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 2010 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IEF iShares 7-10 Year Treasury Bond ETF 50.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 12.00%
VEDTX Vanguard Extended Duration Trs Idx Instl 88.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$26,997 10.44% 22.17%59.42%-23.56%-30.77% 0.531.00-0.51
Portfolio 2$10,000$27,492 10.64% 21.73%61.79%-23.20%-30.22% 0.541.05-0.51
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-8.59%22.71%9.65%4.79%10.44%10.44%19.00%21.22%
Portfolio 2-7.56%21.27%9.98%4.99%10.64%10.64%17.18%19.42%
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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2iShares 7-10 Year Treasury Bond ETF (IEF)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Extended Duration Trs Idx Instl (VEDTX)
ReturnBalanceReturnBalance
20101.50%14.52%$11,45211.21%$11,1219.37%16.20%10.28%
20112.96%59.42%$18,25761.79%$17,99415.64%109.14%55.79%
20121.74%3.53%$18,9023.12%$18,5563.66%0.60%3.25%
20131.50%-23.56%$14,449-23.20%$14,251-6.09%-39.01%-20.89%
20140.76%47.88%$21,36751.23%$21,5529.07%97.34%45.66%
20150.73%-4.92%$20,316-5.37%$20,3951.51%-13.73%-4.43%
20162.07%0.79%$20,4761.32%$20,6641.00%-2.52%1.53%
20172.11%12.46%$23,02814.63%$23,6872.55%22.73%13.52%
20181.91%-4.46%$22,000-4.30%$22,6690.99%-11.01%-3.49%
20192.29%22.71%$26,99721.27%$27,4928.03%34.74%19.16%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturniShares 7-10 Year Treasury Bond ETF (IEF)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Extended Duration Trs Idx Instl (VEDTX)
201014.85%3.79%2.37%7.34%3.30%
20102-0.74%-1.19%0.33%-1.82%-1.11%
20103-3.89%-4.00%-1.06%-6.73%-3.63%
201045.81%6.05%1.65%9.96%5.52%
201059.74%9.42%2.93%16.54%8.45%
201069.89%9.40%3.05%16.73%8.40%
20107-1.49%-2.71%0.91%-3.90%-2.55%
2010814.65%14.78%3.36%25.94%13.26%
20109-4.51%-5.16%-0.00%-9.02%-4.63%
201010-6.79%-9.22%-0.01%-13.57%-8.62%
201011-3.46%-2.52%-0.90%-6.03%-2.04%
201012-7.53%-5.06%-3.43%-11.63%-4.16%
20111-4.71%-7.00%-0.02%-9.40%-6.67%
201122.14%3.53%-0.21%4.49%3.40%
20113-0.35%0.09%-0.15%-0.55%0.18%
201144.20%3.49%1.84%6.57%3.07%
201156.43%5.73%2.51%10.36%5.09%
20116-3.95%-4.45%-0.51%-7.39%-4.05%
201178.22%7.02%3.17%13.28%6.17%
2011816.00%17.46%4.65%27.34%16.12%
2011921.79%25.50%2.24%41.35%23.34%
201110-7.08%-6.59%-1.29%-12.87%-5.74%
2011112.73%3.47%0.58%4.89%3.27%
2011125.72%5.32%1.99%9.46%4.76%
20121-0.32%-1.19%0.86%-1.50%-1.15%
20122-4.52%-4.12%-1.10%-7.95%-3.59%
20123-7.30%-7.37%-1.59%-13.02%-6.60%
201248.44%7.82%2.51%14.37%6.93%
2012515.89%15.99%2.87%28.90%14.23%
20126-3.10%-2.82%-0.42%-5.78%-2.42%
201276.42%6.41%1.40%11.43%5.72%
20128-2.36%-2.53%-0.12%-4.61%-2.25%
20129-4.11%-4.41%-0.35%-7.87%-3.94%
201210-1.26%-0.79%-0.40%-2.13%-0.61%
2012112.44%1.90%0.98%3.90%1.63%
201212-4.37%-3.54%-0.94%-7.80%-2.96%
20131-5.44%-5.87%-1.29%-9.58%-5.36%
201322.26%1.68%1.13%3.39%1.45%
20133-0.74%-0.72%0.29%-1.77%-0.58%
201347.89%7.80%1.52%14.25%6.92%
20135-11.38%-10.87%-3.11%-19.65%-9.68%
20136-6.44%-5.04%-2.55%-10.33%-4.31%
20137-3.88%-4.18%-0.35%-7.41%-3.74%
20138-2.95%-1.92%-1.42%-4.47%-1.57%
201391.69%0.07%1.85%1.53%-0.13%
2013102.45%2.34%0.78%4.12%2.10%
201311-4.53%-4.57%-0.88%-8.19%-4.07%
201312-4.05%-3.55%-2.09%-6.01%-3.22%
2014111.27%11.48%3.06%19.47%10.39%
201420.99%0.86%0.36%1.63%0.75%
201430.60%1.60%-0.56%1.76%1.58%
201443.36%3.50%0.76%5.96%3.17%
201455.31%4.62%1.82%8.79%4.05%
20146-0.61%-0.36%-0.22%-1.00%-0.28%
201470.70%1.37%-0.22%1.61%1.33%
201488.15%7.99%1.88%14.42%7.11%
20149-3.85%-3.41%-1.05%-6.65%-2.97%
2014104.80%4.52%1.53%8.06%4.04%
2014115.19%5.00%1.29%9.08%4.44%
2014124.76%5.73%0.13%9.38%5.23%
2015117.66%15.95%4.30%31.01%13.89%
20152-10.17%-9.97%-2.47%-17.87%-8.90%
201531.71%1.65%0.86%2.57%1.52%
20154-5.47%-5.91%-0.63%-10.30%-5.31%
20155-4.16%-4.31%-0.42%-7.91%-3.82%
20156-7.06%-6.83%-1.63%-12.49%-6.05%
201577.46%7.52%1.52%13.40%6.71%
20158-1.34%-1.00%0.08%-2.75%-0.77%
201593.34%2.67%1.58%5.10%2.34%
201510-1.19%-0.28%-0.64%-1.73%-0.08%
201511-1.57%-1.61%-0.43%-2.71%-1.46%
201512-1.43%-0.83%-0.45%-2.41%-0.62%
2016110.54%8.81%3.33%17.74%7.59%
201625.10%4.66%1.49%8.71%4.11%
20163-0.35%-0.32%-0.06%-0.64%-0.28%
20164-1.28%-1.12%-0.16%-2.39%-0.95%
201650.88%1.42%-0.10%1.86%1.36%
2016612.16%11.06%3.09%21.23%9.68%
201673.16%3.61%0.25%6.07%3.28%
20168-2.30%-1.72%-1.01%-3.58%-1.47%
20169-2.27%-2.59%0.24%-4.78%-2.30%
201610-7.41%-7.12%-1.49%-13.32%-6.27%
201611-14.07%-12.61%-4.23%-23.91%-11.07%
201612-0.55%-0.46%-0.12%-0.99%-0.38%
201710.86%0.85%0.22%1.49%0.76%
201722.57%2.49%0.72%4.41%2.23%
20173-1.13%-1.31%0.08%-2.35%-1.17%
201742.77%2.20%1.11%4.43%1.89%
201753.00%3.11%0.83%5.17%2.83%
201760.74%1.86%-0.51%1.98%1.84%
20177-1.03%-1.44%0.38%-2.43%-1.30%
201785.79%5.43%1.46%10.13%4.79%
20179-4.36%-3.66%-1.44%-7.29%-3.17%
201710-0.36%-0.09%-0.19%-0.53%-0.03%
2017110.73%1.49%-0.28%1.73%1.45%
2017122.61%3.15%0.18%5.04%2.89%
20181-5.96%-4.86%-2.15%-9.77%-4.19%
20182-5.25%-5.02%-0.93%-9.57%-4.40%
201834.80%4.55%1.16%8.44%4.02%
20184-3.99%-2.96%-1.28%-6.71%-2.45%
201853.13%2.79%0.99%5.27%2.45%
201860.84%1.12%0.20%1.49%1.07%
20187-2.61%-2.33%-0.53%-4.70%-2.00%
201882.19%1.76%1.01%3.36%1.54%
20189-4.99%-4.48%-1.20%-8.77%-3.90%
201810-4.71%-5.22%-0.30%-9.11%-4.68%
2018113.04%2.49%1.33%4.76%2.18%
20181210.37%8.90%2.80%17.93%7.66%
201910.53%0.36%0.65%0.41%0.35%
20192-2.52%-2.17%-0.52%-4.52%-1.85%
201939.83%8.92%2.66%17.00%7.82%
20194-3.54%-3.34%-0.52%-6.56%-2.90%
2019512.08%10.90%3.05%21.11%9.51%
201961.56%1.01%1.22%1.90%0.89%
201970.18%0.31%0.04%0.32%0.31%
2019819.53%17.78%3.95%35.11%15.42%
20199-5.13%-4.12%-1.19%-9.07%-3.44%
201910-1.96%-2.13%0.19%-4.11%-1.86%
201911-1.35%-0.54%-0.69%-2.01%-0.34%
201912-5.49%-5.04%-0.93%-10.05%-4.36%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries100.00%100.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared81.38%82.02%
Style analysis is based on monthly returns from January 2010 to December 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
IEFiShares 7-10 Year Treasury Bond ETFLong Government50.00%0.93%0.15%7.75$3,27311.66%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt50.00%3.02%1.06%$13,72388.34%
100.00%1.98%0.60%7.75$16,997100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt12.00%3.02%1.06%$3,28721.56%
VEDTXVanguard Extended Duration Trs Idx InstlLong Government88.00%2.16%0.06%24.28$14,20578.44%
100.00%2.26%0.18%24.28$17,492100.00%

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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.03%1.03%
Arithmetic Mean (annualized)13.04%13.13%
Geometric Mean (monthly)0.83%0.85%
Geometric Mean (annualized)10.44%10.64%
Volatility (monthly)6.40%6.27%
Volatility (annualized)22.17%21.73%
Downside Deviation (monthly)3.36%3.24%
Max. Drawdown-30.77%-30.22%
US Market Correlation-0.51-0.51
Beta(*)-0.88-0.87
Alpha (annualized)24.03%24.00%
R225.85%26.37%
Sharpe Ratio0.530.54
Sortino Ratio1.001.05
Treynor Ratio (%)-13.43-13.65
Calmar Ratio0.560.70
Active Return-2.85%-2.65%
Tracking Error30.77%30.41%
Information Ratio-0.09-0.09
Skewness0.790.95
Excess Kurtosis0.901.71
Historical Value-at-Risk (5%)-7.09%-7.01%
Analytical Value-at-Risk (5%)-9.45%-9.24%
Conditional Value-at-Risk (5%)-9.64%-9.53%
Upside Capture Ratio (%)-21.44-20.38
Downside Capture Ratio (%)-154.41-153.08
Safe Withdrawal Rate17.16%17.14%
Perpetual Withdrawal Rate7.86%8.04%
Positive Periods60 out of 120 (50.00%)61 out of 120 (50.83%)
Gain/Loss Ratio1.531.51
* 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
1Aug 2012Dec 20131 year 5 monthsDec 20141 year2 years 5 months-30.77%
2Aug 2016Oct 20182 years 3 monthsAug 201910 months3 years 1 month-28.62%
3Sep 2010Jan 20115 monthsAug 20117 months1 year-24.29%
4Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-23.07%
5Sep 2019Dec 20194 months-13.28%
6Jan 2012Mar 20123 monthsMay 20122 months5 months-11.78%
7Oct 2011Oct 20111 monthDec 20112 months3 months-7.08%
8Feb 2010Mar 20102 monthsApr 20101 month3 months-4.61%
9Jun 2012Jun 20121 monthJul 20121 month2 months-3.10%
10Jul 2010Jul 20101 monthAug 20101 month2 months-1.49%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsDec 20141 year2 years 5 months-30.22%
2Sep 2010Jan 20115 monthsAug 20117 months1 year-25.89%
3Aug 2016Oct 20182 years 3 monthsAug 201910 months3 years 1 month-23.98%
4Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-23.24%
5Jan 2012Mar 20123 monthsMay 20122 months5 months-12.24%
6Sep 2019Dec 20194 months-11.37%
7Oct 2011Oct 20111 monthDec 20112 months3 months-6.59%
8Feb 2010Mar 20102 monthsApr 20101 month3 months-5.15%
9Jun 2012Jun 20121 monthJul 20121 month2 months-2.82%
10Jul 2010Jul 20101 monthAug 20101 month2 months-2.71%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IEFiShares 7-10 Year Treasury Bond ETF4.42%5.60%15.64%-6.09%-7.60%0.701.26-0.45
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF13.80%39.22%109.14%-39.01%-49.74%0.500.95-0.51
VEDTXVanguard Extended Duration Trs Idx Instl9.98%19.38%55.79%-20.89%-27.18%0.561.07-0.51

Monthly Correlations

Correlations for the portfolio assets
TickerNameIEFTMFVEDTXPortfolio 1Portfolio 2
IEFiShares 7-10 Year Treasury Bond ETF1.000.900.870.920.87
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.901.000.991.001.00
VEDTXVanguard Extended Duration Trs Idx Instl0.870.991.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IEFiShares 7-10 Year Treasury Bond ETF$3,273
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$13,723$3,287
VEDTXVanguard Extended Duration Trs Idx Instl$14,205

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IEFiShares 7-10 Year Treasury Bond ETF11.66%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF88.34%21.56%
VEDTXVanguard Extended Duration Trs Idx Instl78.44%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.29%66.78%-25.70%11.77%71.90%-24.52%
3 years7.08%23.64%-4.85%7.87%22.88%-3.38%
5 years8.11%19.11%1.07%8.83%19.21%1.77%
7 years6.83%11.13%1.66%7.64%11.77%2.79%