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 2020)

Portfolio Allocations

ProShares UltraPro QQQ
Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ProShares UltraPro QQQ$10,000$591,455 50.38% 49.83%139.73%-19.80%-49.12% 1.071.910.92
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
ProShares UltraPro QQQ38.88%110.05%110.05%57.93%57.09%50.38%50.38%66.84%56.26%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationProShares UltraPro QQQ ReturnProShares UltraPro QQQ BalanceProShares UltraPro QQQ (TQQQ)
20112.96%-8.05%$9,195-8.05%
20121.74%52.29%$14,00352.29%
20131.50%139.73%$33,570139.73%
20140.76%57.09%$52,73657.09%
20150.73%17.23%$61,82317.23%
20162.07%11.38%$68,85911.38%
20172.11%118.06%$150,155118.06%
20181.91%-19.80%$120,417-19.80%
20192.29%133.83%$281,575133.83%
20201.36%110.05%$591,455110.05%
Monthly returns for the configured portfolios
YearMonthProShares UltraPro QQQ ReturnProShares UltraPro QQQ BalanceProShares UltraPro QQQ (TQQQ)
201118.01%$10,8018.01%
201129.14%$11,7889.14%
20113-2.35%$11,511-2.35%
201148.58%$12,4988.58%
20115-4.31%$11,960-4.31%
20116-7.01%$11,121-7.01%
201174.43%$11,6134.43%
20118-19.54%$9,344-19.54%
20119-14.31%$8,006-14.31%
20111031.54%$10,53231.54%
201111-10.15%$9,463-10.15%
201112-2.83%$9,195-2.83%
2012126.86%$11,66526.86%
2012220.14%$14,01420.14%
2012315.46%$16,18115.46%
20124-4.30%$15,484-4.30%
20125-20.45%$12,318-20.45%
201269.79%$13,5249.79%
201272.28%$13,8332.28%
2012816.09%$16,05916.09%
201292.14%$16,4022.14%
201210-15.63%$13,838-15.63%
2012113.19%$14,2793.19%
201212-1.93%$14,003-1.93%
201317.65%$15,0747.65%
201320.59%$15,1640.59%
201338.74%$16,4898.74%
201346.94%$17,6336.94%
2013510.71%$19,52110.71%
20136-8.02%$17,955-8.02%
2013720.14%$21,57220.14%
20138-1.69%$21,206-1.69%
2013914.91%$24,36814.91%
20131014.70%$27,95014.70%
20131110.34%$30,83910.34%
2013128.86%$33,5708.86%
20141-6.36%$31,436-6.36%
2014215.40%$36,27815.40%
20143-8.37%$33,243-8.37%
20144-2.03%$32,567-2.03%
2014513.50%$36,96513.50%
201469.46%$40,4619.46%
201473.05%$41,6953.05%
2014815.47%$48,14415.47%
20149-2.78%$46,808-2.78%
2014106.58%$49,8866.58%
20141114.30%$57,01814.30%
201412-7.51%$52,736-7.51%
20151-6.95%$49,072-6.95%
2015222.74%$60,23122.74%
20153-7.46%$55,740-7.46%
201545.16%$58,6145.16%
201556.35%$62,3376.35%
20156-7.65%$57,569-7.65%
2015713.35%$65,25413.35%
20158-21.28%$51,367-21.28%
20159-8.13%$47,189-8.13%
20151037.23%$64,75737.23%
2015111.31%$65,6061.31%
201512-5.77%$61,823-5.77%
20161-21.13%$48,758-21.13%
20162-6.04%$45,814-6.04%
2016320.97%$55,42120.97%
20164-9.56%$50,122-9.56%
2016512.84%$56,55712.84%
20166-7.83%$52,130-7.83%
2016722.52%$63,86922.52%
201682.99%$65,7792.99%
201695.80%$69,5955.80%
201610-4.61%$66,386-4.61%
2016111.10%$67,1161.10%
2016122.60%$68,8592.60%
2017115.76%$79,71015.76%
2017213.39%$90,38313.39%
201735.64%$95,4815.64%
201748.07%$103,1888.07%
2017511.43%$114,98711.43%
20176-8.07%$105,710-8.07%
2017712.56%$118,99212.56%
201785.04%$124,9895.04%
20179-1.06%$123,668-1.06%
20171013.74%$140,66213.74%
2017115.50%$148,4025.50%
2017121.18%$150,1551.18%
2018127.70%$191,75327.70%
20182-6.16%$179,933-6.16%
20183-13.42%$155,784-13.42%
20184-0.42%$155,123-0.42%
2018517.00%$181,49217.00%
201862.18%$185,4532.18%
201877.56%$199,4827.56%
2018817.69%$234,78017.69%
20189-1.60%$231,013-1.60%
201810-26.61%$169,541-26.61%
201811-2.91%$164,606-2.91%
201812-26.84%$120,417-26.84%
2019126.92%$152,83026.92%
201928.57%$165,9328.57%
2019311.05%$184,26711.05%
2019416.64%$214,93516.64%
20195-24.01%$163,323-24.01%
2019623.00%$200,88523.00%
201976.20%$213,3416.20%
20198-7.79%$196,723-7.79%
201991.88%$200,4301.88%
20191012.43%$225,34212.43%
20191112.20%$252,82212.20%
20191211.37%$281,57511.37%
202018.19%$304,6428.19%
20202-17.77%$250,506-17.77%
20203-38.13%$154,988-38.13%
2020446.45%$226,98546.45%
2020518.63%$269,27818.63%
2020617.98%$317,68717.98%
2020722.25%$388,38222.25%
2020835.17%$524,95735.17%
20209-18.88%$425,860-18.88%
202010-10.28%$382,103-10.28%
20201134.54%$514,09134.54%
20201215.05%$591,45515.05%

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%$581,455100.00%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (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
MetricProShares UltraPro QQQ
Arithmetic Mean (monthly)4.47%
Arithmetic Mean (annualized)69.10%
Geometric Mean (monthly)3.46%
Geometric Mean (annualized)50.38%
Standard Deviation (monthly)14.38%
Standard Deviation (annualized)49.83%
Downside Deviation (monthly)7.99%
Max. Drawdown-49.12%
US Market Correlation0.92
Beta(*)3.23
Alpha (annualized)8.91%
R283.92%
Sharpe Ratio1.07
Sortino Ratio1.91
Treynor Ratio (%)16.44
Calmar Ratio1.18
Active Return36.72%
Tracking Error37.32%
Information Ratio0.98
Skewness-0.06
Excess Kurtosis0.45
Historical Value-at-Risk (5%)-20.48%
Analytical Value-at-Risk (5%)-19.19%
Conditional Value-at-Risk (5%)-26.34%
Upside Capture Ratio (%)452.77
Downside Capture Ratio (%)294.39
Safe Withdrawal Rate33.85%
Perpetual Withdrawal Rate32.35%
Positive Periods76 out of 120 (63.33%)
Gain/Loss Ratio1.27
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProShares UltraPro QQQ
COVID-19 StartJan 2020Mar 2020-49.12%

Drawdowns for ProShares UltraPro QQQ

Drawdowns for ProShares UltraPro QQQ (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-49.12%
2Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-48.71%
3May 2011Sep 20115 monthsFeb 20125 months10 months-35.94%
4Dec 2015Feb 20163 monthsAug 20166 months9 months-30.17%
5Aug 2015Sep 20152 monthsNov 20152 months4 months-27.69%
6Sep 2020Oct 20202 monthsDec 20202 months4 months-27.21%
7Apr 2012May 20122 monthsSep 20124 months6 months-23.87%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-19.10%
9Oct 2012Oct 20121 monthMar 20135 months6 months-15.63%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-13.94%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TQQQProShares UltraPro QQQ50.38%49.83%139.73%-19.80%-49.12%1.071.910.92

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
ProShares UltraPro QQQ38.88%110.05%110.05%57.93%57.09%50.38%0.95%1.01%
Trailing returns as of last calendar quarter ending December 2020

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year53.39%166.85%-23.94%
3 years48.70%81.97%17.52%
5 years45.28%66.30%22.69%
7 years48.21%61.66%37.73%