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 2019 - Aug 2020)

Portfolio Allocations

ASx3 utilties
Ticker Name Allocation
UGL ProShares Ultra Gold 7.50%
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%
UTSL Direxion Daily Utilities Bull 3X ETF 7.50%
Save portfolio »
ASx3 double gold
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 »
ASx3 commodities (consumer staple)
Ticker Name Allocation
UGL ProShares Ultra Gold 7.50%
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%
NEED Direxion Daily Cnsmr Staples Bull 3X ETF 7.50%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ASx3 utilties$10,000$22,858 64.22% 21.11%56.43%46.13%-4.54% 2.4211.610.38
ASx3 double gold$10,000$23,684 67.76% 20.40%55.09%52.71%-4.53% 2.6013.360.31
ASx3 commodities (consumer staple)$10,000$23,832 68.38% 20.35%56.97%51.82%-3.70% 2.6313.360.42
Vanguard 500 Index Investor$10,000$14,399 24.45% 20.01%31.33%9.65%-19.63% 1.121.761.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 yearFull
ASx3 utilties14.56%46.13%43.54%64.22%
ASx3 double gold16.48%55.09%50.64%67.76%
ASx3 commodities (consumer staple)17.54%51.82%49.19%68.38%
Vanguard 500 Index Investor15.45%9.65%21.77%24.45%
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 quarterly 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)Direxion Daily Utilities Bull 3X ETF (UTSL)Direxion Daily Cnsmr Staples Bull 3X ETF (NEED)
ASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)Vanguard 500 Index InvestorASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)Vanguard 500 Index Investor
20192.29%56.43%52.71%56.97%31.33%$15,643$15,271$15,697$13,13331.11%102.31%34.74%17.88%81.24%90.68%
20200.83%46.13%55.09%51.82%9.65%$22,858$23,684$23,832$14,39952.82%-8.77%51.88%32.33%-48.99%-8.10%
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)Direxion Daily Utilities Bull 3X ETF (UTSL)Direxion Daily Cnsmr Staples Bull 3X ETF (NEED)
ASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)Vanguard 500 Index InvestorASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)Vanguard 500 Index Investor
201918.68%8.27%9.17%8.00%$10,868$10,827$10,917$10,8004.95%23.89%0.41%1.33%10.38%16.86%
201922.02%1.02%1.45%3.20%$11,087$10,938$11,076$11,146-1.55%9.28%-4.52%-1.85%11.62%4.09%
201939.02%8.20%9.28%1.94%$12,087$11,835$12,103$11,362-3.65%4.85%17.00%7.00%8.08%11.22%
201940.50%0.26%1.01%4.04%$12,148$11,866$12,225$11,821-1.77%11.81%-6.56%-2.61%1.43%8.23%
201952.95%3.42%2.27%-6.36%$12,506$12,272$12,504$11,0693.03%-18.89%21.11%9.79%-3.12%-11.18%
201968.71%9.23%9.15%7.03%$13,596$13,404$13,648$11,84716.21%21.37%1.90%2.69%9.16%15.50%
201971.06%1.13%1.68%1.43%$13,741$13,556$13,877$12,016-0.30%3.80%0.32%-0.63%-1.18%7.03%
2019815.90%15.98%15.11%-1.59%$15,925$15,723$15,974$11,82515.64%-6.62%35.11%12.07%14.43%4.57%
20199-3.10%-4.53%-3.70%1.86%$15,432$15,011$15,384$12,044-7.05%5.30%-9.07%-4.27%12.67%4.49%
2019100.15%0.75%0.20%2.15%$15,454$15,123$15,414$12,3044.62%5.70%-4.11%-0.07%-3.39%-2.67%
2019111.29%1.21%2.03%3.62%$15,654$15,306$15,728$12,750-6.66%10.73%-2.01%-2.46%-6.20%4.04%
201912-0.07%-0.23%-0.19%3.01%$15,643$15,271$15,697$13,1337.00%8.38%-10.05%-2.90%9.90%7.19%
2020112.99%12.05%11.41%-0.05%$17,674$17,111$17,489$13,1268.54%-0.91%23.80%10.13%21.09%0.09%
202020.63%2.86%1.28%-8.24%$17,785$17,600$17,713$12,044-1.75%-23.04%17.91%8.88%-29.04%-25.55%
20203-4.54%-1.97%-3.33%-12.37%$16,979$17,253$17,122$10,554-0.59%-48.13%11.91%10.44%-45.48%-27.49%
2020413.38%14.20%14.74%12.81%$19,250$19,702$19,646$11,90712.87%37.17%2.68%0.30%1.89%20.05%
202053.65%3.20%3.21%4.76%$19,952$20,333$20,276$12,4734.34%13.38%-6.48%0.50%11.13%4.37%
202060.82%2.33%1.73%1.98%$20,116$20,808$20,628$12,7205.86%3.23%0.54%-0.03%-14.94%-1.90%
2020714.04%13.68%13.81%5.63%$22,940$23,654$23,477$13,43518.56%17.70%13.13%2.23%23.37%20.28%
20208-0.36%0.13%1.51%7.18%$22,858$23,684$23,832$14,399-2.47%22.05%-14.89%-3.01%-8.37%15.05%

Holdings Based Style Analysis for ASx3 utilties

Holdings Based Style Analysis for ASx3 utilties
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
UGLProShares Ultra GoldLeveraged Commodities7.50%0.95%$9026.25%
UPROProShares UltraPro S&P500Leveraged Equity30.00%0.92%$5,83332.25%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%$4,96845.50%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETFLeveraged Debt15.00%1.09%$1,0404.66%
UTSLDirexion Daily Utilities Bull 3X ETFLeveraged Equity7.50%0.99%23.57$11611.33%
100.00%1.00%23.57$12,858100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for ASx3 double gold

Holdings Based Style Analysis for ASx3 double gold
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UGLProShares Ultra GoldLeveraged Commodities15.00%0.95%$1,81513.96%
UPROProShares UltraPro S&P500Leveraged Equity30.00%0.92%$5,99827.55%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%$4,85252.59%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETFLeveraged Debt15.00%1.09%$1,0195.90%
100.00%1.00%$13,684100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for ASx3 commodities (consumer staple)

Holdings Based Style Analysis for ASx3 commodities (consumer staple)
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
UGLProShares Ultra GoldLeveraged Commodities7.50%0.95%$9116.48%
UPROProShares UltraPro S&P500Leveraged Equity30.00%0.92%$5,91336.48%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%$4,98144.39%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETFLeveraged Debt15.00%1.09%$1,0434.50%
NEEDDirexion Daily Cnsmr Staples Bull 3X ETFLeveraged Equity7.50%0.98%25.89$9848.16%
100.00%1.00%25.89$13,832100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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
MetricASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)Vanguard 500 Index Investor
Arithmetic Mean (monthly)4.39%4.56%4.59%2.00%
Arithmetic Mean (annualized)67.38%70.76%71.38%26.83%
Geometric Mean (monthly)4.22%4.41%4.44%1.84%
Geometric Mean (annualized)64.22%67.76%68.38%24.45%
Volatility (monthly)6.10%5.89%5.88%5.78%
Volatility (annualized)21.11%20.40%20.35%20.01%
Downside Deviation (monthly)1.23%1.11%1.11%3.63%
Max. Drawdown-4.54%-4.53%-3.70%-19.63%
US Market Correlation0.380.310.421.00
Beta(*)0.400.320.431.00
Alpha (annualized)42.98%47.14%44.83%0.00%
R214.50%9.59%17.68%100.00%
Sharpe Ratio2.422.602.631.12
Sortino Ratio11.6113.3613.361.76
Treynor Ratio (%)127.23168.59125.3022.50
Active Return39.76%43.30%43.93%N/A
Tracking Error22.90%23.74%21.73%N/A
Information Ratio1.741.822.02N/A
Skewness0.620.650.61-0.87
Excess Kurtosis-0.87-0.71-0.881.35
Historical Value-at-Risk (5%)-4.46%-4.40%-3.68%-12.17%
Analytical Value-at-Risk (5%)-7.10%-6.24%-6.50%-7.50%
Conditional Value-at-Risk (5%)-4.54%-4.53%-3.70%-12.37%
Upside Capture Ratio (%)82.8481.1591.61100.00
Downside Capture Ratio (%)-101.76-121.30-98.17100.00
Safe Withdrawal Rate100.00%100.00%100.00%100.00%
Perpetual Withdrawal Rate54.88%56.45%56.72%28.38%
Positive Periods16 out of 20 (80.00%)17 out of 20 (85.00%)17 out of 20 (85.00%)15 out of 20 (75.00%)
Gain/Loss Ratio2.972.572.420.80
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for ASx3 utilties

Drawdowns for ASx3 utilties
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthApr 20201 month2 months-4.54%
2Sep 2019Sep 20191 monthJan 20204 months5 months-3.10%
3Aug 2020Aug 20201 month-0.36%

Drawdowns for ASx3 double gold

Drawdowns for ASx3 double gold
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2019Sep 20191 monthJan 20204 months5 months-4.53%
2Mar 2020Mar 20201 monthApr 20201 month2 months-1.97%

Drawdowns for ASx3 commodities (consumer staple)

Drawdowns for ASx3 commodities (consumer staple)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2019Sep 20191 monthJan 20204 months5 months-3.70%
2Mar 2020Mar 20201 monthApr 20201 month2 months-3.33%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
2May 2019May 20191 monthJun 20191 month2 months-6.36%
3Aug 2019Aug 20191 monthSep 20191 month2 months-1.59%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UGLProShares Ultra Gold51.74%26.15%52.82%31.11%-9.23%1.684.980.28
UPROProShares UltraPro S&P50044.44%64.79%102.31%-8.77%-60.44%0.911.331.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF53.67%45.81%51.88%34.74%-23.15%1.122.85-0.51
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF30.57%18.38%32.33%17.88%-9.40%1.474.60-0.66
UTSLDirexion Daily Utilities Bull 3X ETF-4.60%57.41%81.24%-48.99%-62.74%0.220.280.61
NEEDDirexion Daily Cnsmr Staples Bull 3X ETF40.01%45.11%90.68%-8.10%-46.02%0.951.410.91

Monthly Correlations

Correlations for the portfolio assets
TickerNameUGLUPROTMFTYDUTSLNEEDASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)Vanguard 500 Index Investor
UGLProShares Ultra Gold1.000.270.380.280.410.360.750.780.740.29
UPROProShares UltraPro S&P5000.271.00-0.50-0.650.640.920.390.310.420.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.38-0.501.000.930.01-0.330.580.630.54-0.51
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF0.28-0.650.931.00-0.21-0.520.400.470.37-0.66
UTSLDirexion Daily Utilities Bull 3X ETF0.410.640.01-0.211.000.740.620.480.550.60
NEEDDirexion Daily Cnsmr Staples Bull 3X ETF0.360.92-0.33-0.520.741.000.520.430.540.93

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)
UGLProShares Ultra Gold$902$1,815$911
UPROProShares UltraPro S&P500$5,833$5,998$5,913
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$4,968$4,852$4,981
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF$1,040$1,019$1,043
UTSLDirexion Daily Utilities Bull 3X ETF$116
NEEDDirexion Daily Cnsmr Staples Bull 3X ETF$984

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameASx3 utiltiesASx3 double goldASx3 commodities (consumer staple)
UGLProShares Ultra Gold6.25%13.96%6.48%
UPROProShares UltraPro S&P50032.25%27.55%36.48%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF45.50%52.59%44.39%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF4.66%5.90%4.50%
UTSLDirexion Daily Utilities Bull 3X ETF11.33%
NEEDDirexion Daily Cnsmr Staples Bull 3X ETF8.16%

Annual Asset Returns