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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2010 - Dec 2019)

Note: The time period was constrained by the available data for iShares Core 10+ Year USD Bond ETF (ILTB) [Jan 2010 - Feb 2021].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
UPRO	ProShares UltraPro S&P500	33.00%
EDV	Vanguard Extended Duration Trs ETF	67.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
UPRO	ProShares UltraPro S&P500	33.00%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	18.00%
ILTB	iShares Core 10+ Year USD Bond ETF	49.00%
Save portfolio »

Portfolio 3
Ticker	Name	Allocation
UPRO	ProShares UltraPro S&P500	35.00%
EDV	Vanguard Extended Duration Trs ETF	65.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$67,628	21.06%	13.05%	44.60%	-7.71%	-13.26%	1.50	2.86	0.40
Portfolio 2	$10,000	$66,449	20.85%	13.12%	48.60%	-9.91%	-13.51%	1.48	2.73	0.56
Portfolio 3	$10,000	$71,002	21.65%	13.21%	46.22%	-8.06%	-13.20%	1.52	2.89	0.47

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	4.49%	44.60%	20.51%	13.64%	21.06%	21.06%	12.72%	13.77%
Portfolio 2	5.73%	48.60%	20.72%	14.18%	20.85%	20.85%	13.41%	14.14%
Portfolio 3	5.15%	46.22%	21.14%	14.13%	21.65%	21.65%	13.10%	14.03%
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows.

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 results assume quarterly rebalancing of portfolio assets to match the specified allocation

Annual returns for the configured portfolios
Year	Inflation	Portfolio 1		Portfolio 2		Portfolio 3		ProShares UltraPro S&P500 (UPRO)	Vanguard Extended Duration Trs ETF (EDV)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)	iShares Core 10+ Year USD Bond ETF (ILTB)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	ProShares UltraPro S&P500 (UPRO)	Vanguard Extended Duration Trs ETF (EDV)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)	iShares Core 10+ Year USD Bond ETF (ILTB)
2010	1.50%	27.07%	$12,707	28.29%	$12,829	27.91%	$12,791	36.34%	9.87%	16.20%	9.12%
2011	2.96%	42.92%	$18,160	34.29%	$17,228	41.84%	$18,143	-11.88%	56.08%	109.14%	21.50%
2012	1.74%	19.60%	$21,719	22.94%	$21,180	20.57%	$21,876	46.80%	2.37%	0.60%	8.72%
2013	1.50%	15.17%	$25,015	16.60%	$24,696	17.60%	$25,726	118.49%	-19.86%	-39.01%	-9.32%
2014	0.76%	42.63%	$35,679	38.62%	$34,233	42.50%	$36,660	38.00%	44.66%	97.34%	20.62%
2015	0.73%	-3.17%	$34,547	-4.27%	$32,772	-3.13%	$35,514	-5.24%	-4.84%	-13.73%	-4.22%
2016	2.07%	11.86%	$38,644	15.26%	$37,774	12.46%	$39,940	30.79%	1.65%	-2.52%	7.82%
2017	2.11%	31.14%	$50,679	31.40%	$49,635	32.24%	$52,815	71.37%	13.96%	22.73%	11.24%
2018	1.91%	-7.71%	$46,771	-9.91%	$44,716	-8.06%	$48,557	-25.15%	-3.39%	-11.01%	-5.09%
2019	2.29%	44.60%	$67,628	48.60%	$66,449	46.22%	$71,002	102.31%	18.68%	34.74%	19.61%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Portfolio 2 Return	Portfolio 3 Return	ProShares UltraPro S&P500 (UPRO)	Vanguard Extended Duration Trs ETF (EDV)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)	iShares Core 10+ Year USD Bond ETF (ILTB)
2010	1	-1.80%	-1.82%	-2.08%	-11.19%	2.83%	7.34%	1.12%
2010	2	2.15%	1.64%	2.33%	8.94%	-0.74%	-1.82%	-1.32%
2010	3	3.17%	4.92%	3.63%	18.90%	-4.17%	-6.73%	0.30%
2010	4	5.40%	4.45%	5.36%	4.08%	6.05%	9.96%	2.67%
2010	5	-2.20%	-3.41%	-2.85%	-24.15%	8.41%	16.54%	2.90%
2010	6	2.02%	1.42%	1.59%	-16.58%	8.31%	16.73%	3.66%
2010	7	5.49%	6.94%	5.95%	21.17%	-2.24%	-3.90%	1.34%
2010	8	2.89%	1.52%	2.34%	-13.46%	12.88%	25.94%	5.09%
2010	9	5.94%	6.83%	6.57%	27.94%	-4.37%	-9.02%	-0.55%
2010	10	-2.35%	-0.12%	-1.93%	11.44%	-9.14%	-13.57%	-2.96%
2010	11	-1.47%	-1.86%	-1.45%	-0.82%	-1.87%	-6.03%	-1.29%
2010	12	5.52%	5.33%	6.07%	21.36%	-4.15%	-11.63%	-1.86%
2011	1	-1.99%	-0.01%	-1.73%	6.56%	-6.20%	-9.40%	-0.99%
2011	2	5.46%	4.86%	5.62%	10.39%	2.70%	4.49%	0.97%
2011	3	-0.37%	-0.38%	-0.39%	-0.80%	-0.12%	-0.55%	0.02%
2011	4	4.97%	4.94%	5.08%	8.73%	3.12%	6.57%	1.79%
2011	5	2.43%	1.99%	2.23%	-3.93%	5.73%	10.36%	3.03%
2011	6	-4.83%	-4.34%	-4.86%	-5.87%	-4.33%	-7.39%	-2.05%
2011	7	1.91%	2.17%	1.66%	-6.39%	5.99%	13.28%	3.85%
2011	8	5.02%	1.33%	4.30%	-21.09%	16.37%	27.34%	4.52%
2011	9	13.66%	9.16%	12.95%	-20.69%	23.80%	41.35%	7.12%
2011	10	6.29%	8.38%	7.07%	32.61%	-6.68%	-12.87%	-0.12%
2011	11	0.65%	-1.20%	0.50%	-3.35%	3.46%	4.89%	-1.22%
2011	12	4.22%	3.77%	4.15%	2.30%	5.48%	9.46%	3.13%
2012	1	3.56%	5.04%	3.87%	13.90%	-1.53%	-1.50%	1.47%
2012	2	2.71%	2.92%	3.06%	13.24%	-3.28%	-7.95%	-1.01%
2012	3	-0.26%	0.41%	0.09%	9.29%	-6.63%	-13.02%	-2.81%
2012	4	3.71%	3.45%	3.53%	-2.38%	6.72%	14.37%	3.36%
2012	5	4.32%	2.96%	3.71%	-17.35%	14.08%	28.90%	5.33%
2012	6	1.13%	1.43%	1.37%	11.47%	-2.24%	-5.78%	-0.00%
2012	7	5.06%	5.27%	5.01%	3.52%	5.81%	11.43%	4.18%
2012	8	0.41%	0.80%	0.59%	6.53%	-2.54%	-4.61%	-0.91%
2012	9	-0.05%	0.88%	0.18%	7.52%	-4.04%	-7.87%	-0.59%
2012	10	-2.23%	-2.29%	-2.34%	-5.96%	-0.39%	-2.13%	0.12%
2012	11	1.54%	1.46%	1.52%	1.01%	1.78%	3.90%	0.86%
2012	12	-1.58%	-1.19%	-1.45%	2.82%	-3.61%	-7.80%	-1.29%
2013	1	1.71%	1.40%	2.12%	15.39%	-5.03%	-9.58%	-3.98%
2013	2	2.31%	2.73%	2.35%	3.56%	1.55%	3.39%	1.82%
2013	3	3.75%	3.85%	3.99%	11.03%	-0.70%	-1.77%	-0.10%
2013	4	6.71%	6.59%	6.67%	5.45%	7.32%	14.25%	4.53%
2013	5	-4.37%	-4.36%	-4.04%	6.80%	-9.77%	-19.65%	-5.81%
2013	6	-4.81%	-6.19%	-4.82%	-5.23%	-4.57%	-10.33%	-5.51%
2013	7	3.00%	4.57%	3.40%	16.41%	-3.61%	-7.41%	1.01%
2013	8	-4.15%	-5.14%	-4.32%	-9.21%	-1.14%	-4.47%	-2.19%
2013	9	3.12%	4.19%	3.33%	9.60%	-0.41%	1.53%	1.17%
2013	10	5.81%	6.38%	6.04%	13.76%	1.89%	4.12%	2.23%
2013	11	0.33%	0.86%	0.60%	8.87%	-4.37%	-8.19%	-1.76%
2013	12	1.63%	1.64%	1.83%	7.54%	-2.07%	-6.01%	-0.59%
2014	1	2.97%	1.96%	2.56%	-10.72%	9.71%	19.47%	4.07%
2014	2	4.16%	5.47%	4.40%	13.65%	0.35%	1.63%	2.36%
2014	3	1.99%	1.61%	1.99%	2.15%	1.91%	1.76%	1.21%
2014	4	2.52%	2.59%	2.49%	1.65%	2.94%	5.96%	1.99%
2014	5	4.92%	5.01%	4.97%	6.62%	4.10%	8.79%	2.47%
2014	6	1.90%	2.17%	2.03%	6.22%	-0.25%	-1.00%	0.62%
2014	7	-0.47%	-1.08%	-0.59%	-4.44%	1.48%	1.61%	0.20%
2014	8	8.55%	7.94%	8.65%	11.95%	6.97%	14.42%	2.94%
2014	9	-3.45%	-3.74%	-3.48%	-4.44%	-2.97%	-6.65%	-2.04%
2014	10	4.80%	4.40%	4.84%	6.03%	4.19%	8.06%	1.95%
2014	11	5.68%	4.89%	5.76%	8.34%	4.34%	9.08%	0.84%
2014	12	2.98%	2.41%	2.84%	-1.54%	5.33%	9.38%	2.43%
2015	1	6.42%	5.43%	5.95%	-9.47%	14.25%	31.01%	6.06%
2015	2	-1.65%	-0.73%	-1.16%	17.48%	-9.12%	-17.87%	-3.42%
2015	3	-0.81%	-1.04%	-0.94%	-5.28%	1.45%	2.57%	0.52%
2015	4	-2.91%	-2.30%	-2.74%	2.59%	-5.62%	-10.30%	-2.65%
2015	5	-1.17%	-1.32%	-1.03%	3.43%	-3.64%	-7.91%	-2.46%
2015	6	-6.12%	-5.79%	-6.12%	-6.21%	-6.07%	-12.49%	-3.33%
2015	7	6.75%	6.00%	6.74%	6.17%	7.04%	13.40%	3.17%
2015	8	-6.72%	-7.63%	-7.08%	-18.87%	-0.79%	-2.75%	-1.81%
2015	9	-0.87%	-1.01%	-1.07%	-8.64%	2.23%	5.10%	0.92%
2015	10	8.57%	8.99%	9.11%	26.79%	-0.41%	-1.73%	0.94%
2015	11	-0.57%	-0.36%	-0.52%	0.81%	-1.43%	-2.71%	-0.51%
2015	12	-2.84%	-3.33%	-2.95%	-6.06%	-0.77%	-2.41%	-1.30%
2016	1	0.57%	-0.78%	0.10%	-15.38%	8.43%	17.74%	2.24%
2016	2	2.48%	2.63%	2.37%	-1.68%	4.07%	8.71%	2.46%
2016	3	5.59%	7.17%	5.98%	21.50%	-0.19%	-0.64%	3.01%
2016	4	-0.47%	0.54%	-0.44%	0.81%	-1.10%	-2.39%	1.44%
2016	5	2.24%	1.94%	2.31%	4.65%	1.02%	1.86%	0.16%
2016	6	6.33%	6.51%	6.12%	-0.20%	9.72%	21.23%	5.92%
2016	7	5.92%	5.38%	6.08%	11.13%	3.35%	6.07%	1.25%
2016	8	-0.92%	-0.45%	-0.89%	0.11%	-1.47%	-3.58%	0.34%
2016	9	-1.71%	-1.47%	-1.67%	-0.54%	-2.34%	-4.78%	-0.94%
2016	10	-6.00%	-5.68%	-5.99%	-5.62%	-6.18%	-13.32%	-2.91%
2016	11	-4.02%	-3.30%	-3.57%	11.05%	-11.49%	-23.91%	-5.94%
2016	12	2.09%	2.63%	2.23%	5.96%	-0.31%	-0.99%	1.02%
2017	1	2.53%	2.32%	2.61%	5.14%	1.25%	1.49%	0.73%
2017	2	5.32%	5.75%	5.52%	11.91%	1.95%	4.41%	1.91%
2017	3	-0.70%	-0.69%	-0.69%	-0.22%	-0.97%	-2.35%	-0.42%
2017	4	2.15%	2.51%	2.17%	2.77%	1.84%	4.43%	1.63%
2017	5	3.36%	2.81%	3.37%	3.70%	3.20%	5.17%	1.31%
2017	6	1.34%	1.42%	1.35%	1.51%	1.26%	1.98%	1.13%
2017	7	1.09%	1.70%	1.24%	5.87%	-1.26%	-2.43%	0.41%
2017	8	3.27%	2.85%	3.18%	0.21%	4.89%	10.13%	2.13%
2017	9	-0.32%	0.11%	-0.14%	5.69%	-3.35%	-7.29%	-0.93%
2017	10	2.32%	2.29%	2.45%	6.83%	0.09%	-0.53%	0.27%
2017	11	3.94%	3.56%	4.10%	8.87%	1.35%	1.73%	0.42%
2017	12	3.27%	3.13%	3.27%	3.45%	3.16%	5.04%	2.16%
2018	1	3.15%	3.35%	3.60%	18.22%	-4.27%	-9.77%	-1.84%
2018	2	-7.79%	-8.23%	-7.98%	-13.53%	-4.29%	-9.57%	-3.47%
2018	3	-0.43%	-1.11%	-0.69%	-8.69%	4.12%	8.44%	1.38%
2018	4	-1.90%	-2.33%	-1.85%	-0.14%	-2.77%	-6.71%	-2.21%
2018	5	3.72%	3.60%	3.80%	6.46%	2.33%	5.27%	1.04%
2018	6	1.33%	0.42%	1.33%	1.29%	1.35%	1.49%	-0.60%
2018	7	2.06%	2.94%	2.32%	10.73%	-2.21%	-4.70%	0.50%
2018	8	4.31%	4.08%	4.47%	9.09%	1.65%	3.36%	0.60%
2018	9	-2.12%	-1.41%	-2.00%	1.20%	-4.10%	-8.77%	-0.88%
2018	10	-9.94%	-10.22%	-10.27%	-20.78%	-4.61%	-9.11%	-3.52%
2018	11	2.79%	2.40%	2.83%	4.28%	2.18%	4.76%	0.54%
2018	12	-2.03%	-2.65%	-2.68%	-26.25%	8.08%	17.93%	3.47%
2019	1	8.00%	9.38%	8.48%	23.89%	0.18%	0.41%	2.90%
2019	2	2.42%	2.41%	2.65%	9.28%	-1.77%	-4.52%	-0.68%
2019	3	6.43%	6.58%	6.37%	4.85%	7.50%	17.00%	4.53%
2019	4	1.89%	2.37%	2.19%	11.81%	-3.00%	-6.56%	-0.72%
2019	5	-0.63%	-1.41%	-1.23%	-18.89%	9.74%	21.11%	4.07%
2019	6	6.85%	8.18%	7.24%	21.37%	0.75%	1.90%	2.91%
2019	7	1.55%	1.70%	1.62%	3.80%	0.44%	0.32%	0.78%
2019	8	8.02%	7.45%	7.57%	-6.62%	15.47%	35.11%	7.10%
2019	9	-0.94%	-1.32%	-0.77%	5.30%	-3.50%	-9.07%	-1.75%
2019	10	0.55%	1.06%	0.70%	5.70%	-1.99%	-4.11%	-0.16%
2019	11	3.67%	3.55%	3.89%	10.73%	-0.08%	-2.01%	0.39%
2019	12	0.24%	1.03%	0.51%	8.38%	-4.56%	-10.05%	-0.94%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
Ticker	Name	Category	Weight	Yield	Fees	Duration	Return Contribution	Risk Contribution
UPRO	ProShares UltraPro S&P500	Leveraged Equity	33.00%	0.10%	0.93%		$38,557	41.98%
EDV	Vanguard Extended Duration Trs ETF	Long Government	67.00%	2.15%	0.07%	24.28	$19,071	58.02%
			100.00%	1.47%	0.35%	24.28	$57,628	100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Yield	Fees	Duration	Return Contribution	Risk Contribution
UPRO	ProShares UltraPro S&P500	Leveraged Equity	33.00%	0.10%	0.93%		$37,177	57.02%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	Leveraged Debt	18.00%	3.02%	1.06%		$8,933	21.88%
ILTB	iShares Core 10+ Year USD Bond ETF	Long-Term Bond	49.00%	2.99%	0.06%	15.59	$10,340	21.11%
			100.00%	2.04%	0.53%	15.59	$56,449	100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	Yield	Fees	Duration	Return Contribution	Risk Contribution
UPRO	ProShares UltraPro S&P500	Leveraged Equity	35.00%	0.10%	0.93%		$41,908	50.92%
EDV	Vanguard Extended Duration Trs ETF	Long Government	65.00%	2.15%	0.07%	24.28	$19,094	49.08%
			100.00%	1.43%	0.37%	24.28	$61,002	100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/05/2021. (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
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	1.68%	1.66%	1.72%
Arithmetic Mean (annualized)	22.06%	21.87%	22.69%
Geometric Mean (monthly)	1.61%	1.59%	1.65%
Geometric Mean (annualized)	21.06%	20.85%	21.65%
Volatility (monthly)	3.77%	3.79%	3.81%
Volatility (annualized)	13.05%	13.12%	13.21%
Downside Deviation (monthly)	1.95%	2.03%	1.98%
Max. Drawdown	-13.26%	-13.51%	-13.20%
US Market Correlation	0.40	0.56	0.47
Beta^(*)	0.41	0.57	0.48
Alpha (annualized)	14.66%	12.29%	14.19%
R²	16.12%	31.50%	21.94%
Sharpe Ratio	1.50	1.48	1.52
Sortino Ratio	2.86	2.73	2.89
Treynor Ratio (%)	47.99	33.87	41.73
Calmar Ratio	1.73	1.61	1.75
Active Return	7.77%	7.55%	8.36%
Tracking Error	14.18%	12.17%	13.45%
Information Ratio	0.55	0.62	0.62
Skewness	-0.24	-0.43	-0.31
Excess Kurtosis	0.66	0.36	0.56
Historical Value-at-Risk (5%)	-4.81%	-5.16%	-4.82%
Analytical Value-at-Risk (5%)	-4.41%	-4.56%	-4.46%
Conditional Value-at-Risk (5%)	-6.90%	-7.29%	-7.05%
Upside Capture Ratio (%)	81.30	91.99	87.91
Downside Capture Ratio (%)	10.52	32.69	19.21
Safe Withdrawal Rate	25.93%	25.29%	26.43%
Perpetual Withdrawal Rate	15.95%	15.80%	16.36%
Positive Periods	80 out of 120 (66.67%)	82 out of 120 (68.33%)	82 out of 120 (68.33%)
Gain/Loss Ratio	1.51	1.37	1.41
^* 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)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2015	Sep 2015	8 months	May 2016	8 months	1 year 4 months	-13.26%
2	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-12.14%
3	Sep 2018	Oct 2018	2 months	Mar 2019	5 months	7 months	-11.85%
4	May 2013	Aug 2013	4 months	Jan 2014	5 months	9 months	-10.13%
5	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-9.92%
6	Jun 2011	Jun 2011	1 month	Aug 2011	2 months	3 months	-4.83%
7	Oct 2010	Nov 2010	2 months	Dec 2010	1 month	3 months	-3.78%
8	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-3.45%
9	Sep 2012	Dec 2012	4 months	Feb 2013	2 months	6 months	-2.34%
10	May 2010	May 2010	1 month	Jul 2010	2 months	3 months	-2.20%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2015	Sep 2015	8 months	May 2016	8 months	1 year 4 months	-13.51%
2	Feb 2018	Dec 2018	11 months	Mar 2019	3 months	1 year 2 months	-12.83%
3	May 2013	Aug 2013	4 months	Dec 2013	4 months	8 months	-10.99%
4	Aug 2016	Nov 2016	4 months	Apr 2017	5 months	9 months	-10.54%
5	Jun 2011	Jun 2011	1 month	Sep 2011	3 months	4 months	-4.34%
6	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-3.74%
7	May 2010	May 2010	1 month	Jul 2010	2 months	3 months	-3.41%
8	Oct 2012	Oct 2012	1 month	Feb 2013	4 months	5 months	-2.29%
9	Oct 2010	Nov 2010	2 months	Dec 2010	1 month	3 months	-1.97%
10	Jan 2010	Jan 2010	1 month	Mar 2010	2 months	3 months	-1.82%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2015	Sep 2015	8 months	May 2016	8 months	1 year 4 months	-13.20%
2	Sep 2018	Oct 2018	2 months	Mar 2019	5 months	7 months	-12.07%
3	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-11.65%
4	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-10.30%
5	May 2013	Aug 2013	4 months	Dec 2013	4 months	8 months	-9.64%
6	Jun 2011	Jun 2011	1 month	Aug 2011	2 months	3 months	-4.86%
7	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-3.48%
8	Oct 2010	Nov 2010	2 months	Dec 2010	1 month	3 months	-3.36%
9	May 2010	May 2010	1 month	Jul 2010	2 months	3 months	-2.85%
10	Oct 2012	Oct 2012	1 month	Feb 2013	4 months	5 months	-2.34%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
UPRO	ProShares UltraPro S&P500	32.83%	38.43%	118.49%	-25.15%	-47.03%	0.92	1.52	0.99
EDV	Vanguard Extended Duration Trs ETF	9.91%	19.62%	56.08%	-19.86%	-26.75%	0.55	1.05	-0.52
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	13.80%	39.22%	109.14%	-39.01%	-49.74%	0.50	0.95	-0.51
ILTB	iShares Core 10+ Year USD Bond ETF	7.47%	8.78%	21.50%	-9.32%	-12.08%	0.80	1.39	-0.24

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	UPRO	EDV	TMF	ILTB	Portfolio 1	Portfolio 2	Portfolio 3
UPRO	ProShares UltraPro S&P500	1.00	-0.51	-0.50	-0.22	0.42	0.58	0.48
EDV	Vanguard Extended Duration Trs ETF	-0.51	1.00	0.99	0.89	0.56	0.39	0.49
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	-0.50	0.99	1.00	0.91	0.55	0.40	0.49
ILTB	iShares Core 10+ Year USD Bond ETF	-0.22	0.89	0.91	1.00	0.71	0.63	0.66

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
UPRO	ProShares UltraPro S&P500	$38,557	$37,177	$41,908
EDV	Vanguard Extended Duration Trs ETF	$19,071		$19,094
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF		$8,933
ILTB	iShares Core 10+ Year USD Bond ETF		$10,340

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
UPRO	ProShares UltraPro S&P500	41.98%	57.02%	50.92%
EDV	Vanguard Extended Duration Trs ETF	58.02%		49.08%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF		21.88%
ILTB	iShares Core 10+ Year USD Bond ETF		21.11%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	21.37%	62.32%	-8.49%	20.93%	51.71%	-9.91%	21.96%	61.69%	-8.48%
3 years	19.21%	31.88%	8.88%	18.93%	30.71%	9.49%	19.87%	32.46%	9.46%
5 years	19.01%	31.06%	13.33%	18.57%	29.74%	12.61%	19.60%	31.73%	13.55%
7 years	19.01%	22.74%	14.47%	18.75%	22.31%	14.60%	19.66%	23.38%	15.10%