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 2012 - Dec 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$37,262 19.17% 13.23%52.60%-9.69%-13.86% 1.352.390.79
Portfolio 2$10,000$55,552 25.69% 20.22%73.88%-14.16%-19.52% 1.212.110.66
   
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 2012 are based on monthly returns from July to December
  • 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 quarterly 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
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%
20192.29%52.60%73.88%$37,262$55,55252.60%102.31%34.74%
Annual returns for 2012 are based on partial year data
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%
201990.05%-2.37%$34,855$51,5310.05%5.30%-9.07%
2019101.86%1.28%$35,504$52,1921.86%5.70%-4.11%
2019113.52%5.30%$36,755$54,9603.52%10.73%-2.01%
2019121.38%1.08%$37,262$55,5521.38%8.38%-10.05%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth56.88%
Mid-cap Value0.00%
Mid-cap Growth11.25%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets9.06%
Corporate Bonds0.00%
Long-Term Treasuries22.82%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared77.25%
Style analysis is based on monthly returns from Jul 2012 to Dec 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 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PSLDXPIMCO StocksPLUS Long Duration Instl85%+ Equity100.00%1.01%17.9014.57$27,262100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.92%$36,67359.69%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%1.05%$8,87940.31%
100.00%0.98%$45,552100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (c) 2020 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%2.09%
Arithmetic Mean (annualized)20.19%28.20%
Geometric Mean (monthly)1.47%1.92%
Geometric Mean (annualized)19.17%25.69%
Volatility (monthly)3.82%5.84%
Volatility (annualized)13.23%20.22%
Downside Deviation (monthly)2.13%3.32%
Max. Drawdown-13.86%-19.52%
US Market Correlation0.790.66
Beta(*)0.941.20
Alpha (annualized)5.48%8.44%
R261.65%43.05%
Sharpe Ratio1.351.21
Sortino Ratio2.392.11
Treynor Ratio (%)18.9920.35
Calmar Ratio1.611.62
Active Return5.03%11.55%
Tracking Error8.22%15.41%
Information Ratio0.610.75
Skewness-0.38-0.43
Excess Kurtosis0.510.30
Historical Value-at-Risk (5%)-6.24%-8.85%
Analytical Value-at-Risk (5%)-4.74%-7.55%
Conditional Value-at-Risk (5%)-7.51%-11.99%
Upside Capture Ratio (%)114.51154.17
Downside Capture Ratio (%)85.42107.68
Safe Withdrawal Rate21.96%25.58%
Perpetual Withdrawal Rate13.96%18.14%
Positive Periods63 out of 90 (70.00%)58 out of 90 (64.44%)
Gain/Loss Ratio1.171.33
* 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%
8Sep 2019Sep 20191 monthNov 20192 months3 months-2.37%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.72%
10Sep 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 Instl19.17%13.23%52.60%-9.69%-13.86%1.352.390.79
UPROProShares UltraPro S&P50038.05%33.29%118.49%-25.15%-39.08%1.131.870.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF4.26%35.05%97.34%-39.01%-49.74%0.270.45-0.29

Monthly Correlations

Correlations for the portfolio assets
TickerNamePSLDXUPROTMFPortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl1.000.790.331.000.96
UPROProShares UltraPro S&P5000.791.00-0.280.790.66
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.33-0.281.000.330.52

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl$27,262
UPROProShares UltraPro S&P500$36,673
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$8,879

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PSLDXPIMCO StocksPLUS Long Duration Instl100.00%
UPROProShares UltraPro S&P50059.69%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF40.31%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year20.87%52.60%-9.69%30.73%73.88%-14.16%
3 years16.56%22.34%13.05%22.60%30.33%15.12%
5 years16.55%19.84%13.43%22.57%28.85%18.67%
7 years19.13%19.13%19.13%26.90%26.90%26.90%
Result statistics are based on annualized rolling returns over full calendar year periods