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 2016 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 50.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
GBTC Grayscale Bitcoin Trust (BTC) 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$10,065 47.74% 34.91%200.50%-25.19%-26.83% 1.273.010.53
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 11.11%14.53%49.52%32.89%44.72%44.90%30.77%36.45%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2021 are based on monthly returns from January to November
  • 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)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Grayscale Bitcoin Trust (BTC) (GBTC)
20162.07%23.69%$1,23730.79%-2.52%93.10%
20172.11%200.50%$3,71771.37%22.73%1,557.21%
20181.91%-25.19%$2,781-25.15%-11.01%-82.10%
20192.29%75.71%$4,886102.31%34.74%106.56%
20201.36%50.75%$7,36610.08%41.60%290.72%
20216.19%36.64%$10,06575.51%-13.88%44.44%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)Grayscale Bitcoin Trust (BTC) (GBTC)
20161-3.77%$962-15.38%17.74%-31.75%
201625.67%$1,017-1.68%8.71%30.23%
201638.22%$1,10021.50%-0.64%-2.86%
201641.76%$1,1200.81%-2.39%31.80%
201653.85%$1,1634.65%1.86%8.93%
2016614.79%$1,335-0.20%21.23%53.07%
201674.31%$1,39211.13%6.07%-20.54%
20168-3.11%$1,3490.11%-3.58%-13.68%
20169-1.51%$1,329-0.54%-4.78%9.76%
201610-6.34%$1,245-5.62%-13.32%19.89%
201611-6.21%$1,16711.05%-23.91%-8.71%
2016125.97%$1,2375.96%-0.99%23.50%
201712.08%$1,2635.14%1.49%-10.81%
201728.41%$1,36911.91%4.41%6.00%
20173-0.93%$1,356-0.22%-2.35%0.97%
201744.78%$1,4212.77%4.43%18.59%
2017528.67%$1,8283.70%5.17%251.53%
20176-3.98%$1,7561.51%1.98%-19.43%
201773.57%$1,8185.87%-2.43%7.69%
2017835.93%$2,4710.21%10.13%139.29%
20179-12.36%$2,1665.69%-7.29%-30.15%
2017108.57%$2,3526.83%-0.53%18.00%
20171133.92%$3,1498.87%1.73%83.62%
20171218.03%$3,7173.45%5.04%32.54%
201812.24%$3,80018.22%-9.77%-29.63%
20182-10.21%$3,412-13.53%-9.57%14.37%
20183-5.45%$3,226-8.69%8.44%-41.17%
20184-0.02%$3,226-0.14%-6.71%51.10%
201853.62%$3,3426.46%5.27%-22.52%
20186-0.60%$3,3221.29%1.49%-30.54%
201875.13%$3,49310.73%-4.70%22.16%
201886.14%$3,7079.09%3.36%-8.83%
20189-3.03%$3,5951.20%-8.77%-16.42%
201810-16.75%$2,993-20.78%-9.11%-15.11%
2018113.31%$3,0924.28%4.76%-25.96%
201812-10.07%$2,781-26.25%17.93%-20.54%
2019112.17%$3,11923.89%0.41%0.63%
201924.56%$3,2629.28%-4.52%11.78%
201939.05%$3,5574.85%17.00%7.17%
201947.86%$3,83611.81%-6.56%38.28%
201953.68%$3,977-18.89%21.11%67.32%
2019617.47%$4,67221.37%1.90%36.80%
20197-0.37%$4,6553.80%0.32%-9.85%
201984.79%$4,878-6.62%35.11%-14.08%
20199-2.96%$4,7335.30%-9.07%-9.64%
2019101.91%$4,8245.70%-4.11%5.00%
2019112.25%$4,93310.73%-2.01%-13.94%
201912-0.95%$4,8868.38%-10.05%-14.42%
2020112.37%$5,490-0.91%23.80%33.09%
20202-3.40%$5,304-23.04%17.91%-9.63%
20203-13.57%$4,584-48.13%11.91%-27.72%
2020413.28%$5,19337.17%2.68%38.62%
202050.50%$5,21913.38%-6.48%10.33%
20206-0.22%$5,2073.23%0.54%-11.80%
2020716.73%$6,07817.70%13.13%33.42%
20208-1.22%$6,00422.05%-14.89%5.58%
20209-6.03%$5,642-12.26%2.15%-18.92%
202010-3.84%$5,425-8.48%-10.35%40.20%
20201122.33%$6,63735.20%4.24%50.81%
20201210.99%$7,36611.14%-2.32%37.97%
20211-5.35%$6,972-3.71%-10.84%8.41%
202120.42%$7,0017.74%-16.79%24.53%
202134.72%$7,33113.33%-15.40%15.83%
2021410.15%$8,07516.17%6.35%-6.37%
20215-3.97%$7,7551.36%-0.34%-35.50%
202167.59%$8,3436.59%13.37%-1.36%
202178.78%$9,0766.93%10.92%16.52%
202186.15%$9,6348.97%-1.36%8.74%
20219-12.43%$8,436-13.94%-9.24%-10.38%
20211020.32%$10,15021.90%7.08%46.79%
202111-0.84%$10,065-2.71%7.39%-6.98%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightTTM YieldExpense RatioContribution
NetGrossReturnRisk
UPROProShares UltraPro S&P500Leveraged Equity50.00%0.04%0.91%0.91%$4,57846.01%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%2.39%1.06%1.06%$72916.87%
GBTCGrayscale Bitcoin Trust (BTC)Miscellaneous10.00%2.00%2.00%$3,75837.11%
100.00%0.98%1.08%1.08%$9,065100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (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 1
Arithmetic Mean (monthly)3.77%
Arithmetic Mean (annualized)55.87%
Geometric Mean (monthly)3.31%
Geometric Mean (annualized)47.74%
Standard Deviation (monthly)10.08%
Standard Deviation (annualized)34.91%
Downside Deviation (monthly)4.21%
Max. Drawdown-26.83%
US Market Correlation0.53
Beta(*)1.22
Alpha (annualized)25.13%
R228.34%
Sharpe Ratio1.27
Sortino Ratio3.01
Treynor Ratio (%)36.38
Calmar Ratio2.92
Active Return31.26%
Tracking Error29.74%
Information Ratio1.05
Skewness0.91
Excess Kurtosis1.65
Historical Value-at-Risk (5%)-11.29%
Analytical Value-at-Risk (5%)-10.96%
Conditional Value-at-Risk (5%)-13.78%
Upside Capture Ratio (%)211.70
Downside Capture Ratio (%)102.81
Safe Withdrawal Rate53.78%
Perpetual Withdrawal Rate34.98%
Positive Periods43 out of 71 (60.56%)
Gain/Loss Ratio1.90
* US stock market 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 1
COVID-19 StartJan 2020Mar 2020-16.51%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-26.83%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-16.51%
3Aug 2016Nov 20164 monthsApr 20175 months9 months-16.17%
4Sep 2021Sep 20211 monthOct 20211 month2 months-12.43%
5Sep 2017Sep 20171 monthNov 20172 months3 months-12.36%
6Aug 2020Oct 20203 monthsNov 20201 month4 months-10.74%
7Jan 2021Jan 20211 monthApr 20213 months4 months-5.35%
8Jun 2017Jun 20171 monthAug 20172 months3 months-3.98%
9May 2021May 20211 monthJun 20211 month2 months-3.97%
10Jan 2016Jan 20161 monthFeb 20161 month2 months-3.77%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50037.42%46.42%102.31%-25.15%-60.44%0.921.420.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF9.91%36.34%41.60%-13.88%-50.20%0.410.70-0.27
GBTCGrayscale Bitcoin Trust (BTC)103.41%145.83%1,557.21%-82.10%-82.10%0.953.000.16

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 yearNetGross
ProShares UltraPro S&P5000.28%47.99%103.52%26.16%36.25%0.91%0.91%
Direxion Daily 20+ Yr Trsy Bull 3X ETF-0.70%-25.11%-31.65%17.07%0.38%1.06%1.06%
Grayscale Bitcoin Trust (BTC)13.55%5.78%208.57%62.15%102.71%2.00%2.00%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFGBTCPortfolio 1
UPROProShares UltraPro S&P5001.00-0.260.170.55
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.261.000.090.32
GBTCGrayscale Bitcoin Trust (BTC)0.170.091.000.71

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
UPROProShares UltraPro S&P500$4,578
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$729
GBTCGrayscale Bitcoin Trust (BTC)$3,758

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
UPROProShares UltraPro S&P50046.01%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF16.87%
GBTCGrayscale Bitcoin Trust (BTC)37.11%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year53.61%200.96%-25.19%
3 years43.85%63.22%22.42%
5 years47.85%53.86%44.27%