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 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 33.34%
TQQQ ProShares UltraPro QQQ 33.33%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 33.33%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$490,988 42.86% 27.80%93.94%-12.70%-26.89% 1.422.790.81
Vanguard 500 Index Investor$10,000$44,523 14.66% 13.35%32.18%-4.52%-19.63% 1.051.741.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.42%19.01%45.86%49.38%42.98%41.82%41.06%38.72%32.52%
Vanguard 500 Index Investor0.56%15.81%29.84%15.85%16.74%16.47%14.26%18.82%15.20%
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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ReturnBalanceReturnBalance
20112.96%41.49%$14,1491.97%$10,197-11.88%-8.05%109.14%
20121.74%42.73%$20,19615.82%$11,81046.80%52.29%0.60%
20131.50%55.06%$31,31632.18%$15,610118.49%139.73%-39.01%
20140.76%63.69%$51,26113.51%$17,71938.00%57.09%97.34%
20150.73%2.48%$52,5341.25%$17,940-5.24%17.23%-13.73%
20162.07%18.04%$62,01311.82%$20,06030.79%11.38%-2.52%
20172.11%68.06%$104,21821.67%$24,40771.37%118.06%22.73%
20181.91%-12.70%$90,980-4.52%$23,302-25.15%-19.80%-11.01%
20192.29%92.27%$174,92931.33%$30,602102.31%133.83%34.74%
20201.36%93.94%$339,25318.25%$36,18710.08%110.05%41.60%
20216.19%44.73%$490,98823.04%$44,52375.51%79.86%-13.88%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Vanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
ReturnBalanceReturnBalance
201111.72%$10,1722.36%$10,2366.56%8.01%-9.40%
201128.20%$11,0063.42%$10,58510.39%9.14%4.49%
20113-1.28%$10,8650.03%$10,588-0.80%-2.35%-0.55%
201147.96%$11,7302.95%$10,9008.73%8.58%6.57%
201150.64%$11,805-1.15%$10,775-3.93%-4.31%10.36%
20116-6.78%$11,004-1.67%$10,595-5.87%-7.01%-7.39%
201173.77%$11,419-2.05%$10,378-6.39%4.43%13.28%
20118-2.95%$11,082-5.45%$9,813-21.09%-19.54%27.34%
2011910.70%$12,268-7.04%$9,122-20.69%-14.31%41.35%
20111017.09%$14,36510.91%$10,11832.61%31.54%-12.87%
201111-3.85%$13,812-0.23%$10,094-3.35%-10.15%4.89%
2011122.44%$14,1491.02%$10,1972.30%-2.83%9.46%
2012113.09%$16,0014.46%$10,65213.90%26.86%-1.50%
201229.67%$17,5484.31%$11,11113.24%20.14%-7.95%
201236.38%$18,6683.28%$11,4759.29%15.46%-13.02%
201242.56%$19,146-0.64%$11,402-2.38%-4.30%14.37%
20125-1.12%$18,931-6.02%$10,716-17.35%-20.45%28.90%
201262.69%$19,4414.11%$11,15611.47%9.79%-5.78%
201275.74%$20,5571.37%$11,3093.52%2.28%11.43%
201285.70%$21,7292.24%$11,5626.53%16.09%-4.61%
201290.74%$21,8892.58%$11,8607.52%2.14%-7.87%
201210-7.91%$20,158-1.86%$11,639-5.96%-15.63%-2.13%
2012112.70%$20,7020.56%$11,7051.01%3.19%3.90%
201212-2.45%$20,1960.90%$11,8102.82%-1.93%-7.80%
201314.49%$21,1025.18%$12,42215.39%7.65%-9.58%
201322.49%$21,6281.34%$12,5883.56%0.59%3.39%
201336.54%$23,0423.74%$13,05811.03%8.74%-1.77%
201348.88%$25,0881.91%$13,3085.45%6.94%14.25%
20135-1.17%$24,7942.33%$13,6176.80%10.71%-19.65%
20136-7.70%$22,884-1.35%$13,433-5.23%-8.02%-10.33%
201379.72%$25,1085.07%$14,11516.41%20.14%-7.41%
20138-5.13%$23,818-2.91%$13,704-9.21%-1.69%-4.47%
201399.32%$26,0393.12%$14,1329.60%14.91%1.53%
20131010.86%$28,8674.59%$14,78013.76%14.70%4.12%
2013114.04%$30,0323.03%$15,2278.87%10.34%-8.19%
2013124.28%$31,3162.51%$15,6107.54%8.86%-6.01%
201410.80%$31,566-3.47%$15,069-10.72%-6.36%19.47%
201429.45%$34,5484.56%$15,75613.65%15.40%1.63%
20143-1.43%$34,0550.82%$15,8862.15%-8.37%1.76%
201441.86%$34,6880.72%$16,0011.65%-2.03%5.96%
201459.58%$38,0112.33%$16,3746.62%13.50%8.79%
201464.81%$39,8402.05%$16,7106.22%9.46%-1.00%
201470.07%$39,869-1.39%$16,478-4.44%3.05%1.61%
2014814.00%$45,4493.98%$17,13411.95%15.47%14.42%
20149-4.61%$43,354-1.41%$16,892-4.44%-2.78%-6.65%
2014106.89%$46,3422.42%$17,3026.03%6.58%8.06%
20141110.57%$51,2402.68%$17,7668.34%14.30%9.08%
2014120.04%$51,261-0.26%$17,719-1.54%-7.51%9.38%
201514.86%$53,753-3.02%$17,184-9.47%-6.95%31.01%
201524.32%$56,0745.74%$18,17017.48%22.74%-17.87%
20153-3.46%$54,132-1.59%$17,881-5.28%-7.46%2.57%
20154-0.85%$53,6720.95%$18,0512.59%5.16%-10.30%
201551.04%$54,2321.27%$18,2803.43%6.35%-7.91%
20156-8.47%$49,638-1.93%$17,927-6.21%-7.65%-12.49%
2015710.98%$55,0862.08%$18,3006.17%13.35%13.40%
20158-14.20%$47,264-6.05%$17,193-18.87%-21.28%-2.75%
20159-3.18%$45,763-2.48%$16,766-8.64%-8.13%5.10%
20151020.76%$55,2648.42%$18,17826.79%37.23%-1.73%
2015110.05%$55,2900.29%$18,2300.81%1.31%-2.71%
201512-4.98%$52,534-1.59%$17,940-6.06%-5.77%-2.41%
20161-6.26%$49,247-4.98%$17,047-15.38%-21.13%17.74%
201621.45%$49,959-0.15%$17,023-1.68%-6.04%8.71%
2016311.43%$55,6696.78%$18,17621.50%20.97%-0.64%
20164-3.72%$53,6000.37%$18,2440.81%-9.56%-2.39%
201656.27%$56,9621.78%$18,5694.65%12.84%1.86%
201664.20%$59,3550.25%$18,615-0.20%-7.83%21.23%
2016713.24%$67,2143.68%$19,30011.13%22.52%6.07%
20168-0.00%$67,2120.13%$19,3250.11%2.99%-3.58%
201690.54%$67,5750.01%$19,326-0.54%5.80%-4.78%
201610-7.85%$62,270-1.83%$18,972-5.62%-4.61%-13.32%
201611-3.34%$60,1883.70%$19,67411.05%1.10%-23.91%
2016123.03%$62,0131.96%$20,0605.96%2.60%-0.99%
201717.46%$66,6411.88%$20,4385.14%15.76%1.49%
2017210.08%$73,3593.96%$21,24811.91%13.39%4.41%
201731.31%$74,3220.10%$21,269-0.22%5.64%-2.35%
201745.09%$78,1061.02%$21,4852.77%8.07%4.43%
201756.84%$83,4461.39%$21,7853.70%11.43%5.17%
20176-1.76%$81,9780.61%$21,9181.51%-8.07%1.98%
201775.33%$86,3512.04%$22,3665.87%12.56%-2.43%
201784.99%$90,6610.29%$22,4310.21%5.04%10.13%
20179-0.92%$89,8302.06%$22,8935.69%-1.06%-7.29%
2017106.68%$95,8342.32%$23,4246.83%13.74%-0.53%
2017115.46%$101,0633.06%$24,1418.87%5.50%1.73%
2017123.12%$104,2181.10%$24,4073.45%1.18%5.04%
2018112.05%$116,7775.71%$25,80118.22%27.70%-9.77%
20182-9.67%$105,483-3.69%$24,848-13.53%-6.16%-9.57%
20183-5.95%$99,203-2.56%$24,213-8.69%-13.42%8.44%
20184-2.42%$96,7990.37%$24,303-0.14%-0.42%-6.71%
201859.67%$106,1562.39%$24,8856.46%17.00%5.27%
201861.67%$107,9330.61%$25,0361.29%2.18%1.49%
201874.53%$112,8243.71%$25,96410.73%7.56%-4.70%
2018810.30%$124,4463.25%$26,8079.09%17.69%3.36%
20189-2.67%$121,1290.55%$26,9561.20%-1.60%-8.77%
201810-18.83%$98,316-6.85%$25,109-20.78%-26.61%-9.11%
2018112.29%$100,5682.03%$25,6184.28%-2.91%4.76%
201812-9.53%$90,980-9.04%$23,302-26.25%-26.84%17.93%
2019117.07%$106,5158.00%$25,16723.89%26.92%0.41%
201925.08%$111,9253.20%$25,9739.28%8.57%-4.52%
2019310.32%$123,4761.94%$26,4764.85%11.05%17.00%
201947.30%$132,4884.04%$27,54511.81%16.64%-6.56%
20195-9.14%$120,382-6.36%$25,792-18.89%-24.01%21.11%
2019614.33%$137,6377.03%$27,60621.37%23.00%1.90%
201973.44%$142,3741.43%$28,0003.80%6.20%0.32%
201986.47%$151,584-1.59%$27,554-6.62%-7.79%35.11%
20199-1.61%$149,1461.86%$28,0675.30%1.88%-9.07%
2019104.67%$156,1132.15%$28,6715.70%12.43%-4.11%
2019117.37%$167,6123.62%$29,70910.73%12.20%-2.01%
2019124.37%$174,9293.01%$30,6028.38%11.37%-10.05%
2020110.36%$193,049-0.05%$30,587-0.91%8.19%23.80%
20202-6.01%$181,456-8.24%$28,066-23.04%-17.77%17.91%
20203-17.11%$150,408-12.37%$24,594-48.13%-38.13%11.91%
2020428.77%$193,67912.81%$27,74537.17%46.45%2.68%
2020510.09%$213,2274.76%$29,06513.38%18.63%-6.48%
202068.65%$231,6701.98%$29,6403.23%17.98%0.54%
2020717.69%$272,6625.63%$31,30717.70%22.25%13.13%
2020814.75%$312,8907.18%$33,55422.05%35.17%-14.89%
20209-11.53%$276,800-3.81%$32,276-12.26%-18.88%2.15%
202010-9.70%$249,946-2.67%$31,413-8.48%-10.28%-10.35%
20201124.74%$311,77410.94%$34,84935.20%34.54%4.24%
2020128.81%$339,2533.84%$36,18711.14%15.05%-2.32%
20211-5.01%$322,264-1.02%$35,817-3.71%-0.47%-10.84%
20212-3.12%$312,2162.75%$36,8047.74%-1.38%-16.79%
202131.68%$317,4764.37%$38,41213.33%2.29%-15.40%
2021413.50%$360,3315.32%$40,45716.17%17.97%6.35%
20215-1.27%$355,7430.69%$40,7341.36%-4.71%-0.34%
2021613.01%$402,0412.31%$41,6746.59%19.41%13.37%
202178.74%$437,1642.38%$42,6656.93%8.36%10.92%
202186.67%$466,3233.03%$43,9578.97%12.62%-1.36%
20219-13.42%$403,744-4.66%$41,908-13.94%-16.67%-9.24%
20211017.84%$475,7906.99%$44,83821.90%24.56%7.08%
2021113.19%$490,988-0.70%$44,523-2.71%5.37%7.39%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightTTM YieldExpense RatioContribution
NetGrossReturnRisk
UPROProShares UltraPro S&P500Leveraged Equity33.34%0.04%0.91%0.91%$179,83340.82%
TQQQProShares UltraPro QQQLeveraged Equity33.33%0.95%1.01%$251,95451.76%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt33.33%2.39%1.06%1.06%$49,2027.42%
100.00%0.81%0.97%0.99%$480,988100.00%

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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)3.33%1.22%
Arithmetic Mean (annualized)48.14%15.67%
Geometric Mean (monthly)3.02%1.15%
Geometric Mean (annualized)42.86%14.66%
Standard Deviation (monthly)8.03%3.85%
Standard Deviation (annualized)27.80%13.35%
Downside Deviation (monthly)4.05%2.31%
Max. Drawdown-26.89%-19.63%
US Market Correlation0.811.00
Beta(*)1.711.00
Alpha (annualized)14.98%0.00%
R267.07%100.00%
Sharpe Ratio1.421.05
Sortino Ratio2.791.74
Treynor Ratio (%)23.1114.10
Calmar Ratio3.151.03
Active Return28.20%N/A
Tracking Error18.53%N/A
Information Ratio1.52N/A
Skewness0.02-0.36
Excess Kurtosis0.621.60
Historical Value-at-Risk (5%)-9.60%-6.03%
Analytical Value-at-Risk (5%)-10.29%-5.12%
Conditional Value-at-Risk (5%)-13.50%-7.99%
Upside Capture Ratio (%)232.79100.00
Downside Capture Ratio (%)132.14100.00
Safe Withdrawal Rate39.78%16.67%
Perpetual Withdrawal Rate30.66%11.84%
Positive Periods90 out of 131 (68.70%)93 out of 131 (70.99%)
Gain/Loss Ratio1.310.93
* 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 1Vanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-22.09%-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-26.89%
2Feb 2020Mar 20202 monthsApr 20201 month3 months-22.09%
3Sep 2020Oct 20202 monthsDec 20202 months4 months-20.12%
4Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-18.39%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-17.11%
6Sep 2021Sep 20211 monthOct 20211 month2 months-13.42%
7Oct 2016Nov 20162 monthsFeb 20173 months5 months-10.93%
8May 2019May 20191 monthJun 20191 month2 months-9.14%
9May 2013Jun 20132 monthsJul 20131 month3 months-8.78%
10Jan 2021Feb 20212 monthsApr 20212 months4 months-7.97%
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%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50033.91%41.99%118.49%-25.15%-60.44%0.911.450.99
TQQQProShares UltraPro QQQ53.34%49.09%139.73%-19.80%-49.12%1.122.020.91
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF13.07%38.61%109.14%-39.01%-50.20%0.490.89-0.37

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
ProShares UltraPro S&P5000.28%47.99%103.52%26.16%36.25%40.70%0.91%0.91%
ProShares UltraPro QQQ1.69%37.04%90.33%51.95%63.39%58.68%0.95%1.01%
Direxion Daily 20+ Yr Trsy Bull 3X ETF-0.70%-25.11%-31.65%17.07%0.38%4.74%1.06%1.06%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTQQQTMFPortfolio 1Vanguard 500 Index Investor
UPROProShares UltraPro S&P5001.000.92-0.360.821.00
TQQQProShares UltraPro QQQ0.921.00-0.270.890.92
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.36-0.271.000.16-0.36

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
UPROProShares UltraPro S&P500$179,833
TQQQProShares UltraPro QQQ$251,954
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$49,202

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
UPROProShares UltraPro S&P50040.82%
TQQQProShares UltraPro QQQ51.76%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF7.42%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year44.69%111.08%-12.70%15.24%56.19%-7.11%
3 years38.03%69.64%20.09%13.63%22.80%4.96%
5 years35.69%52.16%22.68%13.15%18.77%6.58%
7 years36.41%44.47%30.25%13.28%16.74%9.47%
10 years42.01%45.35%39.73%14.74%16.47%13.27%