133.221.78
Treynor Ratio (%)28.6228.3631.3914.90
Calmar Ratio1.992.022.100.85
Active Return9.57%2.41%0.87%N/A
Tracking Error10.99%8.97%9.91%N/A
Information Ratio0.870.270.09N/A
Skewness-0.02-0.00-0.01-0.36
Excess Kurtosis0.490.600.481.08
Historical Value-at-Risk (5%)-5.26%-3.65%-3.33%-6.05%
Analytical Value-at-Risk (5%)-5.68%-3.74%-3.31%-5.33%
Conditional Value-at-Risk (5%)-7.56%-5.01%-4.45%-8.27%
Upside Capture Ratio (%)108.2875.9565.41100.00
Downside Capture Ratio (%)51.8737.4426.39100.00
Safe Withdrawal Rate26.22%19.55%18.28%17.05%
Perpetual Withdrawal Rate18.30%13.44%12.32%11.67%
Positive Periods96 out of 141 (68.09%)97 out of 141 (68.79%)96 out of 141 (68.09%)99 out of 141 (70.21%)
Gain/Loss Ratio1.421.461.530.94
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for 50 NTSX, 25 TMF, 25 UPRO

Drawdowns for 50 NTSX, 25 TMF, 25 UPRO (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-13.40%
2Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-11.80%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-11.18%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-10.94%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-10.78%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-10.00%
7May 2013Aug 20134 monthsOct 20132 months6 months-8.99%
8Jan 2021Feb 20212 months-5.56%
9Dec 2009Jan 20102 monthsMar 20102 months4 months-5.29%
10Oct 2009Oct 20091 monthNov 20091 month2 months-4.97%
Worst 10 drawdowns included above

Drawdowns for 60 NTSX, 30 EDV, 10 UPRO

Drawdowns for 60 NTSX, 30 EDV, 10 UPRO (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-9.52%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-8.32%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.58%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-7.07%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-6.94%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-6.57%
7May 2013Aug 20134 monthsOct 20132 months6 months-5.49%
8Dec 2009Jan 20102 monthsMar 20102 months4 months-3.63%
9Oct 2009Oct 20091 monthNov 20091 month2 months-3.59%
10Jan 2021Feb 20212 months-3.31%
Worst 10 drawdowns included above

Drawdowns for 60 NTSX, 30 EDV, 10 SSO

Drawdowns for 60 NTSX, 30 EDV, 10 SSO (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-8.38%
2Aug 2016Nov 20164 monthsApr 20175 months9 months-6.69%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.66%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-6.49%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.17%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-5.96%
7May 2013Aug 20134 monthsOct 20132 months6 months-5.68%
8Dec 2009Jan 20102 monthsMar 20102 months4 months-3.45%
9Jan 2021Feb 20212 months-3.39%
10Oct 2009Oct 20091 monthNov 20091 month2 months-3.33%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
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 Trust15.50%13.88%32.31%-4.56%-19.43%1.071.791.00
IEIiShares 3-7 Year Treasury Bond ETF2.95%3.16%8.30%-2.20%-3.68%0.781.36-0.36
IEFiShares 7-10 Year Treasury Bond ETF4.07%5.77%15.64%-6.09%-7.60%0.631.08-0.42
CASHXCash0.52%0.22%2.13%0.02%0.00%N/AN/A-0.11
UPROProShares UltraPro S&P50036.44%43.68%118.49%-25.15%-60.44%0.931.510.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF8.99%39.47%109.14%-39.01%-50.20%0.390.70-0.44
EDVVanguard Extended Duration Trs ETF7.83%19.59%56.08%-19.86%-26.75%0.450.82-0.45
SSOProShares Ultra S&P50027.07%28.56%70.46%-14.62%-40.91%0.971.581.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIEIIEFCASHXUPROTMFEDVSSO50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSOVanguard 500 Index Investor
SPYSPDR S&P 500 ETF Trust1.00-0.35-0.41-0.101.00-0.43-0.441.000.730.770.701.00
IEIiShares 3-7 Year Treasury Bond ETF-0.351.000.960.12-0.360.770.72-0.350.210.180.25-0.35
IEFiShares 7-10 Year Treasury Bond ETF-0.410.961.000.10-0.420.900.87-0.410.240.200.28-0.41
CASHXCash-0.100.120.101.00-0.100.090.08-0.10-0.05-0.06-0.05-0.10
UPROProShares UltraPro S&P5001.00-0.36-0.42-0.101.00-0.43-0.441.000.730.760.701.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.430.770.900.09-0.431.000.99-0.430.290.240.33-0.43
EDVVanguard Extended Duration Trs ETF-0.440.720.870.08-0.440.991.00-0.440.280.230.32-0.44
SSOProShares Ultra S&P5001.00-0.35-0.41-0.101.00-0.43-0.441.000.730.760.701.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerName50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSO
SPYSPDR S&P 500 ETF Trust$42,983$31,444$28,662
IEIiShares 3-7 Year Treasury Bond ETF$1,418$1,119$1,022
IEFiShares 7-10 Year Treasury Bond ETF$3,304$2,811$2,595
CASHXCash-$1,072-$757-$676
UPROProShares UltraPro S&P500$66,085$16,126
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$15,152
EDVVanguard Extended Duration Trs ETF$8,205$7,594
SSOProShares Ultra S&P500$9,878

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSO
SPYSPDR S&P 500 ETF Trust28.98%53.34%54.72%
IEIiShares 3-7 Year Treasury Bond ETF0.43%0.64%1.00%
IEFiShares 7-10 Year Treasury Bond ETF1.73%2.55%4.05%
CASHXCash0.02%0.04%0.03%
UPROProShares UltraPro S&P50050.66%30.97%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF18.18%
EDVVanguard Extended Duration Trs ETF12.47%19.39%
SSOProShares Ultra S&P50020.81%

Annual Asset Returns

Rolling returns summary
Roll Period50 NTSX, 25 TMF, 25 UPRO60 NTSX, 30 EDV, 10 UPRO60 NTSX, 30 EDV, 10 SSOVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year25.02%54.13%-8.74%17.61%35.22%-4.89%16.24%33.96%-4.21%13.90%56.19%-7.11%
3 years22.28%38.26%10.91%15.98%25.86%8.62%14.70%23.91%7.85%13.45%22.80%4.96%
5 years21.48%32.93%13.47%15.46%22.56%10.06%14.23%20.85%9.58%13.27%18.67%6.58%
7 years21.47%27.71%16.60%15.47%19.37%12.25%14.23%17.87%11.12%13.32%16.74%9.47%
10 years23.44%25.02%21.68%16.75%17.85%15.47%15.46%16.35%14.48%13.33%15.00%10.37%