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 Assets 
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Asset 6
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Portfolio Analysis Results (Jan 2010 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 50.00%
UPRO ProShares UltraPro S&P500 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SSO ProShares Ultra S&P500 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$97,851 23.04% 28.39%75.40%-14.85%-39.93% 0.861.350.99
Portfolio 2$10,000$101,513 23.45% 28.86%70.46%-14.62%-40.91% 0.861.371.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 123.07%14.23%17.49%23.61%22.78%23.04%37.50%30.54%
Portfolio 224.45%21.53%19.25%24.37%23.12%23.45%38.80%31.48%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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
YearInflationPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)ProShares UltraPro S&P500 (UPRO)ProShares Ultra S&P500 (SSO)
ReturnBalanceReturnBalance
20101.50%25.70%$12,57026.83%$12,68315.06%36.34%26.83%
20112.96%-4.99%$11,942-2.92%$12,3131.89%-11.88%-2.92%
20121.74%31.39%$15,69131.04%$16,13515.99%46.80%31.04%
20131.50%75.40%$27,52270.46%$27,50432.31%118.49%70.46%
20140.76%25.73%$34,60425.53%$34,52613.46%38.00%25.53%
20150.73%-2.00%$33,914-1.19%$34,1141.25%-5.24%-1.19%
20162.07%21.39%$41,16921.55%$41,46412.00%30.79%21.55%
20172.11%46.54%$60,32844.35%$59,85421.70%71.37%44.35%
20181.91%-14.85%$51,368-14.62%$51,102-4.56%-25.15%-14.62%
20192.29%66.77%$85,66463.45%$83,52931.22%102.31%63.45%
20201.36%14.23%$97,85121.53%$101,51318.37%10.08%21.53%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)ProShares UltraPro S&P500 (UPRO)ProShares Ultra S&P500 (SSO)
ReturnBalanceReturnBalance
20101-7.41%$9,259-7.51%$9,249-3.63%-11.19%-7.51%
201025.91%$9,8066.11%$9,8143.12%8.94%6.11%
2010312.41%$11,02312.38%$11,0296.09%18.90%12.38%
201042.87%$11,3392.81%$11,3391.55%4.08%2.81%
20105-16.50%$9,468-16.09%$9,514-7.95%-24.15%-16.09%
20106-10.64%$8,460-10.92%$8,475-5.17%-16.58%-10.92%
2010713.25%$9,58214.06%$9,6676.83%21.17%14.06%
20108-8.79%$8,739-9.25%$8,772-4.50%-13.46%-9.25%
2010917.59%$10,27618.44%$10,3908.96%27.94%18.44%
2010107.59%$11,0567.57%$11,1773.82%11.44%7.57%
201011-0.42%$11,009-0.40%$11,1320.00%-0.82%-0.40%
20101214.17%$12,57013.94%$12,6836.68%21.36%13.94%
201114.45%$13,1294.33%$13,2332.33%6.56%4.33%
201127.00%$14,0486.94%$14,1513.47%10.39%6.94%
20113-0.41%$13,990-0.39%$14,0960.01%-0.80%-0.39%
201145.96%$14,8235.74%$14,9062.90%8.73%5.74%
20115-2.63%$14,433-2.38%$14,551-1.12%-3.93%-2.38%
20116-3.91%$13,868-3.74%$14,007-1.69%-5.87%-3.74%
20117-4.28%$13,274-4.22%$13,416-2.00%-6.39%-4.22%
20118-13.43%$11,492-12.81%$11,698-5.50%-21.09%-12.81%
20119-13.32%$9,962-13.86%$10,076-6.94%-20.69%-13.86%
20111020.11%$11,96521.81%$12,27410.91%32.61%21.81%
201111-1.79%$11,752-1.56%$12,083-0.41%-3.35%-1.56%
2011121.62%$11,9421.91%$12,3131.04%2.30%1.91%
201219.27%$13,0498.97%$13,4174.64%13.90%8.97%
201228.98%$14,2208.45%$14,5514.34%13.24%8.45%
201236.51%$15,1466.71%$15,5273.22%9.29%6.71%
20124-1.62%$14,900-1.61%$15,277-0.67%-2.38%-1.61%
20125-12.26%$13,073-11.37%$13,540-6.01%-17.35%-11.37%
201267.91%$14,1077.27%$14,5244.05%11.47%7.27%
201272.43%$14,4502.53%$14,8911.18%3.52%2.53%
201284.69%$15,1284.61%$15,5782.51%6.53%4.61%
201295.29%$15,9274.87%$16,3372.54%7.52%4.87%
201210-4.15%$15,265-4.15%$15,659-1.82%-5.96%-4.15%
2012110.81%$15,3890.94%$15,8060.57%1.01%0.94%
2012121.96%$15,6912.08%$16,1350.90%2.82%2.08%
2013110.25%$17,30010.27%$17,7925.12%15.39%10.27%
201322.47%$17,7282.16%$18,1771.28%3.56%2.16%
201337.62%$19,0807.39%$19,5203.80%11.03%7.39%
201343.85%$19,8133.86%$20,2741.92%5.45%3.86%
201354.82%$20,7694.55%$21,1972.36%6.80%4.55%
20136-3.53%$20,035-3.11%$20,537-1.34%-5.23%-3.11%
2013711.40%$22,32010.41%$22,6765.17%16.41%10.41%
20138-6.60%$20,847-6.08%$21,297-3.00%-9.21%-6.08%
201396.79%$22,2626.48%$22,6773.17%9.60%6.48%
2013109.91%$24,4689.07%$24,7354.63%13.76%9.07%
2013116.50%$26,0595.77%$26,1632.96%8.87%5.77%
2013125.62%$27,5225.13%$27,5042.59%7.54%5.13%
20141-7.12%$25,562-7.23%$25,514-3.52%-10.72%-7.23%
201428.93%$27,8449.06%$27,8264.55%13.65%9.06%
201431.49%$28,2601.52%$28,2500.83%2.15%1.52%
201441.18%$28,5931.23%$28,5980.70%1.65%1.23%
201454.50%$29,8804.41%$29,8592.32%6.62%4.41%
201464.22%$31,1404.10%$31,0832.06%6.22%4.10%
20147-2.98%$30,213-2.88%$30,189-1.34%-4.44%-2.88%
201488.11%$32,6627.87%$32,5653.95%11.95%7.87%
20149-3.02%$31,674-2.93%$31,609-1.38%-4.44%-2.93%
2014104.30%$33,0374.38%$32,9922.36%6.03%4.38%
2014115.76%$34,9415.54%$34,8192.75%8.34%5.54%
201412-0.96%$34,604-0.84%$34,526-0.26%-1.54%-0.84%
20151-6.22%$32,453-6.15%$32,403-2.96%-9.47%-6.15%
2015211.35%$36,13511.40%$36,0975.62%17.48%11.40%
20153-3.46%$34,884-3.43%$34,859-1.57%-5.28%-3.43%
201541.79%$35,5081.84%$35,5000.98%2.59%1.84%
201552.37%$36,3482.31%$36,3201.29%3.43%2.31%
20156-4.16%$34,838-4.09%$34,834-2.03%-6.21%-4.09%
201574.21%$36,3044.22%$36,3032.26%6.17%4.22%
20158-12.57%$31,739-12.48%$31,774-6.10%-18.87%-12.48%
20159-5.41%$30,021-5.54%$30,014-2.54%-8.64%-5.54%
20151016.82%$35,07117.45%$35,2508.51%26.79%17.45%
2015110.59%$35,2770.60%$35,4600.37%0.81%0.60%
201512-3.87%$33,914-3.80%$34,114-1.72%-6.06%-3.80%
20161-10.18%$30,462-10.37%$30,578-4.98%-15.38%-10.37%
20162-0.83%$30,207-0.62%$30,388-0.08%-1.68%-0.62%
2016313.62%$34,32313.98%$34,6376.72%21.50%13.98%
201640.60%$34,5290.60%$34,8430.39%0.81%0.60%
201653.18%$35,6263.18%$35,9501.70%4.65%3.18%
201660.07%$35,6510.16%$36,0090.35%-0.20%0.16%
201677.44%$38,3027.40%$38,6723.65%11.13%7.40%
201680.11%$38,3450.10%$38,7100.12%0.11%0.10%
20169-0.28%$38,239-0.28%$38,6020.01%-0.54%-0.28%
201610-3.76%$36,800-3.68%$37,182-1.73%-5.62%-3.68%
2016117.46%$39,5447.23%$39,8693.68%11.05%7.23%
2016124.11%$41,1694.00%$41,4642.03%5.96%4.00%
201713.46%$42,5943.47%$42,9011.79%5.14%3.47%
201727.98%$45,9957.83%$46,2613.93%11.91%7.83%
20173-0.06%$45,969-0.02%$46,2500.13%-0.22%-0.02%
201741.93%$46,8551.85%$47,1060.99%2.77%1.85%
201752.62%$48,0852.55%$48,3061.41%3.70%2.55%
201761.11%$48,6171.04%$48,8080.64%1.51%1.04%
201774.11%$50,6153.95%$50,7342.06%5.87%3.95%
201780.25%$50,7390.31%$50,8920.29%0.21%0.31%
201794.02%$52,7813.82%$52,8352.01%5.69%3.82%
2017104.84%$55,3374.53%$55,2272.36%6.83%4.53%
2017116.35%$58,8505.87%$58,4723.06%8.87%5.87%
2017122.51%$60,3282.36%$59,8541.21%3.45%2.36%
2018111.93%$67,52211.17%$66,5385.64%18.22%11.17%
20182-8.86%$61,538-8.07%$61,166-3.64%-13.53%-8.07%
20183-5.72%$58,018-5.54%$57,776-2.74%-8.69%-5.54%
201840.20%$58,1330.20%$57,8910.52%-0.14%0.20%
201854.38%$60,6814.41%$60,4442.43%6.46%4.41%
201860.93%$61,2431.02%$61,0580.58%1.29%1.02%
201877.18%$65,6417.09%$65,3873.70%10.73%7.09%
201886.21%$69,7176.15%$69,4093.19%9.09%6.15%
201890.91%$70,3530.89%$70,0290.59%1.20%0.89%
201810-14.22%$60,351-14.01%$60,215-6.91%-20.78%-14.01%
2018113.03%$62,1823.15%$62,1101.85%4.28%3.15%
201812-17.39%$51,368-17.72%$51,102-8.79%-26.25%-17.72%
2019115.95%$59,56115.73%$59,1418.01%23.89%15.73%
201926.47%$63,4146.21%$62,8133.24%9.28%6.21%
201933.48%$65,6193.45%$64,9771.81%4.85%3.45%
201948.38%$71,1167.72%$69,9914.09%11.81%7.72%
20195-13.55%$61,479-12.77%$61,050-6.38%-18.89%-12.77%
2019614.71%$70,52214.09%$69,6556.96%21.37%14.09%
201972.82%$72,5092.52%$71,4071.51%3.80%2.52%
20198-4.51%$69,235-4.04%$68,522-1.67%-6.62%-4.04%
201993.83%$71,8863.62%$71,0041.95%5.30%3.62%
2019104.20%$74,9054.00%$73,8452.21%5.70%4.00%
2019117.73%$80,6967.07%$79,0633.62%10.73%7.07%
2019126.16%$85,6645.65%$83,5292.90%8.38%5.65%
20201-0.48%$85,256-0.44%$83,164-0.04%-0.91%-0.44%
20202-15.44%$72,090-15.46%$70,306-7.92%-23.04%-15.46%
20203-28.62%$51,454-29.80%$49,354-12.46%-48.13%-29.80%
2020420.76%$62,13525.18%$61,78212.70%37.17%25.18%
202057.99%$67,0979.16%$67,4394.76%13.38%9.16%
202062.35%$68,6732.95%$69,4311.78%3.23%2.95%
2020710.57%$75,92911.69%$77,5475.89%17.70%11.69%
2020813.33%$86,05214.29%$88,6276.98%22.05%14.29%
20209-7.61%$79,506-7.97%$81,566-3.74%-12.26%-7.97%
202010-5.07%$75,471-5.38%$77,181-2.49%-8.48%-5.38%
20201120.99%$91,31222.51%$94,55510.88%35.20%22.51%
2020127.16%$97,8517.36%$101,5133.71%11.14%7.36%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth33.60%34.59%
Mid-cap Value20.63%19.09%
Mid-cap Growth0.00%0.00%
Small-cap Value45.78%46.31%
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 Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared76.56%76.96%
Style analysis is based on monthly returns from January 2010 to December 2020 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend50.00%1.39%0.09%28.87$27,44624.08%
UPROProShares UltraPro S&P500Leveraged Equity50.00%0.06%0.93%$60,40575.92%
100.00%0.72%0.51%28.87$87,851100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity100.00%0.15%0.91%$91,513100.00%

Asset Allocation

Fund fundamentals data as of 04/14/2021. (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)2.08%2.12%
Arithmetic Mean (annualized)28.07%28.64%
Geometric Mean (monthly)1.74%1.77%
Geometric Mean (annualized)23.04%23.45%
Volatility (monthly)8.20%8.33%
Volatility (annualized)28.39%28.86%
Downside Deviation (monthly)5.20%5.21%
Max. Drawdown-39.93%-40.91%
US Market Correlation0.991.00
Beta(*)1.931.96
Alpha (annualized)-2.37%-2.44%
R298.65%99.24%
Sharpe Ratio0.860.86
Sortino Ratio1.351.37
Treynor Ratio (%)12.6912.68
Calmar Ratio0.440.47
Active Return9.08%9.49%
Tracking Error13.95%14.33%
Information Ratio0.650.66
Skewness-0.53-0.41
Excess Kurtosis1.151.55
Historical Value-at-Risk (5%)-13.37%-12.79%
Analytical Value-at-Risk (5%)-11.62%-11.58%
Conditional Value-at-Risk (5%)-17.02%-17.11%
Upside Capture Ratio (%)210.40210.80
Downside Capture Ratio (%)197.77196.23
Safe Withdrawal Rate23.05%23.34%
Perpetual Withdrawal Rate17.33%17.61%
Positive Periods89 out of 132 (67.42%)89 out of 132 (67.42%)
Gain/Loss Ratio0.930.94
* 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)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-39.93%
2May 2011Sep 20115 monthsMar 20126 months11 months-32.80%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-26.99%
4May 2010Jun 20102 monthsDec 20106 months8 months-25.39%
5Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.41%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-14.08%
7Apr 2012May 20122 monthsSep 20124 months6 months-13.68%
8May 2019May 20191 monthJul 20192 months3 months-13.55%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-12.30%
10Jan 2010Jan 20101 monthMar 20102 months3 months-7.41%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsAug 20205 months8 months-40.91%
2May 2011Sep 20115 monthsMar 20126 months11 months-32.40%
3Oct 2018Dec 20183 monthsJul 20197 months10 months-27.03%
4May 2010Jun 20102 monthsDec 20106 months8 months-25.26%
5Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.36%
6Feb 2018Mar 20182 monthsAug 20185 months7 months-13.17%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-12.91%
8Apr 2012May 20122 monthsAug 20123 months5 months-12.80%
9Jan 2010Jan 20101 monthMar 20102 months3 months-7.51%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-7.23%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust13.88%14.02%32.31%-4.56%-19.43%0.961.571.00
UPROProShares UltraPro S&P50030.58%44.14%118.49%-25.15%-60.44%0.831.310.99
SSOProShares Ultra S&P50023.45%28.86%70.46%-14.62%-40.91%0.861.371.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYUPROSSOPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.001.001.001.001.00
UPROProShares UltraPro S&P5001.001.001.001.001.00
SSOProShares Ultra S&P5001.001.001.001.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$27,446
UPROProShares UltraPro S&P500$60,405
SSOProShares Ultra S&P500$91,513

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust24.08%
UPROProShares UltraPro S&P50075.92%
SSOProShares Ultra S&P500100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year23.99%75.40%-21.59%23.87%70.46%-24.04%
3 years24.08%47.05%3.83%23.78%46.39%2.19%
5 years23.00%32.72%8.08%22.74%32.67%7.20%
7 years23.92%32.21%15.23%23.60%31.91%14.17%
10 years22.30%25.70%16.66%22.31%26.02%16.17%