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 Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2010 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 40.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 60.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DZK Direxion Daily MSCI Dev Mkts Bull 3X ETF 40.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 60.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 60.00%
EDC Direxion Daily MSCI Em Mkts Bull 3X ETF 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$124,590 28.69% 21.40%77.04%-12.26%-22.83% 1.272.450.10
Portfolio 2$10,000$50,590 17.60% 23.07%50.99%-22.87%-29.43% 0.801.350.07
Portfolio 3$10,000$33,858 12.97% 26.21%63.08%-31.56%-39.13% 0.580.900.10
Vanguard 500 Index Investor$10,000$35,166 13.40% 12.46%32.18%-4.52%-16.31% 1.031.701.00
   
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
  • 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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Direxion Daily MSCI Dev Mkts Bull 3X ETF (DZK)Direxion Daily MSCI Em Mkts Bull 3X ETF (EDC)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3
20101.50%41.15%31.35%36.05%14.91%$14,115$13,135$13,605$11,4913.29% [$329]10.53% [$1,053]3.66% [$366]36.34%16.20%6.55%24.26%
20112.96%77.04%50.99%42.63%1.97%$24,989$19,833$19,404$11,7170.67% [$95.02]5.96% [$782]1.70% [$231]-11.88%109.14%-49.55%-62.69%
20121.74%25.25%28.22%28.61%15.82%$31,299$25,429$24,956$13,5720.14% [$34.52]0.53% [$105]0.16% [$30.93]46.80%0.60%49.26%46.60%
20131.50%7.00%-5.70%-31.56%32.18%$33,489$23,979$17,081$17,9380.30% [$92.76]0.23% [$57.49]0.20% [$50.79]118.49%-39.01%65.72%-21.21%
20140.76%72.09%40.13%42.60%13.51%$57,629$33,603$24,358$20,3610.13% [$45.18]0.00% [$0.00]0.00% [$0.00]38.00%97.34%-23.25%-20.07%
20150.73%-6.90%-9.46%-24.86%1.25%$53,654$30,426$18,303$20,6160.14% [$80.19]0.00% [$0.00]0.00% [$0.00]-5.24%-13.73%-12.68%-49.83%
20162.07%14.69%-1.14%6.19%11.82%$61,535$30,079$19,436$23,0520.07% [$38.45]0.00% [$0.00]0.00% [$0.00]30.79%-2.52%-9.76%14.77%
20172.11%41.06%45.68%63.08%21.67%$86,800$43,821$31,696$28,0470.32% [$199]1.04% [$313]0.55% [$106]71.37%22.73%85.21%138.62%
20181.91%-12.26%-22.87%-26.70%-4.52%$76,161$33,801$23,232$26,7781.02% [$887]1.24% [$542]0.94% [$297]-25.15%-11.01%-43.62%-49.88%
20192.29%63.59%49.67%45.74%31.33%$124,590$50,590$33,858$35,1661.11% [$849]1.68% [$568]1.29% [$300]102.31%34.74%63.31%43.94%
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Direxion Daily MSCI Dev Mkts Bull 3X ETF (DZK)Direxion Daily MSCI Em Mkts Bull 3X ETF (EDC)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20101-0.07%-1.18%-4.78%-3.60%$9,993$9,882$9,522$9,640-11.19%7.34%-13.97%-22.97%
201022.00%-1.67%-0.02%3.09%$10,193$9,717$9,520$9,9388.94%-1.82%-1.39%3.75%
201033.00%2.79%3.45%6.01%$10,499$9,987$9,848$10,53518.90%-6.73%20.51%23.58%
201047.61%2.61%5.20%1.58%$11,298$10,248$10,360$10,7024.08%9.96%-8.41%-1.95%
201050.80%-1.26%-0.71%-8.01%$11,388$10,119$10,287$9,845-24.15%16.54%-33.31%-29.71%
201067.03%10.34%10.48%-5.24%$12,189$11,166$11,364$9,329-16.58%16.73%-9.76%-6.97%
201076.13%12.40%10.96%7.00%$12,936$12,550$12,610$9,98221.17%-3.90%36.84%33.24%
201087.94%6.34%8.53%-4.53%$13,964$13,345$13,685$9,530-13.46%25.94%-14.31%-10.31%
201094.51%7.16%9.49%8.92%$14,594$14,301$14,984$10,37927.94%-9.02%32.23%37.61%
201010-3.56%-3.43%-4.93%3.79%$14,074$13,810$14,245$10,77311.44%-13.57%11.77%8.03%
201011-3.62%-9.91%-7.66%0.00%$13,564$12,442$13,153$10,773-0.82%-6.03%-14.40%-9.63%
2010124.07%5.57%3.43%6.67%$14,115$13,135$13,605$11,49121.36%-11.63%27.47%22.22%
20111-3.02%-3.07%-10.43%2.36%$13,689$12,732$12,186$11,7626.56%-9.40%6.44%-11.96%
201127.08%7.29%2.30%3.42%$14,659$13,660$12,466$12,16410.39%4.49%10.87%-1.07%
20113-0.66%-4.27%6.12%0.03%$14,562$13,077$13,229$12,167-0.80%-0.55%-8.74%17.00%
201147.43%11.38%7.29%2.95%$15,644$14,565$14,194$12,5268.73%6.57%18.59%8.37%
201154.57%2.02%1.84%-1.15%$16,359$14,860$14,454$12,382-3.93%10.36%-9.21%-10.74%
20116-6.83%-6.37%-6.16%-1.67%$15,242$13,914$13,564$12,175-5.87%-7.39%-4.69%-3.91%
201175.41%4.58%6.45%-2.05%$16,067$14,551$14,438$11,926-6.39%13.28%-8.47%-3.80%
2011810.14%6.94%5.96%-5.45%$17,696$15,561$15,298$11,277-21.09%27.34%-30.93%-31.82%
2011925.56%24.95%20.93%-7.04%$22,220$19,444$18,500$10,482-20.69%41.35%-31.20%-46.46%
2011105.32%2.96%10.90%10.91%$23,402$20,020$20,515$11,62632.61%-12.87%26.71%46.55%
2011110.74%-2.42%-3.27%-0.23%$23,575$19,534$19,844$11,599-3.35%4.89%-9.97%-10.55%
2011126.00%1.53%-2.22%1.02%$24,989$19,833$19,404$11,7172.30%9.46%-8.01%-14.43%
201214.66%5.30%13.03%4.46%$26,154$20,883$21,933$12,24013.90%-1.50%15.49%34.82%
201221.27%2.01%3.36%4.31%$26,488$21,303$22,670$12,76813.24%-7.95%14.75%15.76%
20123-2.16%-6.66%-11.67%3.28%$25,916$19,884$20,024$13,1879.29%-13.02%-0.13%-10.49%
201247.67%5.64%6.19%-0.64%$27,904$21,005$21,264$13,102-2.38%14.37%-7.46%-6.08%
2012512.13%8.11%8.07%-6.02%$31,288$22,709$22,980$12,314-17.35%28.90%-30.43%-29.99%
20126-1.17%0.22%-1.23%4.11%$30,923$22,759$22,697$12,82011.47%-5.78%20.82%14.07%
201278.27%6.43%6.08%1.37%$33,479$24,224$24,077$12,9953.52%11.43%-1.06%-1.94%
20128-0.35%0.59%-2.79%2.24%$33,362$24,367$23,405$13,2866.53%-4.61%9.38%0.30%
20129-1.58%-1.73%1.07%2.58%$32,835$23,946$23,656$13,6297.52%-7.87%7.32%15.57%
201210-3.66%-0.27%-2.19%-1.86%$31,633$23,882$23,137$13,375-5.96%-2.13%2.52%-2.30%
2012112.78%5.52%3.99%0.56%$32,511$25,201$24,060$13,4501.01%3.90%7.84%4.12%
201212-3.73%0.91%3.72%0.90%$31,299$25,429$24,956$13,5722.82%-7.80%12.92%21.00%
201310.41%-1.09%-6.24%5.18%$31,426$25,153$23,400$14,27415.39%-9.58%11.66%-1.22%
201323.47%-0.28%-1.11%1.34%$32,516$25,082$23,141$14,4653.56%3.39%-4.74%-7.28%
201334.12%0.27%-2.60%3.74%$33,857$25,149$22,540$15,00611.03%-1.77%2.95%-3.87%
2013410.73%14.78%9.81%1.91%$37,490$28,865$24,750$15,2925.45%14.25%15.56%3.14%
20135-9.57%-15.54%-17.64%2.33%$33,901$24,381$20,385$15,6486.80%-19.65%-9.44%-14.30%
20136-8.04%-9.92%-13.13%-1.35%$31,177$21,962$17,708$15,437-5.23%-10.33%-9.38%-17.50%
201372.12%2.16%-3.37%5.07%$31,838$22,437$17,111$16,22016.41%-7.41%16.52%2.69%
20138-6.63%-5.24%-6.20%-2.91%$29,726$21,261$16,051$15,748-9.21%-4.47%-6.16%-8.53%
201395.11%11.73%9.78%3.12%$31,245$23,755$17,621$16,2399.60%1.53%24.10%21.44%
2013107.98%6.32%7.27%4.59%$33,737$25,256$18,902$16,98413.76%4.12%9.61%11.99%
201311-1.00%-4.17%-5.40%3.03%$33,400$24,203$17,881$17,4988.87%-8.19%1.57%-1.51%
2013120.27%-0.92%-4.48%2.51%$33,489$23,979$17,081$17,9387.54%-6.01%5.63%-2.48%
201417.40%5.52%1.69%-3.47%$35,966$25,304$17,370$17,316-10.72%19.47%-15.40%-24.98%
201425.63%7.10%3.89%4.56%$37,991$27,101$18,045$18,10613.65%1.63%18.69%9.29%
201431.90%0.36%4.63%0.82%$38,711$27,198$18,881$18,2552.15%1.76%-2.18%11.01%
201444.24%5.40%4.23%0.72%$40,351$28,667$19,680$18,3871.65%5.96%4.56%1.65%
201457.95%7.14%8.71%2.33%$43,558$30,714$21,395$18,8166.62%8.79%4.63%8.59%
201461.78%0.36%2.19%2.05%$44,335$30,824$21,863$19,2026.22%-1.00%2.50%7.18%
20147-0.81%-2.36%2.27%-1.39%$43,976$30,097$22,360$18,936-4.44%1.61%-8.31%3.27%
2014813.47%9.03%11.93%3.98%$49,900$32,813$25,027$19,69011.95%14.42%0.05%8.24%
20149-5.81%-8.24%-12.71%-1.41%$47,003$30,109$21,845$19,412-4.44%-6.65%-11.28%-22.18%
2014107.25%4.08%6.10%2.42%$50,411$31,336$23,179$19,8826.03%8.06%-1.90%3.16%
2014118.79%5.48%3.47%2.68%$54,842$33,053$23,984$20,4158.34%9.08%-0.47%-5.34%
2014125.08%1.66%1.56%-0.26%$57,629$33,603$24,358$20,361-1.54%9.38%-12.32%-12.61%
2015114.82%19.19%17.45%-3.02%$66,168$40,050$28,609$19,747-9.47%31.01%1.45%-2.88%
20152-6.72%-5.29%-7.83%5.74%$61,723$37,931$26,369$20,88017.48%-17.87%19.07%12.48%
20153-0.55%-0.54%-0.67%-1.59%$61,385$37,725$26,191$20,548-5.28%2.57%-4.71%-5.47%
20154-5.14%-1.94%2.35%0.95%$58,228$36,992$26,806$20,7432.59%-10.30%10.59%21.32%
20155-3.00%-4.43%-10.22%1.27%$56,479$35,353$24,068$21,0073.43%-7.91%-0.19%-12.77%
20156-9.59%-11.30%-10.95%-1.93%$51,060$31,357$21,433$20,601-6.21%-12.49%-9.97%-9.13%
2015710.51%10.10%0.37%2.08%$56,428$34,525$21,512$21,0296.17%13.40%5.15%-19.18%
20158-8.94%-10.05%-10.35%-6.04%$51,382$31,056$19,286$19,759-18.87%-2.75%-21.86%-26.34%
201590.40%-1.27%0.86%-2.49%$51,585$30,662$19,452$19,267-8.64%5.10%-14.09%-10.91%
2015109.67%7.11%6.48%8.42%$56,576$32,843$20,712$20,88926.79%-1.73%20.38%18.79%
201511-1.08%-2.77%-5.42%0.29%$55,964$31,933$19,589$20,9490.81%-2.71%-2.84%-8.78%
201512-4.13%-4.72%-6.57%-1.59%$53,654$30,426$18,303$20,616-6.06%-2.41%-7.56%-12.07%
201614.49%3.64%3.94%-4.98%$56,065$31,534$19,024$19,590-15.38%17.74%-17.51%-16.77%
201625.34%2.56%4.68%-0.15%$59,060$32,340$19,914$19,561-1.68%8.71%-10.61%-3.86%
201636.05%5.02%11.91%6.78%$62,634$33,963$22,286$20,88721.50%-0.64%19.75%42.02%
20164-1.11%0.85%-1.34%0.37%$61,936$34,251$21,986$20,9650.81%-2.39%5.72%0.23%
201653.00%0.90%-3.58%1.78%$63,793$34,559$21,199$21,3384.65%1.86%-0.43%-11.52%
2016612.35%7.24%17.44%0.25%$71,669$37,062$24,897$21,392-0.20%21.23%-12.56%11.08%
201678.10%8.76%10.03%3.68%$77,472$40,309$27,394$22,17811.13%6.07%12.79%15.97%
20168-2.06%-1.54%-1.12%0.13%$75,874$39,688$27,088$22,2070.11%-3.58%1.33%2.26%
20169-3.00%-1.42%-0.08%0.01%$73,601$39,124$27,067$22,209-0.54%-4.78%3.08%6.00%
201610-10.24%-10.78%-9.31%-1.83%$66,063$34,906$24,546$21,802-5.62%-13.32%-6.97%-3.30%
201611-9.20%-16.33%-19.69%3.70%$59,983$29,207$19,713$22,60811.05%-23.91%-5.73%-14.01%
2016122.59%2.99%-1.41%1.96%$61,535$30,079$19,436$23,0525.96%-0.99%7.47%-1.91%
201712.95%4.94%9.05%1.88%$63,350$31,564$21,194$23,4865.14%1.49%10.10%20.38%
201727.47%3.74%4.75%3.96%$68,085$32,743$22,202$24,41711.91%4.41%2.80%5.19%
20173-1.44%2.63%3.17%0.10%$67,104$33,606$22,906$24,441-0.22%-2.35%9.63%10.10%
201743.77%5.54%4.63%1.02%$69,632$35,466$23,967$24,6902.77%4.43%7.19%4.93%
201754.59%7.23%5.98%1.39%$72,825$38,031$25,402$25,0343.70%5.17%10.25%7.21%
201761.80%1.32%2.45%0.61%$74,134$38,532$26,024$25,1871.51%1.98%0.39%3.14%
201770.89%1.59%5.38%2.04%$74,793$39,142$27,423$25,7015.87%-2.43%7.61%17.09%
201785.96%5.70%8.51%0.29%$79,253$41,373$29,756$25,7770.21%10.13%-0.32%6.48%
20179-2.13%-1.73%-4.45%2.06%$77,561$40,656$28,432$26,3085.69%-7.29%6.61%-0.79%
2017102.42%1.42%3.46%2.32%$79,436$41,235$29,415$26,9176.83%-0.53%4.35%9.44%
2017114.71%1.80%0.37%3.06%$83,180$41,975$29,523$27,7418.87%1.73%1.88%-1.50%
2017124.35%4.40%7.36%1.10%$86,800$43,821$31,696$28,0473.45%5.04%3.48%10.62%
201811.42%0.19%4.47%5.71%$88,037$43,904$33,113$29,64918.22%-9.77%15.13%25.83%
20182-11.42%-12.41%-14.01%-3.69%$77,984$38,454$28,474$28,553-13.53%-9.57%-15.75%-18.78%
201830.64%3.46%4.38%-2.56%$78,486$39,785$29,721$27,824-8.69%8.44%-2.81%-0.48%
20184-4.08%-2.56%-7.67%0.37%$75,284$38,766$27,441$27,928-0.14%-6.71%3.65%-9.12%
201855.77%0.55%-0.19%2.39%$79,626$38,979$27,390$28,5966.46%5.27%-5.82%-8.59%
201861.40%-1.43%-4.14%0.61%$80,744$38,421$26,255$28,7691.29%1.49%-5.84%-14.13%
201871.47%0.27%0.94%3.71%$81,932$38,525$26,501$29,83610.73%-4.70%7.73%9.39%
201885.86%-1.32%-3.38%3.25%$86,735$38,015$25,606$30,8059.09%3.36%-7.54%-12.19%
20189-4.29%-4.30%-6.47%0.55%$83,018$36,380$23,949$30,9761.20%-8.77%2.33%-2.93%
201810-13.78%-14.84%-15.83%-6.85%$71,579$30,981$20,157$28,854-20.78%-9.11%-23.44%-25.91%
2018114.58%2.98%7.52%2.03%$74,858$31,903$21,673$29,4394.28%4.76%-0.20%12.59%
2018121.74%5.95%7.20%-9.04%$76,161$33,801$23,232$26,778-26.25%17.93%-16.45%-11.19%
201919.81%8.42%13.01%8.00%$83,629$36,648$26,256$28,92023.89%0.41%20.44%31.92%
201921.71%0.45%-4.76%3.20%$85,057$36,813$25,005$29,8469.28%-4.52%6.67%-5.03%
2019311.11%9.81%10.04%1.94%$94,505$40,426$27,516$30,4244.85%17.00%1.77%2.05%
201940.79%-0.59%-1.55%4.04%$95,250$40,185$27,090$31,65411.81%-6.56%8.35%5.97%
201953.36%5.26%2.81%-6.36%$98,448$42,298$27,852$29,639-18.89%21.11%-15.25%-21.39%
201968.68%7.49%7.19%7.03%$106,996$45,466$29,855$31,72321.37%1.90%17.81%17.97%
201971.71%-2.35%-3.13%1.43%$108,831$44,399$28,922$32,1763.80%0.32%-6.35%-8.30%
2019818.07%18.92%16.94%-1.59%$128,502$52,799$33,821$31,664-6.62%35.11%-7.10%-12.87%
20199-4.43%-3.76%-5.31%1.86%$122,805$50,814$32,025$32,2525.30%-9.07%8.66%4.27%
201910-0.19%1.25%2.51%2.15%$122,574$51,448$32,831$32,9475.70%-4.11%9.29%12.46%
2019113.39%1.07%-1.61%3.62%$126,727$52,001$32,301$34,14010.73%-2.01%5.13%-1.11%
201912-1.69%-2.71%4.82%3.01%$124,590$50,590$33,858$35,1668.38%-10.05%6.28%23.66%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity40.00%0.92%$74,8428.66%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt60.00%1.05%$39,74891.34%
100.00%1.00%$114,590100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DZKDirexion Daily MSCI Dev Mkts Bull 3X ETFLeveraged Equity40.00%1.16%17.36$16,27119.49%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt60.00%1.05%$24,31980.51%
100.00%1.09%17.36$40,590100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt60.00%1.05%$18,40462.39%
EDCDirexion Daily MSCI Em Mkts Bull 3X ETFLeveraged Equity40.00%1.33%14.31$5,45437.61%
100.00%1.16%14.31$23,858100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)2.31%1.58%1.31%1.12%
Arithmetic Mean (annualized)31.51%20.66%16.86%14.27%
Geometric Mean (monthly)2.12%1.36%1.02%1.05%
Geometric Mean (annualized)28.69%17.60%12.97%13.40%
Volatility (monthly)6.18%6.66%7.57%3.60%
Volatility (annualized)21.40%23.07%26.21%12.46%
Downside Deviation (monthly)3.18%3.91%4.86%2.16%
Max. Drawdown-22.83%-29.43%-39.13%-16.31%
US Market Correlation0.100.070.101.00
Beta(*)0.190.150.231.00
Alpha (annualized)25.14%16.87%12.56%0.00%
R21.24%0.69%1.23%100.00%
Sharpe Ratio1.270.800.581.03
Sortino Ratio2.451.350.901.70
Treynor Ratio (%)141.88119.3464.9412.85
Calmar Ratio1.420.640.521.12
Active Return15.29%4.20%-0.43%N/A
Tracking Error23.53%25.29%27.75%N/A
Information Ratio0.650.17-0.02N/A
Skewness0.200.10-0.24-0.36
Excess Kurtosis1.241.530.170.58
Historical Value-at-Risk (5%)-9.19%-10.74%-12.66%-6.04%
Analytical Value-at-Risk (5%)-7.56%-8.97%-10.86%-4.80%
Conditional Value-at-Risk (5%)-10.63%-13.53%-15.50%-7.22%
Upside Capture Ratio (%)88.4561.2150.32100.00
Downside Capture Ratio (%)-37.86-17.21-1.48100.00
Safe Withdrawal Rate36.32%24.61%19.33%16.98%
Perpetual Withdrawal Rate20.93%13.47%9.93%10.27%
Positive Periods80 out of 120 (66.67%)75 out of 120 (62.50%)70 out of 120 (58.33%)85 out of 120 (70.83%)
Gain/Loss Ratio1.311.141.100.88
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-22.83%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-22.58%
3May 2013Aug 20134 monthsFeb 20146 months10 months-20.71%
4Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-18.69%
5Oct 2010Nov 20102 monthsFeb 20113 months5 months-7.06%
6Jun 2011Jun 20111 monthAug 20112 months3 months-6.83%
7Aug 2012Dec 20125 monthsMar 20133 months8 months-6.51%
8Sep 2014Sep 20141 monthOct 20141 month2 months-5.81%
9Sep 2019Oct 20192 months-4.61%
10Mar 2012Mar 20121 monthApr 20121 month2 months-2.16%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Oct 20189 monthsJun 20198 months1 year 5 months-29.43%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-27.54%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-26.34%
4Feb 2015Dec 201511 monthsJul 20167 months1 year 6 months-24.03%
5Oct 2010Nov 20102 monthsApr 20115 months7 months-13.00%
6Sep 2014Sep 20141 monthNov 20142 months3 months-8.24%
7Mar 2012Mar 20121 monthMay 20122 months3 months-6.66%
8Jun 2011Jun 20111 monthAug 20112 months3 months-6.37%
9Sep 2019Dec 20194 months-4.18%
10Jan 2010Feb 20102 monthsApr 20102 months4 months-2.83%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Oct 20189 monthsAug 201910 months1 year 7 months-39.13%
2Feb 2015Dec 201511 monthsAug 20171 year 8 months2 years 7 months-36.02%
3Jan 2013Aug 20138 monthsAug 20141 year1 year 8 months-35.68%
4Oct 2010Jan 20114 monthsAug 20117 months11 months-18.67%
5Sep 2014Sep 20141 monthJan 20154 months5 months-12.71%
6Mar 2012Mar 20121 monthMay 20122 months3 months-11.67%
7Nov 2011Dec 20112 monthsJan 20121 month3 months-5.42%
8Sep 2019Sep 20191 monthDec 20193 months4 months-5.31%
9Jan 2010Feb 20102 monthsApr 20102 months4 months-4.80%
10Sep 2017Sep 20171 monthDec 20173 months4 months-4.45%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50032.83%38.43%118.49%-25.15%-47.03%0.921.520.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF13.80%39.22%109.14%-39.01%-49.74%0.500.95-0.51
DZKDirexion Daily MSCI Dev Mkts Bull 3X ETF3.21%45.31%85.21%-49.55%-66.34%0.290.430.85
EDCDirexion Daily MSCI Em Mkts Bull 3X ETF-8.22%55.06%138.62%-62.69%-87.48%0.110.170.76

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFDZKEDCPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.00-0.500.860.760.110.090.121.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.501.00-0.46-0.370.790.730.66-0.50
DZKDirexion Daily MSCI Dev Mkts Bull 3X ETF0.86-0.461.000.840.050.230.220.86
EDCDirexion Daily MSCI Em Mkts Bull 3X ETF0.76-0.370.841.000.070.200.430.76

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$74,842
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$39,748$24,319$18,404
DZKDirexion Daily MSCI Dev Mkts Bull 3X ETF$16,271
EDCDirexion Daily MSCI Em Mkts Bull 3X ETF$5,454

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P5008.66%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF91.34%80.51%62.39%
DZKDirexion Daily MSCI Dev Mkts Bull 3X ETF19.49%
EDCDirexion Daily MSCI Em Mkts Bull 3X ETF37.61%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year32.27%77.04%-12.26%20.69%50.99%-22.87%18.18%63.08%-31.56%13.99%32.18%-4.52%
3 years25.93%46.28%12.39%15.46%36.49%3.57%10.47%35.64%-9.82%13.26%20.22%8.72%
5 years24.91%41.95%16.67%13.59%27.43%7.11%7.28%19.49%0.03%12.95%15.62%8.34%
7 years24.58%29.64%17.26%13.51%18.78%7.91%7.47%12.84%2.61%13.34%14.57%12.53%
10 years28.69%28.69%28.69%17.60%17.60%17.60%12.97%12.97%12.97%13.40%13.40%13.40%
Result statistics are based on annualized rolling returns over full calendar year periods