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 
Portfolio #1
Portfolio #2
Portfolio #3
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2010 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 40.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 60.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
EDV Vanguard Extended Duration Trs ETF 45.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$271,672 35.01% 22.10%73.88%-14.16%-19.52% 1.462.880.63
Portfolio 2$10,000$208,115 31.78% 22.41%77.04%-12.26%-22.83% 1.332.680.22
Portfolio 3$10,000$156,496 28.41% 20.89%62.86%-12.13%-23.37% 1.282.380.90
Vanguard 500 Index Investor$10,000$41,583 13.83% 14.06%32.18%-4.52%-19.63% 0.961.561.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 116.71%66.39%35.42%34.57%33.99%35.01%29.56%24.70%
Portfolio 29.77%67.04%33.84%31.14%30.88%31.78%26.19%23.04%
Portfolio 318.89%44.46%27.39%28.56%27.79%28.41%29.33%23.88%
Vanguard 500 Index Investor12.12%18.25%14.03%15.07%13.72%13.83%18.80%15.26%
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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Extended Duration Trs ETF (EDV)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20101.50%45.62%$14,56241.15%$14,11534.73%$13,47314.91%$11,49136.34%16.20%9.87%
20112.96%59.49%$23,22577.04%$24,98929.24%$17,4131.97%$11,717-11.88%109.14%56.08%
20121.74%32.64%$30,80425.25%$31,29929.84%$22,60915.82%$13,57246.80%0.60%2.37%
20131.50%29.54%$39,9057.00%$33,48943.93%$32,54232.18%$17,938118.49%-39.01%-19.86%
20140.76%63.14%$65,10372.09%$57,62941.18%$45,94413.51%$20,36138.00%97.34%44.66%
20150.73%-5.46%$61,551-6.90%$53,654-3.01%$44,5601.25%$20,616-5.24%-13.73%-4.84%
20162.07%19.82%$73,75314.69%$61,53518.36%$52,74111.82%$23,05230.79%-2.52%1.65%
20172.11%48.32%$109,38841.06%$86,80043.54%$75,70521.67%$28,04771.37%22.73%13.96%
20181.91%-14.16%$93,900-12.26%$76,161-12.13%$66,521-4.52%$26,778-25.15%-11.01%-3.39%
20192.29%73.88%$163,27863.59%$124,59062.86%$108,33431.33%$35,166102.31%34.74%18.68%
20201.36%66.39%$271,67267.04%$208,11544.46%$156,49618.25%$41,58310.08%41.60%23.62%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard Extended Duration Trs ETF (EDV)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20101-2.85%$9,715-0.07%$9,993-4.88%$9,512-3.60%$9,640-11.19%7.34%2.83%
201023.59%$10,0632.00%$10,1934.23%$9,9143.09%$9,9388.94%-1.82%-0.74%
201036.82%$10,7503.00%$10,4998.21%$10,7286.01%$10,53518.90%-6.73%-4.17%
201046.73%$11,4737.61%$11,2984.97%$11,2611.58%$10,7024.08%9.96%6.05%
20105-5.29%$10,8670.80%$11,388-9.35%$10,209-8.01%$9,845-24.15%16.54%8.41%
201062.42%$11,1307.03%$12,189-3.04%$9,898-5.24%$9,329-16.58%16.73%8.31%
201079.89%$12,2316.13%$12,93610.64%$10,9517.00%$9,98221.17%-3.90%-2.24%
201082.04%$12,4817.94%$13,964-2.99%$10,624-4.53%$9,530-13.46%25.94%12.88%
201099.99%$13,7284.51%$14,59413.00%$12,0048.92%$10,37927.94%-9.02%-4.37%
2010100.19%$13,754-3.56%$14,0742.18%$12,2663.79%$10,77311.44%-13.57%-9.14%
201011-2.84%$13,363-3.62%$13,564-1.24%$12,1140.00%$10,773-0.82%-6.03%-1.87%
2010128.98%$14,5624.07%$14,11511.22%$13,4736.67%$11,49121.36%-11.63%-4.15%
20111-0.62%$14,471-3.02%$13,6890.82%$13,5842.36%$11,7626.56%-9.40%-6.20%
201127.97%$15,6257.08%$14,6597.17%$14,5593.42%$12,16410.39%4.49%2.70%
20113-0.70%$15,515-0.66%$14,562-0.52%$14,4820.03%$12,167-0.80%-0.55%-0.12%
201147.76%$16,7197.43%$15,6446.21%$15,3812.95%$12,5268.73%6.57%3.12%
201152.43%$17,1254.57%$16,3590.29%$15,425-1.15%$12,382-3.93%10.36%5.73%
20116-6.60%$15,994-6.83%$15,242-5.16%$14,629-1.67%$12,175-5.87%-7.39%-4.33%
201172.46%$16,3875.41%$16,067-0.82%$14,509-2.05%$11,926-6.39%13.28%5.99%
201183.01%$16,88010.14%$17,696-3.07%$14,063-5.45%$11,277-21.09%27.34%16.37%
2011917.47%$19,82925.56%$22,2204.99%$14,765-7.04%$10,482-20.69%41.35%23.80%
20111012.14%$22,2375.32%$23,40214.93%$16,97010.91%$11,62632.61%-12.87%-6.68%
201111-0.47%$22,1320.74%$23,575-0.86%$16,823-0.23%$11,599-3.35%4.89%3.46%
2011124.94%$23,2256.00%$24,9893.51%$17,4131.02%$11,7172.30%9.46%5.48%
201216.97%$24,8444.66%$26,1546.96%$18,6254.46%$12,24013.90%-1.50%-1.53%
201224.46%$25,9511.27%$26,4886.39%$19,8164.31%$12,76813.24%-7.95%-3.28%
201231.15%$26,249-2.16%$25,9163.30%$20,4703.28%$13,1879.29%-13.02%-6.63%
201245.16%$27,6037.67%$27,9041.71%$20,820-0.64%$13,102-2.38%14.37%6.72%
201255.29%$29,06212.13%$31,288-2.51%$20,298-6.02%$12,314-17.35%28.90%14.08%
201261.14%$29,392-1.17%$30,9233.90%$21,0884.11%$12,82011.47%-5.78%-2.24%
201277.08%$31,4728.27%$33,4794.55%$22,0481.37%$12,9953.52%11.43%5.81%
201281.31%$31,885-0.35%$33,3622.40%$22,5772.24%$13,2866.53%-4.61%-2.54%
201290.73%$32,119-1.58%$32,8352.51%$23,1432.58%$13,6297.52%-7.87%-4.04%
201210-4.24%$30,758-3.66%$31,633-3.46%$22,343-1.86%$13,375-5.96%-2.13%-0.39%
2012112.34%$31,4792.78%$32,5111.37%$22,6490.56%$13,4501.01%3.90%1.78%
201212-2.14%$30,804-3.73%$31,299-0.18%$22,6090.90%$13,5722.82%-7.80%-3.61%
201314.15%$32,0830.41%$31,4266.20%$24,0115.18%$14,27415.39%-9.58%-5.03%
201323.50%$33,2053.47%$32,5162.75%$24,6721.34%$14,4653.56%3.39%1.55%
201336.04%$35,2104.12%$33,8576.37%$26,2433.74%$15,00611.03%-1.77%-0.70%
201349.41%$38,52310.73%$37,4906.29%$27,8951.91%$15,2925.45%14.25%7.32%
20135-5.63%$36,356-9.57%$33,901-0.73%$27,6922.33%$15,6486.80%-19.65%-9.77%
20136-7.27%$33,713-8.04%$31,177-4.96%$26,319-1.35%$15,437-5.23%-10.33%-4.57%
201375.69%$35,6322.12%$31,8387.40%$28,2675.07%$16,22016.41%-7.41%-3.61%
20138-7.34%$33,015-6.63%$29,726-5.95%$26,584-2.91%$15,748-9.21%-4.47%-1.14%
201396.32%$35,1025.11%$31,2455.35%$28,0063.12%$16,2399.60%1.53%-0.41%
2013109.42%$38,4097.98%$33,7378.42%$30,3644.59%$16,98413.76%4.12%1.89%
2013111.57%$39,011-1.00%$33,4003.27%$31,3583.03%$17,4988.87%-8.19%-4.37%
2013122.29%$39,9050.27%$33,4893.77%$32,5422.51%$17,9387.54%-6.01%-2.07%
201412.87%$41,0507.40%$35,966-1.52%$32,046-3.47%$17,316-10.72%19.47%9.71%
201427.37%$44,0755.63%$37,9916.98%$34,2844.56%$18,10613.65%1.63%0.35%
201431.95%$44,9371.90%$38,7112.04%$34,9820.82%$18,2552.15%1.76%1.91%
201443.59%$46,5504.24%$40,3512.23%$35,7640.72%$18,3871.65%5.96%2.94%
201457.62%$50,0987.95%$43,5585.48%$37,7232.33%$18,8166.62%8.79%4.10%
201462.86%$51,5331.78%$44,3353.33%$38,9792.05%$19,2026.22%-1.00%-0.25%
20147-1.72%$50,648-0.81%$43,976-1.78%$38,286-1.39%$18,936-4.44%1.61%1.48%
2014813.10%$57,28413.47%$49,9009.64%$41,9763.98%$19,69011.95%14.42%6.97%
20149-5.48%$54,147-5.81%$47,003-3.77%$40,393-1.41%$19,412-4.44%-6.65%-2.97%
2014106.95%$57,9087.25%$50,4115.21%$42,4952.42%$19,8826.03%8.06%4.19%
2014118.68%$62,9348.79%$54,8426.56%$45,2822.68%$20,4158.34%9.08%4.34%
2014123.45%$65,1035.08%$57,6291.46%$45,944-0.26%$20,361-1.54%9.38%5.33%
201518.74%$70,79614.82%$66,1681.20%$46,496-3.02%$19,747-9.47%31.01%14.25%
20152-1.68%$69,606-6.72%$61,7233.97%$48,3435.74%$20,88017.48%-17.87%-9.12%
20153-1.72%$68,405-0.55%$61,385-2.29%$47,234-1.59%$20,548-5.28%2.57%1.45%
20154-3.21%$66,211-5.14%$58,228-1.10%$46,7140.95%$20,7432.59%-10.30%-5.62%
20155-1.30%$65,351-3.00%$56,4790.40%$46,8991.27%$21,0073.43%-7.91%-3.64%
20156-8.65%$59,695-9.59%$51,060-6.15%$44,014-1.93%$20,601-6.21%-12.49%-6.07%
201579.43%$65,32310.51%$56,4286.56%$46,9032.08%$21,0296.17%13.40%7.04%
20158-11.35%$57,909-8.94%$51,382-10.70%$41,886-6.05%$19,758-18.87%-2.75%-0.79%
20159-1.61%$56,9770.40%$51,585-3.18%$40,554-2.48%$19,267-8.64%5.10%2.23%
20151013.95%$64,9289.67%$56,57614.55%$46,4568.42%$20,88926.79%-1.73%-0.41%
201511-0.55%$64,568-1.08%$55,964-0.06%$46,4260.29%$20,9490.81%-2.71%-1.43%
201512-4.67%$61,551-4.13%$53,654-4.02%$44,560-1.59%$20,616-6.06%-2.41%-0.77%
20161-0.47%$61,2594.49%$56,065-4.67%$42,481-4.98%$19,590-15.38%17.74%8.43%
201623.85%$63,6175.34%$59,0601.26%$43,018-0.15%$19,561-1.68%8.71%4.07%
201639.16%$69,4456.05%$62,63410.09%$47,3606.78%$20,88721.50%-0.64%-0.19%
20164-0.63%$69,004-1.11%$61,936-0.05%$47,3340.37%$20,9650.81%-2.39%-1.10%
201653.42%$71,3623.00%$63,7933.04%$48,7711.78%$21,3384.65%1.86%1.02%
201669.13%$77,87412.35%$71,6694.13%$50,7850.25%$21,392-0.20%21.23%9.72%
201678.86%$84,7718.10%$77,4727.63%$54,6613.68%$22,17811.13%6.07%3.35%
20168-1.51%$83,492-2.06%$75,874-0.57%$54,3470.13%$22,2070.11%-3.58%-1.47%
20169-2.36%$81,524-3.00%$73,601-1.31%$53,6370.01%$22,209-0.54%-4.78%-2.34%
201610-9.09%$74,116-10.24%$66,063-5.88%$50,486-1.83%$21,802-5.62%-13.32%-6.18%
201611-3.95%$71,190-9.20%$59,9830.94%$50,9613.70%$22,60811.05%-23.91%-11.49%
2016123.60%$73,7532.59%$61,5353.49%$52,7411.96%$23,0525.96%-0.99%-0.31%
201713.50%$76,3312.95%$63,3503.39%$54,5281.88%$23,4865.14%1.49%1.25%
201728.60%$82,8977.47%$68,0857.52%$58,6293.96%$24,41711.91%4.41%1.95%
20173-1.12%$81,967-1.44%$67,104-0.53%$58,3160.10%$24,441-0.22%-2.35%-0.97%
201743.52%$84,8513.77%$69,6322.35%$59,6881.02%$24,6902.77%4.43%1.84%
201754.37%$88,5554.59%$72,8253.47%$61,7621.39%$25,0343.70%5.17%3.20%
201761.73%$90,0851.80%$74,1341.40%$62,6270.61%$25,1871.51%1.98%1.26%
201772.13%$92,0080.89%$74,7932.66%$64,2952.04%$25,7015.87%-2.43%-1.26%
201784.47%$96,1235.96%$79,2532.23%$65,7310.29%$25,7770.21%10.13%4.89%
20179-0.19%$95,941-2.13%$77,5611.67%$66,8322.06%$26,3085.69%-7.29%-3.35%
2017103.52%$99,3192.42%$79,4363.80%$69,3722.32%$26,9176.83%-0.53%0.09%
2017115.79%$105,0664.71%$83,1805.61%$73,2633.06%$27,7418.87%1.73%1.35%
2017124.11%$109,3884.35%$86,8003.33%$75,7051.10%$28,0473.45%5.04%3.16%
201815.62%$115,5391.42%$88,0378.10%$81,8345.71%$29,64918.22%-9.77%-4.27%
20182-12.01%$101,662-11.42%$77,984-9.85%$73,773-3.69%$28,553-13.53%-9.57%-4.29%
20183-1.92%$99,7080.64%$78,486-3.27%$71,360-2.56%$27,824-8.69%8.44%4.12%
20184-3.09%$96,623-4.08%$75,284-1.32%$70,4180.37%$27,928-0.14%-6.71%-2.77%
201855.95%$102,3695.77%$79,6264.63%$73,6802.39%$28,5966.46%5.27%2.33%
201861.37%$103,7751.40%$80,7441.32%$74,6500.61%$28,7691.29%1.49%1.35%
201873.79%$107,7041.47%$81,9324.90%$78,3113.71%$29,83610.73%-4.70%-2.21%
201886.72%$114,9465.86%$86,7355.97%$82,9863.25%$30,8059.09%3.36%1.65%
20189-2.79%$111,738-4.29%$83,018-0.93%$82,2110.55%$30,9761.20%-8.77%-4.10%
201810-15.53%$94,387-13.78%$71,579-13.50%$71,111-6.85%$28,854-20.78%-9.11%-4.61%
2018114.51%$98,6434.58%$74,8583.24%$73,4132.03%$29,4394.28%4.76%2.18%
201812-4.81%$93,9001.74%$76,161-9.39%$66,521-9.04%$26,778-26.25%17.93%8.08%
2019113.33%$106,4149.81%$83,62913.22%$75,3158.00%$28,92023.89%0.41%0.18%
201923.78%$110,4341.71%$85,0574.88%$78,9933.20%$29,8469.28%-4.52%-1.77%
201939.31%$120,71311.11%$94,5055.84%$83,6061.94%$30,4244.85%17.00%7.50%
201943.54%$124,9910.79%$95,2505.15%$87,9094.04%$31,65411.81%-6.56%-3.00%
20195-2.65%$121,6803.36%$98,448-7.01%$81,750-6.36%$29,639-18.89%21.11%9.74%
2019611.54%$135,7188.68%$106,99611.27%$90,9637.03%$31,72321.37%1.90%0.75%
201972.24%$138,7541.71%$108,8312.29%$93,0471.43%$32,1763.80%0.32%0.44%
2019811.81%$155,13618.07%$128,5023.14%$95,969-1.59%$31,664-6.62%35.11%15.47%
20199-2.37%$151,459-4.43%$122,8050.94%$96,8741.86%$32,2525.30%-9.07%-3.50%
2019101.28%$153,403-0.19%$122,5742.24%$99,0432.15%$32,9475.70%-4.11%-1.99%
2019115.30%$161,5403.39%$126,7276.07%$105,0543.62%$34,14010.73%-2.01%-0.08%
2019121.08%$163,278-1.69%$124,5903.12%$108,3343.01%$35,1668.38%-10.05%-4.56%
2020110.21%$179,94413.91%$141,9274.14%$112,818-0.05%$35,149-0.91%23.80%10.32%
20202-2.34%$175,7393.66%$147,128-8.13%$103,648-8.24%$32,252-23.04%17.91%8.24%
20203-11.49%$155,552-3.60%$141,832-16.59%$86,452-12.37%$28,262-48.13%11.91%8.03%
2020421.65%$189,23016.48%$165,20321.50%$105,04112.81%$31,88337.17%2.68%2.35%
202055.84%$200,2752.88%$169,9557.08%$112,4814.76%$33,39913.38%-6.48%-3.23%
202062.33%$204,9451.94%$173,2542.29%$115,0551.98%$34,0603.23%0.54%0.47%
2020715.64%$237,00414.96%$199,17012.56%$129,5085.63%$35,97617.70%13.13%6.29%
202085.78%$250,7140.24%$199,6389.82%$142,2247.18%$38,55822.05%-14.89%-6.73%
20209-7.16%$232,774-5.04%$189,585-7.45%$131,634-3.81%$37,089-12.26%2.15%1.07%
202010-9.32%$211,076-9.60%$171,380-6.68%$122,834-2.67%$36,098-8.48%-10.35%-4.49%
20201121.42%$256,29716.78%$200,13120.10%$147,52510.94%$40,04635.20%4.24%2.42%
2020126.00%$271,6723.99%$208,1156.08%$156,4963.84%$41,58311.14%-2.32%-1.74%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 3Vanguard 500 Index Investor
Large-cap Value0.00%45.41%
Large-cap Growth72.71%54.58%
Mid-cap Value27.29%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.01%
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 Squared78.04%99.94%
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
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.06%0.93%$190,89771.02%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%3.20%1.06%$70,77628.98%
100.00%1.47%0.99%$261,672100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity40.00%0.06%0.93%$125,57019.04%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt60.00%3.20%1.06%$72,54580.96%
100.00%1.94%1.01%$198,115100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.06%0.93%$117,306103.32%
EDVVanguard Extended Duration Trs ETFLong Government45.00%2.38%0.07%24.64$29,191-3.32%
100.00%1.10%0.54%24.64$146,496100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)2.73%2.53%2.28%1.17%
Arithmetic Mean (annualized)38.17%34.93%31.12%14.94%
Geometric Mean (monthly)2.53%2.33%2.11%1.09%
Geometric Mean (annualized)35.01%31.78%28.41%13.83%
Volatility (monthly)6.38%6.47%6.03%4.06%
Volatility (annualized)22.10%22.41%20.89%14.06%
Downside Deviation (monthly)3.20%3.19%3.24%2.47%
Max. Drawdown-19.52%-22.83%-23.37%-19.63%
US Market Correlation0.630.220.901.00
Beta(*)1.010.361.351.00
Alpha (annualized)18.65%25.23%8.48%0.00%
R241.13%5.22%82.66%100.00%
Sharpe Ratio1.461.331.280.96
Sortino Ratio2.882.682.381.56
Treynor Ratio (%)31.9781.7919.8813.46
Calmar Ratio1.891.811.170.71
Active Return21.18%17.95%14.58%N/A
Tracking Error16.96%23.58%10.00%N/A
Information Ratio1.250.761.46N/A
Skewness0.020.26-0.03-0.33
Excess Kurtosis0.730.831.221.08
Historical Value-at-Risk (5%)-7.93%-9.06%-7.75%-6.19%
Analytical Value-at-Risk (5%)-8.18%-8.11%-8.06%-5.51%
Conditional Value-at-Risk (5%)-11.06%-10.49%-11.07%-8.27%
Upside Capture Ratio (%)151.3493.45165.09100.00
Downside Capture Ratio (%)53.93-28.75112.29100.00
Safe Withdrawal Rate38.39%35.57%29.74%16.18%
Perpetual Withdrawal Rate24.66%22.81%20.79%10.64%
Positive Periods89 out of 132 (67.42%)89 out of 132 (67.42%)89 out of 132 (67.42%)92 out of 132 (69.70%)
Gain/Loss Ratio1.441.341.290.89
* 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
1Feb 2015Sep 20158 monthsMay 20168 months1 year 4 months-19.52%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-18.73%
3Aug 2016Nov 20164 monthsApr 20175 months9 months-16.02%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-15.81%
5May 2013Aug 20134 monthsNov 20133 months7 months-14.30%
6Feb 2020Mar 20202 monthsApr 20201 month3 months-13.56%
7Jun 2011Jun 20111 monthSep 20113 months4 months-6.60%
8Sep 2014Sep 20141 monthOct 20141 month2 months-5.48%
9May 2010May 20101 monthJul 20102 months3 months-5.29%
10Oct 2012Oct 20121 monthFeb 20134 months5 months-4.24%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-22.83%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-22.58%
3May 2013Aug 20134 monthsFeb 20146 months10 months-20.71%
4Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-18.69%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-14.16%
6Oct 2010Nov 20102 monthsFeb 20113 months5 months-7.06%
7Jun 2011Jun 20111 monthAug 20112 months3 months-6.83%
8Aug 2012Dec 20125 monthsMar 20133 months8 months-6.51%
9Sep 2014Sep 20141 monthOct 20141 month2 months-5.81%
10Sep 2019Oct 20192 monthsJan 20203 months5 months-4.61%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-23.37%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-19.84%
3Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-16.11%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-13.95%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-13.63%
6May 2010Jun 20102 monthsSep 20103 months5 months-12.11%
7Jun 2011Aug 20113 monthsOct 20112 months5 months-8.83%
8Aug 2016Oct 20163 monthsFeb 20174 months7 months-7.64%
9May 2019May 20191 monthJun 20191 month2 months-7.01%
10Aug 2013Aug 20131 monthOct 20132 months3 months-5.95%
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%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50030.58%44.14%118.49%-25.15%-60.44%0.831.310.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF16.08%39.17%109.14%-39.01%-49.74%0.551.05-0.46
EDVVanguard Extended Duration Trs ETF11.09%19.50%56.08%-19.86%-26.75%0.611.17-0.48

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFEDVPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.00-0.45-0.470.640.230.911.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.451.000.990.360.74-0.08-0.46
EDVVanguard Extended Duration Trs ETF-0.470.991.000.350.74-0.08-0.47

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$190,897$125,570$117,306
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$70,776$72,545
EDVVanguard Extended Duration Trs ETF$29,191

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P50071.02%19.04%103.32%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF28.98%80.96%
EDVVanguard Extended Duration Trs ETF-3.32%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year35.47%92.05%-14.16%33.42%108.37%-15.27%28.10%62.86%-12.13%13.50%32.18%-7.11%
3 years29.85%50.27%13.28%25.93%49.15%8.11%25.72%43.98%14.02%13.43%22.80%4.96%
5 years28.64%48.77%17.86%25.09%45.95%14.96%24.54%37.35%12.85%12.87%17.17%6.58%
7 years29.04%35.15%22.09%25.11%31.27%17.26%25.18%30.15%18.57%13.30%16.74%9.47%
10 years33.22%34.99%30.63%30.22%31.44%28.40%27.03%29.62%23.20%13.18%15.00%10.37%