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 - Mar 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTWO Vanguard Russell 2000 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TNA Direxion Daily Small Cap Bull 3X ETF 33.33%
CASHX Cash 66.67%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$32,666 12.24% 18.72%38.76%-11.14%-32.17% 0.681.040.92
Portfolio 2$10,000$23,023 8.48% 17.35%48.86%-12.65%-27.35% 0.520.770.86
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 112.83%12.83%95.59%14.94%16.46%11.72%12.24%25.75%21.03%
Portfolio 211.67%11.67%46.28%6.77%11.04%7.94%8.48%21.84%18.58%
Trailing annualized return and volatility are for full months ending in March 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 March
  • 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 2Vanguard Russell 2000 ETF (VTWO)Direxion Daily Small Cap Bull 3X ETF (TNA)Cash (CASHX)
ReturnBalanceReturnBalance
20112.96%-4.40%$9,560-12.65%$8,735-4.40%-38.09%0.07%
20121.74%16.27%$11,11614.27%$9,98116.27%42.64%0.08%
20131.50%38.76%$15,42448.86%$14,85738.76%146.47%0.05%
20140.76%5.01%$16,1971.76%$15,1185.01%5.20%0.03%
20150.73%-4.44%$15,478-7.13%$14,040-4.44%-21.50%0.05%
20162.07%21.37%$18,78619.94%$16,83921.37%59.22%0.30%
20172.11%14.68%$21,54413.64%$19,13514.68%39.15%0.88%
20181.91%-11.14%$19,144-12.03%$16,834-11.14%-39.89%1.90%
20192.29%25.81%$24,08625.38%$21,10625.81%71.89%2.13%
20201.36%20.20%$28,952-2.32%$20,61720.20%-7.83%0.44%
20210.98%12.83%$32,66611.67%$23,02312.83%34.97%0.02%
Annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Russell 2000 ETF (VTWO)Direxion Daily Small Cap Bull 3X ETF (TNA)Cash (CASHX)
ReturnBalanceReturnBalance
20111-0.36%$9,964-0.67%$9,933-0.36%-2.03%0.01%
201125.05%$10,4685.48%$10,4775.05%16.63%0.01%
201132.98%$10,7802.38%$10,7262.98%6.51%0.01%
201142.60%$11,0602.83%$11,0292.60%7.46%0.01%
20115-1.93%$10,847-2.43%$10,761-1.93%-6.15%0.00%
20116-2.24%$10,604-3.06%$10,431-2.24%-8.07%0.01%
20117-3.53%$10,230-3.98%$10,016-3.53%-11.04%0.00%
20118-9.56%$9,252-10.93%$8,922-9.56%-32.73%0.01%
20119-10.43%$8,287-8.21%$8,190-10.43%-32.53%0.00%
20111015.23%$9,5508.16%$8,85715.23%43.97%0.00%
201111-0.68%$9,485-1.39%$8,735-0.68%-5.62%0.00%
2011120.79%$9,5600.00%$8,7350.79%0.00%0.00%
201217.07%$10,2377.38%$9,3807.07%22.15%0.00%
201222.70%$10,5132.56%$9,6202.70%6.76%0.01%
201232.27%$10,7512.66%$9,8762.27%6.72%0.01%
20124-1.53%$10,586-2.42%$9,637-1.53%-5.90%0.01%
20125-6.68%$9,879-7.72%$8,893-6.68%-19.52%0.01%
201265.18%$10,3904.83%$9,3235.18%13.99%0.01%
20127-1.10%$10,276-1.99%$9,138-1.10%-5.31%0.01%
201283.05%$10,5893.69%$9,4753.05%10.17%0.01%
201293.13%$10,9213.64%$9,8203.13%9.45%0.01%
201210-2.24%$10,676-2.92%$9,534-2.24%-7.19%0.01%
2012110.64%$10,7450.43%$9,5750.64%1.10%0.01%
2012123.45%$11,1164.24%$9,9813.45%10.81%0.01%
201316.33%$11,8196.44%$10,6246.33%19.31%0.00%
201321.29%$11,9720.94%$10,7241.29%2.52%0.01%
201334.25%$12,4815.21%$11,2834.25%13.72%0.01%
20134-0.31%$12,443-0.75%$11,198-0.31%-1.84%0.01%
201353.95%$12,9344.66%$11,7193.95%11.48%0.00%
20136-0.18%$12,911-1.40%$11,555-0.18%-3.25%0.00%
201376.69%$13,7759.75%$12,6826.69%23.00%0.00%
20138-3.10%$13,349-4.67%$12,090-3.10%-9.82%0.00%
201396.48%$14,2139.03%$13,1826.48%20.08%0.00%
2013102.39%$14,5533.22%$13,6062.39%6.51%0.00%
2013113.92%$15,1245.85%$14,4023.92%11.45%0.00%
2013121.98%$15,4243.16%$14,8571.98%5.87%0.01%
20141-2.74%$15,001-2.95%$14,418-2.74%-8.87%0.01%
201424.67%$15,7024.35%$15,0464.67%13.90%0.00%
20143-0.63%$15,603-0.96%$14,901-0.63%-2.82%0.00%
20144-3.89%$14,996-3.97%$14,310-3.89%-11.84%0.00%
201450.98%$15,1440.49%$14,3800.98%1.58%0.00%
201465.17%$15,9275.05%$15,1075.17%16.24%0.00%
20147-5.98%$14,975-6.14%$14,180-5.98%-17.84%0.00%
201484.78%$15,6904.46%$14,8134.78%14.81%0.00%
20149-5.96%$14,755-5.74%$13,963-5.96%-17.33%0.00%
2014106.59%$15,7275.60%$14,7456.59%19.29%0.00%
2014110.07%$15,7390.08%$14,7580.07%0.25%0.00%
2014122.91%$16,1972.44%$15,1182.91%7.43%0.00%
20151-3.33%$15,658-3.47%$14,593-3.33%-10.43%0.00%
201526.00%$16,5975.61%$15,4116.00%18.13%0.00%
201531.76%$16,8891.69%$15,6711.76%4.87%0.00%
20154-2.45%$16,475-2.82%$15,230-2.45%-7.90%0.00%
201552.14%$16,8282.09%$15,5482.14%6.18%0.00%
201560.93%$16,9840.63%$15,6460.93%1.79%0.00%
20157-1.29%$16,765-1.42%$15,424-1.29%-3.99%0.00%
20158-6.26%$15,716-6.55%$14,414-6.26%-18.91%0.01%
20159-4.87%$14,951-4.57%$13,755-4.87%-15.22%0.01%
2015105.62%$15,7914.42%$14,3635.62%16.54%0.00%
2015113.12%$16,2842.74%$14,7563.12%9.16%0.01%
201512-4.95%$15,478-4.85%$14,040-4.95%-15.36%0.02%
20161-8.48%$14,166-8.43%$12,857-8.48%-25.31%0.01%
20162-0.36%$14,114-0.45%$12,799-0.36%-1.73%0.03%
201638.02%$15,2476.56%$13,6398.02%24.38%0.03%
201641.54%$15,4821.29%$13,8151.54%4.09%0.02%
201652.29%$15,8362.03%$14,0962.29%6.28%0.02%
201660.00%$15,837-0.58%$14,0140.00%-1.79%0.03%
201675.99%$16,7855.98%$14,8515.99%18.00%0.02%
201681.61%$17,0561.89%$15,1331.61%5.10%0.02%
201691.11%$17,2450.84%$15,2601.11%2.18%0.03%
201610-4.60%$16,452-5.28%$14,455-4.60%-13.73%0.02%
20161111.04%$18,26912.47%$16,25811.04%35.47%0.03%
2016122.83%$18,7863.58%$16,8392.83%8.40%0.04%
201710.35%$18,8520.01%$16,8410.35%-0.05%0.04%
201721.93%$19,2161.83%$17,1501.93%5.42%0.04%
201730.10%$19,235-0.23%$17,1100.10%-0.76%0.04%
201741.11%$19,4500.99%$17,2791.11%2.76%0.06%
20175-1.99%$19,063-2.22%$16,895-1.99%-6.49%0.07%
201763.40%$19,7123.29%$17,4513.40%9.70%0.08%
201770.80%$19,8690.80%$17,5920.80%2.12%0.08%
20178-1.22%$19,626-1.57%$17,315-1.22%-4.53%0.09%
201796.30%$20,8636.82%$18,4956.30%19.41%0.08%
2017100.74%$21,0170.81%$18,6450.74%1.94%0.09%
2017113.00%$21,6473.29%$19,2583.00%8.21%0.09%
201712-0.48%$21,544-0.64%$19,135-0.48%-1.70%0.10%
201812.68%$22,1212.51%$19,6162.68%7.31%0.11%
20182-3.85%$21,270-4.32%$18,769-3.85%-12.61%0.12%
201831.14%$21,5120.79%$18,9171.14%2.19%0.14%
201841.06%$21,7400.67%$19,0441.06%1.78%0.14%
201856.09%$23,0636.13%$20,2126.09%18.46%0.15%
201860.71%$23,2260.54%$20,3200.71%1.19%0.16%
201871.57%$23,5911.72%$20,6691.57%4.41%0.16%
201884.37%$24,6214.82%$21,6644.37%12.51%0.17%
20189-2.39%$24,034-2.82%$21,053-2.39%-7.24%0.17%
201810-10.87%$21,421-11.82%$18,565-10.87%-30.90%0.18%
2018111.59%$21,7621.04%$18,7581.59%2.99%0.19%
201812-12.03%$19,144-10.26%$16,834-12.03%-33.70%0.19%
2019111.46%$21,33712.03%$18,85911.46%35.69%0.20%
201925.15%$22,4366.42%$20,0695.15%15.60%0.20%
20193-2.11%$21,963-3.14%$19,438-2.11%-7.42%0.20%
201943.45%$22,7204.10%$20,2353.45%9.51%0.20%
20195-7.78%$20,952-9.96%$18,220-7.78%-22.83%0.20%
201966.89%$22,3968.05%$19,6876.89%20.99%0.19%
201970.78%$22,5720.58%$19,8010.78%1.12%0.17%
20198-4.99%$21,446-6.69%$18,475-4.99%-15.97%0.17%
201992.12%$21,9022.07%$18,8572.12%5.14%0.16%
2019102.70%$22,4942.91%$19,4062.70%7.13%0.15%
2019114.07%$23,4104.97%$20,3694.07%11.90%0.13%
2019122.89%$24,0863.62%$21,1062.89%8.09%0.13%
20201-3.22%$23,310-3.14%$20,443-3.22%-9.68%0.13%
20202-8.28%$21,380-7.57%$18,895-8.28%-24.64%0.13%
20203-21.88%$16,701-16.71%$15,739-21.88%-66.22%0.10%
2020413.83%$19,0113.68%$16,31813.83%35.77%0.01%
202056.55%$20,2552.13%$16,6666.55%15.80%0.01%
202063.48%$20,9600.82%$16,8033.48%5.31%0.01%
202072.97%$21,5841.24%$17,0122.97%7.74%0.01%
202085.54%$22,7792.77%$17,4835.54%16.30%0.01%
20209-3.29%$22,029-2.07%$17,121-3.29%-10.84%0.01%
2020102.26%$22,5260.91%$17,2782.26%5.20%0.01%
20201118.36%$26,66211.26%$19,22218.36%61.76%0.01%
2020128.59%$28,9527.26%$20,6178.59%27.39%0.01%
202114.88%$30,3664.50%$21,5464.88%13.50%0.01%
202126.06%$32,2066.44%$22,9336.06%17.78%0.01%
202131.43%$32,6660.39%$23,0231.43%0.97%0.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth11.72%3.05%
Small-cap Value37.60%38.03%
Small-cap Growth48.09%52.49%
Global ex-US Developed Markets1.96%6.43%
Emerging Markets0.63%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared98.22%97.18%
Style analysis is based on monthly returns from January 2011 to March 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/EReturn ContributionRisk Contribution
VTWOVanguard Russell 2000 ETFSmall Blend100.00%0.79%0.10%20.89$22,666100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesReturn ContributionRisk Contribution
TNADirexion Daily Small Cap Bull 3X ETFLeveraged Equity33.33%0.02%1.11%$12,329100.08%
CASHXCashCash66.67%0.04%$693-0.08%
100.00%0.03%1.11%$13,023100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 04/14/2021. (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)1.11%0.81%
Arithmetic Mean (annualized)14.22%10.12%
Geometric Mean (monthly)0.97%0.68%
Geometric Mean (annualized)12.24%8.48%
Volatility (monthly)5.40%5.01%
Volatility (annualized)18.72%17.35%
Downside Deviation (monthly)3.52%3.39%
Max. Drawdown-32.17%-27.35%
US Market Correlation0.920.86
Beta(*)1.231.07
Alpha (annualized)-4.08%-5.40%
R285.03%74.02%
Sharpe Ratio0.680.52
Sortino Ratio1.040.77
Treynor Ratio (%)10.378.53
Calmar Ratio0.460.25
Active Return-1.75%-5.51%
Tracking Error7.95%8.89%
Information Ratio-0.22-0.62
Skewness-0.49-0.54
Excess Kurtosis2.960.87
Historical Value-at-Risk (5%)-8.23%-8.16%
Analytical Value-at-Risk (5%)-7.78%-8.00%
Conditional Value-at-Risk (5%)-11.65%-10.90%
Upside Capture Ratio (%)107.8095.27
Downside Capture Ratio (%)124.55129.01
Safe Withdrawal Rate14.99%13.38%
Perpetual Withdrawal Rate9.53%6.31%
Positive Periods81 out of 123 (65.85%)79 out of 123 (64.23%)
Gain/Loss Ratio0.900.84
* US stock market 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
1Sep 2018Mar 20201 year 7 monthsNov 20208 months2 years 3 months-32.17%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-25.07%
3Jul 2015Feb 20168 monthsAug 20166 months1 year 2 months-16.90%
4Jul 2014Sep 20143 monthsDec 20143 months6 months-7.36%
5Oct 2016Oct 20161 monthNov 20161 month2 months-4.60%
6Mar 2014Apr 20142 monthsJun 20142 months4 months-4.49%
7Feb 2018Feb 20181 monthMay 20183 months4 months-3.85%
8Jan 2015Jan 20151 monthFeb 20151 month2 months-3.33%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.10%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.74%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Mar 20201 year 7 monthsFeb 202111 months2 years 6 months-27.35%
2May 2011Sep 20115 monthsMar 20131 year 6 months1 year 11 months-25.75%
3Apr 2015Feb 201611 monthsNov 20169 months1 year 8 months-18.33%
4Jul 2014Sep 20143 monthsDec 20143 months6 months-7.57%
5Mar 2014Apr 20142 monthsJun 20142 months4 months-4.89%
6Aug 2013Aug 20131 monthSep 20131 month2 months-4.67%
7Feb 2018Feb 20181 monthMay 20183 months4 months-4.32%
8Jan 2015Jan 20151 monthFeb 20151 month2 months-3.47%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.95%
10May 2017May 20171 monthJun 20171 month2 months-2.22%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTWOVanguard Russell 2000 ETF12.24%18.72%38.76%-11.14%-32.17%0.681.040.92
TNADirexion Daily Small Cap Bull 3X ETF17.27%56.99%146.47%-39.89%-82.71%0.580.900.91
CASHXCash0.58%0.23%2.13%0.02%0.00%N/AN/A-0.10

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTWOTNACASHXPortfolio 1Portfolio 2
VTWOVanguard Russell 2000 ETF1.001.00-0.141.000.95
TNADirexion Daily Small Cap Bull 3X ETF1.001.00-0.131.000.96
CASHXCash-0.14-0.131.00-0.14-0.10

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTWOVanguard Russell 2000 ETF$22,666
TNADirexion Daily Small Cap Bull 3X ETF$12,329
CASHXCash$693

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTWOVanguard Russell 2000 ETF100.00%
TNADirexion Daily Small Cap Bull 3X ETF100.08%
CASHXCash-0.08%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.18%95.59%-23.96%8.37%50.41%-19.35%
3 years10.52%21.20%-4.60%8.98%20.47%-2.75%
5 years10.05%17.94%-0.22%8.32%15.00%0.09%
7 years10.34%16.43%4.25%8.74%14.44%3.47%
10 years11.66%11.89%11.22%7.91%8.15%7.50%