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 (Aug 2012 - Apr 2019)

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 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
CASHX Cash 45.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$39,904 22.76% 20.36%63.14%-14.16%-19.52% 1.091.830.69
Portfolio 2$10,000$36,785 21.28% 17.97%57.31%-10.74%-21.24% 1.141.910.99
Portfolio 3$10,000$9,548 -0.68% 32.74%97.34%-39.01%-49.74% 0.120.19-0.22
   
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 August to December
  • The annual results for 2019 are based on monthly returns from January to April
  • 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
YearInflationReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20120.22%-1.66%6.63%-17.60%$9,834$10,663$8,24011.86%-17.60%0.04%
20131.50%29.54%57.31%-39.01%$12,740$16,774$5,026118.49%-39.01%0.05%
20140.76%63.14%19.94%97.34%$20,785$20,119$9,91838.00%97.34%0.03%
20150.73%-5.46%-1.80%-13.73%$19,651$19,757$8,557-5.24%-13.73%0.05%
20162.07%19.82%16.40%-2.52%$23,546$22,997$8,34130.79%-2.52%0.30%
20172.11%48.32%36.30%22.73%$34,923$31,344$10,23771.37%22.73%0.88%
20181.91%-14.16%-10.74%-11.01%$29,978$27,979$9,110-25.15%-11.01%1.90%
20191.72%33.11%31.47%4.81%$39,904$36,785$9,54858.73%4.81%0.80%
Annual returns for 2012 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201281.52%3.59%-4.61%$10,152$10,359$9,5396.53%-4.61%0.01%
201291.01%4.26%-7.87%$10,254$10,800$8,7887.52%-7.87%0.01%
201210-4.24%-3.28%-2.13%$9,820$10,446$8,602-5.96%-2.13%0.01%
2012112.34%0.55%3.90%$10,050$10,503$8,9371.01%3.90%0.01%
201212-2.14%1.52%-7.80%$9,834$10,663$8,2402.82%-7.80%0.01%
201314.15%8.47%-9.58%$10,243$11,565$7,45115.39%-9.58%0.00%
201323.50%2.09%3.39%$10,601$11,807$7,7033.56%3.39%0.01%
201336.04%6.55%-1.77%$11,241$12,580$7,56711.03%-1.77%0.01%
201349.41%3.00%14.25%$12,299$12,958$8,6455.45%14.25%0.01%
20135-5.63%3.83%-19.65%$11,607$13,454$6,9476.80%-19.65%0.00%
20136-7.27%-3.02%-10.33%$10,763$13,047$6,229-5.23%-10.33%0.00%
201375.69%9.03%-7.41%$11,376$14,225$5,76716.41%-7.41%0.00%
20138-7.34%-5.41%-4.47%$10,540$13,456$5,510-9.21%-4.47%0.00%
201396.32%5.41%1.53%$11,207$14,184$5,5949.60%1.53%0.00%
2013109.42%7.57%4.12%$12,262$15,257$5,82513.76%4.12%0.00%
2013111.57%5.16%-8.19%$12,455$16,045$5,3478.87%-8.19%0.00%
2013122.29%4.54%-6.01%$12,740$16,774$5,0267.54%-6.01%0.01%
201412.87%-5.89%19.47%$13,105$15,785$6,005-10.72%19.47%0.01%
201427.37%7.12%1.63%$14,071$16,910$6,10213.65%1.63%0.00%
201431.95%1.19%1.76%$14,346$17,112$6,2102.15%1.76%0.00%
201443.59%0.91%5.96%$14,862$17,267$6,5801.65%5.96%0.00%
201457.62%3.67%8.79%$15,994$17,901$7,1586.62%8.79%0.00%
201462.86%3.55%-1.00%$16,452$18,536$7,0876.22%-1.00%0.00%
20147-1.72%-2.44%1.61%$16,170$18,084$7,201-4.44%1.61%0.00%
2014813.10%6.44%14.42%$18,288$19,249$8,24011.95%14.42%0.00%
20149-5.48%-2.51%-6.65%$17,287$18,765$7,692-4.44%-6.65%0.00%
2014106.95%3.32%8.06%$18,488$19,388$8,3126.03%8.06%0.00%
2014118.68%4.71%9.08%$20,092$20,301$9,0678.34%9.08%0.00%
2014123.45%-0.90%9.38%$20,785$20,119$9,918-1.54%9.38%0.00%
201518.74%-5.21%31.01%$22,602$19,071$12,993-9.47%31.01%0.00%
20152-1.68%9.18%-17.87%$22,222$20,822$10,67217.48%-17.87%0.00%
20153-1.72%-2.98%2.57%$21,839$20,201$10,946-5.28%2.57%0.00%
20154-3.21%1.43%-10.30%$21,138$20,489$9,8192.59%-10.30%0.00%
20155-1.30%1.91%-7.91%$20,864$20,881$9,0423.43%-7.91%0.00%
20156-8.65%-3.50%-12.49%$19,058$20,149$7,912-6.21%-12.49%0.00%
201579.43%3.40%13.40%$20,855$20,833$8,9736.17%13.40%0.00%
20158-11.35%-10.65%-2.75%$18,488$18,614$8,726-18.87%-2.75%0.01%
20159-1.61%-4.43%5.10%$18,190$17,790$9,171-8.64%5.10%0.01%
20151013.95%14.73%-1.73%$20,729$20,412$9,01226.79%-1.73%0.00%
201511-0.55%0.50%-2.71%$20,614$20,513$8,7680.81%-2.71%0.01%
201512-4.67%-3.69%-2.41%$19,651$19,757$8,557-6.06%-2.41%0.02%
20161-0.47%-8.45%17.74%$19,557$18,087$10,075-15.38%17.74%0.01%
201623.85%-0.84%8.71%$20,310$17,935$10,952-1.68%8.71%0.03%
201639.16%10.85%-0.64%$22,171$19,881$10,88221.50%-0.64%0.03%
20164-0.63%0.45%-2.39%$22,030$19,970$10,6210.81%-2.39%0.02%
201653.42%2.58%1.86%$22,783$20,485$10,8184.65%1.86%0.02%
201669.13%-0.10%21.23%$24,862$20,464$13,114-0.20%21.23%0.03%
201678.86%6.13%6.07%$27,064$21,719$13,91111.13%6.07%0.02%
20168-1.51%0.07%-3.58%$26,655$21,735$13,4130.11%-3.58%0.02%
20169-2.36%-0.30%-4.78%$26,027$21,670$12,772-0.54%-4.78%0.03%
201610-9.09%-3.08%-13.32%$23,662$21,002$11,071-5.62%-13.32%0.02%
201611-3.95%5.93%-23.91%$22,728$22,248$8,42411.05%-23.91%0.03%
2016123.60%3.36%-0.99%$23,546$22,997$8,3415.96%-0.99%0.04%
201713.50%2.84%1.49%$24,369$23,650$8,4665.14%1.49%0.04%
201728.60%6.72%4.41%$26,465$25,239$8,83911.91%4.41%0.04%
20173-1.12%-0.11%-2.35%$26,169$25,211$8,632-0.22%-2.35%0.04%
201743.52%1.55%4.43%$27,089$25,602$9,0142.77%4.43%0.06%
201754.37%2.09%5.17%$28,272$26,137$9,4803.70%5.17%0.07%
201761.73%0.89%1.98%$28,760$26,370$9,6681.51%1.98%0.08%
201772.13%3.27%-2.43%$29,374$27,231$9,4325.87%-2.43%0.08%
201784.47%0.16%10.13%$30,688$27,274$10,3880.21%10.13%0.09%
20179-0.19%3.25%-7.29%$30,630$28,159$9,6315.69%-7.29%0.08%
2017103.52%3.80%-0.53%$31,708$29,229$9,5806.83%-0.53%0.09%
2017115.79%5.06%1.73%$33,543$30,709$9,7468.87%1.73%0.09%
2017124.11%2.07%5.04%$34,923$31,344$10,2373.45%5.04%0.10%
201815.62%10.07%-9.77%$36,887$34,501$9,23718.22%-9.77%0.11%
20182-12.01%-7.94%-9.57%$32,456$31,760$8,353-13.53%-9.57%0.12%
20183-1.92%-4.76%8.44%$31,833$30,248$9,058-8.69%8.44%0.14%
20184-3.09%-0.01%-6.71%$30,848$30,245$8,450-0.14%-6.71%0.14%
201855.95%3.62%5.27%$32,682$31,340$8,8956.46%5.27%0.15%
201861.37%0.79%1.49%$33,131$31,589$9,0281.29%1.49%0.16%
201873.79%5.97%-4.70%$34,385$33,475$8,60310.73%-4.70%0.16%
201886.72%5.30%3.36%$36,697$35,248$8,8939.09%3.36%0.17%
20189-2.79%0.78%-8.77%$35,673$35,524$8,1131.20%-8.77%0.17%
201810-15.53%-11.35%-9.11%$30,134$31,493$7,374-20.78%-9.11%0.18%
2018114.51%2.20%4.76%$31,493$32,186$7,7244.28%4.76%0.19%
201812-4.81%-13.07%17.93%$29,978$27,979$9,110-26.25%17.93%0.19%
2019113.33%13.23%0.41%$33,974$31,681$9,14723.89%0.41%0.20%
201923.78%5.66%-4.52%$35,257$33,476$8,7339.28%-4.52%0.20%
201939.31%3.10%17.00%$38,538$34,512$10,2184.85%17.00%0.20%
201943.54%6.58%-6.56%$39,904$36,785$9,54811.81%-6.56%0.20%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value6.52%
Large-cap Growth69.56%
Mid-cap Value7.50%
Mid-cap Growth0.00%
Small-cap Value16.42%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared82.75%
Style analysis is based on monthly returns from Aug 2012 to Apr 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
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.92%$26,98961.66%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%1.05%$2,91538.34%
100.00%0.98%$29,904100.00%

Asset Allocation

Fixed Income Credit Quality

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%$26,260100.01%
CASHXCashCash45.00%$524-0.01%
100.00%0.92%$26,785100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt100.00%1.05%-$452100.00%

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 2Portfolio 3
Arithmetic Mean (monthly)1.89%1.75%0.38%
Arithmetic Mean (annualized)25.26%23.20%4.62%
Geometric Mean (monthly)1.72%1.62%-0.06%
Geometric Mean (annualized)22.76%21.28%-0.68%
Volatility (monthly)5.88%5.19%9.45%
Volatility (annualized)20.36%17.97%32.74%
Downside Deviation (monthly)3.47%3.06%6.05%
Max. Drawdown-19.52%-21.24%-49.74%
US Market Correlation0.690.99-0.22
Beta(*)1.291.63-0.67
Alpha (annualized)4.98%-1.37%13.76%
R247.89%98.03%5.01%
Sharpe Ratio1.091.140.12
Sortino Ratio1.831.910.19
Treynor Ratio (%)17.1712.56-5.86
Calmar Ratio1.171.06-0.07
Active Return8.75%7.28%-14.68%
Tracking Error15.04%7.31%36.77%
Information Ratio0.581.00-0.40
Skewness-0.48-0.420.42
Excess Kurtosis0.310.770.95
Historical Value-at-Risk (5%)-9.04%-8.40%-13.24%
Analytical Value-at-Risk (5%)-7.85%-6.79%-15.17%
Conditional Value-at-Risk (5%)-11.99%-10.88%-18.69%
Upside Capture Ratio (%)157.19169.79-23.03
Downside Capture Ratio (%)134.94169.19-61.48
Safe Withdrawal Rate25.27%26.51%11.11%
Perpetual Withdrawal Rate16.65%15.67%0.00%
Positive Periods51 out of 81 (62.96%)57 out of 81 (70.37%)40 out of 81 (49.38%)
Gain/Loss Ratio1.291.001.14
* 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
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%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.72%
8Sep 2017Sep 20171 monthOct 20171 month2 months-0.19%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsApr 20194 months7 months-21.24%
2Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-14.80%
3Feb 2018Apr 20183 monthsAug 20184 months7 months-12.34%
4Dec 2014Jan 20152 monthsFeb 20151 month3 months-6.06%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-5.89%
6Aug 2013Aug 20131 monthOct 20132 months3 months-5.41%
7Sep 2016Oct 20162 monthsNov 20161 month3 months-3.37%
8Oct 2012Oct 20121 monthJan 20133 months4 months-3.28%
9Jun 2013Jun 20131 monthJul 20131 month2 months-3.02%
10Mar 2015Mar 20151 monthMay 20152 months3 months-2.98%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-49.74%
2Aug 2016Oct 20182 years 3 months-46.99%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-39.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50037.33%32.88%118.49%-25.15%-39.08%1.121.880.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.68%32.74%97.34%-39.01%-49.74%0.120.19-0.22
CASHXCash0.60%0.23%1.90%0.03%0.00%N/AN/A-0.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFCASHXPortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P5001.00-0.22-0.030.701.00-0.22
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.221.000.030.53-0.211.00
CASHXCash-0.030.031.00-0.00-0.010.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$26,989$26,260
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$2,915-$452
CASHXCash$524

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P50061.66%100.01%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF38.34%100.00%
CASHXCash-0.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year23.54%63.14%-14.16%19.57%57.31%-10.74%8.97%97.34%-39.01%
3 years20.67%25.95%15.12%15.54%22.82%11.09%5.71%18.40%1.06%
5 years23.76%28.85%18.67%17.42%24.07%10.78%8.53%12.63%4.44%
Result statistics are based on annualized rolling returns over full calendar year periods