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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (May 2020 - Dec 2020)

Portfolio Allocations

UPRO/TMF 55/45 (HF)
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »
TQQQ/TMF 52/48
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 52.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 48.00%
Save portfolio »
QQQ
Ticker Name Allocation
QQQ Invesco QQQ Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceReturnTWRRMWRRStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPRO/TMF 55/45 (HF)$100,000$152,028 52.03% 41.43%41.59%35.76%-15.81%
(-13.75%)
1.634.050.93
TQQQ/TMF 52/48$100,000$170,637 70.64% 59.96%59.67%40.76%-20.65%
(-18.94%)
1.954.200.91
QQQ$100,000$154,148 54.15% 43.83%43.65%21.29%-8.65%
(-6.52%)
2.717.190.94
Vanguard 500 Index Investor$100,000$140,570 40.57% 30.42%30.47%17.01%-6.38%
(-4.00%)
2.457.291.00
* 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.
  • The annual results for 2020 are based on monthly returns from May to December
  • TWRR = Time weighted rate of return
  • MWRR = 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 quarterly contribution of $3,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowUPRO/TMF 55/45 (HF)TQQQ/TMF 52/48QQQVanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro QQQ (TQQQ)Invesco QQQ Trust (QQQ)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20201.59%$9,11041.43%$152,02859.96%$170,63743.83%$154,14830.42%$140,570102.87%-15.58%160.57%43.83%
Annual return for 2020 is from 05/01/2020 to 12/31/2020
Monthly returns for the configured portfolios
YearMonthUPRO/TMF 55/45 (HF) ReturnTQQQ/TMF 52/48 ReturnQQQ ReturnVanguard 500 Index Investor ReturnProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro QQQ (TQQQ)Invesco QQQ Trust (QQQ)
202054.44%6.58%6.60%4.76%13.38%-6.48%18.63%6.60%
202062.15%10.63%6.28%1.98%3.23%0.54%17.98%6.28%
2020715.64%17.88%7.35%5.63%17.70%13.13%22.25%7.35%
202085.78%12.10%10.94%7.18%22.05%-14.89%35.17%10.94%
20209-7.16%-11.52%-5.78%-3.81%-12.26%2.15%-18.88%-5.78%
202010-9.32%-10.31%-3.04%-2.67%-8.48%-10.35%-10.28%-3.04%
20201121.42%20.00%11.23%10.94%35.20%4.24%34.54%11.23%
2020126.00%7.81%4.90%3.84%11.14%-2.32%15.05%4.90%
* End-of-month balance includes the quarterly contribution/withdrawal

Holdings Based Style Analysis for UPRO/TMF 55/45 (HF)

Holdings Based Style Analysis for UPRO/TMF 55/45 (HF)
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.11%0.93%$51,42880.29%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%2.23%1.05%-$8,51019.71%
100.00%1.06%0.98%$42,918100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for TQQQ/TMF 52/48

Holdings Based Style Analysis for TQQQ/TMF 52/48
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
TQQQProShares UltraPro QQQLeveraged Equity52.00%0.95%$71,39686.31%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt48.00%2.23%1.05%-$9,86913.69%
100.00%1.07%1.00%$61,527100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for QQQ

Holdings Based Style Analysis for QQQ
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
QQQInvesco QQQ TrustLarge Growth100.00%0.52%0.20%36.15$45,039100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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
MetricUPRO/TMF 55/45 (HF)TQQQ/TMF 52/48QQQVanguard 500 Index Investor
Arithmetic Mean (monthly)4.87%6.65%4.81%3.48%
Arithmetic Mean (annualized)76.96%116.45%75.73%50.74%
Geometric Mean (monthly)4.43%6.05%4.65%3.38%
Geometric Mean (annualized)68.19%102.32%72.49%48.95%
Volatility (monthly)10.32%11.77%6.15%4.91%
Volatility (annualized)35.76%40.76%21.29%17.01%
Downside Deviation (monthly)4.15%5.47%2.31%1.65%
Max. Drawdown-15.81%-20.65%-8.65%-6.38%
US Market Correlation0.930.910.941.00
Beta(*)1.952.221.191.00
Alpha (annualized)-22.84%-12.95%7.89%0.00%
R285.87%85.91%90.99%100.00%
Sharpe Ratio1.631.952.712.45
Sortino Ratio4.054.207.197.29
Treynor Ratio (%)29.9635.8748.2741.64
Active Return19.24%53.37%23.54%N/A
Tracking Error20.99%25.80%7.19%N/A
Information Ratio0.922.073.27N/A
Skewness0.20-0.80-0.94-0.23
Excess Kurtosis-0.37-0.60-0.20-0.45
Historical Value-at-Risk (5%)-8.56%-11.10%-4.82%-3.41%
Analytical Value-at-Risk (5%)-10.63%-10.44%-5.30%-4.60%
Conditional Value-at-Risk (5%)-9.32%-11.52%-5.78%-3.81%
Upside Capture Ratio (%)182.71289.01151.40100.00
Downside Capture Ratio (%)241.63311.32134.74100.00
Safe Withdrawal RateN/AN/AN/AN/A
Perpetual Withdrawal RateN/AN/AN/AN/A
Positive Periods6 out of 8 (75.00%)6 out of 8 (75.00%)6 out of 8 (75.00%)6 out of 8 (75.00%)
Gain/Loss Ratio1.121.141.791.76
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for UPRO/TMF 55/45 (HF)

Drawdowns for UPRO/TMF 55/45 (HF)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-15.81%

Drawdowns for TQQQ/TMF 52/48

Drawdowns for TQQQ/TMF 52/48
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsDec 20202 months4 months-20.65%

Drawdowns for QQQ

Drawdowns for QQQ
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-8.65%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%

Portfolio Assets

Performance statistics for portfolio components
TickerNameReturnStdevMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P500102.87%54.52%-19.70%2.256.721.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-15.58%30.63%-22.07%-0.69-0.890.14
TQQQProShares UltraPro QQQ160.57%67.35%-27.21%2.556.520.94
QQQInvesco QQQ Trust43.83%21.29%-8.65%2.717.190.94

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFTQQQQQQUPRO/TMF 55/45 (HF)TQQQ/TMF 52/48QQQVanguard 500 Index Investor
UPROProShares UltraPro S&P5001.000.150.940.930.930.910.931.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.151.000.030.040.500.360.040.14
TQQQProShares UltraPro QQQ0.940.031.001.000.840.941.000.96
QQQInvesco QQQ Trust0.930.041.001.000.840.951.000.95

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameUPRO/TMF 55/45 (HF)TQQQ/TMF 52/48QQQ
UPROProShares UltraPro S&P500$51,428
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-$8,510-$9,869
TQQQProShares UltraPro QQQ$71,396
QQQInvesco QQQ Trust$45,039

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameUPRO/TMF 55/45 (HF)TQQQ/TMF 52/48QQQ
UPROProShares UltraPro S&P50080.29%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF19.71%13.69%
TQQQProShares UltraPro QQQ86.31%
QQQInvesco QQQ Trust100.00%

Annual Asset Returns