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 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UGL ProShares Ultra Gold 15.00%
UPRO ProShares UltraPro S&P500 30.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
TYD Direxion Daily 7-10 Yr Trs Bull 3X ETF 15.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$87,647 22.57% 18.36%53.14%-13.04%-23.55% 1.182.220.11
Vanguard 500 Index Investor$10,000$38,558 13.49% 13.81%32.18%-4.52%-19.63% 0.951.521.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 19.11%30.89%28.03%22.64%20.65%20.53%22.57%
Vanguard 500 Index Investor15.45%9.65%21.77%14.37%14.31%15.00%13.49%
Trailing returns are for full months ending in August 2020 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.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceProShares Ultra Gold (UGL)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Direxion Daily 7-10 Yr Trs Bull 3X ETF (TYD)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20101.50%29.66%14.91%$12,966$11,49158.28%36.34%16.20%23.59%
20112.96%49.58%1.97%$19,395$11,71711.72%-11.88%109.14%51.54%
20121.74%17.01%15.82%$22,694$13,5728.01%46.80%0.60%10.21%
20131.50%9.43%32.18%$24,835$17,938-51.65%118.49%-39.01%-18.43%
20140.76%53.14%13.51%$38,032$20,361-6.91%38.00%97.34%25.60%
20150.73%-10.13%1.25%$34,180$20,616-22.60%-5.24%-13.73%2.16%
20162.07%10.05%11.82%$37,616$23,05211.67%30.79%-2.52%0.51%
20172.11%34.73%21.67%$50,680$28,04722.50%71.37%22.73%5.64%
20181.91%-13.04%-4.52%$44,071$26,778-8.02%-25.15%-11.01%0.75%
20192.29%51.94%31.33%$66,961$35,16631.11%102.31%34.74%17.88%
20200.83%30.89%9.65%$87,647$38,55852.82%-8.77%51.88%32.33%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares Ultra Gold (UGL)ProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Direxion Daily 7-10 Yr Trs Bull 3X ETF (TYD)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20101-0.06%-3.60%$9,994$9,640-2.93%-11.19%7.34%5.34%
201022.56%3.09%$10,250$9,9385.88%8.94%-1.82%0.66%
201031.69%6.01%$10,423$10,535-1.18%18.90%-6.73%-4.63%
201047.53%1.58%$11,208$10,70211.68%4.08%9.96%4.89%
201050.90%-8.01%$11,308$9,8455.68%-24.15%16.54%9.83%
201065.56%-5.24%$11,937$9,3294.24%-16.58%16.73%9.24%
201070.70%7.00%$12,020$9,982-10.42%21.17%-3.90%1.38%
2010812.67%-4.53%$13,543$9,53011.42%-13.46%25.94%12.18%
201091.24%8.92%$13,711$10,3799.51%27.94%-9.02%-1.53%
201010-2.87%3.79%$13,318$10,7737.05%11.44%-13.57%-0.38%
201011-2.61%0.00%$12,970$10,7733.57%-0.82%-6.03%-2.84%
201012-0.03%6.67%$12,966$11,4914.54%21.36%-11.63%-10.40%
20111-3.67%2.36%$12,490$11,762-12.63%6.56%-9.40%0.09%
201126.69%3.42%$13,326$12,16412.12%10.39%4.49%-0.59%
20113-0.20%0.03%$13,300$12,1672.67%-0.80%-0.55%-0.71%
201148.89%2.95%$14,482$12,52618.26%8.73%6.57%5.61%
201152.84%-1.15%$14,893$12,382-3.80%-3.93%10.36%7.63%
20116-5.73%-1.67%$14,041$12,175-5.12%-5.87%-7.39%-1.65%
201177.04%-2.05%$15,029$11,92617.15%-6.39%13.28%9.57%
2011811.34%-5.45%$16,733$11,27724.49%-21.09%27.34%14.10%
2011911.87%-7.04%$18,719$10,482-21.99%-20.69%41.35%6.45%
201110-2.08%10.91%$18,330$11,62611.30%32.61%-12.87%-4.09%
2011112.55%-0.23%$18,798$11,5992.79%-3.35%4.89%1.74%
2011123.18%1.02%$19,395$11,717-20.93%2.30%9.46%5.66%
201217.44%4.46%$20,838$12,24023.20%13.90%-1.50%2.59%
20122-0.29%4.31%$20,777$12,768-6.46%13.24%-7.95%-3.34%
20123-2.22%3.28%$20,316$13,187-2.91%9.29%-13.02%-5.04%
201244.29%-0.64%$21,187$13,102-0.83%-2.38%14.37%7.81%
201252.31%-6.02%$21,677$12,314-12.60%-17.35%28.90%8.93%
201261.41%4.11%$21,983$12,8204.07%11.47%-5.78%-1.46%
201276.30%1.37%$23,368$12,9951.38%3.52%11.43%3.58%
201281.47%2.24%$23,712$13,2869.59%6.53%-4.61%-0.10%
201290.72%2.58%$23,884$13,6299.40%7.52%-7.87%-1.08%
201210-3.99%-1.86%$22,930$13,375-6.12%-5.96%-2.13%-1.12%
2012111.97%0.56%$23,383$13,450-1.27%1.01%3.90%2.92%
201212-2.94%0.90%$22,694$13,572-5.00%2.82%-7.80%-2.92%
20131-0.00%5.18%$22,694$14,274-1.41%15.39%-9.58%-3.85%
201321.37%1.34%$23,004$14,465-10.10%3.56%3.39%2.79%
201333.70%3.74%$23,856$15,0061.81%11.03%-1.77%1.47%
201345.64%1.91%$25,201$15,292-15.80%5.45%14.25%4.40%
20135-7.40%2.33%$23,335$15,648-12.55%6.80%-19.65%-8.92%
20136-8.85%-1.35%$21,269$15,437-21.29%-5.23%-10.33%-8.06%
201376.11%5.07%$22,568$16,22013.60%16.41%-7.41%-0.58%
20138-5.40%-2.91%$21,350$15,74811.18%-9.21%-4.47%-4.25%
201394.59%3.12%$22,329$16,239-9.77%9.60%1.53%4.50%
2013108.28%4.59%$24,178$16,984-1.38%13.76%4.12%2.89%
2013111.20%3.03%$24,469$17,498-10.93%8.87%-8.19%-3.01%
2013121.50%2.51%$24,835$17,938-7.65%7.54%-6.01%-6.27%
201416.90%-3.47%$26,548$17,3166.50%-10.72%19.47%9.00%
201426.19%4.56%$28,191$18,10612.65%13.65%1.63%0.97%
201430.06%0.82%$28,208$18,255-6.38%2.15%1.76%-1.77%
201443.30%0.72%$29,139$18,3871.06%1.65%5.96%0.69%
201455.70%2.33%$30,801$18,816-6.36%6.62%8.79%6.59%
201462.76%2.05%$31,652$19,20212.68%6.22%-1.00%-0.71%
20147-1.46%-1.39%$31,191$18,936-7.08%-4.44%1.61%0.57%
2014810.42%3.98%$34,442$19,6900.44%11.95%14.42%3.82%
20149-6.24%-1.41%$32,292$19,412-11.97%-4.44%-6.65%-3.30%
2014105.34%2.42%$34,015$19,882-6.50%6.03%8.06%4.32%
2014115.21%2.68%$35,788$20,415-1.08%8.34%9.08%-10.76%
2014126.27%-0.26%$38,032$20,3612.32%-1.54%9.38%15.99%
2015114.17%-3.02%$43,420$19,74717.47%-9.47%31.01%13.22%
20152-6.91%5.74%$40,420$20,880-11.19%17.48%-17.87%-7.66%
20153-0.94%-1.59%$40,042$20,548-4.82%-5.28%2.57%2.15%
20154-3.78%0.95%$38,529$20,743-0.52%2.59%-10.30%-0.85%
20155-2.11%1.27%$37,716$21,0071.16%3.43%-7.91%-1.53%
20156-7.91%-1.93%$34,732$20,601-3.49%-6.21%-12.49%-4.95%
201575.41%2.08%$36,611$21,029-12.99%6.17%13.40%4.61%
20158-6.37%-6.04%$34,279$19,7597.26%-18.87%-2.75%-0.18%
20159-0.23%-2.49%$34,199$19,267-3.88%-8.64%5.10%4.88%
2015106.88%8.42%$36,552$20,8894.36%26.79%-1.73%-0.50%
201511-3.27%0.29%$35,357$20,949-13.24%0.81%-2.71%-3.75%
201512-3.33%-1.59%$34,180$20,616-1.20%-6.06%-2.41%-1.73%
201615.80%-4.98%$36,163$19,59011.00%-15.38%17.74%11.13%
201627.66%-0.15%$38,933$19,56122.48%-1.68%8.71%4.11%
201633.71%6.78%$40,378$20,887-1.81%21.50%-0.64%-2.54%
201640.86%0.37%$40,724$20,9659.50%0.81%-2.39%0.50%
20165-0.18%1.78%$40,650$21,338-12.31%4.65%1.86%0.82%
2016613.10%0.25%$45,977$21,39218.16%-0.20%21.23%8.32%
201676.21%3.68%$48,834$22,1783.80%11.13%6.07%1.17%
20168-3.11%0.13%$47,314$22,207-6.63%0.11%-3.58%-3.16%
20169-2.03%0.01%$46,352$22,2090.85%-0.54%-4.78%1.03%
201610-9.06%-1.83%$42,154$21,802-6.09%-5.62%-13.32%-5.39%
201611-11.44%3.70%$37,332$22,608-16.31%11.05%-23.91%-11.61%
2016120.76%1.96%$37,616$23,052-4.02%5.96%-0.99%-1.87%
201713.84%1.88%$39,060$23,48610.30%5.14%1.49%1.03%
201726.57%3.96%$41,625$24,4175.79%11.91%4.41%2.07%
20173-1.09%0.10%$41,173$24,441-0.75%-0.22%-2.35%0.00%
201743.40%1.02%$42,574$24,6903.12%2.77%4.43%2.40%
201753.44%1.39%$44,039$25,034-0.45%3.70%5.17%2.55%
201760.52%0.61%$44,270$25,187-4.54%1.51%1.98%-0.29%
201771.47%2.04%$44,921$25,7014.35%5.87%-2.43%-0.74%
201785.78%0.29%$47,517$25,7778.29%0.21%10.13%4.74%
20179-2.69%2.06%$46,240$26,308-7.00%5.69%-7.29%-4.27%
2017101.80%2.32%$47,072$26,917-1.87%6.83%-0.53%-0.81%
2017113.92%3.06%$48,916$27,7410.51%8.87%1.73%-0.23%
2017123.61%1.10%$50,680$28,0474.12%3.45%5.04%-0.69%
201811.53%5.71%$51,456$29,6496.39%18.22%-9.77%-6.56%
20182-9.24%-3.69%$46,703$28,553-4.90%-13.53%-9.57%-2.44%
201830.76%-2.56%$47,057$27,8240.97%-8.69%8.44%3.37%
20184-3.64%0.37%$45,342$27,928-2.00%-0.14%-6.71%-4.70%
201853.94%2.39%$47,130$28,596-2.85%6.46%5.27%3.03%
20186-0.18%0.61%$47,046$28,769-7.58%1.29%1.49%0.29%
201870.84%3.71%$47,442$29,836-4.62%10.73%-4.70%-1.23%
201884.17%3.25%$49,421$30,805-4.62%9.09%3.36%2.42%
20189-3.42%0.55%$47,732$30,976-1.53%1.20%-8.77%-3.80%
201810-10.82%-6.85%$42,567$28,8543.60%-20.78%-9.11%-0.58%
2018113.64%2.03%$44,118$29,4390.44%4.28%4.76%2.87%
201812-0.11%-9.04%$44,071$26,7789.77%-26.25%17.93%9.11%
201918.27%8.00%$47,717$28,9204.95%23.89%0.41%1.33%
201921.02%3.20%$48,205$29,846-1.55%9.28%-4.52%-1.85%
201938.20%1.94%$52,157$30,424-3.65%4.85%17.00%7.00%
201941.19%4.04%$52,777$31,654-1.77%11.81%-6.56%-2.61%
201951.52%-6.36%$53,578$29,6393.03%-18.89%21.11%9.79%
201969.98%7.03%$58,925$31,72316.21%21.37%1.90%2.69%
201971.34%1.43%$59,712$32,176-0.30%3.80%0.32%-0.63%
2019814.65%-1.59%$68,457$31,66415.64%-6.62%35.11%12.07%
20199-4.00%1.86%$65,717$32,252-7.05%5.30%-9.07%-4.27%
2019100.64%2.15%$66,140$32,9474.62%5.70%-4.11%-0.07%
2019111.62%3.62%$67,211$34,140-6.66%10.73%-2.01%-2.46%
201912-0.37%3.01%$66,961$35,1667.00%8.38%-10.05%-2.90%
2020112.05%-0.05%$75,028$35,1498.54%-0.91%23.80%10.13%
202022.86%-8.24%$77,174$32,252-1.75%-23.04%17.91%8.88%
20203-1.97%-12.37%$75,651$28,262-0.59%-48.13%11.91%10.44%
202047.32%12.81%$81,188$31,88312.87%37.17%2.68%0.30%
20205-1.06%4.76%$80,326$33,3994.34%13.38%-6.48%0.50%
202061.69%1.98%$81,686$34,0605.86%3.23%0.54%-0.03%
2020712.94%5.63%$92,255$35,97618.56%17.70%13.13%2.23%
20208-5.00%7.18%$87,647$38,558-2.47%22.05%-14.89%-3.01%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UGLProShares Ultra GoldLeveraged Commodities15.00%0.95%$6,65213.48%
UPROProShares UltraPro S&P500Leveraged Equity30.00%0.92%$32,8048.39%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%$31,25868.01%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETFLeveraged Debt15.00%1.09%$6,93310.12%
100.00%1.00%$77,647100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.85%1.14%
Arithmetic Mean (annualized)24.57%14.56%
Geometric Mean (monthly)1.71%1.06%
Geometric Mean (annualized)22.57%13.49%
Volatility (monthly)5.30%3.99%
Volatility (annualized)18.36%13.81%
Downside Deviation (monthly)2.79%2.47%
Max. Drawdown-23.55%-19.63%
US Market Correlation0.111.00
Beta(*)0.151.00
Alpha (annualized)20.10%0.00%
R21.29%100.00%
Sharpe Ratio1.180.95
Sortino Ratio2.221.52
Treynor Ratio (%)142.8713.11
Calmar Ratio1.310.73
Active Return9.08%N/A
Tracking Error21.68%N/A
Information Ratio0.42N/A
Skewness0.02-0.43
Excess Kurtosis0.091.21
Historical Value-at-Risk (5%)-7.68%-6.63%
Analytical Value-at-Risk (5%)-6.77%-5.42%
Conditional Value-at-Risk (5%)-9.55%-8.59%
Upside Capture Ratio (%)62.08100.00
Downside Capture Ratio (%)-34.23100.00
Safe Withdrawal Rate26.35%16.98%
Perpetual Withdrawal Rate18.03%11.02%
Positive Periods83 out of 128 (64.84%)90 out of 128 (70.31%)
Gain/Loss Ratio1.340.86
* Vanguard 500 Index Investor 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)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Nov 20164 monthsNov 20171 year1 year 4 months-23.55%
2Feb 2015Dec 201511 monthsJun 20166 months1 year 5 months-21.28%
3Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-17.28%
4May 2013Jun 20132 monthsJan 20147 months9 months-15.60%
5Oct 2010Jan 20114 monthsApr 20113 months7 months-8.91%
6Sep 2014Sep 20141 monthNov 20142 months3 months-6.24%
7Jun 2011Jun 20111 monthJul 20111 month2 months-5.73%
8Aug 2020Aug 20201 month-5.00%
9Oct 2012Jan 20134 monthsApr 20133 months7 months-4.98%
10Sep 2019Sep 20191 monthJan 20204 months5 months-4.00%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UGLProShares Ultra Gold4.97%32.11%58.28%-51.65%-73.45%0.290.460.07
UPROProShares UltraPro S&P50029.38%43.26%118.49%-25.15%-60.44%0.821.260.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF17.39%39.58%109.14%-39.01%-49.74%0.581.11-0.49
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF12.77%18.24%51.54%-18.43%-23.87%0.721.34-0.49

Monthly Correlations

Correlations for the portfolio assets
TickerNameUGLUPROTMFTYDPortfolio 1Vanguard 500 Index Investor
UGLProShares Ultra Gold1.000.050.240.330.490.06
UPROProShares UltraPro S&P5000.051.00-0.48-0.490.111.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.24-0.481.000.850.76-0.49
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF0.33-0.490.851.000.65-0.49

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
UGLProShares Ultra Gold$6,652
UPROProShares UltraPro S&P500$32,804
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$31,258
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF$6,933

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
UGLProShares Ultra Gold13.48%
UPROProShares UltraPro S&P5008.39%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF68.01%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF10.12%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year23.24%53.14%-13.04%13.99%32.18%-4.52%
3 years18.79%31.41%8.84%13.26%20.22%8.72%
5 years17.96%30.63%11.98%12.95%15.62%8.34%
7 years17.87%21.50%12.44%13.34%14.57%12.53%
10 years20.94%20.94%20.94%13.40%13.40%13.40%
Result statistics are based on annualized rolling returns over full calendar year periods