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 2019 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NTSX WisdomTree 90/60 US Balanced 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 30.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 20.00%
CASHX Cash 50.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 30.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 20.00%
VFISX Vanguard Short-Term Treasury Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$13,215 32.15% 10.52%32.15%32.15%-4.27% 2.535.950.97
Portfolio 2$10,000$13,870 38.70% 11.18%38.70%38.70%-3.76% 2.837.870.75
Portfolio 3$10,000$13,944 39.44% 11.23%39.44%39.44%-3.46% 2.878.560.72
   
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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceWisdomTree 90/60 US Balanced (NTSX)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Cash (CASHX)Vanguard Short-Term Treasury Inv (VFISX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20192.29%32.15%38.70%39.44%$13,215$13,870$13,94432.15%102.31%34.74%2.13%3.59%
Monthly returns for the configured portfolios
YearMonthReturnBalanceWisdomTree 90/60 US Balanced (NTSX)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Cash (CASHX)Vanguard Short-Term Treasury Inv (VFISX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201917.86%7.35%7.40%$10,786$10,735$10,7407.86%23.89%0.41%0.20%0.30%
201922.48%2.46%2.36%$11,054$10,999$10,9932.48%9.28%-4.52%0.20%-0.01%
201932.86%4.85%5.11%$11,370$11,532$11,5562.86%4.85%17.00%0.20%0.78%
201943.45%3.17%3.15%$11,762$11,898$11,9193.45%11.81%-6.56%0.20%0.15%
20195-4.27%-3.76%-3.46%$11,260$11,451$11,506-4.27%-18.89%21.11%0.20%0.88%
201966.63%7.72%7.81%$12,006$12,334$12,4056.63%21.37%1.90%0.19%0.48%
201971.33%1.58%1.47%$12,166$12,530$12,5861.33%3.80%0.32%0.17%-0.09%
201980.40%4.77%5.06%$12,214$13,127$13,2230.40%-6.62%35.11%0.17%0.92%
201991.09%-0.53%-0.67%$12,347$13,058$13,1341.09%5.30%-9.07%0.16%-0.22%
2019101.65%1.14%1.18%$12,550$13,208$13,2891.65%5.70%-4.11%0.15%0.25%
2019113.07%3.69%3.60%$12,936$13,695$13,7683.07%10.73%-2.01%0.13%-0.05%
2019122.16%1.28%1.28%$13,215$13,870$13,9442.16%8.38%-10.05%0.13%0.14%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
NTSXWisdomTree 90/60 US BalancedLarge Blend0.20%100.00%$3,215100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity0.92%30.00%$3,06994.53%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt1.05%20.00%$6955.37%
CASHXCashCash50.00%$1060.10%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity0.92%30.00%$3,06989.28%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt1.05%20.00%$6959.58%
VFISXVanguard Short-Term Treasury InvShort Government2.120.20%50.00%$1801.14%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/03/2020. (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 3
Arithmetic Mean (monthly)2.39%2.81%2.86%
Arithmetic Mean (annualized)32.79%39.46%40.21%
Geometric Mean (monthly)2.35%2.76%2.81%
Geometric Mean (annualized)32.15%38.70%39.44%
Volatility (monthly)3.04%3.23%3.24%
Volatility (annualized)10.52%11.18%11.23%
Downside Deviation (monthly)1.23%1.10%1.02%
Max. Drawdown-4.27%-3.76%-3.46%
US Market Correlation0.970.750.72
Beta(*)0.760.620.60
Alpha (annualized)7.58%16.41%17.53%
R293.62%55.72%51.60%
Sharpe Ratio2.532.832.87
Sortino Ratio5.957.878.56
Treynor Ratio (%)35.0750.8653.53
Active Return1.50%8.06%8.79%
Tracking Error4.19%9.01%9.47%
Information Ratio0.360.890.93
Skewness-0.26-0.33-0.22
Excess Kurtosis1.910.380.02
Historical Value-at-Risk (5%)-4.27%-3.76%-3.46%
Analytical Value-at-Risk (5%)-2.60%-1.64%-1.67%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)88.1488.2988.13
Downside Capture Ratio (%)46.60-9.99-17.00
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate22.60%26.25%26.64%
Positive Periods11 out of 12 (91.67%)10 out of 12 (83.33%)10 out of 12 (83.33%)
Gain/Loss Ratio0.701.771.86
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-4.27%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-3.76%
2Sep 2019Sep 20191 monthOct 20191 month2 months-0.53%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-3.46%
2Sep 2019Sep 20191 monthOct 20191 month2 months-0.67%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NTSXWisdomTree 90/60 US Balanced32.15%10.52%32.15%32.15%-4.27%2.535.950.97
UPROProShares UltraPro S&P500102.31%39.22%102.31%102.31%-18.89%1.983.831.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF34.74%47.96%34.74%34.74%-23.15%0.782.24-0.61
CASHXCash2.13%0.09%2.13%2.13%0.00%N/AN/A0.01
VFISXVanguard Short-Term Treasury Inv3.59%1.35%3.59%3.59%-0.22%1.092.67-0.48

Monthly Correlations

Correlations for the portfolio assets
TickerNameNTSXUPROTMFCASHXVFISXPortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced1.000.97-0.400.12-0.261.000.880.86
UPROProShares UltraPro S&P5000.971.00-0.610.01-0.470.970.750.72
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.40-0.611.000.320.88-0.400.050.09
CASHXCash0.120.010.321.000.410.120.200.21
VFISXVanguard Short-Term Treasury Inv-0.26-0.470.880.411.00-0.260.110.16

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced$3,215
UPROProShares UltraPro S&P500$3,069$3,069
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$695$695
CASHXCash$106
VFISXVanguard Short-Term Treasury Inv$180

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
NTSXWisdomTree 90/60 US Balanced100.00%
UPROProShares UltraPro S&P50094.53%89.28%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF5.37%9.58%
CASHXCash0.10%
VFISXVanguard Short-Term Treasury Inv1.14%

Annual Asset Returns