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 - Apr 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 300.00%
BIL SPDR Blmbg Barclays 1-3 Mth T-Bill ETF -200.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$447,529 37.88% 43.68%118.49%-25.15%-60.44% 0.961.550.99
Portfolio 2$10,000$820,376 45.13% 41.73%123.50%-21.95%-52.89% 1.101.851.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 141.85%36.59%177.11%34.68%38.02%30.98%37.88%58.68%47.56%
Portfolio 242.70%38.33%187.03%45.82%47.21%38.63%45.13%55.43%44.83%
Trailing annualized return and volatility are for full months ending in April 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 April
  • 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 monthly 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 2ProShares UltraPro S&P500 (UPRO)SPDR S&P 500 ETF Trust (SPY)SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
ReturnBalanceReturnBalance
20090.12%74.02%$17,40277.41%$17,74174.02%22.43%0.03%
20101.50%36.34%$23,72637.32%$24,36236.34%15.06%-0.04%
20112.96%-11.88%$20,908-0.91%$24,140-11.88%1.89%-0.04%
20121.74%46.80%$30,69250.58%$36,34946.80%15.99%-0.04%
20131.50%118.49%$67,060123.50%$81,239118.49%32.31%-0.09%
20140.76%38.00%$92,54543.11%$116,26538.00%13.46%-0.07%
20150.73%-5.24%$87,691-0.93%$115,184-5.24%1.25%-0.13%
20162.07%30.79%$114,68735.98%$156,63030.79%12.00%0.11%
20172.11%71.37%$196,54475.59%$275,02971.37%21.70%0.69%
20181.91%-25.15%$147,119-21.95%$214,668-25.15%-4.56%1.74%
20192.29%102.31%$297,640104.61%$439,223102.31%31.22%2.03%
20201.36%10.08%$327,63735.02%$593,04410.08%18.37%0.40%
20210.98%36.59%$447,52938.33%$820,37636.59%11.98%-0.02%
Annual return for 2009 is from 07/01/2009 to 12/31/2009 and annual return for 2021 is from 01/01/2021 to 04/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2ProShares UltraPro S&P500 (UPRO)SPDR S&P 500 ETF Trust (SPY)SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
ReturnBalanceReturnBalance
2009722.17%$12,21722.51%$12,25122.17%7.46%-0.06%
2009810.97%$13,55810.94%$13,59110.97%3.69%0.07%
2009910.33%$14,95810.58%$15,03010.33%3.55%0.03%
200910-6.90%$13,926-5.78%$14,162-6.90%-1.92%0.00%
20091118.79%$16,54318.56%$16,79118.79%6.16%-0.04%
2009125.20%$17,4025.66%$17,7415.20%1.91%0.03%
20101-11.19%$15,455-10.90%$15,807-11.19%-3.63%0.00%
201028.94%$16,8369.40%$17,2938.94%3.12%-0.02%
2010318.90%$20,01918.27%$20,45318.90%6.09%0.00%
201044.08%$20,8354.73%$21,4204.08%1.55%-0.04%
20105-24.15%$15,804-23.92%$16,295-24.15%-7.95%0.04%
20106-16.58%$13,184-15.57%$13,758-16.58%-5.17%0.02%
2010721.17%$15,97520.58%$16,59021.17%6.83%-0.04%
20108-13.46%$13,825-13.49%$14,351-13.46%-4.50%0.00%
2010927.94%$17,68826.87%$18,20727.94%8.96%0.00%
20101011.44%$19,71211.42%$20,28511.44%3.82%0.02%
201011-0.82%$19,5500.00%$20,285-0.82%0.00%0.00%
20101221.36%$23,72620.10%$24,36221.36%6.68%-0.02%
201116.56%$25,2846.99%$26,0656.56%2.33%0.00%
2011210.39%$27,91110.42%$28,78110.39%3.47%0.00%
20113-0.80%$27,6880.03%$28,790-0.80%0.01%0.00%
201148.73%$30,1068.69%$31,2928.73%2.90%0.00%
20115-3.93%$28,922-3.41%$30,225-3.93%-1.12%0.02%
20116-5.87%$27,223-5.07%$28,694-5.87%-1.69%0.00%
20117-6.39%$25,483-6.00%$26,972-6.39%-2.00%0.00%
20118-21.09%$20,109-16.49%$22,524-21.09%-5.50%0.00%
20119-20.69%$15,948-20.79%$17,841-20.69%-6.94%-0.02%
20111032.61%$21,14832.83%$23,69832.61%10.91%-0.04%
201111-3.35%$20,439-1.26%$23,399-3.35%-0.41%0.02%
2011122.30%$20,9083.17%$24,1402.30%1.04%-0.02%
2012113.90%$23,81413.96%$27,50913.90%4.64%-0.02%
2012213.24%$26,96712.98%$31,07913.24%4.34%0.02%
201239.29%$29,4739.69%$34,0919.29%3.22%-0.02%
20124-2.38%$28,771-2.05%$33,393-2.38%-0.67%0.02%
20125-17.35%$23,779-18.02%$27,377-17.35%-6.01%0.00%
2012611.47%$26,50712.25%$30,72911.47%4.05%-0.04%
201273.52%$27,4393.55%$31,8203.52%1.18%0.00%
201286.53%$29,2297.52%$34,2116.53%2.51%0.00%
201297.52%$31,4277.61%$36,8137.52%2.54%0.00%
201210-5.96%$29,553-5.50%$34,787-5.96%-1.82%0.02%
2012111.01%$29,8521.74%$35,3931.01%0.57%-0.02%
2012122.82%$30,6922.70%$36,3492.82%0.90%0.00%
2013115.39%$35,41515.36%$41,93115.39%5.12%0.00%
201323.56%$36,6783.83%$43,5363.56%1.28%0.00%
2013311.03%$40,72411.39%$48,49611.03%3.80%0.00%
201345.45%$42,9435.81%$51,3125.45%1.92%-0.02%
201356.80%$45,8657.04%$54,9246.80%2.36%0.02%
20136-5.23%$43,469-3.96%$52,747-5.23%-1.34%-0.02%
2013716.41%$50,60215.50%$60,92416.41%5.17%0.00%
20138-9.21%$45,939-9.00%$55,442-9.21%-3.00%0.00%
201399.60%$50,3499.55%$60,7369.60%3.17%-0.02%
20131013.76%$57,27713.94%$69,20013.76%4.63%-0.02%
2013118.87%$62,3608.93%$75,3838.87%2.96%-0.02%
2013127.54%$67,0607.77%$81,2397.54%2.59%0.00%
20141-10.72%$59,874-10.57%$72,648-10.72%-3.52%0.00%
2014213.65%$68,04913.61%$82,53713.65%4.55%0.02%
201432.15%$69,5112.54%$84,6312.15%0.83%-0.02%
201441.65%$70,6602.09%$86,3961.65%0.70%0.00%
201456.62%$75,3396.96%$92,4116.62%2.32%0.00%
201466.22%$80,0286.23%$98,1726.22%2.06%-0.02%
20147-4.44%$76,475-3.99%$94,257-4.44%-1.34%-0.02%
2014811.95%$85,61611.80%$105,37511.95%3.95%0.02%
20149-4.44%$81,818-4.14%$101,015-4.44%-1.38%0.00%
2014106.03%$86,7547.11%$108,1966.03%2.36%-0.02%
2014118.34%$93,9908.24%$117,1138.34%2.75%0.00%
201412-1.54%$92,545-0.72%$116,265-1.54%-0.26%-0.02%
20151-9.47%$83,780-8.85%$105,982-9.47%-2.96%-0.02%
2015217.48%$98,42816.86%$123,85117.48%5.62%0.00%
20153-5.28%$93,231-4.72%$118,002-5.28%-1.57%0.00%
201542.59%$95,6482.99%$121,5352.59%0.98%-0.02%
201553.43%$98,9323.90%$126,2753.43%1.29%-0.02%
20156-6.21%$92,790-6.09%$118,588-6.21%-2.03%0.00%
201576.17%$98,5196.78%$126,6256.17%2.26%0.00%
20158-18.87%$79,933-18.29%$103,472-18.87%-6.10%0.00%
20159-8.64%$73,030-7.54%$95,668-8.64%-2.54%-0.04%
20151026.79%$92,59425.56%$120,12226.79%8.51%-0.02%
2015110.81%$93,3491.05%$121,3860.81%0.37%0.02%
201512-6.06%$87,691-5.11%$115,184-6.06%-1.72%-0.02%
20161-15.38%$74,206-14.98%$97,930-15.38%-4.98%0.02%
20162-1.68%$72,959-0.25%$97,687-1.68%-0.08%0.00%
2016321.50%$88,64420.17%$117,39421.50%6.72%0.00%
201640.81%$89,3581.09%$118,6790.81%0.39%0.04%
201654.65%$93,5175.10%$124,7364.65%1.70%0.00%
20166-0.20%$93,3261.09%$126,099-0.20%0.35%-0.02%
2016711.13%$103,71610.85%$139,78511.13%3.65%0.04%
201680.11%$103,8280.36%$140,2870.11%0.12%0.00%
20169-0.54%$103,272-0.02%$140,259-0.54%0.01%0.02%
201610-5.62%$97,466-5.24%$132,902-5.62%-1.73%0.02%
20161111.05%$108,23611.14%$147,70611.05%3.68%-0.04%
2016125.96%$114,6876.04%$156,6305.96%2.03%0.02%
201715.14%$120,5775.28%$164,9015.14%1.79%0.04%
2017211.91%$134,93711.69%$184,17311.91%3.93%0.05%
20173-0.22%$134,6430.41%$184,932-0.22%0.13%-0.02%
201742.77%$138,3732.83%$190,1642.77%0.99%0.07%
201753.70%$143,4924.20%$198,1573.70%1.41%0.02%
201761.51%$145,6661.71%$201,5391.51%0.64%0.10%
201775.87%$154,2206.10%$213,8345.87%2.06%0.03%
201780.21%$154,5430.65%$215,2190.21%0.29%0.11%
201795.69%$163,3365.90%$227,9145.69%2.01%0.07%
2017106.83%$174,4996.93%$243,7076.83%2.36%0.07%
2017118.87%$189,9819.06%$265,7888.87%3.06%0.05%
2017123.45%$196,5443.48%$275,0293.45%1.21%0.07%
2018118.22%$232,34716.65%$320,80918.22%5.64%0.13%
20182-13.53%$200,906-11.07%$285,282-13.53%-3.64%0.08%
20183-8.69%$183,452-8.48%$261,077-8.69%-2.74%0.13%
20184-0.14%$183,1991.34%$264,583-0.14%0.52%0.10%
201856.46%$195,0436.99%$283,0866.46%2.43%0.15%
201861.29%$197,5501.43%$287,1341.29%0.58%0.15%
2018710.73%$218,74610.84%$318,25010.73%3.70%0.14%
201889.09%$238,6369.26%$347,7189.09%3.19%0.16%
201891.20%$241,4941.51%$352,9521.20%0.59%0.14%
201810-20.78%$191,315-21.07%$278,578-20.78%-6.91%0.17%
2018114.28%$199,4955.19%$293,0464.28%1.85%0.19%
201812-26.25%$147,119-26.75%$214,668-26.25%-8.79%0.18%
2019123.89%$182,27123.67%$265,48023.89%8.01%0.17%
201929.28%$199,1919.36%$290,3189.28%3.24%0.18%
201934.85%$208,8555.07%$305,0494.85%1.81%0.17%
2019411.81%$233,52111.87%$341,26311.81%4.09%0.19%
20195-18.89%$189,402-19.55%$274,529-18.89%-6.38%0.21%
2019621.37%$229,88020.52%$330,85121.37%6.96%0.18%
201973.80%$238,6254.18%$344,6663.80%1.51%0.18%
20198-6.62%$222,833-5.36%$326,187-6.62%-1.67%0.17%
201995.30%$234,6355.52%$344,1965.30%1.95%0.16%
2019105.70%$248,0076.31%$365,9165.70%2.21%0.16%
20191110.73%$274,62510.64%$404,86210.73%3.62%0.11%
2019128.38%$297,6408.49%$439,2238.38%2.90%0.11%
20201-0.91%$294,919-0.36%$437,634-0.91%-0.04%0.12%
20202-23.04%$226,982-23.99%$332,665-23.04%-7.92%0.12%
20203-48.13%$117,737-37.80%$206,915-48.13%-12.46%0.20%
2020437.17%$161,50038.13%$285,82037.17%12.70%-0.02%
2020513.38%$183,10414.33%$326,77413.38%4.76%-0.02%
202063.23%$189,0275.33%$344,1853.23%1.78%0.00%
2020717.70%$222,47717.65%$404,91917.70%5.89%0.01%
2020822.05%$271,52420.94%$489,70522.05%6.98%0.00%
20209-12.26%$238,244-11.18%$434,976-12.26%-3.74%-0.02%
202010-8.48%$218,046-7.50%$402,344-8.48%-2.49%0.01%
20201135.20%$294,79032.65%$533,72935.20%10.88%-0.01%
20201211.14%$327,63711.11%$593,04411.14%3.71%0.00%
20211-3.71%$315,488-3.06%$574,914-3.71%-1.02%0.00%
202127.74%$339,9148.36%$622,9977.74%2.78%-0.01%
2021313.33%$385,22913.64%$707,99513.33%4.54%-0.01%
2021416.17%$447,52915.87%$820,37616.17%5.29%0.00%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity100.00%0.05%0.93%$437,529100.00%

Asset Allocation

Fund fundamentals data as of 05/11/2021. (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)3.54%3.88%
Arithmetic Mean (annualized)51.74%57.98%
Geometric Mean (monthly)2.71%3.15%
Geometric Mean (annualized)37.88%45.13%
Volatility (monthly)12.61%12.05%
Volatility (annualized)43.68%41.73%
Downside Deviation (monthly)7.76%7.17%
Max. Drawdown-60.44%-52.89%
US Market Correlation0.991.00
Beta(*)3.002.87
Alpha (annualized)-5.56%0.65%
R298.78%99.23%
Sharpe Ratio0.961.10
Sortino Ratio1.551.85
Treynor Ratio (%)13.9716.05
Calmar Ratio0.570.87
Active Return21.85%29.10%
Tracking Error29.34%27.35%
Information Ratio0.741.06
Skewness-0.48-0.37
Excess Kurtosis1.761.09
Historical Value-at-Risk (5%)-18.89%-18.27%
Analytical Value-at-Risk (5%)-17.20%-15.86%
Conditional Value-at-Risk (5%)-25.38%-24.02%
Upside Capture Ratio (%)355.17363.82
Downside Capture Ratio (%)293.74272.76
Safe Withdrawal Rate38.96%44.56%
Perpetual Withdrawal Rate25.94%29.58%
Positive Periods95 out of 142 (66.90%)99 out of 142 (69.72%)
Gain/Loss Ratio1.030.97
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsDec 20209 months1 year-60.44%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-47.03%
3Oct 2018Dec 20183 monthsOct 201910 months1 year 1 month-39.08%
4May 2010Jun 20102 monthsDec 20106 months8 months-36.72%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-26.25%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-21.15%
7Jan 2010Jan 20101 monthMar 20102 months3 months-11.19%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-10.86%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-10.72%
10Aug 2013Aug 20131 monthOct 20132 months3 months-9.21%
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-52.89%
2May 2011Sep 20115 monthsMar 20126 months11 months-42.99%
3Oct 2018Dec 20183 monthsOct 201910 months1 year 1 month-39.18%
4May 2010Jun 20102 monthsDec 20106 months8 months-35.77%
5Aug 2015Sep 20152 monthsJul 201610 months1 year-24.45%
6Apr 2012May 20122 monthsAug 20123 months5 months-19.69%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-18.62%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-17.84%
9Jan 2010Jan 20101 monthMar 20102 months3 months-10.90%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-10.57%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50037.88%43.68%118.49%-25.15%-60.44%0.961.550.99
SPYSPDR S&P 500 ETF Trust15.89%13.88%32.31%-4.56%-19.43%1.101.841.00
BILSPDR Blmbg Barclays 1-3 Mth T-Bill ETF0.38%0.23%2.03%-0.13%-0.42%-1.67-1.72-0.20

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROSPYBILPortfolio 1Portfolio 2
UPROProShares UltraPro S&P5001.001.00-0.201.001.00
SPYSPDR S&P 500 ETF Trust1.001.00-0.191.001.00
BILSPDR Blmbg Barclays 1-3 Mth T-Bill ETF-0.20-0.191.00-0.20-0.20

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
UPROProShares UltraPro S&P500$437,529
SPYSPDR S&P 500 ETF Trust$838,710
BILSPDR Blmbg Barclays 1-3 Mth T-Bill ETF-$28,333

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
UPROProShares UltraPro S&P500100.00%
SPYSPDR S&P 500 ETF Trust99.77%
BILSPDR Blmbg Barclays 1-3 Mth T-Bill ETF0.23%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year35.69%227.19%-43.63%42.34%242.17%-32.17%
3 years32.55%72.47%-4.37%38.60%78.23%3.81%
5 years32.69%51.58%4.78%38.54%57.91%11.89%
7 years32.58%47.44%16.38%38.43%53.17%23.03%
10 years30.42%36.82%19.38%36.91%42.33%26.04%