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 (Dec 2008 - Nov 2021)

Portfolio Allocations

iShares Core S&P 500 ETF
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 100.00%
Save portfolio »
ProShares Ultra S&P500
Ticker Name Allocation
SSO ProShares Ultra S&P500 100.00%
Save portfolio »
Direxion Daily S&P500 Bull 3X ETF
Ticker Name Allocation
SPXL Direxion Daily S&P500 Bull 3X ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
iShares Core S&P 500 ETF$10,000$66,079 15.63% 14.51%32.30%-4.47%-19.56% 1.051.721.00
ProShares Ultra S&P500$10,000$218,338 26.77% 29.68%70.46%-14.62%-40.91% 0.941.510.99
Direxion Daily S&P500 Bull 3X ETF$10,000$508,742 35.29% 45.44%118.37%-25.13%-60.58% 0.901.430.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
iShares Core S&P 500 ETF1.25%23.14%27.79%20.37%17.85%16.12%15.63%18.37%15.25%
ProShares Ultra S&P5001.75%47.53%58.38%34.09%30.30%28.62%26.77%38.26%31.63%
Direxion Daily S&P500 Bull 3X ETF2.17%75.53%95.17%42.30%39.58%39.06%35.29%58.75%48.47%
Trailing return and volatility are as of last full calendar month ending November 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2008 are based on monthly returns from December to December
  • The annual results for 2021 are based on monthly returns 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 (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 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
YearInflationiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETFiShares Core S&P 500 ETF (IVV)ProShares Ultra S&P500 (SSO)Direxion Daily S&P500 Bull 3X ETF (SPXL)
ReturnBalanceReturnBalanceReturnBalance
2008-1.03%0.97%$10,097-1.00%$9,900-2.58%$9,7420.97%-1.00%-2.58%
20092.72%26.60%$12,78447.26%$14,57965.34%$16,10826.60%47.26%65.34%
20101.50%15.09%$14,71226.83%$18,49239.75%$22,51115.09%26.83%39.75%
20112.96%1.86%$14,986-2.92%$17,952-14.91%$19,1551.86%-2.92%-14.91%
20121.74%16.06%$17,39231.04%$23,52344.07%$27,59516.06%31.04%44.07%
20131.50%32.30%$23,01070.46%$40,099118.37%$60,25932.30%70.46%118.37%
20140.76%13.56%$26,13125.53%$50,33637.49%$82,85213.56%25.53%37.49%
20150.73%1.30%$26,469-1.19%$49,735-5.52%$78,2811.30%-1.19%-5.52%
20162.07%12.16%$29,68721.55%$60,45130.01%$101,77112.16%21.55%30.01%
20172.11%21.76%$36,14744.35%$87,26271.04%$174,07021.76%44.35%71.04%
20181.91%-4.47%$34,532-14.62%$74,504-25.13%$130,334-4.47%-14.62%-25.13%
20192.29%31.25%$45,32463.45%$121,780102.83%$264,35731.25%63.45%102.83%
20201.36%18.40%$53,66321.53%$147,9989.64%$289,83218.40%21.53%9.64%
20216.71%23.14%$66,07947.53%$218,33875.53%$508,74223.14%47.53%75.53%
Annual return for 2008 is from 12/01/2008 to 12/31/2008 and annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETFiShares Core S&P 500 ETF (IVV)ProShares Ultra S&P500 (SSO)Direxion Daily S&P500 Bull 3X ETF (SPXL)
ReturnBalanceReturnBalanceReturnBalance
2008120.97%$10,097-1.00%$9,900-2.58%$9,7420.97%-1.00%-2.58%
20091-8.13%$9,277-16.48%$8,268-24.37%$7,368-8.13%-16.48%-24.37%
20092-10.56%$8,297-21.10%$6,523-30.81%$5,097-10.56%-21.10%-30.81%
200938.02%$8,96314.58%$7,47519.22%$6,0778.02%14.58%19.22%
2009410.14%$9,87120.32%$8,99431.21%$7,97410.14%20.32%31.21%
200955.84%$10,44811.20%$10,00215.67%$9,2235.84%11.20%15.67%
200960.04%$10,452-0.64%$9,937-0.72%$9,1560.04%-0.64%-0.72%
200977.38%$11,22414.46%$11,37422.38%$11,2057.38%14.46%22.38%
200983.66%$11,6347.39%$12,21510.54%$12,3863.66%7.39%10.54%
200993.63%$12,0577.10%$13,08211.36%$13,7943.63%7.10%11.36%
200910-1.92%$11,825-4.28%$12,521-7.76%$12,724-1.92%-4.28%-7.76%
2009116.09%$12,54512.33%$14,06518.46%$15,0736.09%12.33%18.46%
2009121.91%$12,7843.66%$14,5796.87%$16,1081.91%3.66%6.87%
20101-3.71%$12,309-7.51%$13,485-11.22%$14,301-3.71%-7.51%-11.22%
201023.15%$12,6976.11%$14,3099.40%$15,6443.15%6.11%9.40%
201036.11%$13,47312.38%$16,08019.40%$18,6806.11%12.38%19.40%
201041.62%$13,6912.81%$16,5315.04%$19,6211.62%2.81%5.04%
20105-8.00%$12,596-16.09%$13,871-23.90%$14,932-8.00%-16.09%-23.90%
20106-5.26%$11,933-10.92%$12,356-17.72%$12,286-5.26%-10.92%-17.72%
201076.99%$12,76714.06%$14,09421.23%$14,8946.99%14.06%21.23%
20108-4.43%$12,202-9.25%$12,789-13.23%$12,924-4.43%-9.25%-13.23%
201098.81%$13,27718.44%$15,14828.51%$16,6088.81%18.44%28.51%
2010103.84%$13,7877.57%$16,29511.77%$18,5633.84%7.57%11.77%
201011-0.07%$13,778-0.40%$16,229-0.02%$18,560-0.07%-0.40%-0.02%
2010126.78%$14,71213.94%$18,49221.29%$22,5116.78%13.94%21.29%
201112.30%$15,0504.33%$19,2926.55%$23,9842.30%4.33%6.55%
201123.46%$15,5716.94%$20,63110.46%$26,4933.46%6.94%10.46%
20113-0.00%$15,571-0.39%$20,551-0.36%$26,399-0.00%-0.39%-0.36%
201142.95%$16,0315.74%$21,7318.78%$28,7162.95%5.74%8.78%
20115-1.19%$15,840-2.38%$21,214-3.74%$27,643-1.19%-2.38%-3.74%
20116-1.68%$15,574-3.74%$20,421-6.05%$25,971-1.68%-3.74%-6.05%
20117-1.97%$15,267-4.22%$19,560-7.01%$24,151-1.97%-4.22%-7.01%
20118-5.52%$14,424-12.81%$17,054-21.87%$18,868-5.52%-12.81%-21.87%
20119-6.80%$13,444-13.86%$14,691-22.63%$14,599-6.80%-13.86%-22.63%
20111010.65%$14,87621.81%$17,89433.75%$19,52610.65%21.81%33.75%
201111-0.32%$14,829-1.56%$17,616-3.68%$18,808-0.32%-1.56%-3.68%
2011121.06%$14,9861.91%$17,9521.84%$19,1551.06%1.91%1.84%
201214.61%$15,6778.97%$19,56214.86%$22,0014.61%8.97%14.86%
201224.21%$16,3378.45%$21,21413.01%$24,8634.21%8.45%13.01%
201233.29%$16,8756.71%$22,6379.13%$27,1333.29%6.71%9.13%
20124-0.66%$16,764-1.61%$22,273-2.44%$26,471-0.66%-1.61%-2.44%
20125-6.01%$15,756-11.37%$19,740-17.76%$21,771-6.01%-11.37%-17.76%
201264.20%$16,4197.27%$21,17410.15%$23,9814.20%7.27%10.15%
201271.24%$16,6232.53%$21,7103.12%$24,7301.24%2.53%3.12%
201282.48%$17,0354.61%$22,7126.68%$26,3832.48%4.61%6.68%
201292.34%$17,4334.87%$23,8187.66%$28,4042.34%4.87%7.66%
201210-2.02%$17,080-4.15%$22,829-6.21%$26,641-2.02%-4.15%-6.21%
2012110.87%$17,2290.94%$23,0431.08%$26,9280.87%0.94%1.08%
2012120.95%$17,3922.08%$23,5232.48%$27,5950.95%2.08%2.48%
201315.11%$18,28210.27%$25,94015.64%$31,9125.11%10.27%15.64%
201321.36%$18,5292.16%$26,5013.00%$32,8691.36%2.16%3.00%
201333.68%$19,2117.39%$28,45911.48%$36,6443.68%7.39%11.48%
201341.96%$19,5883.86%$29,5585.52%$38,6681.96%3.86%5.52%
201352.40%$20,0584.55%$30,9046.86%$41,3222.40%4.55%6.86%
20136-1.59%$19,739-3.11%$29,942-5.71%$38,961-1.59%-3.11%-5.71%
201375.39%$20,80310.41%$33,06016.95%$45,5635.39%10.41%16.95%
20138-3.04%$20,171-6.08%$31,050-9.31%$41,322-3.04%-6.08%-9.31%
201393.24%$20,8256.48%$33,0629.81%$45,3743.24%6.48%9.81%
2013104.61%$21,7859.07%$36,06213.36%$51,4384.61%9.07%13.36%
2013112.98%$22,4355.77%$38,1438.87%$56,0002.98%5.77%8.87%
2013122.56%$23,0105.13%$40,0997.61%$60,2592.56%5.13%7.61%
20141-3.49%$22,207-7.23%$37,198-10.77%$53,771-3.49%-7.23%-10.77%
201424.56%$23,2199.06%$40,56813.81%$61,1954.56%9.06%13.81%
201430.87%$23,4221.52%$41,1862.05%$62,4510.87%1.52%2.05%
201440.74%$23,5961.23%$41,6941.62%$63,4610.74%1.23%1.62%
201452.28%$24,1354.41%$43,5336.44%$67,5512.28%4.41%6.44%
201462.09%$24,6394.10%$45,3166.32%$71,8202.09%4.10%6.32%
20147-1.40%$24,295-2.88%$44,013-4.50%$68,590-1.40%-2.88%-4.50%
201483.97%$25,2607.87%$47,47711.99%$76,8173.97%7.87%11.99%
20149-1.38%$24,912-2.93%$46,084-4.54%$73,331-1.38%-2.93%-4.54%
2014102.39%$25,5064.38%$48,1006.11%$77,8082.39%4.38%6.11%
2014112.75%$26,2095.54%$50,7638.30%$84,2692.75%5.54%8.30%
201412-0.30%$26,131-0.84%$50,336-1.68%$82,852-0.30%-0.84%-1.68%
20151-2.90%$25,373-6.15%$47,241-9.27%$75,173-2.90%-6.15%-9.27%
201525.65%$26,80511.40%$52,62717.31%$88,1895.65%11.40%17.31%
20153-1.59%$26,379-3.43%$50,821-5.28%$83,532-1.59%-3.43%-5.28%
201540.97%$26,6361.84%$51,7572.62%$85,7230.97%1.84%2.62%
201551.30%$26,9822.31%$52,9523.42%$88,6511.30%2.31%3.42%
20156-1.98%$26,448-4.09%$50,786-6.28%$83,088-1.98%-4.09%-6.28%
201572.19%$27,0284.22%$52,9266.09%$88,1512.19%4.22%6.09%
20158-6.14%$25,367-12.48%$46,323-18.90%$71,490-6.14%-12.48%-18.90%
20159-2.49%$24,735-5.54%$43,758-8.75%$65,237-2.49%-5.54%-8.75%
2015108.47%$26,83117.45%$51,39226.86%$82,7588.47%17.45%26.86%
2015110.39%$26,9360.60%$51,6990.62%$83,2680.39%0.60%0.62%
201512-1.73%$26,469-3.80%$49,735-5.99%$78,281-1.73%-3.80%-5.99%
20161-5.00%$25,145-10.37%$44,580-15.67%$66,012-5.00%-10.37%-15.67%
20162-0.06%$25,131-0.62%$44,304-1.43%$65,067-0.06%-0.62%-1.43%
201636.82%$26,84613.98%$50,49821.34%$78,9516.82%13.98%21.34%
201640.39%$26,9510.60%$50,7980.78%$79,5650.39%0.60%0.78%
201651.69%$27,4073.18%$52,4134.70%$83,3051.69%3.18%4.70%
201660.25%$27,4760.16%$52,498-0.27%$83,0790.25%0.16%-0.27%
201673.74%$28,5037.40%$56,38011.20%$92,3823.74%7.40%11.20%
201680.13%$28,5400.10%$56,4360.00%$92,3820.13%0.10%0.00%
201690.01%$28,543-0.28%$56,278-0.64%$91,7870.01%-0.28%-0.64%
201610-1.78%$28,035-3.68%$54,208-5.66%$86,592-1.78%-3.68%-5.66%
2016113.67%$29,0647.23%$58,12610.87%$96,0093.67%7.23%10.87%
2016122.14%$29,6874.00%$60,4516.00%$101,7712.14%4.00%6.00%
201711.75%$30,2073.47%$62,5475.01%$106,8711.75%3.47%5.01%
201723.98%$31,4087.83%$67,44611.87%$119,5563.98%7.83%11.87%
201730.12%$31,445-0.02%$67,430-0.18%$119,3380.12%-0.02%-0.18%
201740.97%$31,7481.85%$68,6782.70%$122,5590.97%1.85%2.70%
201751.39%$32,1912.55%$70,4263.73%$127,1311.39%2.55%3.73%
201760.67%$32,4071.04%$71,1581.43%$128,9440.67%1.04%1.43%
201772.07%$33,0793.95%$73,9665.86%$136,5002.07%3.95%5.86%
201780.27%$33,1690.31%$74,1970.19%$136,7650.27%0.31%0.19%
201792.04%$33,8463.82%$77,0305.61%$144,4342.04%3.82%5.61%
2017102.32%$34,6334.53%$80,5176.91%$154,4082.32%4.53%6.91%
2017113.12%$35,7145.87%$85,2478.83%$168,0473.12%5.87%8.83%
2017121.21%$36,1472.36%$87,2623.58%$174,0701.21%2.36%3.58%
201815.69%$38,20411.17%$97,00716.94%$203,5595.69%11.17%16.94%
20182-3.80%$36,751-8.07%$89,176-12.75%$177,604-3.80%-8.07%-12.75%
20183-2.47%$35,844-5.54%$84,233-8.71%$162,133-2.47%-5.54%-8.71%
201840.35%$35,9710.20%$84,401-0.17%$161,8580.35%0.20%-0.17%
201852.41%$36,8384.41%$88,1226.50%$172,3822.41%4.41%6.50%
201860.59%$37,0541.02%$89,0181.49%$174,9470.59%1.02%1.49%
201873.75%$38,4437.09%$95,32910.44%$193,2123.75%7.09%10.44%
201883.23%$39,6866.15%$101,1939.27%$211,1233.23%6.15%9.27%
201890.54%$39,8990.89%$102,0971.27%$213,8090.54%0.89%1.27%
201810-6.82%$37,177-14.01%$87,790-20.82%$169,291-6.82%-14.01%-20.82%
2018111.92%$37,8913.15%$90,5524.30%$176,5731.92%3.15%4.30%
201812-8.86%$34,532-17.72%$74,504-26.19%$130,334-8.86%-17.72%-26.19%
201917.92%$37,26915.73%$86,22224.01%$161,6307.92%15.73%24.01%
201923.23%$38,4726.21%$91,5769.26%$176,6053.23%6.21%9.26%
201931.92%$39,2103.45%$94,7324.89%$185,2411.92%3.45%4.89%
201944.00%$40,7787.72%$102,04211.85%$207,1874.00%7.72%11.85%
20195-6.30%$38,210-12.77%$89,006-18.70%$168,444-6.30%-12.77%-18.70%
201966.95%$40,86314.09%$101,55221.47%$204,6136.95%14.09%21.47%
201971.52%$41,4842.52%$104,1063.58%$211,9451.52%2.52%3.58%
20198-1.66%$40,797-4.04%$99,899-6.67%$197,800-1.66%-4.04%-6.67%
201991.95%$41,5923.62%$103,5185.38%$208,4391.95%3.62%5.38%
2019102.16%$42,4914.00%$107,6605.60%$220,1142.16%4.00%5.60%
2019113.64%$44,0367.07%$115,26810.83%$243,9423.64%7.07%10.83%
2019122.92%$45,3245.65%$121,7808.37%$264,3572.92%5.65%8.37%
202010.00%$45,324-0.44%$121,247-0.88%$262,0370.00%-0.44%-0.88%
20202-8.46%$41,492-15.46%$102,500-23.27%$201,068-8.46%-15.46%-23.27%
20203-12.14%$36,457-29.80%$71,954-48.17%$104,215-12.14%-29.80%-48.17%
2020412.68%$41,07825.18%$90,07437.24%$143,02012.68%25.18%37.24%
202054.82%$43,0579.16%$98,32013.37%$162,1434.82%9.16%13.37%
202061.89%$43,8722.95%$101,2263.27%$167,4401.89%2.95%3.27%
202075.85%$46,44111.69%$113,05817.70%$197,0765.85%11.69%17.70%
202087.00%$49,69214.29%$129,21121.93%$240,2887.00%14.29%21.93%
20209-3.75%$47,830-7.97%$118,917-12.23%$210,892-3.75%-7.97%-12.23%
202010-2.51%$46,628-5.38%$112,523-8.58%$192,791-2.51%-5.38%-8.58%
20201110.90%$51,70922.51%$137,85435.21%$260,67210.90%22.51%35.21%
2020123.78%$53,6637.36%$147,99811.19%$289,8323.78%7.36%11.19%
20211-1.03%$53,110-2.30%$144,595-3.76%$278,921-1.03%-2.30%-3.76%
202122.76%$54,5755.29%$152,2427.88%$300,9042.76%5.29%7.88%
202134.55%$57,0608.95%$165,87113.25%$340,7784.55%8.95%13.25%
202145.29%$60,08110.61%$183,46216.21%$396,0175.29%10.61%16.21%
202150.66%$60,4781.09%$185,4561.35%$401,3520.66%1.09%1.35%
202162.26%$61,8434.37%$193,5556.57%$427,7172.26%4.37%6.57%
202172.44%$63,3504.67%$202,5886.85%$457,0132.44%4.67%6.85%
202183.02%$65,2655.92%$214,5908.96%$497,9473.02%5.92%8.96%
20219-4.68%$62,207-9.41%$194,392-13.78%$429,323-4.68%-9.41%-13.78%
2021107.00%$66,56414.28%$222,15121.73%$522,6287.00%14.28%21.73%
202111-0.73%$66,079-1.72%$218,338-2.66%$508,742-0.73%-1.72%-2.66%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryiShares Core S&P 500 ETFProShares Ultra S&P500
Large-cap Value45.83%0.00%
Large-cap Growth54.10%37.48%
Mid-cap Value0.00%31.85%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%30.67%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.07%0.00%
R Squared99.93%75.44%
Style analysis is based on monthly returns from December 2008 to November 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 iShares Core S&P 500 ETF

Holdings Based Style Analysis for iShares Core S&P 500 ETF
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
IVViShares Core S&P 500 ETFLarge Blend100.00%1.20%0.03%0.03%25.16$56,079100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for ProShares Ultra S&P500

Holdings Based Style Analysis for ProShares Ultra S&P500
TickerNameCategoryWeightTTM YieldExpense RatioContribution
NetGrossReturnRisk
SSOProShares Ultra S&P500Leveraged Equity100.00%0.18%0.89%0.89%$208,338100.00%

Asset Allocation

Holdings Based Style Analysis for Direxion Daily S&P500 Bull 3X ETF

Holdings Based Style Analysis for Direxion Daily S&P500 Bull 3X ETF
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
SPXLDirexion Daily S&P500 Bull 3X ETFLeveraged Equity100.00%0.11%1.01%1.03%24.00$498,742100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/19/2022. (c) 2022 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
MetriciShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETF
Arithmetic Mean (monthly)1.31%2.37%3.44%
Arithmetic Mean (annualized)16.83%32.41%50.11%
Geometric Mean (monthly)1.22%2.00%2.55%
Geometric Mean (annualized)15.63%26.77%35.29%
Standard Deviation (monthly)4.19%8.57%13.12%
Standard Deviation (annualized)14.51%29.68%45.44%
Downside Deviation (monthly)2.53%5.32%8.20%
Max. Drawdown-19.56%-40.91%-60.58%
US Market Correlation1.000.990.99
Beta(*)0.961.963.00
Alpha (annualized)0.47%-2.65%-6.15%
R299.19%98.95%98.66%
Sharpe Ratio1.050.940.90
Sortino Ratio1.721.511.43
Treynor Ratio (%)15.8114.2313.61
Calmar Ratio1.040.830.70
Active Return-0.10%11.04%19.56%
Tracking Error1.44%14.79%30.54%
Information Ratio-0.070.750.64
Skewness-0.42-0.47-0.48
Excess Kurtosis0.851.251.40
Historical Value-at-Risk (5%)-6.42%-13.07%-21.08%
Analytical Value-at-Risk (5%)-5.58%-11.73%-18.13%
Conditional Value-at-Risk (5%)-8.72%-18.07%-27.65%
Upside Capture Ratio (%)97.78211.37354.13
Downside Capture Ratio (%)96.81195.88291.92
Safe Withdrawal Rate14.99%21.34%25.86%
Perpetual Withdrawal Rate11.71%19.47%24.54%
Positive Periods109 out of 156 (69.87%)105 out of 156 (67.31%)102 out of 156 (65.38%)
Gain/Loss Ratio0.941.001.03
* 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 PeriodStartEndiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETF
COVID-19 StartJan 2020Mar 2020-19.56%-40.91%-60.58%

Drawdowns for iShares Core S&P 500 ETF

Drawdowns for iShares Core S&P 500 ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-19.56%
2Jan 2009Feb 20092 monthsMay 20093 months5 months-17.83%
3May 2011Sep 20115 monthsFeb 20125 months10 months-16.14%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.45%
5May 2010Jun 20102 monthsOct 20104 months6 months-12.84%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
8May 2019May 20191 monthJun 20191 month2 months-6.30%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.18%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-6.17%
Worst 10 drawdowns included above

Drawdowns for ProShares Ultra S&P500

Drawdowns for ProShares Ultra S&P500 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-40.91%
2Dec 2008Feb 20093 monthsMay 20093 months6 months-34.77%
3May 2011Sep 20115 monthsMar 20126 months11 months-32.40%
4Oct 2018Dec 20183 monthsJul 20197 months10 months-27.03%
5May 2010Jun 20102 monthsDec 20106 months8 months-25.26%
6Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.36%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-13.17%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-12.91%
9Apr 2012May 20122 monthsAug 20123 months5 months-12.80%
10Sep 2021Sep 20211 monthOct 20211 month2 months-9.41%
Worst 10 drawdowns included above

Drawdowns for Direxion Daily S&P500 Bull 3X ETF

Drawdowns for Direxion Daily S&P500 Bull 3X ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsDec 20209 months1 year-60.58%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-49.16%
3Dec 2008Feb 20093 monthsJul 20095 months8 months-49.03%
4Oct 2018Dec 20183 monthsOct 201910 months1 year 1 month-39.04%
5May 2010Jun 20102 monthsDec 20106 months8 months-37.38%
6Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-26.60%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-20.49%
8Sep 2021Sep 20211 monthOct 20211 month2 months-13.78%
9Jan 2010Jan 20101 monthMar 20102 months3 months-11.22%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-10.79%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF15.63%14.51%32.30%-4.47%-19.56%1.051.721.00
SSOProShares Ultra S&P50026.77%29.68%70.46%-14.62%-40.91%0.941.510.99
SPXLDirexion Daily S&P500 Bull 3X ETF35.29%45.44%118.37%-25.13%-60.58%0.901.430.99

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
iShares Core S&P 500 ETF1.25%23.14%27.79%20.37%17.85%16.12%0.03%0.03%
ProShares Ultra S&P5001.75%47.53%58.38%34.09%30.30%28.62%0.89%0.89%
Direxion Daily S&P500 Bull 3X ETF2.17%75.53%95.17%42.30%39.58%39.06%1.01%1.03%
Trailing returns as of last calendar month ending November 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVSSOSPXLiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETF
IVViShares Core S&P 500 ETF1.001.001.001.001.001.00
SSOProShares Ultra S&P5001.001.001.001.001.001.00
SPXLDirexion Daily S&P500 Bull 3X ETF1.001.001.001.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETF
IVViShares Core S&P 500 ETF$56,079
SSOProShares Ultra S&P500$208,338
SPXLDirexion Daily S&P500 Bull 3X ETF$498,742
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETF
IVViShares Core S&P 500 ETF100.00%
SSOProShares Ultra S&P500100.00%
SPXLDirexion Daily S&P500 Bull 3X ETF100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodiShares Core S&P 500 ETFProShares Ultra S&P500Direxion Daily S&P500 Bull 3X ETF
AverageHighLowAverageHighLowAverageHighLow
1 year16.29%56.52%-7.02%30.05%130.52%-24.04%43.88%227.00%-43.74%
3 years14.17%25.34%5.05%24.56%48.15%2.19%32.70%71.26%-4.42%
5 years14.16%22.85%6.68%24.95%44.13%7.20%33.87%64.39%4.52%
7 years13.73%17.15%9.58%24.00%31.91%14.17%32.33%46.73%16.10%
10 years14.13%16.58%10.47%24.38%30.24%16.17%32.23%42.55%18.76%