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 2020 - Dec 2020)

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 27.50%
TQQQ ProShares UltraPro QQQ 27.50%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 52.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 48.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$32,405 224.05% 66.39%68.78%38.73%-15.81%
(-8.29%)
1.503.480.87
Portfolio 2$10,000$36,097 260.97% 94.25%94.25%41.35%-18.60%
(-12.13%)
1.824.310.87
Portfolio 3$10,000$39,458 294.58% 122.07%117.73%42.61%-20.65%
(-14.99%)
2.115.160.82
Vanguard 500 Index Investor$10,000$26,181 161.81% 18.25%26.79%25.96%-19.63%
(-3.32%)
0.751.241.00
* 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
YearInflationCashflowPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro QQQ (TQQQ)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20201.36%$12,08666.39%$32,40594.25%$36,097122.07%$39,45818.25%$26,18110.08%41.60%110.05%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnVanguard 500 Index Investor ReturnProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro QQQ (TQQQ)
2020110.21%12.71%15.68%-0.05%-0.91%23.80%8.19%
20202-2.34%-1.41%0.56%-8.24%-23.04%17.91%-17.77%
20203-11.49%-10.44%-7.99%-12.37%-48.13%11.91%-38.13%
2020421.65%24.20%25.44%12.81%37.17%2.68%46.45%
202055.84%7.70%8.77%4.76%13.38%-6.48%18.63%
202062.33%7.63%12.09%1.98%3.23%0.54%17.98%
2020715.64%16.90%17.88%5.63%17.70%13.13%22.25%
202085.78%9.73%12.10%7.18%22.05%-14.89%35.17%
20209-7.16%-9.74%-11.52%-3.81%-12.26%2.15%-18.88%
202010-9.32%-9.82%-10.31%-2.67%-8.48%-10.35%-10.28%
20201121.42%21.17%20.00%10.94%35.20%4.24%34.54%
2020126.00%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
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.11%0.93%$8,61595.39%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.23%1.05%$1,7054.61%
100.00%1.06%0.98%$10,320100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity27.50%0.11%0.93%$4,86945.99%
TQQQProShares UltraPro QQQLeveraged Equity27.50%0.95%$7,58650.35%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.23%1.05%$1,5563.66%
100.00%1.03%0.99%$14,011100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
TQQQProShares UltraPro QQQLeveraged Equity52.00%0.95%$15,88594.62%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt48.00%2.23%1.05%$1,4875.38%
100.00%1.07%1.00%$17,372100.00%

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
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 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 Correlation0.870.870.821.00
Beta(*)1.321.401.361.00
Alpha (annualized)32.30%47.87%63.26%-0.00%
R277.66%76.91%68.99%100.00%
Sharpe Ratio1.501.822.110.75
Sortino Ratio3.484.315.161.24
Treynor Ratio (%)44.2153.9366.0619.54
Active Return48.14%76.00%103.82%N/A
Tracking Error20.05%22.39%25.54%N/A
Information Ratio2.403.394.07N/A
Skewness0.10-0.19-0.42-0.40
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 (%)187.96244.49282.44100.00
Downside Capture Ratio (%)79.9476.6660.84100.00
Safe Withdrawal Rate100.00%100.00%100.00%100.00%
Perpetual Withdrawal Rate39.08%47.82%54.35%14.28%
Positive Periods8 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 Ratio1.471.711.341.24
* Vanguard 500 Index Investor 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
1Sep 2020Oct 20202 monthsNov 20201 month3 months-15.81%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-13.56%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsDec 20202 months4 months-18.60%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-11.70%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsDec 20202 months4 months-20.65%
2Mar 2020Mar 20201 monthApr 20201 month2 months-7.99%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50010.08%84.97%-60.44%0.550.841.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF41.60%39.89%-22.07%1.052.16-0.36
TQQQProShares UltraPro QQQ110.05%88.69%-49.12%1.272.380.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFTQQQPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.00-0.340.970.880.870.820.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.341.00-0.310.110.090.12-0.36
TQQQProShares UltraPro QQQ0.97-0.311.000.880.910.890.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$8,615$4,869
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$1,705$1,556$1,487
TQQQProShares UltraPro QQQ$7,586$15,885

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P50095.39%45.99%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF4.61%3.66%5.38%
TQQQProShares UltraPro QQQ50.35%94.62%

Annual Asset Returns