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 (Jan 2018 - Apr 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 60.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 100.00%
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 BalanceReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$88,866 -11.13% 27.18%-11.13%-11.13%-16.96% -1.23-1.490.94
Portfolio 2$100,000$93,210 -6.79% 48.42%-6.79%-6.79%-21.15% -0.29-0.501.00
Portfolio 3$100,000$82,542 -17.46% 30.05%-17.46%-17.46%-18.41% -1.81-2.03-0.35
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.
  • 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 backtested results assume quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20181.63%-11.13%-6.79%-17.46%$88,866$93,210$82,542-6.79%-17.46%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201817.02%18.22%-9.77%$107,022$118,216$90,23118.22%-9.77%
20182-12.20%-13.53%-9.57%$93,968$102,219$81,592-13.53%-9.57%
20183-2.74%-8.69%8.44%$91,394$93,339$88,477-8.69%8.44%
20184-2.77%-0.14%-6.71%$88,866$93,210$82,542-0.14%-6.71%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity60.00%0.92%-$4,072100.75%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%-$7,061-0.75%
100.00%0.97%-$11,134100.00%

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 Equity100.00%0.92%-$6,790100.00%

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%-$17,458100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/09/2020. (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)-2.67%-1.04%-4.40%
Arithmetic Mean (annualized)-27.73%-11.74%-41.75%
Geometric Mean (monthly)-2.91%-1.74%-4.68%
Geometric Mean (annualized)-29.82%-19.02%-43.76%
Volatility (monthly)7.85%13.98%8.67%
Volatility (annualized)27.18%48.42%30.05%
Downside Deviation (monthly)6.40%8.04%7.62%
Max. Drawdown-16.96%-21.15%-18.41%
US Market Correlation0.941.00-0.35
Beta(*)1.893.56-0.78
Alpha (annualized)-31.91%-12.17%-52.89%
R288.78%99.80%12.28%
Sharpe Ratio-1.23-0.29-1.81
Sortino Ratio-1.49-0.50-2.03
Treynor Ratio (%)-17.80-3.9270.13
Active Return-29.07%-18.27%-43.01%
Tracking Error15.09%34.86%37.06%
Information Ratio-1.93-0.52-1.16
Skewness0.061.161.85
Excess Kurtosis1.500.923.43
Historical Value-at-Risk (5%)-12.20%-13.53%-9.77%
Analytical Value-at-Risk (5%)-13.43%-24.03%-18.67%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)70.05356.23-222.77
Downside Capture Ratio (%)236.18317.9335.80
Safe Withdrawal RateN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/A
Positive Periods1 out of 4 (25.00%)1 out of 4 (25.00%)1 out of 4 (25.00%)
Gain/Loss Ratio1.192.440.97
* 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 2018Apr 20183 months-16.96%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Apr 20183 months-21.15%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2018Feb 20182 months-18.41%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P500-6.79%48.42%-6.79%-6.79%-21.15%-0.29-0.501.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-17.46%30.05%-17.46%-17.46%-18.41%-1.81-2.03-0.35

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFPortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P5001.00-0.380.931.00-0.38
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.381.00-0.02-0.381.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500-$4,072-$6,790
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-$7,061-$17,458

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500100.75%100.00%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.75%100.00%

Annual Asset Returns