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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jul 2006 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 200.00%
CASHX Cash -100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SSO ProShares Ultra S&P500 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$44,997 11.86% 31.14%64.35%-75.17%-85.70% 0.500.680.98
Portfolio 2$10,000$46,252 12.09% 29.24%70.46%-67.94%-81.35% 0.510.720.99
   
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 2006 are based on full calendar months from July to December
  • The annual results for 2019 are based on full calendar months from January to November
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual 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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Cash (CASHX)ProShares Ultra S&P500 (SSO)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
2006-0.54%22.73%22.63%$12,273$12,26312.66%2.49%22.63%
20074.08%6.18%1.04%$13,032$12,3905.39%4.67%1.04%
20080.09%-75.17%-67.94%$3,235$3,972-37.02%1.59%-67.94%
20092.72%52.86%47.26%$4,946$5,85026.49%0.09%47.26%
20101.50%29.72%26.83%$6,415$7,42014.91%0.10%26.83%
20112.96%3.89%-2.92%$6,665$7,2031.97%0.04%-2.92%
20121.74%31.59%31.04%$8,770$9,43915.82%0.06%31.04%
20131.50%64.35%70.46%$14,414$16,09032.18%0.00%70.46%
20140.76%27.02%25.53%$18,309$20,19813.51%0.00%25.53%
20150.73%2.49%-1.19%$18,764$19,9561.25%0.01%-1.19%
20162.07%23.41%21.55%$23,156$24,25611.82%0.21%21.55%
20172.11%42.48%44.35%$32,994$35,01421.67%0.79%44.35%
20181.91%-10.70%-14.62%$29,462$29,895-4.52%1.80%-14.62%
20192.43%52.73%54.71%$44,997$46,25227.50%2.09%54.71%
Annual returns for 2006 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Cash (CASHX)ProShares Ultra S&P500 (SSO)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200670.81%0.48%$10,081$10,0480.61%0.40%0.48%
200684.29%4.25%$10,514$10,4752.36%0.42%4.25%
200694.61%4.69%$10,999$10,9672.56%0.41%4.69%
2006105.83%5.52%$11,640$11,5723.25%0.41%5.52%
2006113.15%3.35%$12,007$11,9611.89%0.42%3.35%
2006122.22%2.52%$12,273$12,2631.39%0.40%2.52%
200712.55%2.12%$12,586$12,5231.49%0.44%2.12%
20072-4.26%-4.57%$12,050$11,950-1.97%0.38%-4.57%
200731.81%1.90%$12,267$12,1771.11%0.43%1.90%
200748.40%8.57%$13,297$13,2204.42%0.44%8.57%
200756.31%6.17%$14,136$14,0353.48%0.41%6.17%
20076-3.48%-3.77%$13,644$13,506-1.68%0.40%-3.77%
20077-6.22%-7.04%$12,796$12,556-3.08%0.40%-7.04%
200782.53%1.10%$13,120$12,6951.50%0.42%1.10%
200796.91%7.78%$14,026$13,6823.72%0.32%7.78%
2007102.68%2.11%$14,402$13,9701.58%0.32%2.11%
200711-8.04%-8.50%$13,244$12,782-4.19%0.34%-8.50%
200712-1.60%-3.07%$13,032$12,390-0.70%0.27%-3.07%
20081-12.24%-12.86%$11,437$10,796-6.02%0.21%-12.86%
20082-7.10%-5.42%$10,624$10,211-3.25%0.13%-5.42%
20083-1.19%-3.07%$10,498$9,898-0.44%0.17%-3.07%
2008410.66%9.35%$11,616$10,8234.85%0.18%9.35%
200852.54%2.36%$11,911$11,0781.29%0.18%2.36%
20086-17.86%-16.28%$9,785$9,275-8.44%0.17%-16.28%
20087-2.14%-2.55%$9,575$9,038-0.83%0.15%-2.55%
200883.24%2.25%$9,885$9,2421.45%0.13%2.25%
20089-20.84%-19.63%$7,825$7,428-8.91%0.15%-19.63%
200810-44.89%-34.93%$4,312$4,833-16.79%0.08%-34.93%
200811-28.95%-16.98%$3,064$4,013-7.17%0.03%-16.98%
2008125.61%-1.00%$3,235$3,9721.07%0.00%-1.00%
20091-16.83%-16.48%$2,691$3,318-8.41%0.00%-16.48%
20092-23.48%-21.10%$2,059$2,618-10.66%0.01%-21.10%
2009322.49%14.58%$2,522$2,9998.76%0.02%14.58%
2009421.81%20.32%$3,072$3,6099.56%0.01%20.32%
2009511.53%11.20%$3,427$4,0135.62%0.00%11.20%
200960.42%-0.64%$3,441$3,9870.22%0.01%-0.64%
2009714.69%14.46%$3,947$4,5647.58%0.01%14.46%
200986.54%7.39%$4,205$4,9013.60%0.01%7.39%
200996.57%7.10%$4,481$5,2493.72%0.01%7.10%
200910-3.22%-4.28%$4,337$5,024-1.87%0.00%-4.28%
20091110.44%12.33%$4,790$5,6445.98%0.00%12.33%
2009123.25%3.66%$4,946$5,8501.95%0.01%3.66%
20101-7.21%-7.51%$4,589$5,411-3.60%0.00%-7.51%
201026.42%6.11%$4,884$5,7413.09%0.00%6.11%
2010312.09%12.38%$5,475$6,4526.01%0.01%12.38%
201042.99%2.81%$5,639$6,6331.58%0.01%2.81%
20105-15.04%-16.09%$4,791$5,566-8.01%0.01%-16.09%
20106-10.66%-10.92%$4,280$4,958-5.24%0.01%-10.92%
2010715.07%14.06%$4,925$5,6557.00%0.01%14.06%
20108-9.09%-9.25%$4,478$5,132-4.53%0.01%-9.25%
2010918.76%18.44%$5,317$6,0788.92%0.01%18.44%
2010107.30%7.57%$5,706$6,5383.79%0.01%7.57%
201011-0.01%-0.40%$5,705$6,5120.00%0.01%-0.40%
20101212.45%13.94%$6,415$7,4206.67%0.01%13.94%
201114.70%4.33%$6,717$7,7412.36%0.01%4.33%
201126.67%6.94%$7,165$8,2783.42%0.01%6.94%
201130.04%-0.39%$7,168$8,2460.03%0.01%-0.39%
201145.59%5.74%$7,568$8,7202.95%0.00%5.74%
20115-2.12%-2.38%$7,408$8,512-1.15%0.00%-2.38%
20116-3.12%-3.74%$7,177$8,194-1.67%0.00%-3.74%
20117-3.88%-4.22%$6,899$7,849-2.05%0.00%-4.22%
20118-10.52%-12.81%$6,173$6,843-5.45%0.01%-12.81%
20119-14.36%-13.86%$5,287$5,895-7.04%0.00%-13.86%
20111024.16%21.81%$6,564$7,18010.91%0.00%21.81%
201111-0.46%-1.56%$6,533$7,068-0.23%0.00%-1.56%
2011122.02%1.91%$6,665$7,2031.02%0.00%1.91%
201218.93%8.97%$7,260$7,8494.46%0.00%8.97%
201228.26%8.45%$7,860$8,5124.31%0.00%8.45%
201236.06%6.71%$8,337$9,0833.28%0.00%6.71%
20124-1.15%-1.61%$8,241$8,937-0.64%0.00%-1.61%
20125-10.89%-11.37%$7,343$7,921-6.02%0.01%-11.37%
201267.84%7.27%$7,919$8,4964.11%0.00%7.27%
201272.52%2.53%$8,118$8,7111.37%0.00%2.53%
201284.07%4.61%$8,449$9,1132.24%0.01%4.61%
201294.60%4.87%$8,837$9,5572.58%0.01%4.87%
201210-3.27%-4.15%$8,549$9,160-1.86%0.01%-4.15%
2012110.99%0.94%$8,633$9,2460.56%0.01%0.94%
2012121.59%2.08%$8,770$9,4390.90%0.01%2.08%
2013110.35%10.27%$9,678$10,4085.18%0.00%10.27%
201322.55%2.16%$9,925$10,6341.34%0.00%2.16%
201337.04%7.39%$10,624$11,4193.74%0.00%7.39%
201343.48%3.86%$10,995$11,8601.91%0.00%3.86%
201354.18%4.55%$11,455$12,4002.33%0.00%4.55%
20136-2.38%-3.11%$11,181$12,014-1.35%0.00%-3.11%
201379.05%10.41%$12,193$13,2655.07%0.00%10.41%
20138-5.01%-6.08%$11,583$12,459-2.91%0.00%-6.08%
201395.49%6.48%$12,218$13,2663.12%0.00%6.48%
2013107.88%9.07%$13,181$14,4704.59%0.00%9.07%
2013115.04%5.77%$13,846$15,3053.03%0.00%5.77%
2013124.11%5.13%$14,414$16,0902.51%0.00%5.13%
20141-6.94%-7.23%$13,414$14,926-3.47%0.00%-7.23%
201429.46%9.06%$14,683$16,2784.56%0.00%9.06%
201431.63%1.52%$14,923$16,5260.82%0.00%1.52%
201441.42%1.23%$15,135$16,7300.72%0.00%1.23%
201454.56%4.41%$15,825$17,4682.33%0.00%4.41%
201463.92%4.10%$16,446$18,1832.05%0.00%4.10%
20147-2.60%-2.88%$16,018$17,660-1.39%0.00%-2.88%
201487.56%7.87%$17,229$19,0503.98%0.00%7.87%
20149-2.59%-2.93%$16,782$18,491-1.41%0.00%-2.93%
2014104.50%4.38%$17,538$19,3002.42%0.00%4.38%
2014114.89%5.54%$18,395$20,3692.68%0.00%5.54%
201412-0.47%-0.84%$18,309$20,198-0.26%0.00%-0.84%
20151-6.04%-6.15%$17,204$18,956-3.02%0.00%-6.15%
2015211.85%11.40%$19,242$21,1175.74%0.00%11.40%
20153-3.11%-3.43%$18,643$20,392-1.59%0.00%-3.43%
201541.88%1.84%$18,994$20,7680.95%0.00%1.84%
201552.50%2.31%$19,469$21,2471.27%0.00%2.31%
20156-3.75%-4.09%$18,739$20,378-1.93%0.00%-4.09%
201574.11%4.22%$19,509$21,2372.08%0.00%4.22%
20158-11.71%-12.48%$17,225$18,587-6.04%0.00%-12.48%
20159-5.14%-5.54%$16,340$17,558-2.49%0.00%-5.54%
20151017.86%17.45%$19,258$20,6218.42%0.00%17.45%
2015110.56%0.60%$19,366$20,7440.29%0.00%0.60%
201512-3.11%-3.80%$18,764$19,956-1.59%0.01%-3.80%
20161-9.96%-10.37%$16,894$17,888-4.98%0.01%-10.37%
20162-0.33%-0.62%$16,839$17,777-0.15%0.02%-0.62%
2016314.30%13.98%$19,247$20,2626.78%0.02%13.98%
201640.73%0.60%$19,388$20,3830.37%0.01%0.60%
201653.50%3.18%$20,066$21,0311.78%0.01%3.18%
201660.47%0.16%$20,159$21,0650.25%0.02%0.16%
201677.08%7.40%$21,586$22,6233.68%0.02%7.40%
201680.22%0.10%$21,635$22,6450.13%0.02%0.10%
20169-0.00%-0.28%$21,634$22,5820.01%0.02%-0.28%
201610-3.44%-3.68%$20,890$21,751-1.83%0.02%-3.68%
2016117.01%7.23%$22,355$23,3233.70%0.01%7.23%
2016123.58%4.00%$23,156$24,2561.96%0.03%4.00%
201713.73%3.47%$24,019$25,0971.88%0.04%3.47%
201727.74%7.83%$25,879$27,0633.96%0.04%7.83%
201730.16%-0.02%$25,922$27,0560.10%0.03%-0.02%
201741.88%1.85%$26,410$27,5571.02%0.05%1.85%
201752.56%2.55%$27,087$28,2591.39%0.06%2.55%
201761.08%1.04%$27,380$28,5530.61%0.06%1.04%
201773.71%3.95%$28,396$29,6792.04%0.07%3.95%
201780.46%0.31%$28,526$29,7720.29%0.09%0.31%
201793.66%3.82%$29,570$30,9092.06%0.09%3.82%
2017104.06%4.53%$30,771$32,3082.32%0.09%4.53%
2017115.30%5.87%$32,402$34,2063.06%0.08%5.87%
2017121.83%2.36%$32,994$35,0141.10%0.09%2.36%
2018111.32%11.17%$36,727$38,9245.71%0.11%11.17%
20182-7.11%-8.07%$34,115$35,782-3.69%0.11%-8.07%
20183-5.14%-5.54%$32,360$33,799-2.56%0.12%-5.54%
201840.61%0.20%$32,558$33,8660.37%0.14%0.20%
201854.68%4.41%$34,081$35,3592.39%0.14%4.41%
201861.06%1.02%$34,441$35,7190.61%0.14%1.02%
201877.11%7.09%$36,890$38,2513.71%0.16%7.09%
201886.01%6.15%$39,105$40,6043.25%0.16%6.15%
201890.90%0.89%$39,456$40,9670.55%0.15%0.89%
201810-12.74%-14.01%$34,431$35,226-6.85%0.19%-14.01%
2018113.80%3.15%$35,738$36,3342.03%0.18%3.15%
201812-17.56%-17.72%$29,462$29,895-9.04%0.19%-17.72%
2019115.79%15.73%$34,115$34,5978.00%0.21%15.73%
201925.81%6.21%$36,097$36,7453.20%0.18%6.21%
201933.36%3.45%$37,311$38,0121.94%0.19%3.45%
201947.07%7.72%$39,947$40,9454.04%0.21%7.72%
20195-11.21%-12.77%$35,468$35,714-6.36%0.21%-12.77%
2019612.73%14.09%$39,981$40,7487.03%0.18%14.09%
201972.34%2.52%$40,915$41,7731.43%0.19%2.52%
20198-2.85%-4.04%$39,748$40,085-1.59%0.16%-4.04%
201993.10%3.62%$40,982$41,5371.86%0.18%3.62%
2019103.57%4.00%$42,447$43,1992.15%0.18%4.00%
2019116.01%7.07%$44,997$46,2523.62%0.18%7.07%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value32.28%
Large-cap Growth0.00%
Mid-cap Value3.62%
Mid-cap Growth14.09%
Small-cap Value31.40%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets18.62%
REITs0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared76.83%
Style analysis is based on monthly returns from Jul 2006 to Nov 2019 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 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity0.90%100.00%$36,252100.00%

Asset Allocation

Fund fundamentals data as of 12/04/2019. (c) 2019 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)1.38%1.33%
Arithmetic Mean (annualized)17.85%17.14%
Geometric Mean (monthly)0.94%0.96%
Geometric Mean (annualized)11.86%12.09%
Volatility (monthly)8.99%8.44%
Volatility (annualized)31.14%29.24%
Downside Deviation (monthly)6.53%5.91%
Max. Drawdown-85.70%-81.35%
US Market Correlation0.980.99
Beta(*)2.071.96
Alpha (annualized)-3.93%-3.51%
R296.88%99.00%
Sharpe Ratio0.500.51
Sortino Ratio0.680.72
Treynor Ratio (%)7.517.59
Calmar Ratio1.040.95
Active Return2.71%2.94%
Tracking Error16.75%14.56%
Information Ratio0.160.20
Skewness-1.22-0.79
Excess Kurtosis4.811.92
Historical Value-at-Risk (5%)-14.97%-15.88%
Analytical Value-at-Risk (5%)-12.08%-12.56%
Conditional Value-at-Risk (5%)-23.18%-19.90%
Upside Capture Ratio (%)207.36203.71
Downside Capture Ratio (%)199.31195.14
Safe Withdrawal Rate6.69%7.47%
Perpetual Withdrawal Rate9.28%9.48%
Positive Periods109 out of 161 (67.70%)105 out of 161 (65.22%)
Gain/Loss Ratio0.730.81
* 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
Subprime CrisisNov 2007Mar 2009-85.70%-81.26%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20134 years 10 months6 years 2 months-85.70%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-25.33%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-16.25%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-11.89%
5May 2019May 20191 monthJun 20191 month2 months-11.21%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-9.48%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-6.94%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-6.48%
9Feb 2007Feb 20071 monthApr 20072 months3 months-4.26%
10Jun 2015Jun 20151 monthJul 20151 month2 months-3.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsOct 20134 years 8 months6 years 5 months-81.35%
2Oct 2018Dec 20183 monthsJul 20197 months10 months-27.03%
3Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.36%
4Feb 2018Mar 20182 monthsAug 20185 months7 months-13.17%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-7.23%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-6.94%
7Feb 2007Feb 20071 monthApr 20072 months3 months-4.57%
8Aug 2019Aug 20191 monthOct 20192 months3 months-4.04%
9Sep 2016Oct 20162 monthsNov 20161 month3 months-3.95%
10Mar 2015Mar 20151 monthMay 20152 months3 months-3.43%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.13%14.39%32.18%-37.02%-50.97%0.610.881.00
CASHXCash1.03%0.44%4.67%0.00%0.00%-0.18-0.25-0.04
SSOProShares Ultra S&P50012.09%29.24%70.46%-67.94%-81.35%0.510.720.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXCASHXSSOPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor--0.031.000.981.00
CASHXCash-0.03--0.05-0.04-0.05
SSOProShares Ultra S&P5001.00-0.05-0.981.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$37,449
CASHXCash-$2,452
SSOProShares Ultra S&P500$36,252

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor99.93%
CASHXCash0.07%
SSOProShares Ultra S&P500100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year16.51%64.35%-75.17%15.12%70.46%-67.94%
3 years15.60%40.05%-26.14%14.97%41.01%-21.86%
5 years17.95%34.83%-11.49%17.19%32.28%-10.09%
7 years18.42%28.54%2.32%17.84%25.93%3.96%
10 years13.67%24.72%6.55%13.46%22.36%7.06%
Result statistics are based on annualized rolling returns over full calendar year periods