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.

$ .00
$ .00
%
%
%
%
$ .00
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2012 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SSO ProShares Ultra S&P500 65.00%
VIXM ProShares VIX Mid-Term Futures 35.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 35.00%
SHY iShares 1-3 Year Treasury Bond ETF 65.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$27,062 11.70% 12.55%57.11%-4.89%-13.17% 0.891.760.76
Portfolio 2$10,000$17,276 6.26% 4.70%13.17%-0.74%-6.61% 1.181.960.99
Vanguard 500 Index Investor$10,000$35,489 15.11% 13.29%32.18%-4.52%-19.63% 1.081.751.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Portfolio 113.22%57.11%26.39%17.14%11.70%17.58%14.78%
Portfolio 24.15%8.68%6.88%6.69%6.26%6.61%5.33%
Vanguard 500 Index Investor12.12%18.25%14.03%15.07%15.11%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 bands based (6.00% corridor) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Vanguard 500 Index InvestorProShares Ultra S&P500 (SSO)ProShares VIX Mid-Term Futures (VIXM)SPDR S&P 500 ETF Trust (SPY)iShares 1-3 Year Treasury Bond ETF (SHY)
ReturnBalanceReturnBalanceReturnBalance
20121.74%-4.89%$9,5115.78%$10,57815.82%$11,58231.04%-53.84%15.99%0.28%
20131.50%22.48%$11,64911.40%$11,78432.18%$15,30970.46%-43.63%32.31%0.21%
20140.76%9.99%$12,8135.32%$12,41013.51%$17,37725.53%-17.20%13.46%0.45%
20150.73%-4.23%$12,2700.72%$12,5001.25%$17,594-1.19%-15.50%1.25%0.43%
20162.07%5.91%$12,9964.82%$13,10311.82%$19,67321.55%-21.58%12.00%0.82%
20172.11%3.15%$13,4057.99%$14,15021.67%$23,93644.35%-50.05%21.70%0.26%
20181.91%0.36%$13,453-0.74%$14,046-4.52%$22,853-14.62%26.43%-4.56%1.46%
20192.29%28.04%$17,22513.17%$15,89631.33%$30,01263.45%-20.38%31.22%3.38%
20201.36%57.11%$27,0628.68%$17,27618.25%$35,48921.53%72.38%18.37%3.03%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard 500 Index InvestorProShares Ultra S&P500 (SSO)ProShares VIX Mid-Term Futures (VIXM)SPDR S&P 500 ETF Trust (SPY)iShares 1-3 Year Treasury Bond ETF (SHY)
ReturnBalanceReturnBalanceReturnBalance
201212.43%$10,2431.68%$10,1684.46%$10,4468.97%-9.71%4.64%0.08%
201225.91%$10,8481.47%$10,3184.31%$10,8968.45%0.21%4.34%-0.14%
201230.25%$10,8751.14%$10,4353.28%$11,2546.71%-15.40%3.22%-0.08%
20124-1.69%$10,691-0.13%$10,422-0.64%$11,182-1.61%-1.84%-0.67%0.20%
20125-3.57%$10,309-2.22%$10,191-6.02%$10,509-11.37%10.94%-6.01%0.06%
20126-0.02%$10,3071.40%$10,3334.11%$10,9417.27%-10.86%4.05%-0.10%
20127-0.50%$10,2550.58%$10,3931.37%$11,0912.53%-5.94%1.18%0.22%
201282.02%$10,4630.94%$10,4912.24%$11,3394.61%-3.03%2.51%0.01%
20129-2.20%$10,2320.97%$10,5932.58%$11,6314.87%-17.08%2.54%0.02%
201210-5.15%$9,705-0.74%$10,514-1.86%$11,415-4.15%-7.01%-1.82%-0.07%
201211-2.71%$9,4430.25%$10,5400.56%$11,4790.94%-9.68%0.57%0.05%
2012120.72%$9,5110.36%$10,5780.90%$11,5822.08%-2.20%0.90%0.02%
201311.52%$9,6551.97%$10,7865.18%$12,18210.27%-18.03%5.12%0.01%
201320.61%$9,7140.54%$10,8451.34%$12,3452.16%-2.28%1.28%0.06%
201333.66%$10,0691.53%$11,0113.74%$12,8077.39%-3.58%3.80%0.03%
201340.39%$10,1090.82%$11,1021.91%$13,0513.86%-7.11%1.92%0.07%
201354.83%$10,5970.74%$11,1842.33%$13,3554.55%5.50%2.36%-0.13%
201360.48%$10,647-0.54%$11,123-1.35%$13,174-3.11%9.07%-1.34%-0.10%
201371.94%$10,8541.93%$11,3385.07%$13,84310.41%-16.11%5.17%0.16%
20138-1.90%$10,648-1.15%$11,207-2.91%$13,440-6.08%5.86%-3.00%-0.10%
201390.92%$10,7451.28%$11,3503.12%$13,8596.48%-8.25%3.17%0.22%
2013104.63%$11,2431.73%$11,5464.59%$14,4959.07%-3.87%4.63%0.07%
2013112.27%$11,4981.17%$11,6813.03%$14,9345.77%-5.33%2.96%0.09%
2013121.31%$11,6490.88%$11,7842.51%$15,3095.13%-7.92%2.59%-0.18%
20141-3.38%$11,255-1.24%$11,637-3.47%$14,778-7.23%3.78%-3.52%0.20%
201424.19%$11,7271.75%$11,8404.56%$15,4529.06%-3.90%4.55%0.04%
20143-0.34%$11,6870.26%$11,8710.82%$15,5791.52%-3.85%0.83%-0.11%
20144-0.32%$11,6500.34%$11,9110.72%$15,6921.23%-3.41%0.70%0.11%
201451.64%$11,8411.02%$12,0322.33%$16,0594.41%-4.14%2.32%0.18%
20146-0.12%$11,8270.77%$12,1252.05%$16,3884.10%-9.69%2.06%-0.08%
20147-1.73%$11,622-0.59%$12,054-1.39%$16,161-2.88%0.39%-1.34%-0.08%
201483.88%$12,0731.69%$12,2583.98%$16,8047.87%-3.28%3.95%0.19%
201490.15%$12,091-0.61%$12,183-1.41%$16,567-2.93%6.32%-1.38%-0.07%
2014102.01%$12,3341.11%$12,3182.42%$16,9684.38%-2.32%2.36%0.26%
2014112.65%$12,6611.03%$12,4452.68%$17,4235.54%-2.98%2.75%0.11%
2014121.20%$12,813-0.28%$12,410-0.26%$17,377-0.84%5.53%-0.26%-0.29%
20151-1.56%$12,613-0.65%$12,330-3.02%$16,853-6.15%7.62%-2.96%0.63%
201523.07%$13,0011.76%$12,5475.74%$17,82011.40%-11.45%5.62%-0.29%
20153-2.25%$12,708-0.41%$12,496-1.59%$17,536-3.43%0.33%-1.57%0.25%
20154-0.31%$12,6680.37%$12,5420.95%$17,7031.84%-4.85%0.98%0.03%
20155-0.26%$12,6350.49%$12,6041.27%$17,9282.31%-6.07%1.29%0.04%
20156-2.84%$12,276-0.71%$12,514-1.93%$17,581-4.09%-0.53%-2.03%0.03%
201570.23%$12,3040.84%$12,6182.08%$17,9474.22%-6.90%2.26%0.04%
201580.16%$12,323-2.24%$12,336-6.05%$16,862-12.48%25.47%-6.10%-0.05%
20159-3.60%$11,879-0.69%$12,250-2.48%$16,443-5.54%0.00%-2.54%0.30%
2015105.63%$12,5482.81%$12,5958.42%$17,82817.45%-15.10%8.51%-0.14%
2015110.42%$12,601-0.03%$12,5900.29%$17,8790.60%0.00%0.37%-0.26%
201512-2.62%$12,270-0.72%$12,500-1.59%$17,594-3.80%0.24%-1.72%-0.15%
20161-4.60%$11,705-1.36%$12,330-4.98%$16,719-10.37%8.89%-4.98%0.65%
201621.35%$11,8630.04%$12,335-0.15%$16,694-0.62%5.15%-0.08%0.11%
201633.90%$12,3262.41%$12,6326.78%$17,82513.98%-14.48%6.72%0.14%
201641.49%$12,5100.16%$12,6530.37%$17,8920.60%3.67%0.39%0.04%
201650.38%$12,5570.54%$12,7211.78%$18,2113.18%-6.22%1.70%-0.12%
201660.88%$12,6670.51%$12,7860.25%$18,2570.16%2.20%0.35%0.60%
201671.53%$12,8601.30%$12,9513.68%$18,9287.40%-9.16%3.65%-0.05%
20168-0.16%$12,840-0.10%$12,9380.13%$18,9520.10%-0.71%0.12%-0.23%
20169-1.32%$12,6710.08%$12,9490.01%$18,954-0.28%-3.57%0.01%0.13%
201610-3.10%$12,278-0.68%$12,861-1.83%$18,606-3.68%-1.82%-1.73%-0.05%
2016113.46%$12,7021.06%$12,9983.70%$19,2957.23%-4.84%3.68%-0.47%
2016122.31%$12,9960.81%$13,1031.96%$19,6734.00%-0.82%2.03%0.07%
20171-1.94%$12,7440.75%$13,2011.88%$20,0443.47%-12.47%1.79%0.11%
201724.21%$13,2801.54%$13,4053.96%$20,8387.83%-4.13%3.93%0.04%
20173-3.54%$12,8100.09%$13,4170.10%$20,859-0.02%-10.08%0.13%0.06%
20174-0.72%$12,7170.51%$13,4841.02%$21,0711.85%-6.04%0.99%0.19%
201751.13%$12,8610.61%$13,5661.39%$21,3652.55%-2.03%1.41%0.07%
20176-1.29%$12,6960.21%$13,5940.61%$21,4961.04%-6.73%0.64%-0.08%
20177-0.11%$12,6810.94%$13,7222.04%$21,9353.95%-7.66%2.06%0.19%
201781.44%$12,8640.24%$13,7550.29%$21,9990.31%3.79%0.29%0.20%
201791.14%$13,0110.71%$13,8522.06%$22,4523.82%-4.26%2.01%-0.19%
2017100.56%$13,0830.77%$13,9582.32%$22,9724.53%-8.14%2.36%-0.09%
2017114.26%$13,6410.95%$14,0903.06%$23,6755.87%1.27%3.06%-0.22%
201712-1.73%$13,4050.43%$14,1501.10%$23,9362.36%-9.67%1.21%-0.02%
201818.06%$14,4861.88%$14,4175.71%$25,30311.17%1.23%5.64%-0.29%
20182-1.07%$14,330-1.44%$14,209-3.69%$24,369-8.07%15.83%-3.64%-0.10%
20183-1.36%$14,135-0.86%$14,086-2.56%$23,746-5.54%6.65%-2.74%0.25%
20184-2.31%$13,8080.04%$14,0920.37%$23,8340.20%-6.58%0.52%-0.23%
201850.47%$13,8721.11%$14,2492.39%$24,4054.41%-6.72%2.43%0.35%
201860.64%$13,9610.24%$14,2830.61%$24,5531.02%-0.13%0.58%0.04%
201872.90%$14,3661.34%$14,4743.71%$25,4647.09%-5.73%3.70%-0.06%
201883.76%$14,9061.43%$14,6813.25%$26,2906.15%-1.84%3.19%0.35%
20189-0.44%$14,8410.14%$14,7020.55%$26,4360.89%-2.91%0.59%-0.14%
201810-2.27%$14,505-2.59%$14,321-6.85%$24,625-14.01%20.40%-6.91%0.15%
2018110.50%$14,5770.93%$14,4542.03%$25,1243.15%-4.42%1.85%0.38%
201812-7.71%$13,453-2.82%$14,046-9.04%$22,853-17.72%12.35%-8.79%0.76%
201914.40%$14,0452.98%$14,4648.00%$24,68215.73%-12.23%8.01%0.25%
201921.23%$14,2181.25%$14,6453.20%$25,4726.21%-8.39%3.24%0.09%
201932.51%$14,5751.07%$14,8021.94%$25,9653.45%0.42%1.81%0.63%
201944.81%$15,2771.66%$15,0484.04%$27,0147.72%-1.90%4.09%0.18%
20195-5.49%$14,438-2.03%$14,742-6.36%$25,295-12.77%8.03%-6.38%0.72%
201966.27%$15,3432.87%$15,1657.03%$27,07414.09%-5.46%6.96%0.46%
201971.72%$15,6070.54%$15,2481.43%$27,4602.52%0.28%1.51%-0.06%
201980.47%$15,679-0.17%$15,221-1.59%$27,023-4.04%8.81%-1.67%0.78%
201992.36%$16,0490.66%$15,3221.86%$27,5253.62%0.30%1.95%-0.13%
2019101.19%$16,2401.05%$15,4832.15%$28,1194.00%-3.55%2.21%0.31%
2019113.44%$16,7991.39%$15,6993.62%$29,1377.07%-3.15%3.62%-0.05%
2019122.54%$17,2251.26%$15,8963.01%$30,0125.65%-3.71%2.90%0.16%
20201-0.51%$17,1380.33%$15,948-0.05%$29,997-0.44%-0.66%-0.04%0.58%
20202-7.04%$15,932-2.70%$15,518-8.24%$27,525-15.46%11.58%-7.92%0.88%
202034.86%$16,707-4.03%$14,893-12.37%$24,120-29.80%62.89%-12.46%1.24%
2020416.84%$19,5204.63%$15,58312.81%$27,21025.18%1.35%12.70%0.27%
202056.84%$20,8561.75%$15,8564.76%$28,5049.16%1.54%4.76%-0.08%
202062.52%$21,3820.70%$15,9671.98%$29,0682.95%1.72%1.78%0.02%
202077.15%$22,9102.37%$16,3465.63%$30,70411.69%-1.39%5.89%0.09%
2020810.06%$25,2152.82%$16,8087.18%$32,90714.29%1.06%6.98%-0.02%
20209-5.20%$23,903-1.31%$16,588-3.81%$31,653-7.97%1.45%-3.74%-0.00%
202010-3.28%$23,119-0.88%$16,441-2.67%$30,808-5.38%1.30%-2.49%-0.05%
20201110.81%$25,6173.67%$17,04410.94%$34,17722.51%-13.08%10.88%0.02%
2020125.64%$27,0621.36%$17,2763.84%$35,4897.36%2.46%3.71%0.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2Vanguard 500 Index Investor
Large-cap Value15.91%44.97%
Large-cap Growth19.13%54.95%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.08%
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 Treasuries64.96%0.00%
R Squared99.94%99.93%
Style analysis is based on monthly returns from January 2012 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
SSOProShares Ultra S&P500Leveraged Equity65.00%0.20%0.89%$22,120108.74%
VIXMProShares VIX Mid-Term FuturesMiscellaneous35.00%0.87%-$5,058-8.74%
100.00%0.13%0.88%$17,062100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend35.00%1.32%0.09%24.09$6,369104.08%
SHYiShares 1-3 Year Treasury Bond ETFShort Government65.00%0.32%0.15%1.93$907-4.08%
100.00%0.67%0.13%24.091.93$7,276100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.99%0.52%1.25%
Arithmetic Mean (annualized)12.54%6.38%16.11%
Geometric Mean (monthly)0.93%0.51%1.18%
Geometric Mean (annualized)11.70%6.26%15.11%
Volatility (monthly)3.62%1.36%3.84%
Volatility (annualized)12.55%4.70%13.29%
Downside Deviation (monthly)1.81%0.78%2.34%
Max. Drawdown-13.17%-6.61%-19.63%
US Market Correlation0.760.991.00
Beta(*)0.730.351.00
Alpha (annualized)0.96%0.92%-0.00%
R259.14%98.65%100.00%
Sharpe Ratio0.891.181.08
Sortino Ratio1.761.961.75
Treynor Ratio (%)15.4615.8214.39
Calmar Ratio2.711.040.71
Active Return-3.42%-8.85%N/A
Tracking Error8.81%8.64%N/A
Information Ratio-0.39-1.02N/A
Skewness0.87-0.41-0.49
Excess Kurtosis3.091.471.92
Historical Value-at-Risk (5%)-4.25%-2.16%-6.04%
Analytical Value-at-Risk (5%)-4.83%-1.59%-5.06%
Conditional Value-at-Risk (5%)-5.87%-2.77%-8.15%
Upside Capture Ratio (%)68.9335.47100.00
Downside Capture Ratio (%)64.3033.95100.00
Safe Withdrawal Rate13.94%13.74%20.24%
Perpetual Withdrawal Rate9.04%4.38%11.73%
Positive Periods67 out of 108 (62.04%)79 out of 108 (73.15%)79 out of 108 (73.15%)
Gain/Loss Ratio1.320.970.86
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Vanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-7.51%-6.61%-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2012Nov 20128 monthsOct 201311 months1 year 7 months-13.17%
2Mar 2015Jan 201611 monthsFeb 20171 year 1 month2 years-9.96%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-9.75%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-8.31%
5Jan 2020Feb 20202 monthsApr 20202 months4 months-7.51%
6May 2019May 20191 monthJun 20191 month2 months-5.49%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-4.68%
8Mar 2017Jul 20175 monthsNov 20174 months9 months-4.51%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.38%
10Jun 2014Jul 20142 monthsAug 20141 month3 months-1.85%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-6.61%
2Oct 2018Dec 20183 monthsMar 20193 months6 months-4.46%
3Aug 2015Sep 20152 monthsMar 20166 months8 months-2.91%
4Apr 2012May 20122 monthsAug 20123 months5 months-2.35%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-2.29%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-2.18%
7May 2019May 20191 monthJun 20191 month2 months-2.03%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-1.24%
9Aug 2013Aug 20131 monthSep 20131 month2 months-1.15%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-0.93%
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%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
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
SSOProShares Ultra S&P50026.41%27.29%70.46%-14.62%-40.91%0.981.551.00
VIXMProShares VIX Mid-Term Futures-20.72%33.60%72.38%-53.84%-93.03%-0.56-0.88-0.71
SPYSPDR S&P 500 ETF Trust15.16%13.24%32.31%-4.56%-19.43%1.091.771.00
SHYiShares 1-3 Year Treasury Bond ETF1.14%0.93%3.38%0.21%-0.90%0.561.12-0.40

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSOVIXMSPYSHYPortfolio 1Portfolio 2Vanguard 500 Index Investor
SSOProShares Ultra S&P5001.00-0.731.00-0.410.740.991.00
VIXMProShares VIX Mid-Term Futures-0.731.00-0.700.44-0.09-0.69-0.70
SPYSPDR S&P 500 ETF Trust1.00-0.701.00-0.390.770.991.00
SHYiShares 1-3 Year Treasury Bond ETF-0.410.44-0.391.00-0.16-0.30-0.39

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P500$22,120
VIXMProShares VIX Mid-Term Futures-$5,058
SPYSPDR S&P 500 ETF Trust$6,369
SHYiShares 1-3 Year Treasury Bond ETF$907

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P500108.74%
VIXMProShares VIX Mid-Term Futures-8.74%
SPYSPDR S&P 500 ETF Trust104.08%
SHYiShares 1-3 Year Treasury Bond ETF-4.08%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year10.23%60.82%-10.45%5.70%13.17%-1.69%13.55%32.18%-7.11%
3 years7.56%26.39%1.52%5.21%7.46%3.54%12.53%20.22%4.96%
5 years6.87%17.14%2.92%5.13%6.69%3.57%12.39%15.74%6.58%
7 years8.12%13.11%3.94%5.40%5.99%4.41%12.77%14.57%9.47%

Portfolio 1 Rebalancing Events

Rebalancing dates for portfolio 1
#DateAllocation
103/31/2012ProShares Ultra S&P500 (SSO): 75.37%
ProShares VIX Mid-Term Futures (VIXM): 24.63%
209/30/2012ProShares Ultra S&P500 (SSO): 72.69%
ProShares VIX Mid-Term Futures (VIXM): 27.31%
301/31/2013ProShares Ultra S&P500 (SSO): 75.03%
ProShares VIX Mid-Term Futures (VIXM): 24.97%
407/31/2013ProShares Ultra S&P500 (SSO): 73.69%
ProShares VIX Mid-Term Futures (VIXM): 26.31%
512/31/2013ProShares Ultra S&P500 (SSO): 73.46%
ProShares VIX Mid-Term Futures (VIXM): 26.54%
606/30/2014ProShares Ultra S&P500 (SSO): 72.35%
ProShares VIX Mid-Term Futures (VIXM): 27.65%
705/31/2015ProShares Ultra S&P500 (SSO): 71.09%
ProShares VIX Mid-Term Futures (VIXM): 28.91%
808/31/2015ProShares Ultra S&P500 (SSO): 58.30%
ProShares VIX Mid-Term Futures (VIXM): 41.70%
905/31/2016ProShares Ultra S&P500 (SSO): 72.17%
ProShares VIX Mid-Term Futures (VIXM): 27.83%
1011/30/2016ProShares Ultra S&P500 (SSO): 71.26%
ProShares VIX Mid-Term Futures (VIXM): 28.74%
1102/28/2017ProShares Ultra S&P500 (SSO): 72.14%
ProShares VIX Mid-Term Futures (VIXM): 27.86%
1206/30/2017ProShares Ultra S&P500 (SSO): 71.74%
ProShares VIX Mid-Term Futures (VIXM): 28.26%
1310/31/2017ProShares Ultra S&P500 (SSO): 71.37%
ProShares VIX Mid-Term Futures (VIXM): 28.63%
1408/31/2018ProShares Ultra S&P500 (SSO): 71.70%
ProShares VIX Mid-Term Futures (VIXM): 28.30%
1510/31/2018ProShares Ultra S&P500 (SSO): 57.95%
ProShares VIX Mid-Term Futures (VIXM): 42.05%
1604/30/2019ProShares Ultra S&P500 (SSO): 71.73%
ProShares VIX Mid-Term Futures (VIXM): 28.27%
1703/31/2020ProShares Ultra S&P500 (SSO): 41.91%
ProShares VIX Mid-Term Futures (VIXM): 58.09%
1805/31/2020ProShares Ultra S&P500 (SSO): 71.15%
ProShares VIX Mid-Term Futures (VIXM): 28.85%
1911/30/2020ProShares Ultra S&P500 (SSO): 74.20%
ProShares VIX Mid-Term Futures (VIXM): 25.80%

Portfolio 2 Rebalancing Events

Rebalancing dates for portfolio 2
#DateAllocation
104/30/2013SPDR S&P 500 ETF Trust (SPY): 41.19%
iShares 1-3 Year Treasury Bond ETF (SHY): 58.81%
210/31/2014SPDR S&P 500 ETF Trust (SPY): 41.02%
iShares 1-3 Year Treasury Bond ETF (SHY): 58.98%
309/30/2017SPDR S&P 500 ETF Trust (SPY): 41.24%
iShares 1-3 Year Treasury Bond ETF (SHY): 58.76%
408/31/2020SPDR S&P 500 ETF Trust (SPY): 42.30%
iShares 1-3 Year Treasury Bond ETF (SHY): 57.70%