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 2011 - Dec 2019)

Portfolio Allocations

Tesla Inc
Ticker Name Allocation
TSLA Tesla Inc 100.00%
Save portfolio »
ProShares UltraPro QQQ
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Tesla Inc$10,000$157,090 35.80% 52.17%344.14%-10.97%-48.80% 0.811.760.23
ProShares UltraPro QQQ$10,000$281,575 44.90% 43.77%139.73%-19.80%-48.71% 1.061.880.89
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Tesla Inc73.67%25.70%25.70%25.10%13.47%35.80%46.53%42.44%
ProShares UltraPro QQQ40.49%133.83%133.83%59.91%39.80%44.90%46.08%47.08%
Trailing return and volatility are as of last full calendar month ending December 2019
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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 results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationTesla IncProShares UltraPro QQQTesla Inc (TSLA)ProShares UltraPro QQQ (TQQQ)
ReturnBalanceReturnBalance
20112.96%7.25%$10,725-8.05%$9,1957.25%-8.05%
20121.74%18.59%$12,71952.29%$14,00318.59%52.29%
20131.50%344.14%$56,489139.73%$33,570344.14%139.73%
20140.76%47.85%$83,51957.09%$52,73647.85%57.09%
20150.73%7.91%$90,12817.23%$61,8237.91%17.23%
20162.07%-10.97%$80,24411.38%$68,859-10.97%11.38%
20172.11%45.70%$116,917118.06%$150,15545.70%118.06%
20181.91%6.89%$124,972-19.80%$120,4176.89%-19.80%
20192.29%25.70%$157,090133.83%$281,57525.70%133.83%
Monthly returns for the configured portfolios
YearMonthTesla IncProShares UltraPro QQQTesla Inc (TSLA)ProShares UltraPro QQQ (TQQQ)
ReturnBalanceReturnBalance
20111-9.50%$9,0508.01%$10,801-9.50%8.01%
20112-0.87%$8,9719.14%$11,788-0.87%9.14%
2011316.16%$10,421-2.35%$11,51116.16%-2.35%
20114-0.54%$10,3648.58%$12,498-0.54%8.58%
201159.20%$11,318-4.31%$11,9609.20%-4.31%
20116-3.35%$10,939-7.01%$11,121-3.35%-7.01%
20117-3.30%$10,5784.43%$11,613-3.30%4.43%
20118-12.18%$9,290-19.54%$9,344-12.18%-19.54%
20119-1.41%$9,159-14.31%$8,006-1.41%-14.31%
20111020.42%$11,02931.54%$10,53220.42%31.54%
20111111.47%$12,294-10.15%$9,46311.47%-10.15%
201112-12.77%$10,725-2.83%$9,195-12.77%-2.83%
201211.79%$10,91626.86%$11,6651.79%26.86%
2012214.93%$12,54620.14%$14,01414.93%20.14%
2012311.46%$13,98415.46%$16,18111.46%15.46%
20124-11.04%$12,441-4.30%$15,484-11.04%-4.30%
20125-10.96%$11,078-20.45%$12,318-10.96%-20.45%
201266.07%$11,7509.79%$13,5246.07%9.79%
20127-12.37%$10,2972.28%$13,833-12.37%2.28%
201284.01%$10,71016.09%$16,0594.01%16.09%
201292.66%$10,9952.14%$16,4022.66%2.14%
201210-3.93%$10,563-15.63%$13,838-3.93%-15.63%
20121120.23%$12,7003.19%$14,27920.23%3.19%
2012120.15%$12,719-1.93%$14,0030.15%-1.93%
2013110.75%$14,0867.65%$15,07410.75%7.65%
20132-7.14%$13,0790.59%$15,164-7.14%0.59%
201338.79%$14,2288.74%$16,4898.79%8.74%
2013442.49%$20,2746.94%$17,63342.49%6.94%
2013581.07%$36,71010.71%$19,52181.07%10.71%
201369.82%$40,315-8.02%$17,9559.82%-8.02%
2013725.07%$50,42420.14%$21,57225.07%20.14%
2013825.86%$63,462-1.69%$21,20625.86%-1.69%
2013914.42%$72,61414.91%$24,36814.42%14.91%
201310-17.29%$60,06014.70%$27,950-17.29%14.70%
201311-20.42%$47,79610.34%$30,839-20.42%10.34%
20131218.19%$56,4898.86%$33,57018.19%8.86%
2014120.59%$68,122-6.36%$31,43620.59%-6.36%
2014234.95%$91,93015.40%$36,27834.95%15.40%
20143-14.85%$78,276-8.37%$33,243-14.85%-8.37%
20144-0.27%$78,066-2.03%$32,567-0.27%-2.03%
20145-0.06%$78,02113.50%$36,965-0.06%13.50%
2014615.54%$90,1469.46%$40,46115.54%9.46%
20147-6.98%$83,8533.05%$41,695-6.98%3.05%
2014820.78%$101,27715.47%$48,14420.78%15.47%
20149-10.02%$91,130-2.78%$46,808-10.02%-2.78%
201410-0.40%$90,7626.58%$49,886-0.40%6.58%
2014111.17%$91,82114.30%$57,0181.17%14.30%
201412-9.04%$83,519-7.51%$52,736-9.04%-7.51%
20151-8.46%$76,455-6.95%$49,072-8.46%-6.95%
20152-0.13%$76,35722.74%$60,231-0.13%22.74%
20153-7.17%$70,886-7.46%$55,740-7.17%-7.46%
2015419.75%$84,8855.16%$58,61419.75%5.16%
2015510.95%$94,1796.35%$62,33710.95%6.35%
201566.96%$100,736-7.65%$57,5696.96%-7.65%
20157-0.79%$99,94413.35%$65,254-0.79%13.35%
20158-6.42%$93,526-21.28%$51,367-6.42%-21.28%
20159-0.26%$93,278-8.13%$47,189-0.26%-8.13%
201510-16.69%$77,70637.23%$64,757-16.69%37.23%
20151111.27%$86,4661.31%$65,60611.27%1.31%
2015124.23%$90,128-5.77%$61,8234.23%-5.77%
20161-20.34%$71,799-21.13%$48,758-20.34%-21.13%
201620.38%$72,073-6.04%$45,8140.38%-6.04%
2016319.72%$86,28220.97%$55,42119.72%20.97%
201644.78%$90,409-9.56%$50,1224.78%-9.56%
20165-7.28%$83,82712.84%$56,557-7.28%12.84%
20166-4.91%$79,715-7.83%$52,130-4.91%-7.83%
2016710.60%$88,16722.52%$63,86910.60%22.52%
20168-9.70%$79,6132.99%$65,779-9.70%2.99%
20169-3.76%$76,6175.80%$69,595-3.76%5.80%
201610-3.09%$74,251-4.61%$66,386-3.09%-4.61%
201611-4.21%$71,1231.10%$67,116-4.21%1.10%
20161212.82%$80,2442.60%$68,85912.82%2.60%
2017117.90%$94,60415.76%$79,71017.90%15.76%
20172-0.77%$93,87513.39%$90,383-0.77%13.39%
2017311.32%$104,5065.64%$95,48111.32%5.64%
2017412.85%$117,9388.07%$103,18812.85%8.07%
201758.58%$128,05511.43%$114,9878.58%11.43%
201766.04%$135,790-8.07%$105,7106.04%-8.07%
20177-10.55%$121,46812.56%$118,992-10.55%12.56%
2017810.03%$133,6465.04%$124,98910.03%5.04%
20179-4.16%$128,089-1.06%$123,668-4.16%-1.06%
201710-2.81%$124,49513.74%$140,662-2.81%13.74%
201711-6.84%$115,9785.50%$148,402-6.84%5.50%
2017120.81%$116,9171.18%$150,1550.81%1.18%
2018113.80%$133,04927.70%$191,75313.80%27.70%
20182-3.18%$128,825-6.16%$179,933-3.18%-6.16%
20183-22.42%$99,936-13.42%$155,784-22.42%-13.42%
2018410.43%$110,364-0.42%$155,12310.43%-0.42%
20185-3.12%$106,92117.00%$181,492-3.12%17.00%
2018620.45%$128,7832.18%$185,45320.45%2.18%
20187-13.07%$111,9567.56%$199,482-13.07%7.56%
201881.18%$113,27817.69%$234,7801.18%17.69%
20189-12.23%$99,425-1.60%$231,013-12.23%-1.60%
20181027.40%$126,669-26.61%$169,54127.40%-26.61%
2018113.90%$131,611-2.91%$164,6063.90%-2.91%
201812-5.04%$124,972-26.84%$120,417-5.04%-26.84%
20191-7.75%$115,29126.92%$152,830-7.75%26.92%
201924.19%$120,1208.57%$165,9324.19%8.57%
20193-12.51%$105,09211.05%$184,267-12.51%11.05%
20194-14.71%$89,63216.64%$214,935-14.71%16.64%
20195-22.43%$69,531-24.01%$163,323-22.43%-24.01%
2019620.68%$83,91323.00%$200,88520.68%23.00%
201978.12%$90,7296.20%$213,3418.12%6.20%
20198-6.62%$84,720-7.79%$196,723-6.62%-7.79%
201996.76%$90,4511.88%$200,4306.76%1.88%
20191030.74%$118,25812.43%$225,34230.74%12.43%
2019114.77%$123,89812.20%$252,8224.77%12.20%
20191226.79%$157,09011.37%$281,57526.79%11.37%

Holdings Based Style Analysis for Tesla Inc

Holdings Based Style Analysis for Tesla Inc
TickerNameCategoryWeightContribution
ReturnRisk
TSLATesla IncConsumer Cyclical / Auto Manufacturers100.00%$147,090100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for ProShares UltraPro QQQ

Holdings Based Style Analysis for ProShares UltraPro QQQ
TickerNameCategoryWeightExpense RatioContribution
NetGrossReturnRisk
TQQQProShares UltraPro QQQLeveraged Equity100.00%0.95%1.01%$271,575100.00%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 01/19/2022. (c) 2022 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
MetricTesla IncProShares UltraPro QQQ
Arithmetic Mean (monthly)3.58%3.92%
Arithmetic Mean (annualized)52.44%58.70%
Geometric Mean (monthly)2.58%3.14%
Geometric Mean (annualized)35.80%44.90%
Standard Deviation (monthly)15.06%12.64%
Standard Deviation (annualized)52.17%43.77%
Downside Deviation (monthly)6.91%7.09%
Max. Drawdown-48.80%-48.71%
US Market Correlation0.230.89
Beta(*)1.003.27
Alpha (annualized)29.99%4.99%
R25.29%79.87%
Sharpe Ratio0.811.06
Sortino Ratio1.761.88
Treynor Ratio (%)42.2114.23
Calmar Ratio0.511.23
Active Return22.92%32.02%
Tracking Error50.77%33.50%
Information Ratio0.450.96
Skewness1.47-0.15
Excess Kurtosis5.520.06
Historical Value-at-Risk (5%)-16.05%-20.13%
Analytical Value-at-Risk (5%)-21.19%-16.86%
Conditional Value-at-Risk (5%)-19.93%-23.39%
Upside Capture Ratio (%)191.13431.33
Downside Capture Ratio (%)87.76306.46
Safe Withdrawal Rate38.17%34.09%
Perpetual Withdrawal Rate25.05%29.76%
Positive Periods56 out of 108 (51.85%)68 out of 108 (62.96%)
Gain/Loss Ratio1.801.27
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Tesla Inc

Drawdowns for Tesla Inc
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2017May 20191 year 11 monthsDec 20197 months2 years 6 months-48.80%
2Oct 2013Nov 20132 monthsFeb 20143 months5 months-34.18%
3Sep 2014Mar 20157 monthsMar 20172 years2 years 7 months-30.01%
4Apr 2012Jul 20124 monthsJan 20136 months10 months-26.37%
5Jun 2011Sep 20114 monthsNov 20112 months6 months-19.08%
6Mar 2014May 20143 monthsAug 20143 months6 months-15.13%
7Dec 2011Dec 20111 monthFeb 20122 months3 months-12.77%
8Jan 2011Feb 20112 monthsMar 20111 month3 months-10.29%
9Feb 2013Feb 20131 monthMar 20131 month2 months-7.14%
10Apr 2011Apr 20111 monthMay 20111 month2 months-0.54%

Drawdowns for ProShares UltraPro QQQ

Drawdowns for ProShares UltraPro QQQ (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-48.71%
2May 2011Sep 20115 monthsFeb 20125 months10 months-35.94%
3Dec 2015Feb 20163 monthsAug 20166 months9 months-30.17%
4Aug 2015Sep 20152 monthsNov 20152 months4 months-27.69%
5Apr 2012May 20122 monthsSep 20124 months6 months-23.87%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-19.10%
7Oct 2012Oct 20121 monthMar 20135 months6 months-15.63%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-13.94%
9Mar 2014Apr 20142 monthsMay 20141 month3 months-10.23%
10Jun 2017Jun 20171 monthJul 20171 month2 months-8.07%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TSLATesla Inc35.80%52.17%344.14%-10.97%-48.80%0.811.760.23
TQQQProShares UltraPro QQQ44.90%43.77%139.73%-19.80%-48.71%1.061.880.89

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Tesla Inc73.67%25.70%25.70%25.10%13.47%
ProShares UltraPro QQQ40.49%133.83%133.83%59.91%39.80%0.95%1.01%
Trailing returns as of last calendar month ending December 2019

Monthly Correlations

Correlations for the portfolio assets
TickerNameTSLATQQQTesla IncProShares UltraPro QQQ
TSLATesla Inc1.000.261.000.26
TQQQProShares UltraPro QQQ0.261.000.261.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameTesla IncProShares UltraPro QQQ
TSLATesla Inc$147,090
TQQQProShares UltraPro QQQ$271,575
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameTesla IncProShares UltraPro QQQ
TSLATesla Inc100.00%
TQQQProShares UltraPro QQQ100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodTesla IncProShares UltraPro QQQ
AverageHighLowAverageHighLow
1 year61.67%602.87%-34.97%50.64%140.56%-23.94%
3 years44.41%121.73%-6.04%49.43%81.97%24.89%
5 years35.80%65.67%-3.51%45.89%66.30%29.11%
7 years39.07%46.81%30.01%47.90%61.66%41.55%