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 (Sep 2011 - Jan 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$718,380 26.40% 31.04%31.54%19.83%73.88%-14.16%-19.52%
(-21.43%)
1.442.620.57
Vanguard 500 Index Investor$100,000$230,114 10.41% 14.46%14.64%11.60%32.18%-4.52%-13.55%
(-14.33%)
1.171.951.00
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 117.30%69.10%33.09%20.51%31.04%20.71%21.35%
Vanguard 500 Index Investor6.68%21.54%14.38%12.22%14.46%12.12%11.85%
Trailing annualized return and volatility are for full months ending in January 2020 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 2011 are based on monthly returns from September to December
  • The annual results for 2020 are based on monthly returns from January to January
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Monthly withdrawal of 0.30% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ReturnBalanceCashflowReturnBalanceCashflow
2011-0.39%25.59%$124,090-$1,4123.91%$102,667-$1,2033.97%41.41%
20121.74%32.64%$158,758-$5,54015.82%$114,703-$4,05246.80%0.60%
20131.50%29.54%$198,379-$6,53932.18%$146,240-$4,754118.49%-39.01%
20140.76%63.14%$312,185-$9,17513.51%$160,117-$5,50138.00%97.34%
20150.73%-5.46%$284,700-$10,9201.25%$156,375-$5,709-5.24%-13.73%
20162.07%19.82%$329,060-$12,02411.82%$168,662-$5,76830.79%-2.52%
20172.11%48.32%$470,770-$14,50121.67%$197,940-$6,64171.37%22.73%
20181.91%-14.16%$389,804-$15,764-4.52%$182,293-$7,248-25.15%-11.01%
20192.29%73.88%$653,806-$20,10531.33%$230,922-$7,641102.31%34.74%
20200.39%10.21%$718,380-$2,162-0.05%$230,114-$692-0.91%23.80%
Annual return for 2011 is from 09/01/2011 to 12/31/2011 and annual return for 2020 is from 01/01/2020 to 01/31/2020
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnVanguard 500 Index Investor ReturnProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
201197.23%-7.04%-20.69%41.35%
20111012.14%10.91%32.61%-12.87%
201111-0.47%-0.23%-3.35%4.89%
2011124.94%1.02%2.30%9.46%
201216.97%4.46%13.90%-1.50%
201224.46%4.31%13.24%-7.95%
201231.15%3.28%9.29%-13.02%
201245.16%-0.64%-2.38%14.37%
201255.29%-6.02%-17.35%28.90%
201261.14%4.11%11.47%-5.78%
201277.08%1.37%3.52%11.43%
201281.31%2.24%6.53%-4.61%
201290.73%2.58%7.52%-7.87%
201210-4.24%-1.86%-5.96%-2.13%
2012112.34%0.56%1.01%3.90%
201212-2.14%0.90%2.82%-7.80%
201314.15%5.18%15.39%-9.58%
201323.50%1.34%3.56%3.39%
201336.04%3.74%11.03%-1.77%
201349.41%1.91%5.45%14.25%
20135-5.63%2.33%6.80%-19.65%
20136-7.27%-1.35%-5.23%-10.33%
201375.69%5.07%16.41%-7.41%
20138-7.34%-2.91%-9.21%-4.47%
201396.32%3.12%9.60%1.53%
2013109.42%4.59%13.76%4.12%
2013111.57%3.03%8.87%-8.19%
2013122.29%2.51%7.54%-6.01%
201412.87%-3.47%-10.72%19.47%
201427.37%4.56%13.65%1.63%
201431.95%0.82%2.15%1.76%
201443.59%0.72%1.65%5.96%
201457.62%2.33%6.62%8.79%
201462.86%2.05%6.22%-1.00%
20147-1.72%-1.39%-4.44%1.61%
2014813.10%3.98%11.95%14.42%
20149-5.48%-1.41%-4.44%-6.65%
2014106.95%2.42%6.03%8.06%
2014118.68%2.68%8.34%9.08%
2014123.45%-0.26%-1.54%9.38%
201518.74%-3.02%-9.47%31.01%
20152-1.68%5.74%17.48%-17.87%
20153-1.72%-1.59%-5.28%2.57%
20154-3.21%0.95%2.59%-10.30%
20155-1.30%1.27%3.43%-7.91%
20156-8.65%-1.93%-6.21%-12.49%
201579.43%2.08%6.17%13.40%
20158-11.35%-6.05%-18.87%-2.75%
20159-1.61%-2.48%-8.64%5.10%
20151013.95%8.42%26.79%-1.73%
201511-0.55%0.29%0.81%-2.71%
201512-4.67%-1.59%-6.06%-2.41%
20161-0.47%-4.98%-15.38%17.74%
201623.85%-0.15%-1.68%8.71%
201639.16%6.78%21.50%-0.64%
20164-0.63%0.37%0.81%-2.39%
201653.42%1.78%4.65%1.86%
201669.13%0.25%-0.20%21.23%
201678.86%3.68%11.13%6.07%
20168-1.51%0.13%0.11%-3.58%
20169-2.36%0.01%-0.54%-4.78%
201610-9.09%-1.83%-5.62%-13.32%
201611-3.95%3.70%11.05%-23.91%
2016123.60%1.96%5.96%-0.99%
201713.50%1.88%5.14%1.49%
201728.60%3.96%11.91%4.41%
20173-1.12%0.10%-0.22%-2.35%
201743.52%1.02%2.77%4.43%
201754.37%1.39%3.70%5.17%
201761.73%0.61%1.51%1.98%
201772.13%2.04%5.87%-2.43%
201784.47%0.29%0.21%10.13%
20179-0.19%2.06%5.69%-7.29%
2017103.52%2.32%6.83%-0.53%
2017115.79%3.06%8.87%1.73%
2017124.11%1.10%3.45%5.04%
201815.62%5.71%18.22%-9.77%
20182-12.01%-3.69%-13.53%-9.57%
20183-1.92%-2.56%-8.69%8.44%
20184-3.09%0.37%-0.14%-6.71%
201855.95%2.39%6.46%5.27%
201861.37%0.61%1.29%1.49%
201873.79%3.71%10.73%-4.70%
201886.72%3.25%9.09%3.36%
20189-2.79%0.55%1.20%-8.77%
201810-15.53%-6.85%-20.78%-9.11%
2018114.51%2.03%4.28%4.76%
201812-4.81%-9.04%-26.25%17.93%
2019113.33%8.00%23.89%0.41%
201923.78%3.20%9.28%-4.52%
201939.31%1.94%4.85%17.00%
201943.54%4.04%11.81%-6.56%
20195-2.65%-6.36%-18.89%21.11%
2019611.54%7.03%21.37%1.90%
201972.24%1.43%3.80%0.32%
2019811.81%-1.59%-6.62%35.11%
20199-2.37%1.86%5.30%-9.07%
2019101.28%2.15%5.70%-4.11%
2019115.30%3.62%10.73%-2.01%
2019121.08%3.01%8.38%-10.05%
2020110.21%-0.05%-0.91%23.80%
* End-of-month balance includes the monthly contribution/withdrawal

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.10%0.93%$502,50757.62%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%3.02%1.06%$214,01442.38%
100.00%1.41%0.99%$716,521100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)2.44%1.19%
Arithmetic Mean (annualized)33.55%15.22%
Geometric Mean (monthly)2.28%1.13%
Geometric Mean (annualized)31.04%14.46%
Volatility (monthly)5.73%3.35%
Volatility (annualized)19.83%11.60%
Downside Deviation (monthly)3.13%1.98%
Max. Drawdown-19.52%-13.55%
US Market Correlation0.571.00
Beta(*)1.001.00
Alpha (annualized)15.07%0.00%
R234.02%100.00%
Sharpe Ratio1.441.17
Sortino Ratio2.621.95
Treynor Ratio (%)28.7113.59
Calmar Ratio1.771.06
Active Return16.58%N/A
Tracking Error16.11%N/A
Information Ratio1.03N/A
Skewness-0.49-0.43
Excess Kurtosis0.421.20
Historical Value-at-Risk (5%)-7.34%-6.02%
Analytical Value-at-Risk (5%)-7.02%-4.32%
Conditional Value-at-Risk (5%)-11.33%-7.07%
Upside Capture Ratio (%)148.48100.00
Downside Capture Ratio (%)61.10100.00
Safe Withdrawal Rate30.45%18.58%
Perpetual Withdrawal Rate21.21%10.59%
Positive Periods68 out of 101 (67.33%)74 out of 101 (73.27%)
Gain/Loss Ratio1.380.91
* Vanguard 500 Index Investor 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
1Feb 2015Sep 20158 monthsMay 20168 months1 year 4 months-19.52%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-18.73%
3Aug 2016Nov 20164 monthsApr 20175 months9 months-16.02%
4May 2013Aug 20134 monthsNov 20133 months7 months-14.30%
5Sep 2014Sep 20141 monthOct 20141 month2 months-5.48%
6Oct 2012Oct 20121 monthFeb 20134 months5 months-4.24%
7May 2019May 20191 monthJun 20191 month2 months-2.65%
8Sep 2019Sep 20191 monthNov 20192 months3 months-2.37%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.72%
10Nov 2011Nov 20111 monthDec 20111 month2 months-0.47%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3Sep 2011Sep 20111 monthOct 20111 month2 months-7.04%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50037.59%35.48%118.49%-25.15%-39.08%1.071.790.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF12.14%39.19%97.34%-39.01%-49.74%0.460.87-0.43

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFPortfolio 1Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.00-0.420.591.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.421.000.48-0.42

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
UPROProShares UltraPro S&P500$502,507
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$214,014

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
UPROProShares UltraPro S&P50057.62%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF42.38%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year27.91%73.88%-14.16%14.19%32.18%-6.32%
3 years25.12%45.77%13.28%13.31%22.80%8.68%
5 years24.16%35.19%18.67%12.87%16.20%8.34%
7 years24.95%29.82%22.09%13.81%16.74%12.53%