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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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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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Portfolio Analysis Results (Jan 2010 - Sep 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF 120.00%
CASHX Cash -20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 40.00%
CASHX Cash 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$39,614 15.16% 15.00%38.77%-5.80%-19.16% 0.991.641.00
Portfolio 2$10,000$35,529 13.89% 15.93%47.40%-8.98%-21.54% 0.871.370.98
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to September
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF (SPY)Cash (CASHX)ProShares UltraPro S&P500 (UPRO)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20101.50%18.05%14.60%$11,805$11,46015.06%0.10%36.34%
20112.96%2.26%-4.73%$12,071$10,9181.89%0.04%-11.88%
20121.74%19.18%18.75%$14,386$12,96615.99%0.06%46.80%
20131.50%38.77%47.40%$19,963$19,11132.31%0.00%118.49%
20140.76%16.15%15.20%$23,188$22,01613.46%0.00%38.00%
20150.73%1.50%-2.09%$23,536$21,5551.25%0.01%-5.24%
20162.07%14.36%12.44%$26,915$24,23712.00%0.21%30.79%
20172.11%25.87%29.03%$33,878$31,27221.70%0.79%71.37%
20181.91%-5.80%-8.98%$31,913$28,465-4.56%1.80%-25.15%
20192.12%24.13%24.82%$39,614$35,52920.40%1.70%59.49%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF (SPY)Cash (CASHX)ProShares UltraPro S&P500 (UPRO)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20101-4.36%-4.48%$9,564$9,552-3.63%0.00%-11.19%
201023.77%3.32%$9,925$9,8703.12%0.00%8.94%
201037.32%7.42%$10,651$10,6026.09%0.01%18.90%
201041.84%1.78%$10,846$10,7901.55%0.01%4.08%
20105-9.41%-10.71%$9,825$9,634-7.95%0.01%-24.15%
20106-6.23%-6.24%$9,213$9,033-5.17%0.01%-16.58%
201078.31%7.11%$9,979$9,6756.83%0.01%21.17%
20108-5.40%-5.10%$9,440$9,181-4.50%0.01%-13.46%
2010910.85%9.68%$10,464$10,0708.96%0.01%27.94%
2010104.55%4.63%$10,940$10,5363.82%0.01%11.44%
201011-0.00%-0.35%$10,940$10,4990.00%0.01%-0.82%
2010127.90%9.15%$11,805$11,4606.68%0.01%21.36%
201112.79%2.63%$12,134$11,7612.33%0.01%6.56%
201124.15%4.32%$12,638$12,2693.47%0.01%10.39%
201130.01%-0.34%$12,639$12,2270.01%0.01%-0.80%
201143.44%3.82%$13,073$12,6942.90%0.00%8.73%
20115-1.32%-1.80%$12,900$12,465-1.12%0.00%-3.93%
20116-2.00%-2.63%$12,643$12,137-1.69%0.00%-5.87%
20117-2.37%-2.77%$12,343$11,801-2.00%0.00%-6.39%
20118-6.55%-8.79%$11,534$10,764-5.50%0.01%-21.09%
20119-8.37%-7.47%$10,569$9,960-6.94%0.00%-20.69%
20111013.35%10.09%$11,980$10,96410.91%0.00%32.61%
201111-0.49%-1.25%$11,922$10,827-0.41%0.00%-3.35%
2011121.25%0.84%$12,071$10,9181.04%0.00%2.30%
201215.56%5.56%$12,743$11,5254.64%0.00%13.90%
201225.16%5.71%$13,401$12,1834.34%0.00%13.24%
201233.80%4.30%$13,909$12,7073.22%0.00%9.29%
20124-0.78%-1.15%$13,800$12,560-0.67%0.00%-2.38%
20125-7.06%-8.30%$12,826$11,518-6.01%0.01%-17.35%
201264.82%4.95%$13,444$12,0884.05%0.00%11.47%
201271.40%1.61%$13,632$12,2831.18%0.00%3.52%
201282.95%3.05%$14,033$12,6572.51%0.01%6.53%
201292.97%3.63%$14,450$13,1172.54%0.01%7.52%
201210-2.13%-2.98%$14,143$12,726-1.82%0.01%-5.96%
2012110.66%0.50%$14,236$12,7890.57%0.01%1.01%
2012121.05%1.38%$14,386$12,9660.90%0.01%2.82%
201316.14%6.16%$15,270$13,7645.12%0.00%15.39%
201321.52%1.55%$15,501$13,9771.28%0.00%3.56%
201334.50%4.89%$16,199$14,6613.80%0.00%11.03%
201342.26%2.56%$16,566$15,0361.92%0.00%5.45%
201352.77%3.28%$17,025$15,5292.36%0.00%6.80%
20136-1.56%-2.61%$16,759$15,124-1.34%0.00%-5.23%
201376.05%7.97%$17,774$16,3305.17%0.00%16.41%
20138-3.48%-4.82%$17,154$15,542-3.00%0.00%-9.21%
201393.70%4.79%$17,789$16,2873.17%0.00%9.60%
2013105.38%7.19%$18,746$17,4584.63%0.00%13.76%
2013113.42%4.92%$19,387$18,3172.96%0.00%8.87%
2013122.97%4.34%$19,963$19,1112.59%0.00%7.54%
20141-4.23%-4.29%$19,119$18,292-3.52%0.00%-10.72%
201425.50%5.09%$20,171$19,2234.55%0.00%13.65%
201431.00%0.87%$20,372$19,3900.83%0.00%2.15%
201440.83%0.68%$20,541$19,5210.70%0.00%1.65%
201452.77%2.73%$21,110$20,0552.32%0.00%6.62%
201462.45%2.67%$21,628$20,5892.06%0.00%6.22%
20147-1.59%-1.97%$21,284$20,184-1.34%0.00%-4.44%
201484.69%5.16%$22,282$21,2263.95%0.00%11.95%
20149-1.63%-2.04%$21,919$20,793-1.38%0.00%-4.44%
2014102.78%2.71%$22,529$21,3562.36%0.00%6.03%
2014113.23%3.86%$23,258$22,1812.75%0.00%8.34%
201412-0.30%-0.74%$23,188$22,016-0.26%0.00%-1.54%
20151-3.56%-3.79%$22,364$21,182-2.96%0.00%-9.47%
201526.79%6.58%$23,881$22,5765.62%0.00%17.48%
20153-1.88%-2.19%$23,432$22,081-1.57%0.00%-5.28%
201541.18%1.04%$23,708$22,3110.98%0.00%2.59%
201551.54%1.40%$24,073$22,6241.29%0.00%3.43%
20156-2.42%-2.58%$23,490$22,039-2.03%0.00%-6.21%
201572.70%2.47%$24,126$22,5842.26%0.00%6.17%
20158-7.27%-7.83%$22,373$20,816-6.10%0.00%-18.87%
20159-3.07%-3.16%$21,686$20,159-2.54%0.00%-8.64%
20151010.33%9.23%$23,925$22,0218.51%0.00%26.79%
2015110.44%0.33%$24,029$22,0920.37%0.00%0.81%
201512-2.05%-2.43%$23,536$21,555-1.72%0.01%-6.06%
20161-5.98%-6.15%$22,130$20,231-4.98%0.01%-15.38%
20162-0.10%-0.59%$22,106$20,111-0.08%0.02%-1.68%
201638.15%7.68%$23,909$21,6556.72%0.02%21.50%
201640.47%0.33%$24,021$21,7270.39%0.01%0.81%
201652.03%1.89%$24,509$22,1371.70%0.01%4.65%
201660.41%-0.07%$24,610$22,1210.35%0.02%-0.20%
201674.34%4.63%$25,679$23,1453.65%0.02%11.13%
201680.14%0.06%$25,714$23,1590.12%0.02%0.11%
201690.01%-0.23%$25,716$23,1070.01%0.02%-0.54%
201610-2.05%-2.46%$25,187$22,538-1.73%0.02%-5.62%
2016114.37%4.70%$26,288$23,5993.68%0.01%11.05%
2016122.39%2.70%$26,915$24,2372.03%0.03%5.96%
201712.14%2.08%$27,491$24,7411.79%0.04%5.14%
201724.69%4.93%$28,781$25,9603.93%0.04%11.91%
201730.14%-0.08%$28,822$25,9400.13%0.03%-0.22%
201741.17%1.24%$29,159$26,2620.99%0.05%2.77%
201751.66%1.68%$29,643$26,7041.41%0.06%3.70%
201760.74%0.72%$29,863$26,8960.64%0.06%1.51%
201772.41%2.73%$30,584$27,6302.06%0.07%5.87%
201780.33%0.15%$30,684$27,6700.29%0.09%0.21%
201792.35%2.73%$31,405$28,4262.01%0.09%5.69%
2017102.74%3.37%$32,267$29,3832.36%0.09%6.83%
2017113.55%4.49%$33,414$30,7043.06%0.08%8.87%
2017121.39%1.85%$33,878$31,2721.21%0.09%3.45%
201816.74%7.35%$36,162$33,5715.64%0.11%18.22%
20182-4.34%-5.90%$34,593$31,591-3.64%0.11%-13.53%
20183-3.30%-3.44%$33,451$30,502-2.74%0.12%-8.69%
201840.59%0.03%$33,649$30,5130.52%0.14%-0.14%
201852.89%2.56%$34,622$31,2932.43%0.14%6.46%
201860.66%0.59%$34,851$31,4790.58%0.14%1.29%
201874.39%4.38%$36,383$32,8583.70%0.16%10.73%
201883.76%3.94%$37,749$34,1543.19%0.16%9.09%
201890.67%0.62%$38,004$34,3650.59%0.15%1.20%
201810-8.18%-9.19%$34,897$31,207-6.91%0.19%-20.78%
2018112.18%1.78%$35,658$31,7621.85%0.18%4.28%
201812-10.50%-10.38%$31,913$28,465-8.79%0.19%-26.25%
201919.57%9.68%$34,966$31,2218.01%0.21%23.89%
201923.80%4.29%$36,295$32,5613.24%0.18%9.28%
201932.09%2.40%$37,054$33,3421.81%0.19%4.85%
201944.75%5.83%$38,815$35,2874.09%0.21%11.81%
20195-7.46%-9.57%$35,920$31,909-6.38%0.21%-18.89%
201968.16%9.91%$38,852$35,0726.96%0.18%21.37%
201971.73%2.02%$39,524$35,7821.51%0.19%3.80%
20198-1.97%-3.34%$38,745$34,587-1.67%0.16%-6.62%
201992.24%2.72%$39,614$35,5291.95%0.16%5.30%

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity0.92%40.00%$24,743100.02%
CASHXCashCash60.00%$786-0.02%

Asset Allocation

Fund fundamentals data as of 10/03/2019. © 2019 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 2
Arithmetic Mean (monthly)1.28%1.19%
Arithmetic Mean (annualized)16.44%15.32%
Geometric Mean (monthly)1.18%1.09%
Geometric Mean (annualized)15.16%13.89%
Volatility (monthly)4.33%4.60%
Volatility (annualized)15.00%15.93%
Downside Deviation (monthly)2.59%2.89%
Max. Drawdown-19.16%-21.54%
US Market Correlation1.000.98
Beta(*)1.151.21
Alpha (annualized)0.57%-1.15%
R299.28%96.95%
Sharpe Ratio0.990.87
Sortino Ratio1.641.37
Treynor Ratio (%)12.8911.47
Calmar Ratio0.970.90
Active Return2.50%1.22%
Tracking Error2.33%3.88%
Information Ratio1.070.32
Skewness-0.28-0.48
Excess Kurtosis0.530.09
Historical Value-at-Risk (5%)-7.29%-8.35%
Analytical Value-at-Risk (5%)-5.84%-6.16%
Conditional Value-at-Risk (5%)-8.78%-9.73%
Upside Capture Ratio (%)119.14124.08
Downside Capture Ratio (%)113.92129.78
Safe Withdrawal Rate19.78%18.30%
Perpetual Withdrawal Rate12.52%11.46%
Positive Periods82 out of 117 (70.09%)78 out of 117 (66.67%)
Gain/Loss Ratio0.900.95
* 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-19.16%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-16.03%
3May 2010Jun 20102 monthsOct 20104 months6 months-15.06%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-10.11%
5Apr 2012May 20122 monthsAug 20123 months5 months-7.79%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-7.50%
7May 2019May 20191 monthJun 20191 month2 months-7.46%
8Jan 2010Jan 20101 monthMar 20102 months3 months-4.36%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-4.23%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.84%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsMar 20126 months11 months-21.54%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-17.17%
3May 2010Jun 20102 monthsDec 20106 months8 months-16.29%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-11.11%
5May 2019May 20191 monthJul 20192 months3 months-9.57%
6Apr 2012May 20122 monthsSep 20124 months6 months-9.35%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-9.14%
8Aug 2013Aug 20131 monthOct 20132 months3 months-4.82%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-4.50%
10Jan 2010Jan 20101 monthMar 20102 months3 months-4.48%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF12.80%12.55%32.31%-4.56%-16.23%0.991.631.00
CASHXCash0.48%0.22%1.80%0.00%0.00%-0.44-0.58-0.03
UPROProShares UltraPro S&P50030.58%38.79%118.49%-25.15%-47.03%0.881.440.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYCASHXUPROPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF--0.031.001.000.99
CASHXCash-0.03--0.03-0.03-0.02
UPROProShares UltraPro S&P5001.00-0.03-1.000.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF$29,900
CASHXCash-$286$786
UPROProShares UltraPro S&P500$24,743

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF99.99%
CASHXCash0.01%-0.02%
UPROProShares UltraPro S&P500100.02%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year14.48%38.77%-5.80%13.51%47.40%-8.98%
3 years15.54%24.31%10.47%14.69%26.34%8.24%
5 years15.81%18.68%9.84%15.08%19.25%8.29%
7 years15.45%16.25%14.90%14.52%15.42%13.48%
Result statistics are based on annualized rolling returns over full calendar year periods