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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Portfolio Analysis Results (Jan 2011 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
SHY iShares 1-3 Year Treasury Bond ETF 45.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 55.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 10.00%
VOO Vanguard S&P 500 ETF 90.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,206 17.05% 21.83%65.27%-13.17%-32.02% 0.811.200.98
Portfolio 2$10,000$116,552 29.21% 21.07%71.91%-18.79%-23.29% 1.302.310.57
Portfolio 3$10,000$36,432 14.44% 10.46%31.69%-5.15%-13.32% 1.292.200.91
Vanguard 500 Index Investor$10,000$31,307 12.65% 13.14%32.18%-4.52%-19.63% 0.931.461.00
   
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 July
  • 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 UltraPro S&P500 (UPRO)iShares 1-3 Year Treasury Bond ETF (SHY)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard S&P 500 ETF (VOO)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20112.96%-5.88%42.58%12.62%1.97%$9,412$14,258$11,262$10,197-11.88%1.44%109.14%1.89%
20121.74%25.86%26.01%14.46%15.82%$11,846$17,966$12,890$11,81046.80%0.28%0.60%16.00%
20131.50%65.27%47.62%25.25%32.18%$19,577$26,521$16,145$15,610118.49%0.21%-39.01%32.39%
20140.76%21.10%64.70%21.93%13.51%$23,708$43,681$19,686$17,71938.00%0.45%97.34%13.55%
20150.73%-2.69%-9.06%-0.19%1.25%$23,070$39,723$19,649$17,940-5.24%0.43%-13.73%1.31%
20162.07%17.30%15.80%10.70%11.82%$27,062$45,998$21,752$20,06030.79%0.82%-2.52%12.17%
20172.11%39.37%49.49%21.87%21.67%$37,717$68,761$26,508$24,40771.37%0.26%22.73%21.77%
20181.91%-13.17%-18.79%-5.15%-4.52%$32,749$55,842$25,142$23,302-25.15%1.46%-11.01%-4.50%
20192.29%57.79%71.91%31.69%31.33%$51,675$95,996$33,110$30,602102.31%3.38%34.74%31.35%
20200.32%-12.52%21.41%10.03%2.30%$45,206$116,552$36,432$31,307-25.25%3.04%78.45%2.43%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares UltraPro S&P500 (UPRO)iShares 1-3 Year Treasury Bond ETF (SHY)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Vanguard S&P 500 ETF (VOO)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
201113.67%-0.62%1.06%2.36%$10,367$9,938$10,106$10,2366.56%0.13%-9.40%2.22%
201125.82%7.97%3.56%3.42%$10,970$10,730$10,466$10,58510.39%-0.12%4.49%3.47%
20113-0.52%-0.70%-0.05%0.03%$10,913$10,655$10,460$10,588-0.80%-0.13%-0.55%0.00%
201145.36%7.87%3.26%2.95%$11,498$11,493$10,802$10,9008.73%0.53%6.57%2.94%
20115-2.25%1.68%-0.10%-1.15%$11,239$11,686$10,791$10,775-3.93%0.36%10.36%-1.17%
20116-3.51%-6.52%-2.26%-1.67%$10,845$10,924$10,547$10,595-5.87%-0.00%-7.39%-1.68%
20117-3.60%1.92%-0.56%-2.05%$10,455$11,133$10,487$10,378-6.39%0.29%13.28%-2.06%
20118-11.76%1.65%-1.88%-5.45%$9,225$11,317$10,291$9,813-21.09%0.34%27.34%-5.52%
20119-10.51%15.80%0.13%-7.04%$8,256$13,104$10,304$9,122-20.69%-0.10%41.35%-6.79%
20111014.62%-0.04%5.95%10.91%$9,463$13,099$10,917$10,11832.61%0.03%-12.87%10.74%
201111-1.72%1.81%0.57%-0.23%$9,300$13,336$10,979$10,094-3.35%0.04%4.89%-0.30%
2011121.20%6.92%2.57%1.02%$9,412$14,258$11,262$10,1972.30%0.05%9.46%1.12%
201217.68%6.97%3.88%4.46%$10,135$15,252$11,698$10,65213.90%0.08%-1.50%4.47%
201227.64%4.46%3.12%4.31%$10,909$15,932$12,064$11,11113.24%-0.14%-7.95%4.28%
201235.66%1.15%1.92%3.28%$11,526$16,115$12,295$11,4759.29%-0.08%-13.02%3.30%
20124-1.43%2.88%0.45%-0.64%$11,361$16,578$12,350$11,402-2.38%0.20%14.37%-0.64%
20125-10.86%-1.20%-3.13%-6.02%$10,128$16,379$11,963$10,716-17.35%0.06%28.90%-6.00%
201266.63%3.61%3.06%4.11%$10,799$16,971$12,329$11,15611.47%-0.10%-5.78%4.14%
201272.22%6.79%2.23%1.37%$11,039$18,124$12,603$11,3093.52%0.22%11.43%1.20%
201284.02%1.71%1.73%2.24%$11,482$18,435$12,822$11,5626.53%0.01%-4.61%2.51%
201294.74%1.28%1.49%2.58%$12,027$18,671$13,012$11,8607.52%0.02%-7.87%2.55%
201210-3.88%-4.55%-1.97%-1.86%$11,560$17,822$12,755$11,639-5.96%-0.07%-2.13%-1.96%
2012110.66%2.11%0.88%0.56%$11,636$18,197$12,868$11,7051.01%0.05%3.90%0.57%
2012121.80%-1.27%0.17%0.90%$11,846$17,966$12,890$11,8102.82%0.02%-7.80%1.02%
201318.47%4.15%3.69%5.18%$12,849$18,712$13,366$12,42215.39%0.01%-9.58%5.17%
201322.11%3.50%1.51%1.34%$13,120$19,366$13,568$12,5883.56%0.06%3.39%1.33%
201336.56%6.04%3.13%3.74%$13,981$20,535$13,993$13,05811.03%0.03%-1.77%3.61%
201343.40%8.63%3.12%1.91%$14,455$22,308$14,430$13,3085.45%0.07%14.25%2.09%
201354.24%-3.25%0.27%2.33%$15,069$21,582$14,468$13,6176.80%-0.13%-19.65%2.32%
20136-3.41%-6.84%-2.16%-1.35%$14,555$20,106$14,155$13,433-5.23%-0.10%-10.33%-1.50%
2013710.46%9.17%4.43%5.07%$16,077$21,950$14,782$14,11516.41%0.16%-7.41%5.30%
20138-6.19%-7.99%-3.17%-2.91%$15,082$20,196$14,313$13,704-9.21%-0.10%-4.47%-3.08%
201396.29%7.44%3.28%3.12%$16,030$21,698$14,783$14,1329.60%0.22%1.53%3.39%
2013109.20%11.32%4.45%4.59%$17,505$24,155$15,440$14,78013.76%0.07%4.12%4.47%
2013116.19%4.84%2.34%3.03%$18,589$25,323$15,801$15,2278.87%0.09%-8.19%3.00%
2013125.32%4.73%2.18%2.51%$19,577$26,521$16,145$15,6107.54%-0.18%-6.01%2.64%
20141-5.80%2.87%-1.23%-3.47%$18,441$27,282$15,947$15,069-10.72%0.20%19.47%-3.53%
201427.14%7.37%4.21%4.56%$19,757$29,292$16,619$15,75613.65%0.04%1.63%4.57%
201431.14%1.95%0.99%0.82%$19,982$29,865$16,782$15,8862.15%-0.11%1.76%0.88%
201440.97%3.78%1.35%0.72%$20,176$30,993$17,008$16,0011.65%0.11%5.96%0.72%
201453.80%7.72%3.10%2.33%$20,943$33,385$17,536$16,3746.62%0.18%8.79%2.29%
201463.56%2.55%1.68%2.05%$21,689$34,236$17,831$16,7106.22%-0.08%-1.00%2.09%
20147-2.66%-1.47%-1.00%-1.39%$21,112$33,734$17,654$16,478-4.44%-0.08%1.61%-1.38%
201487.03%13.21%5.34%3.98%$22,596$38,188$18,597$17,13411.95%0.19%14.42%3.97%
20149-2.73%-5.57%-2.13%-1.41%$21,979$36,062$18,201$16,892-4.44%-0.07%-6.65%-1.38%
2014103.71%7.06%3.17%2.42%$22,795$38,608$18,778$17,3026.03%0.26%8.06%2.40%
2014115.14%8.72%3.66%2.68%$23,966$41,975$19,465$17,7668.34%0.11%9.08%2.76%
201412-1.08%4.06%1.13%-0.26%$23,708$43,681$19,686$17,719-1.54%-0.29%9.38%-0.32%
20151-4.93%8.74%0.52%-3.02%$22,540$47,500$19,788$17,184-9.47%0.63%31.01%-2.87%
201529.02%-1.68%2.52%5.74%$24,573$46,702$20,287$18,17017.48%-0.29%-17.87%5.58%
20153-2.87%-1.72%-1.14%-1.59%$23,867$45,897$20,056$17,881-5.28%0.25%2.57%-1.57%
201541.44%-3.50%-0.22%0.95%$24,211$44,290$20,012$18,0512.59%0.03%-10.30%1.00%
201551.93%-1.55%0.36%1.27%$24,678$43,602$20,084$18,2803.43%0.04%-7.91%1.25%
20156-3.49%-8.79%-2.89%-1.93%$23,816$39,769$19,503$17,927-6.21%0.03%-12.49%-1.95%
201573.41%9.02%3.08%2.08%$24,628$43,358$20,104$18,3006.17%0.04%13.40%2.18%
20158-10.65%-12.26%-5.84%-6.04%$22,004$38,045$18,930$17,194-18.87%-0.05%-2.75%-6.14%
20159-4.28%-2.39%-1.78%-2.49%$21,063$37,134$18,594$16,766-8.64%0.30%5.10%-2.47%
20151013.01%12.83%7.45%8.42%$23,805$41,898$19,980$18,17826.79%-0.14%-1.73%8.45%
2015110.33%-0.69%0.14%0.29%$23,883$41,609$20,009$18,2300.81%-0.26%-2.71%0.43%
201512-3.40%-4.53%-1.80%-1.59%$23,070$39,723$19,649$17,940-6.06%-0.15%-2.41%-1.74%
20161-8.16%-0.47%-2.65%-4.98%$21,187$39,534$19,129$17,047-15.38%0.65%17.74%-4.91%
20162-0.80%3.85%0.87%-0.15%$21,018$41,056$19,295$17,023-1.68%0.11%8.71%-0.21%
2016310.87%9.16%5.89%6.78%$23,302$44,817$20,432$18,17621.50%0.14%-0.64%6.87%
201640.46%-0.82%0.01%0.37%$23,409$44,451$20,435$18,2440.81%0.04%-2.39%0.35%
201652.52%3.26%1.77%1.78%$23,998$45,899$20,796$18,5694.65%-0.12%1.86%1.75%
201660.15%10.35%2.82%0.25%$24,034$50,648$21,382$18,615-0.20%0.60%21.23%0.32%
201676.23%8.40%4.02%3.68%$25,532$54,901$22,242$19,30011.13%-0.05%6.07%3.68%
20168-0.03%-1.84%-0.41%0.13%$25,524$53,888$22,151$19,3250.11%-0.23%-3.58%0.12%
20169-0.26%-2.74%-0.63%0.01%$25,457$52,411$22,010$19,326-0.54%0.13%-4.78%0.04%
201610-3.32%-9.54%-3.33%-1.83%$24,612$47,410$21,278$18,972-5.62%-0.05%-13.32%-1.79%
2016116.13%-6.00%0.42%3.70%$26,121$44,564$21,368$19,67411.05%-0.47%-23.91%3.73%
2016123.60%3.22%1.80%1.96%$27,062$45,998$21,752$20,0605.96%0.07%-0.99%2.07%
201712.87%3.50%1.75%1.88%$27,839$47,606$22,133$20,4385.14%0.11%1.49%1.78%
201726.71%8.60%3.93%3.96%$29,707$51,701$23,003$21,24811.91%0.04%4.41%3.88%
20173-0.10%-1.12%-0.12%0.10%$29,677$51,121$22,976$21,269-0.22%0.06%-2.35%0.13%
201741.71%3.47%1.37%1.02%$30,184$52,894$23,291$21,4852.77%0.19%4.43%1.04%
201752.23%4.32%1.78%1.39%$30,857$55,178$23,707$21,7853.70%0.07%5.17%1.40%
201760.88%1.71%0.77%0.61%$31,130$56,124$23,889$21,9181.51%-0.08%1.98%0.63%
201773.64%2.32%1.59%2.04%$32,263$57,427$24,269$22,3665.87%0.19%-2.43%2.06%
201780.21%4.25%1.29%0.29%$32,329$59,868$24,581$22,4310.21%0.20%10.13%0.29%
201793.46%0.10%1.01%2.06%$33,447$59,930$24,830$22,8935.69%-0.19%-7.29%2.04%
2017104.30%3.90%2.04%2.32%$34,885$62,266$25,337$23,4246.83%-0.09%-0.53%2.33%
2017115.68%6.15%2.93%3.06%$36,868$66,094$26,078$24,1418.87%-0.22%1.73%3.06%
2017122.30%4.03%1.65%1.10%$37,717$68,761$26,508$24,4073.45%-0.02%5.04%1.28%
201819.89%5.62%4.05%5.71%$41,447$72,627$27,582$25,80118.22%-0.29%-9.77%5.59%
20182-8.05%-12.01%-4.23%-3.69%$38,112$63,904$26,414$24,848-13.53%-0.10%-9.57%-3.73%
20183-4.72%-1.92%-1.59%-2.56%$36,311$62,676$25,995$24,213-8.69%0.25%8.44%-2.48%
20184-0.18%-3.01%-0.29%0.37%$36,245$60,791$25,920$24,303-0.14%-0.23%-6.71%0.35%
201853.61%5.96%2.66%2.39%$37,555$64,416$26,609$24,8856.46%0.35%5.27%2.42%
201860.72%1.37%0.82%0.61%$37,827$65,299$26,827$25,0361.29%0.04%1.49%0.76%
201875.89%4.28%2.84%3.71%$40,054$68,095$27,590$25,96410.73%-0.06%-4.70%3.56%
201885.39%6.90%3.23%3.25%$42,212$72,796$28,481$26,8079.09%0.35%3.36%3.22%
201890.66%-2.48%-0.18%0.55%$42,489$70,989$28,430$26,9561.20%-0.14%-8.77%0.58%
201810-12.40%-16.75%-7.01%-6.85%$37,219$59,099$26,439$25,109-20.78%0.15%-9.11%-6.84%
2018112.49%4.46%2.09%2.03%$38,147$61,734$26,992$25,6184.28%0.38%4.76%1.89%
201812-14.15%-9.54%-6.85%-9.04%$32,749$55,842$25,142$23,302-26.25%0.76%17.93%-8.84%
2019113.25%13.33%7.17%8.00%$37,089$63,285$26,944$25,16723.89%0.25%0.41%7.92%
201925.62%3.78%2.52%3.20%$39,174$65,675$27,624$25,9739.28%0.09%-4.52%3.25%
201933.26%9.31%3.23%1.94%$40,450$71,788$28,517$26,4764.85%0.63%17.00%1.92%
201947.53%4.60%2.99%4.04%$43,497$75,088$29,369$27,54511.81%0.18%-6.56%4.03%
20195-12.17%-4.86%-3.88%-6.36%$38,203$71,437$28,228$25,792-18.89%0.72%21.11%-6.35%
2019613.15%12.68%6.41%7.03%$43,228$80,495$30,039$27,60621.37%0.46%1.90%6.99%
201972.45%2.40%1.34%1.43%$44,289$82,425$30,441$28,0003.80%-0.06%0.32%1.46%
20198-4.10%9.89%2.30%-1.59%$42,473$90,577$31,140$27,554-6.62%0.78%35.11%-1.64%
201993.35%-1.69%0.41%1.86%$43,898$89,043$31,268$28,0675.30%-0.13%-9.07%1.97%
2019103.84%1.28%1.38%2.15%$45,582$90,187$31,698$28,6715.70%0.31%-4.11%2.18%
2019117.13%5.31%2.94%3.62%$48,834$94,972$32,631$29,70910.73%-0.05%-2.01%3.63%
2019125.82%1.08%1.47%3.01%$51,675$95,996$33,110$30,6028.38%0.16%-10.05%2.97%
20201-0.24%10.21%2.35%-0.05%$51,550$105,795$33,887$30,587-0.91%0.58%23.80%-0.04%
20202-12.19%-2.34%-4.95%-8.24%$45,268$103,323$32,209$28,066-23.04%0.88%17.91%-8.10%
20203-22.40%-11.49%-8.80%-12.37%$35,130$91,454$29,373$24,594-48.13%1.24%11.91%-12.46%
2020412.08%10.56%10.93%12.81%$39,374$101,110$32,582$27,74537.17%0.27%2.68%12.79%
202055.19%-0.85%2.82%4.76%$41,418$100,251$33,503$29,06513.38%-0.08%-6.48%4.74%
202061.38%1.42%1.63%1.98%$41,989$101,670$34,050$29,6403.23%0.02%0.54%1.83%
202077.66%14.64%6.99%5.63%$45,206$116,552$36,432$31,30717.70%0.09%13.13%5.88%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3Vanguard 500 Index Investor
Large-cap Value0.00%22.92%45.82%
Large-cap Growth40.36%50.95%53.88%
Mid-cap Value59.64%6.09%0.00%
Mid-cap Growth0.00%0.16%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.30%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%19.87%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared85.16%98.00%99.95%
Style analysis is based on monthly returns from Jan 2011 to Jul 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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.92%$33,461100.72%
SHYiShares 1-3 Year Treasury Bond ETFShort Government45.00%0.15%1.85$1,745-0.72%
100.00%0.57%1.85$35,206100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity55.00%0.92%$52,37164.54%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%1.05%$54,18135.46%
100.00%0.98%$106,552100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt10.00%1.05%$5,521-1.97%
VOOVanguard S&P 500 ETFLarge Blend90.00%0.03%22.72$20,911101.97%
100.00%0.13%22.72$26,432100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.52%2.34%1.18%1.07%
Arithmetic Mean (annualized)19.88%32.02%15.06%13.61%
Geometric Mean (monthly)1.32%2.16%1.13%1.00%
Geometric Mean (annualized)17.05%29.21%14.44%12.65%
Volatility (monthly)6.30%6.08%3.02%3.79%
Volatility (annualized)21.83%21.07%10.46%13.14%
Downside Deviation (monthly)4.21%3.41%1.74%2.39%
Max. Drawdown-32.02%-23.29%-13.32%-19.63%
US Market Correlation0.980.570.911.00
Beta(*)1.630.940.731.00
Alpha (annualized)-2.67%16.10%4.71%0.00%
R296.47%34.01%84.77%100.00%
Sharpe Ratio0.811.301.290.93
Sortino Ratio1.202.312.201.46
Treynor Ratio (%)10.8229.3818.4212.22
Calmar Ratio0.371.141.090.60
Active Return4.40%16.56%1.80%N/A
Tracking Error9.27%17.14%5.38%N/A
Information Ratio0.480.970.33N/A
Skewness-0.83-0.43-0.40-0.48
Excess Kurtosis1.420.401.651.93
Historical Value-at-Risk (5%)-11.85%-9.54%-4.38%-6.46%
Analytical Value-at-Risk (5%)-9.11%-8.04%-3.91%-5.17%
Conditional Value-at-Risk (5%)-14.66%-12.41%-6.69%-8.71%
Upside Capture Ratio (%)172.30148.2785.64100.00
Downside Capture Ratio (%)178.0468.2862.32100.00
Safe Withdrawal Rate21.17%33.86%19.16%17.64%
Perpetual Withdrawal Rate13.89%22.49%11.81%10.31%
Positive Periods77 out of 115 (66.96%)76 out of 115 (66.09%)83 out of 115 (72.17%)82 out of 115 (71.30%)
Gain/Loss Ratio0.921.341.050.85
* 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
1Jan 2020Mar 20203 months-32.02%
2May 2011Sep 20115 monthsMar 20126 months11 months-28.20%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-22.92%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-14.83%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-12.55%
6May 2019May 20191 monthJul 20192 months3 months-12.17%
7Apr 2012May 20122 monthsSep 20124 months6 months-12.13%
8Aug 2013Aug 20131 monthOct 20132 months3 months-6.19%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-5.95%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-5.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-23.29%
2Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-21.82%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-18.83%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-16.30%
5Feb 2020Mar 20202 monthsJul 20204 months6 months-13.56%
6May 2013Jun 20132 monthsOct 20134 months6 months-9.87%
7Jun 2011Jun 20111 monthSep 20113 months4 months-6.52%
8Sep 2014Sep 20141 monthOct 20141 month2 months-5.57%
9May 2019May 20191 monthJun 20191 month2 months-4.86%
10Oct 2012Oct 20121 monthJan 20133 months4 months-4.55%
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-13.32%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-11.72%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-8.34%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-6.02%
5May 2011Aug 20114 monthsOct 20112 months6 months-4.73%
6Aug 2016Oct 20163 monthsFeb 20174 months7 months-4.34%
7May 2019May 20191 monthJun 20191 month2 months-3.88%
8Aug 2013Aug 20131 monthSep 20131 month2 months-3.17%
9May 2012May 20121 monthJul 20122 months3 months-3.13%
10Jun 2013Jun 20131 monthJul 20131 month2 months-2.16%
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%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50026.31%41.27%118.49%-25.25%-60.44%0.781.170.99
SHYiShares 1-3 Year Treasury Bond ETF1.22%0.93%3.38%0.21%-0.90%0.691.41-0.38
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF19.68%39.01%109.14%-39.01%-49.74%0.631.23-0.43
VOOVanguard S&P 500 ETF12.75%13.11%32.39%-4.50%-19.58%0.941.481.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROSHYTMFVOOPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.00-0.40-0.421.000.990.590.921.00
SHYiShares 1-3 Year Treasury Bond ETF-0.401.000.60-0.37-0.390.10-0.18-0.38
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.420.601.00-0.42-0.430.42-0.05-0.42
VOOVanguard S&P 500 ETF1.00-0.37-0.421.000.980.590.921.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$33,461$52,371
SHYiShares 1-3 Year Treasury Bond ETF$1,745
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$54,181$5,521
VOOVanguard S&P 500 ETF$20,911

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500100.72%64.54%
SHYiShares 1-3 Year Treasury Bond ETF-0.72%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF35.46%-1.97%
VOOVanguard S&P 500 ETF101.97%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year22.77%65.27%-13.17%32.25%71.91%-18.79%14.80%31.69%-5.15%13.89%32.18%-4.52%
3 years21.52%36.06%11.40%27.17%45.24%12.02%13.90%20.46%8.56%13.63%20.22%8.72%
5 years19.10%26.07%10.84%24.41%31.77%16.06%12.85%15.51%9.26%12.48%15.62%8.34%
7 years21.27%23.42%19.50%26.76%31.71%21.53%13.84%14.94%12.16%13.57%14.57%12.53%
Result statistics are based on annualized rolling returns over full calendar year periods