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 2018 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 15.00%
UPRO ProShares UltraPro S&P500 15.00%
TYD Direxion Daily 7-10 Yr Trs Bull 3X ETF 40.00%
UTSL Direxion Daily Utilities Bull 3X ETF 15.00%
EURL Direxion Daily FTSE Europe Bull 3X ETF 15.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UBT ProShares Ultra 20+ Year Treasury 15.00%
UST ProShares Ultra 7-10 Year Treasury 40.00%
SPUU Direxion Daily S&P 500 Bull 2X ETF 22.50%
UPW ProShares Ultra Utilities 22.50%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$46,662 50.80% 18.01%20.86%19.50%50.99%-11.04%-13.40%
(-13.40%)
0.891.530.67
Portfolio 2$10,000$40,904 45.59% 13.94%15.01%13.14%34.57%-2.88%-8.82%
(-8.82%)
0.971.790.61
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 yearFull3 year
Portfolio 1-0.99%4.06%16.99%25.74%18.01%20.47%
Portfolio 20.33%2.82%9.31%17.94%13.94%13.86%
Trailing annualized return and volatility are for full months ending in September 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 September
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual contribution of $6,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro S&P500 (UPRO)Direxion Daily 7-10 Yr Trs Bull 3X ETF (TYD)Direxion Daily Utilities Bull 3X ETF (UTSL)Direxion Daily FTSE Europe Bull 3X ETF (EURL)ProShares Ultra 20+ Year Treasury (UBT)ProShares Ultra 7-10 Year Treasury (UST)Direxion Daily S&P 500 Bull 2X ETF (SPUU)ProShares Ultra Utilities (UPW)
ReturnBalanceReturnBalance
20181.91%$6,115-11.04%$15,010-2.88%$15,827-11.01%-25.15%0.75%-2.25%-46.39%-6.53%-1.08%-14.60%2.34%
20192.29%$6,25450.99%$28,91834.57%$27,55234.74%102.31%17.88%81.24%72.63%24.45%13.34%66.84%48.59%
20201.36%$6,34033.14%$44,84121.38%$39,78441.60%10.08%27.53%-38.74%-23.31%31.87%18.84%21.89%-17.18%
20215.31%$0.004.06%$46,6622.82%$40,904-25.11%47.99%-11.14%5.36%28.85%-15.99%-7.42%31.74%4.87%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares UltraPro S&P500 (UPRO)Direxion Daily 7-10 Yr Trs Bull 3X ETF (TYD)Direxion Daily Utilities Bull 3X ETF (UTSL)Direxion Daily FTSE Europe Bull 3X ETF (EURL)ProShares Ultra 20+ Year Treasury (UBT)ProShares Ultra 7-10 Year Treasury (UST)Direxion Daily S&P 500 Bull 2X ETF (SPUU)ProShares Ultra Utilities (UPW)
ReturnBalanceReturnBalance
20181-0.24%$9,976-1.90%$9,810-9.77%18.22%-6.56%-9.62%17.10%-6.62%-4.67%11.68%-7.42%
20182-9.75%$9,004-5.23%$9,296-9.57%-13.53%-2.44%-13.49%-18.73%-6.34%-1.94%-7.98%-7.21%
201832.15%$9,1982.10%$9,4928.44%-8.69%3.37%11.43%-2.32%5.52%2.49%-5.10%7.65%
20184-1.19%$9,088-0.84%$9,412-6.71%-0.14%-4.70%5.65%5.82%-4.43%-3.03%0.08%4.52%
201850.83%$9,1641.68%$9,5705.27%6.46%3.03%-4.79%-8.09%3.48%1.69%4.24%-1.90%
201860.89%$9,2451.70%$9,7331.49%1.29%0.29%7.15%-4.99%1.01%0.23%0.78%5.59%
201872.64%$9,4890.99%$9,830-4.70%10.73%-1.23%5.08%9.76%-2.97%-1.43%7.13%1.80%
201881.74%$9,6543.17%$10,1413.36%9.09%2.42%2.16%-9.15%2.21%1.82%6.36%2.74%
20189-3.03%$9,361-1.96%$9,942-8.77%1.20%-3.80%-2.73%-0.72%-5.85%-2.55%1.29%-2.04%
201810-7.49%$8,660-3.58%$9,587-9.11%-20.78%-0.58%4.62%-23.13%-6.20%-0.99%-13.78%3.77%
2018113.77%$8,9863.52%$9,9244.76%4.28%2.87%9.93%-3.18%3.07%2.50%3.24%5.76%
201812-1.01%$15,010-2.14%$15,82717.93%-26.25%9.11%-13.31%-15.30%12.31%5.23%-18.94%-9.10%
201918.76%$16,3246.14%$16,7990.41%23.89%1.33%10.38%20.15%0.08%0.99%17.67%7.82%
201923.46%$16,8892.34%$17,192-4.52%9.28%-1.85%11.62%8.57%-2.90%-1.17%5.97%7.47%
201937.11%$18,0905.42%$18,12417.00%4.85%7.00%8.08%1.49%10.96%5.02%3.51%5.01%
201941.65%$18,3871.05%$18,315-6.56%11.81%-2.61%1.43%11.24%-4.16%-1.27%8.08%1.64%
201950.29%$18,4400.55%$18,41621.11%-18.89%9.79%-3.12%-16.98%13.91%5.88%-12.71%-2.97%
201968.19%$19,9515.55%$19,4381.90%21.37%2.69%9.16%18.91%1.64%2.14%13.98%6.80%
20197-1.09%$19,7340.33%$19,5020.32%3.80%-0.63%-1.18%-8.52%0.21%-0.13%2.76%-1.21%
2019810.48%$21,8027.69%$21,00235.11%-6.62%12.07%14.43%-6.01%22.73%7.68%-3.94%9.66%
201990.02%$21,8060.46%$21,100-9.07%5.30%-4.27%12.67%6.59%-5.77%-2.58%3.58%7.72%
2019101.32%$22,093-0.01%$21,098-4.11%5.70%-0.07%-3.39%10.77%-2.55%0.06%3.61%-2.05%
2019110.11%$22,118-0.12%$21,073-2.01%10.73%-2.46%-6.20%3.53%-1.23%-1.65%7.34%-4.49%
2019122.47%$28,9181.07%$27,552-10.05%8.38%-2.90%9.90%12.96%-6.75%-1.76%5.72%6.19%
202019.27%$31,5997.82%$29,70823.80%-0.91%10.13%21.09%-9.19%15.89%6.61%-0.17%12.58%
20202-4.27%$30,249-3.61%$28,63517.91%-23.04%8.88%-29.04%-23.57%13.80%5.90%-15.89%-20.69%
20203-9.05%$27,510-5.40%$27,08811.91%-48.13%10.44%-45.48%-54.92%9.75%7.15%-29.45%-25.91%
202049.01%$29,9907.25%$29,0532.68%37.17%0.30%1.89%17.56%2.04%0.49%25.55%4.45%
202055.89%$31,7563.42%$30,047-6.48%13.38%0.50%11.13%15.66%-4.16%0.38%8.93%6.94%
202060.07%$31,779-1.43%$29,6190.54%3.23%-0.03%-14.94%8.82%0.41%-0.12%2.71%-9.67%
2020710.47%$35,1067.78%$31,92413.13%17.70%2.23%23.37%9.64%8.78%1.84%11.38%14.09%
202080.67%$35,341-0.07%$31,901-14.89%22.05%-3.01%-8.37%13.10%-10.11%-2.01%14.71%-5.04%
20209-3.10%$34,246-1.39%$31,4582.15%-12.26%1.02%2.44%-10.40%1.58%0.58%-7.44%0.74%
202010-5.11%$32,494-1.70%$30,923-10.35%-8.48%-4.37%13.69%-17.29%-7.00%-2.75%-6.75%8.75%
20201113.62%$36,9206.36%$32,8904.24%35.20%0.68%1.67%56.25%2.85%0.50%23.37%3.09%
2020124.28%$44,8411.68%$39,784-2.32%11.14%-0.91%1.43%15.35%-2.33%-0.62%7.66%1.41%
20211-4.55%$42,800-2.84%$38,656-10.84%-3.71%-3.02%-4.00%-3.75%-7.36%-2.23%-1.54%-2.20%
20212-5.69%$40,363-4.90%$36,761-16.79%7.74%-7.36%-17.53%7.42%-11.27%-4.73%5.03%-11.17%
202133.69%$41,8543.35%$37,992-15.40%13.33%-6.91%33.64%9.37%-10.33%-4.74%8.38%21.40%
202148.36%$45,3555.54%$40,0986.35%16.17%2.56%12.37%14.03%4.53%2.14%10.53%7.27%
202151.62%$46,091-0.55%$39,878-0.34%1.36%1.38%-7.61%13.41%-0.06%0.63%1.28%-4.74%
202162.25%$47,1272.23%$40,76813.37%6.59%2.89%-7.00%-4.78%8.68%1.92%4.61%-4.21%
202177.59%$50,7025.51%$43,01310.92%6.93%5.87%12.31%4.77%7.48%4.37%4.50%7.21%
202183.16%$52,3062.26%$43,983-1.36%8.97%-1.43%11.99%4.92%-0.72%-1.77%6.06%7.49%
20219-10.79%$46,662-7.00%$40,904-9.24%-13.94%-4.83%-18.01%-15.83%-5.93%-2.86%-9.44%-11.86%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value8.36%
Large-cap Growth23.28%
Mid-cap Value13.63%
Mid-cap Growth4.90%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries49.82%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared76.10%
Style analysis is based on monthly returns from January 2018 to September 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
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt15.00%2.74%1.06%$1,52512.03%
UPROProShares UltraPro S&P500Leveraged Equity15.00%0.05%0.91%$7,77327.33%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETFLeveraged Debt40.00%10.90%1.09%$2,5349.90%
UTSLDirexion Daily Utilities Bull 3X ETFLeveraged Equity15.00%1.28%1.00%24.26$1,29822.17%
EURLDirexion Daily FTSE Europe Bull 3X ETFLeveraged Equity15.00%0.42%1.07%16.87$4,82328.56%
100.00%5.03%1.04%20.57$17,954100.00%

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/EReturn ContributionRisk Contribution
UBTProShares Ultra 20+ Year TreasuryLeveraged Debt15.00%0.95%$1,19812.85%
USTProShares Ultra 7-10 Year TreasuryLeveraged Debt40.00%0.32%0.95%$1,79912.31%
SPUUDirexion Daily S&P 500 Bull 2X ETFLeveraged Equity22.50%6.17%0.63%24.09$7,46637.68%
UPWProShares Ultra UtilitiesLeveraged Equity22.50%1.35%0.95%$1,73337.16%
100.00%1.82%0.88%24.09$12,196100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 2
Arithmetic Mean (monthly)1.54%1.16%
Arithmetic Mean (annualized)20.18%14.88%
Geometric Mean (monthly)1.39%1.09%
Geometric Mean (annualized)18.01%13.94%
Volatility (monthly)5.63%3.79%
Volatility (annualized)19.50%13.14%
Downside Deviation (monthly)3.23%2.02%
Max. Drawdown-13.40%-8.82%
US Market Correlation0.670.61
Beta(*)0.730.45
Alpha (annualized)6.71%6.71%
R245.56%37.71%
Sharpe Ratio0.890.97
Sortino Ratio1.531.79
Treynor Ratio (%)23.7528.53
Calmar Ratio1.992.03
Active Return2.42%-1.66%
Tracking Error15.19%14.38%
Information Ratio0.16-0.12
Skewness-0.14-0.01
Excess Kurtosis-0.17-0.57
Historical Value-at-Risk (5%)-8.74%-5.17%
Analytical Value-at-Risk (5%)-8.49%-5.29%
Conditional Value-at-Risk (5%)-9.86%-5.88%
Upside Capture Ratio (%)79.0549.96
Downside Capture Ratio (%)56.8325.97
Safe Withdrawal Rate39.80%39.79%
Perpetual Withdrawal Rate15.75%11.97%
Positive Periods31 out of 45 (68.89%)27 out of 45 (60.00%)
Gain/Loss Ratio0.921.45
* 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
COVID-19 StartJan 2020Mar 2020-12.94%-8.82%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2018Oct 201810 monthsFeb 20194 months1 year 2 months-13.40%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-12.94%
3Sep 2021Sep 20211 month-10.79%
4Jan 2021Feb 20212 monthsApr 20212 months4 months-9.99%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-8.05%
6Jul 2019Jul 20191 monthAug 20191 month2 months-1.09%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-8.82%
2Jan 2021Feb 20212 monthsApr 20212 months4 months-7.60%
3Jan 2018Feb 20182 monthsAug 20186 months8 months-7.04%
4Sep 2021Sep 20211 month-7.00%
5Sep 2018Oct 20182 monthsJan 20193 months5 months-5.47%
6Aug 2020Oct 20203 monthsNov 20201 month4 months-3.13%
7Jun 2020Jun 20201 monthJul 20201 month2 months-1.43%
8May 2021May 20211 monthJun 20211 month2 months-0.55%
9Oct 2019Nov 20192 monthsDec 20191 month3 months-0.12%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF6.61%39.50%41.60%-25.11%-50.20%0.320.57-0.28
UPROProShares UltraPro S&P50027.23%54.97%102.31%-25.15%-60.44%0.711.070.99
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF8.24%16.80%27.53%-11.14%-21.82%0.480.90-0.40
UTSLDirexion Daily Utilities Bull 3X ETF3.64%48.27%81.24%-38.74%-62.74%0.310.430.46
EURLDirexion Daily FTSE Europe Bull 3X ETF-2.35%58.54%72.63%-46.39%-75.27%0.250.370.88
UBTProShares Ultra 20+ Year Treasury6.99%26.57%31.87%-15.99%-37.12%0.340.60-0.30
USTProShares Ultra 7-10 Year Treasury5.75%11.12%18.84%-7.42%-15.06%0.450.82-0.36
SPUUDirexion Daily S&P 500 Bull 2X ETF24.69%36.34%66.84%-14.60%-40.76%0.761.161.00
UPWProShares Ultra Utilities7.70%30.44%48.59%-17.18%-41.24%0.360.500.48

Monthly Correlations

Correlations for the portfolio assets
TickerNameTMFUPROTYDUTSLEURLUBTUSTSPUUUPWPortfolio 1Portfolio 2
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF1.00-0.270.940.01-0.261.000.94-0.270.000.420.46
UPROProShares UltraPro S&P500-0.271.00-0.400.490.90-0.29-0.371.000.510.690.62
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF0.94-0.401.00-0.11-0.380.950.99-0.39-0.110.300.35
UTSLDirexion Daily Utilities Bull 3X ETF0.010.49-0.111.000.43-0.02-0.100.480.990.630.72
EURLDirexion Daily FTSE Europe Bull 3X ETF-0.260.90-0.380.431.00-0.29-0.360.890.440.670.52
UBTProShares Ultra 20+ Year Treasury1.00-0.290.95-0.02-0.291.000.94-0.29-0.030.400.44
USTProShares Ultra 7-10 Year Treasury0.94-0.370.99-0.10-0.360.941.00-0.36-0.100.330.37
SPUUDirexion Daily S&P 500 Bull 2X ETF-0.271.00-0.390.480.89-0.29-0.361.000.500.690.62
UPWProShares Ultra Utilities0.000.51-0.110.990.44-0.03-0.100.501.000.650.73

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$1,525
UPROProShares UltraPro S&P500$7,773
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF$2,534
UTSLDirexion Daily Utilities Bull 3X ETF$1,298
EURLDirexion Daily FTSE Europe Bull 3X ETF$4,823
UBTProShares Ultra 20+ Year Treasury$1,198
USTProShares Ultra 7-10 Year Treasury$1,799
SPUUDirexion Daily S&P 500 Bull 2X ETF$7,466
UPWProShares Ultra Utilities$1,733

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF12.03%
UPROProShares UltraPro S&P50027.33%
TYDDirexion Daily 7-10 Yr Trs Bull 3X ETF9.90%
UTSLDirexion Daily Utilities Bull 3X ETF22.17%
EURLDirexion Daily FTSE Europe Bull 3X ETF28.56%
UBTProShares Ultra 20+ Year Treasury12.85%
USTProShares Ultra 7-10 Year Treasury12.31%
SPUUDirexion Daily S&P 500 Bull 2X ETF37.68%
UPWProShares Ultra Utilities37.16%

Annual Asset Returns