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
UPRO ProShares UltraPro S&P500 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$156,030 29.38% 43.26%118.49%-25.15%-60.44% 0.821.260.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 148.29%-8.77%21.85%20.67%27.71%34.68%29.38%
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
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceProShares UltraPro S&P500 (UPRO)
20101.50%36.34%$13,63436.34%
20112.96%-11.88%$12,015-11.88%
20121.74%46.80%$17,63746.80%
20131.50%118.49%$38,536118.49%
20140.76%38.00%$53,18138.00%
20150.73%-5.24%$50,391-5.24%
20162.07%30.79%$65,90430.79%
20172.11%71.37%$112,94371.37%
20181.91%-25.15%$84,541-25.15%
20192.29%102.31%$171,037102.31%
20200.83%-8.77%$156,030-8.77%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceProShares UltraPro S&P500 (UPRO)
20101-11.19%$8,881-11.19%
201028.94%$9,6758.94%
2010318.90%$11,50418.90%
201044.08%$11,9734.08%
20105-24.15%$9,081-24.15%
20106-16.58%$7,576-16.58%
2010721.17%$9,18021.17%
20108-13.46%$7,944-13.46%
2010927.94%$10,16427.94%
20101011.44%$11,32711.44%
201011-0.82%$11,234-0.82%
20101221.36%$13,63421.36%
201116.56%$14,5296.56%
2011210.39%$16,03910.39%
20113-0.80%$15,911-0.80%
201148.73%$17,3008.73%
20115-3.93%$16,620-3.93%
20116-5.87%$15,644-5.87%
20117-6.39%$14,644-6.39%
20118-21.09%$11,556-21.09%
20119-20.69%$9,164-20.69%
20111032.61%$12,15332.61%
201111-3.35%$11,745-3.35%
2011122.30%$12,0152.30%
2012113.90%$13,68513.90%
2012213.24%$15,49613.24%
201239.29%$16,9369.29%
20124-2.38%$16,533-2.38%
20125-17.35%$13,665-17.35%
2012611.47%$15,23211.47%
201273.52%$15,7673.52%
201286.53%$16,7966.53%
201297.52%$18,0597.52%
201210-5.96%$16,982-5.96%
2012111.01%$17,1541.01%
2012122.82%$17,6372.82%
2013115.39%$20,35115.39%
201323.56%$21,0773.56%
2013311.03%$23,40211.03%
201345.45%$24,6775.45%
201356.80%$26,3566.80%
20136-5.23%$24,979-5.23%
2013716.41%$29,07816.41%
20138-9.21%$26,399-9.21%
201399.60%$28,9339.60%
20131013.76%$32,91413.76%
2013118.87%$35,8358.87%
2013127.54%$38,5367.54%
20141-10.72%$34,406-10.72%
2014213.65%$39,10413.65%
201432.15%$39,9442.15%
201441.65%$40,6041.65%
201456.62%$43,2936.62%
201466.22%$45,9886.22%
20147-4.44%$43,946-4.44%
2014811.95%$49,19911.95%
20149-4.44%$47,016-4.44%
2014106.03%$49,8536.03%
2014118.34%$54,0118.34%
201412-1.54%$53,181-1.54%
20151-9.47%$48,144-9.47%
2015217.48%$56,56117.48%
20153-5.28%$53,575-5.28%
201542.59%$54,9642.59%
201553.43%$56,8513.43%
20156-6.21%$53,321-6.21%
201576.17%$56,6146.17%
20158-18.87%$45,933-18.87%
20159-8.64%$41,966-8.64%
20151026.79%$53,20926.79%
2015110.81%$53,6420.81%
201512-6.06%$50,391-6.06%
20161-15.38%$42,642-15.38%
20162-1.68%$41,926-1.68%
2016321.50%$50,93921.50%
201640.81%$51,3490.81%
201654.65%$53,7394.65%
20166-0.20%$53,629-0.20%
2016711.13%$59,60011.13%
201680.11%$59,6640.11%
20169-0.54%$59,345-0.54%
201610-5.62%$56,008-5.62%
20161111.05%$62,19711.05%
2016125.96%$65,9045.96%
201715.14%$69,2895.14%
2017211.91%$77,54111.91%
20173-0.22%$77,372-0.22%
201742.77%$79,5162.77%
201753.70%$82,4573.70%
201761.51%$83,7061.51%
201775.87%$88,6225.87%
201780.21%$88,8070.21%
201795.69%$93,8605.69%
2017106.83%$100,2756.83%
2017118.87%$109,1728.87%
2017123.45%$112,9433.45%
2018118.22%$133,51718.22%
20182-13.53%$115,449-13.53%
20183-8.69%$105,420-8.69%
20184-0.14%$105,275-0.14%
201856.46%$112,0816.46%
201861.29%$113,5211.29%
2018710.73%$125,70210.73%
201889.09%$137,1319.09%
201891.20%$138,7741.20%
201810-20.78%$109,938-20.78%
2018114.28%$114,6394.28%
201812-26.25%$84,541-26.25%
2019123.89%$104,74123.89%
201929.28%$114,4649.28%
201934.85%$120,0184.85%
2019411.81%$134,19211.81%
20195-18.89%$108,839-18.89%
2019621.37%$132,09921.37%
201973.80%$137,1253.80%
20198-6.62%$128,050-6.62%
201995.30%$134,8325.30%
2019105.70%$142,5165.70%
20191110.73%$157,81210.73%
2019128.38%$171,0378.38%
20201-0.91%$169,474-0.91%
20202-23.04%$130,434-23.04%
20203-48.13%$67,657-48.13%
2020437.17%$92,80537.17%
2020513.38%$105,22013.38%
202063.23%$108,6233.23%
2020717.70%$127,84617.70%
2020822.05%$156,03022.05%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity100.00%0.92%$146,030100.00%

Asset Allocation

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 1
Arithmetic Mean (monthly)2.99%
Arithmetic Mean (annualized)42.37%
Geometric Mean (monthly)2.17%
Geometric Mean (annualized)29.38%
Volatility (monthly)12.49%
Volatility (annualized)43.26%
Downside Deviation (monthly)8.04%
Max. Drawdown-60.44%
US Market Correlation0.99
Beta(*)3.00
Alpha (annualized)-5.04%
R298.86%
Sharpe Ratio0.82
Sortino Ratio1.26
Treynor Ratio (%)11.76
Calmar Ratio0.34
Active Return16.02%
Tracking Error29.05%
Information Ratio0.55
Skewness-0.58
Excess Kurtosis1.95
Historical Value-at-Risk (5%)-20.74%
Analytical Value-at-Risk (5%)-17.55%
Conditional Value-at-Risk (5%)-27.24%
Upside Capture Ratio (%)349.67
Downside Capture Ratio (%)290.44
Safe Withdrawal Rate29.44%
Perpetual Withdrawal Rate22.63%
Positive Periods85 out of 128 (66.41%)
Gain/Loss Ratio0.95
* 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 months-60.44%
2May 2011Sep 20115 monthsSep 20121 year1 year 5 months-47.03%
3Oct 2018Dec 20183 monthsOct 201910 months1 year 1 month-39.08%
4May 2010Jun 20102 monthsDec 20106 months8 months-36.72%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-26.25%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-21.15%
7Jan 2010Jan 20101 monthMar 20102 months3 months-11.19%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-10.86%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-10.72%
10Aug 2013Aug 20131 monthOct 20132 months3 months-9.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50029.38%43.26%118.49%-25.15%-60.44%0.821.260.99

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year40.18%118.49%-25.15%
3 years34.08%64.19%18.82%
5 years33.07%44.97%17.01%
7 years34.17%38.34%30.91%
10 years32.83%32.83%32.83%
Result statistics are based on annualized rolling returns over full calendar year periods