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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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 2004 - Aug 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ULPIX ProFunds UltraBull Inv 25.00%
TIP iShares TIPS Bond ETF 75.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 50.00%
VBMFX Vanguard Total Bond Market Index Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$37,398 7.75% 8.46%21.81%-16.80%-25.93% 0.781.160.88
Portfolio 2$10,000$36,306 7.57% 7.14%19.91%-15.88%-25.10% 0.891.370.97
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.86%14.04%18.96%12.81%11.07%9.58%7.75%10.56%8.56%
Portfolio 25.04%10.41%15.24%11.90%10.55%9.75%7.57%9.22%7.52%
Trailing annualized return and volatility are for full months ending in August 2021 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 2021 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2ProFunds UltraBull Inv (ULPIX)iShares TIPS Bond ETF (TIP)SPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
20043.26%10.64%$11,0647.47%$10,74717.75%8.28%10.70%4.24%
20053.42%2.58%$11,3503.61%$11,1352.84%2.49%4.83%2.40%
20062.54%6.15%$12,04810.06%$12,25523.78%0.28%15.85%4.27%
20074.08%9.16%$13,1526.03%$12,9940.87%11.92%5.14%6.92%
20080.09%-16.80%$10,943-15.88%$10,931-67.30%0.04%-36.81%5.05%
20092.72%17.48%$12,85616.15%$12,69643.11%8.94%26.36%5.93%
20101.50%10.49%$14,20410.74%$14,06023.54%6.14%15.06%6.42%
20112.96%8.85%$15,4614.72%$14,724-4.43%13.28%1.89%7.56%
20121.74%11.87%$17,29610.02%$16,19928.30%6.39%15.99%4.05%
20131.50%10.69%$19,14515.02%$18,63268.23%-8.49%32.31%-2.26%
20140.76%8.75%$20,8209.61%$20,42324.23%3.59%13.46%5.76%
20150.73%-1.85%$20,4360.78%$20,581-2.12%-1.75%1.25%0.30%
20162.07%8.58%$22,1897.25%$22,07320.27%4.68%12.00%2.50%
20172.11%12.88%$25,04712.58%$24,85042.77%2.92%21.70%3.46%
20181.91%-4.82%$23,840-2.34%$24,268-15.02%-1.42%-4.56%-0.13%
20192.29%21.81%$29,03819.91%$29,10162.18%8.35%31.22%8.61%
20201.36%12.94%$32,79512.99%$32,88219.24%10.84%18.37%7.61%
20215.03%14.04%$37,39810.41%$36,30644.11%4.01%21.57%-0.75%
Annual return for 2021 is from 01/01/2021 to 08/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2ProFunds UltraBull Inv (ULPIX)iShares TIPS Bond ETF (TIP)SPDR S&P 500 ETF Trust (SPY)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
200411.79%$10,1791.42%$10,1423.49%1.22%1.98%0.86%
200422.26%$10,4091.19%$10,2632.60%2.15%1.36%1.03%
200430.32%$10,443-0.27%$10,236-3.59%1.66%-1.32%0.80%
20044-4.46%$9,977-2.25%$10,005-3.35%-4.82%-1.89%-2.61%
200452.14%$10,1900.64%$10,0692.49%2.02%1.71%-0.43%
200460.79%$10,2701.21%$10,1913.59%-0.14%1.85%0.56%
20047-1.15%$10,153-1.17%$10,072-6.83%0.81%-3.22%0.96%
200482.11%$10,3671.10%$10,1830.28%2.69%0.24%1.94%
200490.48%$10,4160.58%$10,2411.76%0.08%1.00%0.16%
2004101.45%$10,5671.07%$10,3512.57%1.09%1.29%0.85%
2004111.70%$10,7471.81%$10,5388.01%-0.32%4.45%-0.81%
2004122.96%$11,0641.99%$10,7476.42%1.76%3.02%0.92%
20051-1.32%$10,918-0.79%$10,662-5.32%0.01%-2.24%0.65%
200520.53%$10,9760.71%$10,7383.88%-0.53%2.09%-0.63%
20053-0.84%$10,884-1.16%$10,613-4.04%0.22%-1.83%-0.49%
200540.30%$10,916-0.25%$10,587-4.39%1.78%-1.87%1.35%
200551.97%$11,1312.11%$10,8116.06%0.76%3.22%1.05%
200560.32%$11,1670.35%$10,849-0.30%0.51%0.15%0.55%
20057-0.19%$11,1451.38%$10,9987.15%-2.47%3.83%-0.99%
200581.26%$11,2860.20%$11,020-2.47%2.53%-0.94%1.36%
200590.12%$11,299-0.15%$11,0040.95%-0.16%0.80%-1.10%
200510-2.00%$11,073-1.59%$10,828-4.11%-1.31%-2.37%-0.81%
2005111.85%$11,2782.43%$11,0927.13%0.18%4.40%0.48%
2005120.63%$11,3500.39%$11,135-0.55%1.04%-0.19%0.99%
200611.21%$11,4871.15%$11,2634.73%0.03%2.40%-0.11%
20062-0.03%$11,4840.47%$11,316-0.10%0.00%0.57%0.37%
20063-1.10%$11,3580.34%$11,3551.89%-2.14%1.65%-1.00%
200640.38%$11,4010.55%$11,4172.06%-0.23%1.26%-0.21%
20065-1.54%$11,225-1.60%$11,234-6.50%0.30%-3.01%-0.09%
200660.17%$11,2440.19%$11,255-0.57%0.43%0.26%0.10%
200671.24%$11,3830.89%$11,3550.43%1.51%0.45%1.35%
200682.29%$11,6441.92%$11,5734.14%1.66%2.18%1.64%
200691.29%$11,7931.77%$11,7784.67%0.11%2.70%0.81%
2006101.53%$11,9741.97%$12,0105.96%-0.07%3.15%0.72%
2006111.68%$12,1751.57%$12,1983.25%1.07%1.99%1.11%
200612-1.04%$12,0480.47%$12,2552.17%-2.30%1.34%-0.48%
200710.79%$12,1430.71%$12,3422.44%0.23%1.50%-0.08%
200720.31%$12,180-0.24%$12,312-4.60%1.98%-1.96%1.50%
200730.62%$12,2550.59%$12,3841.53%0.33%1.16%0.02%
200742.54%$12,5672.46%$12,6898.37%0.66%4.43%0.51%
200750.68%$12,6531.34%$12,8596.43%-1.31%3.39%-0.78%
20076-1.24%$12,496-0.95%$12,738-3.99%-0.21%-1.46%-0.39%
20077-0.20%$12,472-1.21%$12,584-7.12%2.30%-3.13%0.84%
200781.11%$12,6091.31%$12,7491.96%0.82%1.28%1.34%
200792.65%$12,9432.31%$13,0446.77%1.28%3.87%0.72%
2007101.46%$13,1321.15%$13,1942.30%1.17%1.36%0.93%
2007110.68%$13,221-1.06%$13,054-9.06%4.11%-3.87%1.91%
200712-0.53%$13,152-0.46%$12,994-2.42%0.06%-1.13%0.22%
20081-0.48%$13,088-2.18%$12,711-12.65%3.57%-6.05%1.69%
20082-0.39%$13,037-1.14%$12,566-6.84%1.42%-2.58%0.19%
20083-0.46%$12,977-0.27%$12,532-1.70%-0.14%-0.90%0.30%
200840.80%$13,0812.08%$12,7929.47%-1.40%4.77%-0.30%
200850.54%$13,1510.32%$12,8342.06%0.11%1.51%-0.79%
20086-2.35%$12,843-4.08%$12,310-16.71%1.79%-8.35%-0.01%
20087-0.95%$12,720-0.42%$12,258-2.42%-0.61%-0.90%0.00%
200881.04%$12,8531.09%$12,3922.18%0.78%1.55%0.70%
20089-6.80%$11,979-4.99%$11,774-18.64%-4.02%-9.44%-1.10%
200810-12.46%$10,487-8.75%$10,743-34.39%-8.10%-16.52%-2.53%
200811-1.33%$10,348-0.67%$10,671-16.88%0.88%-6.96%3.64%
2008125.75%$10,9432.43%$10,931-0.70%6.50%0.98%3.32%
20091-4.46%$10,455-4.45%$10,444-17.70%-0.04%-8.21%-0.70%
20092-6.33%$9,793-5.38%$9,882-21.40%-2.20%-10.74%-0.42%
200937.68%$10,5454.59%$10,33615.72%5.91%8.35%1.48%
200942.22%$10,7794.85%$10,83718.88%-1.80%9.93%0.36%
200953.99%$11,2093.31%$11,19610.79%2.00%5.85%0.85%
200960.05%$11,2140.23%$11,222-0.45%0.20%-0.07%0.54%
200973.61%$11,6194.46%$11,72214.80%0.09%7.46%1.43%
200982.44%$11,9032.40%$12,0046.88%0.84%3.69%1.01%
200993.42%$12,3102.42%$12,2957.06%2.02%3.55%1.19%
200910-0.40%$12,261-0.82%$12,193-4.23%1.14%-1.92%0.41%
2009115.32%$12,9133.87%$12,66611.95%2.80%6.16%1.36%
200912-0.44%$12,8560.24%$12,6963.54%-2.09%1.91%-1.68%
20101-0.73%$12,762-1.03%$12,565-7.51%1.53%-3.63%1.57%
201020.29%$12,7991.62%$12,7695.52%-1.30%3.12%0.20%
201032.92%$13,1722.97%$13,14811.92%-0.01%6.09%-0.08%
201042.56%$13,5091.31%$13,3202.68%2.52%1.55%1.06%
20105-4.20%$12,941-3.63%$12,837-16.27%0.19%-7.95%0.87%
20106-1.55%$12,740-1.70%$12,619-10.88%1.28%-5.17%1.61%
201072.77%$13,0933.71%$13,08714.01%-0.24%6.83%0.94%
20108-0.70%$13,002-1.41%$12,901-9.32%1.94%-4.50%1.48%
201094.46%$13,5814.19%$13,44317.96%0.79%8.96%-0.01%
2010103.62%$14,0732.06%$13,7197.24%2.47%3.82%0.36%
201011-1.40%$13,877-0.28%$13,680-0.51%-1.69%0.00%-0.57%
2010122.36%$14,2042.77%$14,06013.45%-1.38%6.68%-1.15%
201111.06%$14,3541.21%$14,2294.18%0.02%2.33%0.08%
201122.22%$14,6741.84%$14,4916.55%0.72%3.47%0.16%
201130.78%$14,7880.00%$14,491-0.34%1.19%0.01%-0.01%
201143.25%$15,2692.13%$14,7995.67%2.38%2.90%1.32%
20115-0.51%$15,1910.05%$14,807-2.58%0.27%-1.12%1.30%
20116-0.48%$15,119-1.05%$14,651-3.85%0.75%-1.69%-0.39%
201171.73%$15,381-0.24%$14,615-4.53%3.90%-2.00%1.58%
20118-2.59%$14,983-2.01%$14,321-12.74%0.64%-5.50%1.46%
20119-3.11%$14,517-2.88%$13,908-14.33%-0.01%-6.94%0.89%
2011105.86%$15,3685.12%$14,62121.89%2.07%10.91%0.16%
2011110.12%$15,386-0.35%$14,569-1.31%0.52%-0.41%-0.30%
2011120.48%$15,4611.06%$14,7241.64%0.16%1.04%1.08%
201213.91%$16,0642.76%$15,1298.76%2.29%4.64%0.87%
201221.79%$16,3522.19%$15,4608.46%-0.58%4.34%-0.05%
201231.11%$16,5331.39%$15,6756.21%-0.86%3.22%-0.58%
201240.76%$16,6590.18%$15,704-1.71%1.78%-0.67%1.14%
20125-2.03%$16,322-2.70%$15,280-11.96%1.95%-6.01%0.95%
201261.48%$16,5622.07%$15,5977.69%-0.67%4.05%0.04%
201271.90%$16,8771.28%$15,7962.30%1.75%1.18%1.39%
201280.97%$17,0421.31%$16,0034.21%-0.25%2.51%0.03%
201291.75%$17,3401.38%$16,2234.90%0.51%2.54%0.11%
201210-0.73%$17,213-0.91%$16,076-4.03%0.62%-1.82%0.11%
2012110.62%$17,3200.39%$16,1380.79%0.56%0.57%0.19%
201212-0.14%$17,2960.38%$16,1991.59%-0.82%0.90%-0.20%
201312.16%$17,6682.20%$16,55610.18%-0.52%5.12%-0.71%
201320.76%$17,8020.92%$16,7082.29%0.19%1.28%0.54%
201332.17%$18,1882.00%$17,0427.35%0.21%3.80%0.08%
201341.58%$18,4761.44%$17,2883.54%0.79%1.92%0.91%
20135-1.70%$18,1610.44%$17,3644.30%-4.19%2.36%-1.71%
20136-3.61%$17,506-1.48%$17,106-3.17%-3.80%-1.34%-1.65%
201373.84%$18,1792.87%$17,59810.31%0.90%5.17%0.20%
20138-3.22%$17,592-1.94%$17,257-6.04%-1.83%-3.00%-0.64%
201393.15%$18,1472.16%$17,6306.09%1.76%3.17%0.96%
2013103.20%$18,7282.90%$18,1418.97%0.34%4.63%0.78%
2013111.37%$18,9851.50%$18,4135.88%-1.06%2.96%-0.35%
2013120.84%$19,1451.19%$18,6324.82%-1.45%2.59%-0.65%
20141-0.23%$19,102-0.99%$18,448-7.21%2.10%-3.52%1.54%
201422.42%$19,5642.46%$18,9028.98%0.44%4.55%0.48%
20143-0.06%$19,5520.34%$18,9661.37%-0.53%0.83%-0.15%
201441.28%$19,8020.73%$19,1051.14%1.32%0.70%0.77%
201452.60%$20,3171.68%$19,4274.40%2.00%2.32%1.05%
201461.28%$20,5771.09%$19,6393.94%0.37%2.06%0.11%
20147-0.86%$20,401-0.81%$19,480-3.03%-0.09%-1.34%-0.26%
201482.46%$20,9032.55%$19,9777.87%0.61%3.95%1.13%
20149-2.72%$20,335-1.06%$19,765-3.06%-2.59%-1.38%-0.72%
2014101.83%$20,7071.66%$20,0944.36%0.90%2.36%0.94%
2014111.57%$21,0321.73%$20,4415.27%0.16%2.75%0.65%
201412-1.00%$20,820-0.09%$20,423-0.89%-1.05%-0.26%0.09%
201510.84%$20,996-0.33%$20,356-6.33%3.23%-2.96%2.31%
201521.67%$21,3472.18%$20,80011.45%-1.29%5.62%-1.08%
20153-1.26%$21,079-0.59%$20,677-3.52%-0.48%-1.57%0.41%
201540.93%$21,2750.31%$20,7411.69%0.68%0.98%-0.36%
20155-0.18%$21,2360.42%$20,8282.29%-1.01%1.29%-0.45%
20156-1.83%$20,848-1.52%$20,511-4.16%-1.02%-2.03%-1.01%
201571.41%$21,1421.51%$20,8224.03%0.54%2.26%0.76%
20158-3.90%$20,318-3.27%$20,142-12.40%-0.95%-6.10%-0.36%
20159-1.69%$19,974-0.87%$19,967-5.51%-0.52%-2.54%0.76%
2015104.11%$20,7964.12%$20,79017.23%0.30%8.51%0.01%
201511-0.02%$20,7930.05%$20,8010.35%-0.14%0.37%-0.27%
201512-1.71%$20,436-1.06%$20,581-3.77%-1.01%-1.72%-0.38%
20161-1.39%$20,153-1.77%$20,216-10.26%1.57%-4.98%1.43%
201620.77%$20,3080.30%$20,277-0.75%1.22%-0.08%0.66%
201634.36%$21,1933.73%$21,03313.68%1.67%6.72%0.94%
201640.28%$21,2520.39%$21,1140.49%0.21%0.39%0.38%
201650.31%$21,3190.85%$21,2943.27%-0.64%1.70%0.01%
201661.71%$21,6831.14%$21,5370.10%2.25%0.35%1.94%
201672.27%$22,1752.13%$21,9967.23%0.64%3.65%0.64%
20168-0.25%$22,120-0.02%$21,9910.02%-0.34%0.12%-0.17%
201690.45%$22,221-0.04%$21,983-0.39%0.75%0.01%-0.09%
201610-1.38%$21,914-1.27%$21,703-3.79%-0.54%-1.73%-0.81%
2016110.27%$21,9730.53%$21,8187.22%-2.07%3.68%-2.64%
2016120.98%$22,1891.17%$22,0733.75%-0.04%2.03%0.24%
201711.53%$22,5291.04%$22,3033.45%0.89%1.79%0.29%
201722.29%$23,0462.31%$22,8187.80%0.41%3.93%0.66%
20173-0.03%$23,0390.03%$22,824-0.10%0.00%0.13%-0.07%
201740.80%$23,2240.88%$23,0251.76%0.45%0.99%0.76%
201750.65%$23,3741.05%$23,2672.50%-0.04%1.41%0.67%
20176-0.37%$23,2870.33%$23,3450.92%-0.87%0.64%0.01%
201771.40%$23,6141.25%$23,6373.83%0.46%2.06%0.39%
201780.79%$23,8010.56%$23,7690.18%1.04%0.29%0.85%
201790.59%$23,9410.79%$23,9563.84%-0.70%2.01%-0.54%
2017101.46%$24,2911.29%$24,2654.41%0.24%2.36%0.11%
2017111.83%$24,7361.54%$24,6395.86%0.09%3.06%-0.17%
2017121.26%$25,0470.86%$24,8501.98%0.93%1.21%0.44%
201812.19%$25,5952.27%$25,41411.29%-0.85%5.64%-1.09%
20182-2.94%$24,843-2.37%$24,811-8.03%-1.03%-3.64%-1.03%
20183-0.72%$24,664-1.09%$24,540-5.69%1.01%-2.74%0.63%
20184-0.05%$24,651-0.16%$24,5020.20%-0.13%0.52%-0.83%
201851.34%$24,9811.53%$24,8774.43%0.33%2.43%0.61%
201860.68%$25,1520.31%$24,9530.79%0.65%0.58%0.03%
201871.40%$25,5051.91%$25,4297.11%-0.53%3.70%0.03%
201882.13%$26,0471.91%$25,9146.17%0.65%3.19%0.52%
20189-0.48%$25,9210.06%$25,9280.78%-0.97%0.59%-0.54%
201810-5.03%$24,616-4.00%$24,892-13.99%-1.52%-6.91%-0.73%
2018111.21%$24,9151.21%$25,1923.35%0.48%1.85%0.53%
201812-4.31%$23,840-3.67%$24,268-18.06%0.53%-8.79%1.80%
201915.02%$25,0384.51%$25,36215.83%1.42%8.01%1.01%
201921.55%$25,4271.65%$25,7796.09%-0.17%3.24%-0.06%
201932.37%$26,0301.88%$26,2633.35%1.98%1.81%1.96%
201942.42%$26,6612.16%$26,8317.80%0.22%4.09%0.04%
20195-2.72%$25,937-2.56%$26,146-12.85%1.75%-6.38%1.83%
201964.36%$27,0694.13%$27,22713.93%0.75%6.96%1.15%
201970.95%$27,3270.90%$27,4732.44%0.32%1.51%0.23%
201980.41%$27,4390.42%$27,588-3.99%2.33%-1.67%2.78%
201990.19%$27,4900.73%$27,7883.34%-1.11%1.95%-0.60%
2019101.13%$27,8011.26%$28,1393.84%-0.03%2.21%0.21%
2019112.36%$28,4571.89%$28,6717.02%0.29%3.62%-0.06%
2019122.04%$29,0381.50%$29,1015.62%0.35%2.90%-0.15%
202011.47%$29,4661.04%$29,403-0.52%2.14%-0.04%2.11%
20202-3.30%$28,492-3.05%$28,505-16.32%0.92%-7.92%1.71%
20203-7.67%$26,306-6.17%$26,747-29.64%-1.76%-12.46%-0.59%
202046.58%$28,0386.52%$28,49025.03%3.03%12.70%1.69%
202052.24%$28,6672.50%$29,2029.05%0.65%4.76%0.54%
202061.36%$29,0571.21%$29,5552.83%0.99%1.78%0.70%
202074.18%$30,2703.62%$30,62411.35%2.33%5.89%1.55%
202083.86%$31,4392.87%$31,50514.44%0.89%6.98%-1.02%
20209-2.26%$30,729-1.86%$30,920-8.15%-0.38%-3.74%0.08%
202010-1.83%$30,168-1.55%$30,442-5.75%-0.68%-2.49%-0.61%
2020115.85%$31,9325.92%$32,24322.51%1.21%10.88%1.11%
2020122.70%$32,7951.98%$32,8827.45%1.10%3.71%0.15%
20211-0.39%$32,666-0.91%$32,584-2.37%0.27%-1.02%-0.80%
202120.00%$32,6670.63%$32,7905.22%-1.69%2.78%-1.51%
202132.00%$33,3221.64%$33,3288.52%-0.26%4.54%-1.38%
202143.95%$34,6393.23%$34,40510.63%1.43%5.29%0.95%
202151.03%$34,9970.46%$34,5641.05%1.02%0.66%0.24%
202161.81%$35,6291.56%$35,1034.44%0.72%2.25%0.77%
202173.23%$36,7811.87%$35,7614.53%2.68%2.44%1.21%
202181.68%$37,3981.52%$36,3065.91%-0.16%2.98%-0.20%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value11.59%21.07%
Large-cap Growth31.68%28.67%
Mid-cap Value6.74%0.80%
Mid-cap Growth0.00%0.03%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets1.69%0.00%
Emerging Markets4.56%0.91%
Corporate Bonds11.44%8.44%
Long-Term Treasuries0.83%1.13%
Intermediate-Term Treasuries31.47%14.06%
Short-Term Treasuries0.00%24.89%
R Squared92.22%99.55%
Style analysis is based on monthly returns from April 2005 to August 2021 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
ULPIXProFunds UltraBull InvLeveraged Equity25.00%0.31%1.60%27.60$17,06971.77%
TIPiShares TIPS Bond ETFInflation-Protected Bond75.00%3.09%0.19%7.69$10,32928.23%
100.00%2.40%0.54%27.607.69$27,398100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend50.00%1.23%0.09%25.30$20,37894.76%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond50.00%1.83%0.15%6.79$5,9275.24%
100.00%1.53%0.12%25.306.79$26,306100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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 2
Arithmetic Mean (monthly)0.65%0.63%
Arithmetic Mean (annualized)8.14%7.84%
Geometric Mean (monthly)0.62%0.61%
Geometric Mean (annualized)7.75%7.57%
Volatility (monthly)2.44%2.06%
Volatility (annualized)8.46%7.14%
Downside Deviation (monthly)1.62%1.30%
Max. Drawdown-25.93%-25.10%
US Market Correlation0.880.97
Beta(*)0.500.47
Alpha (annualized)2.17%2.32%
R277.65%93.25%
Sharpe Ratio0.780.89
Sortino Ratio1.161.37
Treynor Ratio (%)13.1813.65
Calmar Ratio1.201.32
Active Return-2.90%-3.08%
Tracking Error8.35%8.10%
Information Ratio-0.35-0.38
Skewness-1.04-0.75
Excess Kurtosis4.492.55
Historical Value-at-Risk (5%)-3.44%-2.96%
Analytical Value-at-Risk (5%)-3.63%-2.84%
Conditional Value-at-Risk (5%)-5.75%-4.68%
Upside Capture Ratio (%)53.1750.57
Downside Capture Ratio (%)45.9942.95
Safe Withdrawal Rate8.02%7.92%
Perpetual Withdrawal Rate5.29%5.12%
Positive Periods143 out of 212 (67.45%)148 out of 212 (69.81%)
Gain/Loss Ratio1.000.96
* 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 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-25.93%-25.10%
COVID-19 StartJan 2020Mar 2020-10.72%-9.03%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsApr 20101 year 2 months2 years 5 months-25.93%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-10.72%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-8.47%
4Mar 2015Sep 20157 monthsJun 20169 months1 year 4 months-6.43%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.69%
6Aug 2011Sep 20112 monthsNov 20112 months4 months-5.61%
7May 2013Jun 20132 monthsOct 20134 months6 months-5.25%
8Apr 2004Apr 20041 monthOct 20046 months7 months-4.46%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-4.04%
10Feb 2018Apr 20183 monthsAug 20184 months7 months-3.69%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-25.10%
2Feb 2020Mar 20202 monthsJun 20203 months5 months-9.03%
3Oct 2018Dec 20183 monthsMar 20193 months6 months-6.40%
4Jun 2011Sep 20114 monthsJan 20124 months8 months-6.07%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.26%
6Jun 2015Sep 20154 monthsMar 20166 months10 months-4.14%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.59%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-3.37%
9May 2012May 20121 monthJul 20122 months3 months-2.70%
10May 2019May 20191 monthJun 20191 month2 months-2.56%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ULPIXProFunds UltraBull Inv13.18%29.08%68.23%-67.30%-81.36%0.540.771.00
TIPiShares TIPS Bond ETF4.41%5.56%13.28%-8.49%-11.79%0.590.890.19
SPYSPDR S&P 500 ETF Trust10.39%14.21%32.31%-36.81%-50.80%0.681.011.00
VBMFXVanguard Total Bond Market Index Inv4.03%3.33%8.61%-2.26%-3.99%0.841.44-0.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameULPIXTIPSPYVBMFXPortfolio 1Portfolio 2
ULPIXProFunds UltraBull Inv1.000.181.00-0.010.880.97
TIPiShares TIPS Bond ETF0.181.000.190.790.600.35
SPYSPDR S&P 500 ETF Trust1.000.191.000.000.890.97
VBMFXVanguard Total Bond Market Index Inv-0.010.790.001.000.370.23

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
ULPIXProFunds UltraBull Inv$17,069
TIPiShares TIPS Bond ETF$10,329
SPYSPDR S&P 500 ETF Trust$20,378
VBMFXVanguard Total Bond Market Index Inv$5,927

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
ULPIXProFunds UltraBull Inv71.77%
TIPiShares TIPS Bond ETF28.23%
SPYSPDR S&P 500 ETF Trust94.76%
VBMFXVanguard Total Bond Market Index Inv5.24%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.66%30.69%-24.88%7.63%29.21%-21.36%
3 years6.94%18.64%-5.17%7.05%16.09%-4.42%
5 years6.90%14.84%-1.21%6.99%13.85%-0.75%
7 years7.32%10.98%4.86%7.38%10.81%4.47%
10 years7.40%10.01%5.78%7.45%10.06%5.99%
15 years6.90%8.13%5.96%7.03%7.95%6.09%