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 2012 - Aug 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PSLDX PIMCO StocksPLUS Long Duration Instl 100.00%
Save portfolio »
Portfolio 2
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 BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$34,838 19.02% 13.50%42.68%-9.69%-13.86% 1.322.340.79
Portfolio 2$10,000$52,782 26.13% 20.58%65.21%-14.16%-19.52% 1.212.110.66
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2012 are based on full calendar months from July to December
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 quarterly rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalancePIMCO StocksPLUS Long Duration Instl (PSLDX)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20120.05%9.41%4.80%$10,941$10,4809.41%15.79%-8.18%
20131.50%18.86%29.54%$13,004$13,57718.86%118.49%-39.01%
20140.76%34.23%63.14%$17,456$22,15034.23%38.00%97.34%
20150.73%-3.19%-5.46%$16,899$20,941-3.19%-5.24%-13.73%
20162.07%20.42%19.82%$20,350$25,09320.42%30.79%-2.52%
20172.11%32.87%48.32%$27,038$37,21732.87%71.37%22.73%
20181.91%-9.69%-14.16%$24,418$31,948-9.69%-25.15%-11.01%
20192.12%42.68%65.21%$34,838$52,78242.68%51.46%75.32%
Annual returns for 2012 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalancePIMCO StocksPLUS Long Duration Instl (PSLDX)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
201275.53%7.08%$10,553$10,7085.53%3.52%11.43%
201281.78%1.31%$10,741$10,8481.78%6.53%-4.61%
201291.90%0.73%$10,945$10,9281.90%7.52%-7.87%
201210-0.87%-4.24%$10,850$10,465-0.87%-5.96%-2.13%
2012110.99%2.34%$10,957$10,7100.99%1.01%3.90%
201212-0.15%-2.14%$10,941$10,480-0.15%2.82%-7.80%
201312.83%4.15%$11,251$10,9162.83%15.39%-9.58%
201322.51%3.50%$11,534$11,2972.51%3.56%3.39%
201333.51%6.04%$11,938$11,9793.51%11.03%-1.77%
201345.32%9.41%$12,573$13,1075.32%5.45%14.25%
20135-2.79%-5.63%$12,222$12,369-2.79%6.80%-19.65%
20136-6.45%-7.27%$11,433$11,470-6.45%-5.23%-10.33%
201374.65%5.69%$11,965$12,1234.65%16.41%-7.41%
20138-4.33%-7.34%$11,447$11,233-4.33%-9.21%-4.47%
201394.04%6.32%$11,910$11,9434.04%9.60%1.53%
2013106.28%9.42%$12,657$13,0686.28%13.76%4.12%
2013111.42%1.57%$12,837$13,2731.42%8.87%-8.19%
2013121.30%2.29%$13,004$13,5771.30%7.54%-6.01%
201411.05%2.87%$13,141$13,9661.05%-10.72%19.47%
201426.07%7.37%$13,939$14,9966.07%13.65%1.63%
201431.12%1.95%$14,095$15,2891.12%2.15%1.76%
201442.76%3.59%$14,484$15,8382.76%1.65%5.96%
201454.97%7.62%$15,204$17,0454.97%6.62%8.79%
201462.18%2.86%$15,535$17,5332.18%6.22%-1.00%
20147-1.13%-1.72%$15,360$17,232-1.13%-4.44%1.61%
201487.25%13.10%$16,473$19,4907.25%11.95%14.42%
20149-3.75%-5.48%$15,856$18,422-3.75%-4.44%-6.65%
2014104.58%6.95%$16,582$19,7024.58%6.03%8.06%
2014114.50%8.68%$17,327$21,4124.50%8.34%9.08%
2014120.74%3.45%$17,456$22,1500.74%-1.54%9.38%
201512.75%8.74%$17,937$24,0872.75%-9.47%31.01%
201522.55%-1.68%$18,394$23,6822.55%17.48%-17.87%
20153-1.10%-1.72%$18,191$23,273-1.10%-5.28%2.57%
20154-1.59%-3.21%$17,903$22,527-1.59%2.59%-10.30%
20155-0.40%-1.30%$17,830$22,234-0.40%3.43%-7.91%
20156-5.41%-8.65%$16,866$20,310-5.41%-6.21%-12.49%
201574.58%9.43%$17,638$22,2254.58%6.17%13.40%
20158-7.52%-11.35%$16,311$19,702-7.52%-18.87%-2.75%
20159-2.26%-1.61%$15,942$19,385-2.26%-8.64%5.10%
2015109.42%13.95%$17,444$22,0909.42%26.79%-1.73%
201511-0.14%-0.55%$17,420$21,968-0.14%0.81%-2.71%
201512-2.99%-4.67%$16,899$20,941-2.99%-6.06%-2.41%
20161-3.34%-0.47%$16,334$20,842-3.34%-15.38%17.74%
201621.65%3.85%$16,603$21,6441.65%-1.68%8.71%
2016310.26%9.16%$18,307$23,62710.26%21.50%-0.64%
201641.77%-0.63%$18,630$23,4771.77%0.81%-2.39%
201652.03%3.42%$19,008$24,2792.03%4.65%1.86%
201665.16%9.13%$19,988$26,4955.16%-0.20%21.23%
201676.64%8.86%$21,315$28,8426.64%11.13%6.07%
201680.25%-1.51%$21,370$28,4060.25%0.11%-3.58%
20169-0.86%-2.36%$21,186$27,737-0.86%-0.54%-4.78%
201610-4.50%-9.09%$20,232$25,216-4.50%-5.62%-13.32%
201611-2.29%-3.95%$19,768$24,221-2.29%11.05%-23.91%
2016122.94%3.60%$20,350$25,0932.94%5.96%-0.99%
201712.51%3.50%$20,861$25,9702.51%5.14%1.49%
201725.91%8.60%$22,093$28,2045.91%11.91%4.41%
20173-0.41%-1.12%$22,003$27,887-0.41%-0.22%-2.35%
201742.60%3.52%$22,574$28,8692.60%2.77%4.43%
201753.20%4.37%$23,295$30,1293.20%3.70%5.17%
201761.23%1.73%$23,583$30,6501.23%1.51%1.98%
201772.30%2.13%$24,126$31,3042.30%5.87%-2.43%
201782.25%4.47%$24,670$32,7042.25%0.21%10.13%
201791.08%-0.19%$24,935$32,6421.08%5.69%-7.29%
2017102.58%3.52%$25,578$33,7912.58%6.83%-0.53%
2017113.23%5.79%$26,405$35,7463.23%8.87%1.73%
2017122.40%4.11%$27,038$37,2172.40%3.45%5.04%
201813.88%5.62%$28,088$39,3103.88%18.22%-9.77%
20182-6.54%-12.01%$26,250$34,588-6.54%-13.53%-9.57%
20183-1.27%-1.92%$25,918$33,924-1.27%-8.69%8.44%
20184-1.75%-3.09%$25,465$32,874-1.75%-0.14%-6.71%
201852.97%5.95%$26,221$34,8292.97%6.46%5.27%
201860.46%1.37%$26,342$35,3070.46%1.29%1.49%
201873.74%3.79%$27,326$36,6443.74%10.73%-4.70%
201883.74%6.72%$28,348$39,1083.74%9.09%3.36%
20189-1.04%-2.79%$28,053$38,017-1.04%1.20%-8.77%
201810-9.52%-15.53%$25,382$32,113-9.52%-20.78%-9.11%
2018112.41%4.51%$25,992$33,5612.41%4.28%4.76%
201812-6.06%-4.81%$24,418$31,948-6.06%-26.25%17.93%
201919.75%13.33%$26,799$36,2059.75%23.89%0.41%
201922.91%3.78%$27,578$37,5732.91%9.28%-4.52%
201936.19%9.31%$29,287$41,0706.19%4.85%17.00%
201943.41%3.54%$30,285$42,5253.41%11.81%-6.56%
20195-2.29%-2.65%$29,590$41,399-2.29%-18.89%21.11%
201968.92%11.54%$32,230$46,1758.92%21.37%1.90%
201972.06%2.24%$32,893$47,2082.06%3.80%0.32%
201985.91%11.81%$34,838$52,7825.91%-6.62%35.11%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth56.25%60.18%
Mid-cap Value0.00%0.00%
Mid-cap Growth11.39%9.19%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets9.37%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries22.99%30.62%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared77.33%53.51%
Style analysis is based on monthly returns from Jul 2012 to Aug 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
PSLDXPIMCO StocksPLUS Long Duration Instl85%+ Equity14.471.11%100.00%$24,838100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity0.92%55.00%$27,75860.10%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt1.09%45.00%$15,02439.90%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/05/2019. © 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)1.54%2.13%
Arithmetic Mean (annualized)20.08%28.74%
Geometric Mean (monthly)1.46%1.95%
Geometric Mean (annualized)19.02%26.13%
Volatility (monthly)3.90%5.94%
Volatility (annualized)13.50%20.58%
Downside Deviation (monthly)2.18%3.38%
Max. Drawdown-13.86%-19.52%
US Market Correlation0.790.66
Beta(*)0.951.21
Alpha (annualized)6.06%9.68%
R262.08%43.79%
Sharpe Ratio1.321.21
Sortino Ratio2.342.11
Treynor Ratio (%)18.8620.60
Calmar Ratio1.281.22
Active Return5.81%12.92%
Tracking Error8.34%15.61%
Information Ratio0.700.83
Skewness-0.37-0.45
Excess Kurtosis0.380.23
Historical Value-at-Risk (5%)-6.31%-8.94%
Analytical Value-at-Risk (5%)-4.88%-7.69%
Conditional Value-at-Risk (5%)-7.51%-11.99%
Upside Capture Ratio (%)118.01161.76
Downside Capture Ratio (%)85.45107.66
Safe Withdrawal Rate23.51%26.97%
Perpetual Withdrawal Rate14.99%19.89%
Positive Periods59 out of 86 (68.60%)55 out of 86 (63.95%)
Gain/Loss Ratio1.211.35
* 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
1Sep 2018Dec 20184 monthsMar 20193 months7 months-13.86%
2Mar 2015Sep 20157 monthsApr 20167 months1 year 2 months-13.33%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-9.34%
4May 2013Jun 20132 monthsOct 20134 months6 months-9.07%
5Sep 2016Nov 20163 monthsFeb 20173 months6 months-7.49%
6Sep 2014Sep 20141 monthOct 20141 month2 months-3.75%
7May 2019May 20191 monthJun 20191 month2 months-2.29%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.13%
9Oct 2012Oct 20121 monthNov 20121 month2 months-0.87%
10Mar 2017Mar 20171 monthApr 20171 month2 months-0.41%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
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%
8Jul 2014Jul 20141 monthAug 20141 month2 months-1.72%
9Sep 2017Sep 20171 monthOct 20171 month2 months-0.19%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PSLDXPIMCO StocksPLUS Long Duration Instl19.02%13.50%42.68%-9.69%-13.86%1.322.340.79
UPROProShares UltraPro S&P50034.59%33.86%118.49%-25.15%-39.08%1.041.720.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF8.38%35.35%97.34%-39.01%-49.74%0.380.66-0.28

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSLDXUPROTMFPortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl-0.800.341.000.96
UPROProShares UltraPro S&P5000.80--0.280.800.67
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.34-0.28-0.340.52

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl$24,838
UPROProShares UltraPro S&P500$27,758
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$15,024

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl100.00%
UPROProShares UltraPro S&P50060.10%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF39.90%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year15.58%34.23%-9.69%23.54%63.14%-14.16%
3 years15.11%16.10%13.05%20.67%25.95%15.12%
5 years16.63%19.84%13.43%23.76%28.85%18.67%
Result statistics are based on annualized rolling returns over full calendar year periods