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 number in parentheses shows the calculated value taking into account the periodic contributions.
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.
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
Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
Year
Inflation
Cashflow
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard 500 Index Investor
ProShares UltraPro S&P500 (UPRO)
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ProShares UltraPro QQQ (TQQQ)
Return
Balance
Return
Balance
Return
Balance
Return
Balance
2020
1.36%
$12,086
66.39%
$32,405
94.25%
$36,097
122.07%
$39,458
18.25%
$26,181
10.08%
41.60%
110.05%
Monthly returns for the configured portfolios
Year
Month
Portfolio 1 Return
Portfolio 2 Return
Portfolio 3 Return
Vanguard 500 Index Investor Return
ProShares UltraPro S&P500 (UPRO)
Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ProShares UltraPro QQQ (TQQQ)
2020
1
10.21%
12.71%
15.68%
-0.05%
-0.91%
23.80%
8.19%
2020
2
-2.34%
-1.41%
0.56%
-8.24%
-23.04%
17.91%
-17.77%
2020
3
-11.49%
-10.44%
-7.99%
-12.37%
-48.13%
11.91%
-38.13%
2020
4
21.65%
24.20%
25.44%
12.81%
37.17%
2.68%
46.45%
2020
5
5.84%
7.70%
8.77%
4.76%
13.38%
-6.48%
18.63%
2020
6
2.33%
7.63%
12.09%
1.98%
3.23%
0.54%
17.98%
2020
7
15.64%
16.90%
17.88%
5.63%
17.70%
13.13%
22.25%
2020
8
5.78%
9.73%
12.10%
7.18%
22.05%
-14.89%
35.17%
2020
9
-7.16%
-9.74%
-11.52%
-3.81%
-12.26%
2.15%
-18.88%
2020
10
-9.32%
-9.82%
-10.31%
-2.67%
-8.48%
-10.35%
-10.28%
2020
11
21.42%
21.17%
20.00%
10.94%
35.20%
4.24%
34.54%
2020
12
6.00%
7.15%
7.81%
3.84%
11.14%
-2.32%
15.05%
* End-of-month balance includes the monthly contribution/withdrawal
Holdings Based Style Analysis for Portfolio 1
Holdings Based Style Analysis for Portfolio 1
Ticker
Name
Category
Weight
Yield
Fees
Return Contribution
Risk Contribution
UPRO
ProShares UltraPro S&P500
Leveraged Equity
55.00%
0.11%
0.93%
$8,615
95.39%
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
Leveraged Debt
45.00%
2.23%
1.05%
$1,705
4.61%
100.00%
1.06%
0.98%
$10,320
100.00%
Asset Allocation
Fixed Income Credit Quality
Fixed Income Maturity
Holdings Based Style Analysis for Portfolio 2
Holdings Based Style Analysis for Portfolio 2
Ticker
Name
Category
Weight
Yield
Fees
Return Contribution
Risk Contribution
UPRO
ProShares UltraPro S&P500
Leveraged Equity
27.50%
0.11%
0.93%
$4,869
45.99%
TQQQ
ProShares UltraPro QQQ
Leveraged Equity
27.50%
0.95%
$7,586
50.35%
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
Leveraged Debt
45.00%
2.23%
1.05%
$1,556
3.66%
100.00%
1.03%
0.99%
$14,011
100.00%
Asset Allocation
Fixed Income Credit Quality
Fixed Income Maturity
Holdings Based Style Analysis for Portfolio 3
Holdings Based Style Analysis for Portfolio 3
Ticker
Name
Category
Weight
Yield
Fees
Return Contribution
Risk Contribution
TQQQ
ProShares UltraPro QQQ
Leveraged Equity
52.00%
0.95%
$15,885
94.62%
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
Leveraged Debt
48.00%
2.23%
1.05%
$1,487
5.38%
100.00%
1.07%
1.00%
$17,372
100.00%
Asset Allocation
Fixed Income Credit Quality
Fixed Income Maturity
Fund fundamentals data as of 01/26/2021. (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
Metric
Portfolio 1
Portfolio 2
Portfolio 3
Vanguard 500 Index Investor
Arithmetic Mean (monthly)
4.88%
6.32%
7.54%
1.67%
Arithmetic Mean (annualized)
77.17%
108.53%
139.30%
21.92%
Geometric Mean (monthly)
4.33%
5.69%
6.87%
1.41%
Geometric Mean (annualized)
66.39%
94.25%
122.07%
18.25%
Volatility (monthly)
11.18%
11.94%
12.30%
7.49%
Volatility (annualized)
38.73%
41.35%
42.61%
25.96%
Downside Deviation (monthly)
4.79%
5.02%
5.02%
4.50%
Max. Drawdown
-15.81%
-18.60%
-20.65%
-19.63%
US Market Correlation
0.87
0.87
0.82
1.00
Beta(*)
1.32
1.40
1.36
1.00
Alpha (annualized)
32.30%
47.87%
63.26%
-0.00%
R2
77.66%
76.91%
68.99%
100.00%
Sharpe Ratio
1.50
1.82
2.11
0.75
Sortino Ratio
3.48
4.31
5.16
1.24
Treynor Ratio (%)
44.21
53.93
66.06
19.54
Active Return
48.14%
76.00%
103.82%
N/A
Tracking Error
20.05%
22.39%
25.54%
N/A
Information Ratio
2.40
3.39
4.07
N/A
Skewness
0.10
-0.19
-0.42
-0.40
Excess Kurtosis
-0.96
-1.07
-1.02
-0.34
Historical Value-at-Risk (5%)
-10.30%
-10.10%
-10.86%
-10.10%
Analytical Value-at-Risk (5%)
-16.22%
-15.10%
-13.42%
-10.66%
Conditional Value-at-Risk (5%)
-11.49%
-10.44%
-11.52%
-12.37%
Upside Capture Ratio (%)
187.96
244.49
282.44
100.00
Downside Capture Ratio (%)
79.94
76.66
60.84
100.00
Safe Withdrawal Rate
100.00%
100.00%
100.00%
100.00%
Perpetual Withdrawal Rate
39.08%
47.82%
54.35%
14.28%
Positive Periods
8 out of 12 (66.67%)
8 out of 12 (66.67%)
9 out of 12 (75.00%)
7 out of 12 (58.33%)
Gain/Loss Ratio
1.47
1.71
1.34
1.24
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.