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 2011 - Jun 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TVIX VelocityShares Daily 2x VIX ST ETN 20.00%
TQQQ ProShares UltraPro QQQ 80.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
TQQQ ProShares UltraPro QQQ 55.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
TQQQ ProShares UltraPro QQQ 50.00%
VIIX VelocityShares VIX ST ETN 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$503,370 18.54% 26.39%94.44%-25.27%-34.71% 0.751.420.47
Portfolio 2$100,000$2,438,868 39.97% 26.01%97.20%-10.55%-27.45% 1.412.770.62
Portfolio 3$100,000$1,379,330 31.82% 21.03%68.91%-0.79%-19.82% 1.403.000.43
   
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 2020 are based on monthly returns from January to June
  • 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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVelocityShares Daily 2x VIX ST ETN (TVIX)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)VelocityShares VIX ST ETN (VIIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20112.96%6.68%45.66%42.87%$106,677$145,662$142,870-50.63%-8.05%109.14%-7.10%
20121.74%-11.52%35.84%17.36%$94,392$197,870$167,671-97.08%52.29%0.60%-77.56%
20131.50%39.63%34.30%20.11%$131,801$265,741$201,396-91.97%139.73%-39.01%-66.51%
20140.76%28.01%77.05%64.57%$168,713$470,508$331,444-63.20%57.09%97.34%-25.91%
20150.73%14.44%8.79%8.10%$193,074$511,862$358,287-77.32%17.23%-13.73%-36.46%
20162.07%-25.27%10.76%0.20%$144,291$566,926$359,001-93.92%11.38%-2.52%-68.23%
20172.11%17.31%70.31%44.46%$169,270$965,538$518,614-94.18%118.06%22.73%-72.67%
20181.91%9.52%-10.55%-0.79%$185,382$863,720$514,53928.00%-19.80%-11.01%68.59%
20192.29%39.64%97.20%68.91%$258,876$1,703,254$869,108-92.76%133.83%34.74%-67.70%
20200.32%94.44%43.19%58.71%$503,370$2,438,868$1,379,330146.59%12.82%57.74%123.82%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVelocityShares Daily 2x VIX ST ETN (TVIX)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)VelocityShares VIX ST ETN (VIIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
201110.51%0.17%-1.38%$100,509$100,171$98,623-29.48%8.01%-9.40%-16.19%
201124.72%7.05%6.24%$105,256$107,230$104,779-12.95%9.14%4.49%-1.23%
20113-3.61%-1.54%-2.11%$101,453$105,576$102,571-8.66%-2.35%-0.55%-7.10%
20114-0.82%7.67%4.82%$100,626$113,677$107,514-38.39%8.58%6.57%-20.97%
20115-6.77%2.29%1.18%$93,810$116,283$108,782-16.64%-4.31%10.36%-8.11%
20116-6.60%-7.18%-6.56%$87,623$107,930$101,642-4.94%-7.01%-7.39%-1.00%
201177.42%8.41%8.63%$94,128$117,007$110,41819.41%4.43%13.28%11.09%
2011811.44%1.56%7.89%$104,893$118,829$119,126135.35%-19.54%27.34%67.20%
201194.46%10.74%13.02%$109,575$131,586$134,63579.58%-14.31%41.35%36.35%
20111015.38%11.55%8.11%$126,431$146,789$145,554-49.23%31.54%-12.87%-25.10%
201111-8.06%-3.38%-2.67%$116,242$141,830$141,6610.29%-10.15%4.89%4.41%
201112-8.23%2.70%0.85%$106,677$145,662$142,870-29.83%-2.83%9.46%-15.17%
2012112.73%14.10%10.38%$120,255$166,197$157,706-43.79%26.86%-1.50%-24.45%
2012214.73%7.50%6.08%$137,969$178,661$167,296-6.90%20.14%-7.95%-8.10%
201231.02%2.64%-0.63%$139,371$183,386$166,250-56.76%15.46%-13.02%-31.48%
20124-4.97%4.10%3.40%$132,451$190,905$171,896-7.61%-4.30%14.37%-2.00%
20125-9.08%1.76%3.94%$120,422$194,264$178,67636.38%-20.45%28.90%26.07%
20126-1.39%2.79%-0.13%$118,753$199,678$178,444-46.10%9.79%-5.78%-27.16%
20127-3.51%6.40%4.68%$114,582$212,454$186,795-26.68%2.28%11.43%-10.33%
201287.37%6.78%4.67%$123,032$226,854$195,521-27.50%16.09%-4.61%-15.32%
20129-6.64%-2.37%-4.28%$114,861$221,488$187,151-41.76%2.14%-7.87%-22.02%
201210-12.51%-9.55%-8.37%$100,496$200,325$171,4890.00%-15.63%-2.13%2.98%
201211-6.00%3.51%1.16%$94,462$207,355$173,473-42.76%3.19%3.90%-19.98%
201212-0.07%-4.57%-3.34%$94,392$197,870$167,6717.36%-1.93%-7.80%7.43%
20131-2.45%-0.10%-2.37%$92,083$197,663$163,702-42.83%7.65%-9.58%-23.59%
20132-1.17%1.85%1.48%$91,002$201,321$166,132-8.24%0.59%3.39%-1.67%
201331.32%4.01%2.12%$92,202$209,399$169,662-28.37%8.74%-1.77%-15.39%
201341.51%10.23%8.53%$93,591$230,819$184,134-20.23%6.94%14.25%-6.40%
201358.49%-2.95%-2.38%$101,540$224,005$179,755-0.36%10.71%-19.65%1.27%
20136-4.05%-9.06%-7.36%$97,425$203,704$166,51811.83%-8.02%-10.33%7.81%
201377.14%7.74%4.40%$104,381$219,479$173,840-44.87%20.14%-7.41%-27.10%
201382.68%-2.94%-1.34%$107,179$213,022$171,50720.17%-1.69%-4.47%12.92%
201396.65%8.89%6.70%$114,301$231,961$183,007-26.42%14.91%1.53%-13.64%
2013106.60%9.94%7.79%$121,848$255,013$197,261-25.77%14.70%4.12%-12.08%
2013113.68%2.00%0.68%$126,333$260,107$198,605-22.94%10.34%-8.19%-12.09%
2013124.33%2.17%1.41%$131,801$265,741$201,396-13.79%8.86%-6.01%-6.19%
201410.49%5.27%6.20%$132,444$279,735$213,88527.87%-6.36%19.47%15.91%
201427.67%9.21%7.21%$142,603$305,486$229,300-23.25%15.40%1.63%-11.47%
20143-7.64%-3.81%-3.85%$131,703$293,845$220,475-4.76%-8.37%1.76%-3.69%
20144-4.25%1.56%0.91%$126,103$298,437$222,489-13.12%-2.03%5.96%-4.53%
201454.63%11.39%8.62%$131,941$332,415$241,665-30.87%13.50%8.79%-16.51%
201461.72%4.75%2.84%$134,214$348,212$248,524-29.22%9.46%-1.00%-14.91%
201475.73%2.40%3.21%$141,902$356,575$256,49316.44%3.05%1.61%10.38%
201488.17%15.00%12.42%$153,491$410,054$288,343-21.04%15.47%14.42%-10.86%
201491.50%-4.52%-2.96%$155,797$391,531$279,80218.61%-2.78%-6.65%10.84%
2014102.49%7.25%6.23%$159,680$419,900$297,237-13.85%6.58%8.06%-2.82%
2014117.94%11.95%9.82%$172,352$470,077$326,421-17.50%14.30%9.08%-9.62%
201412-2.11%0.09%1.54%$168,713$470,508$331,44419.48%-7.51%9.38%15.41%
201510.09%10.13%10.62%$168,872$518,184$366,63028.26%-6.95%31.01%16.86%
201529.94%4.47%1.70%$185,663$541,328$372,847-41.24%22.74%-17.87%-25.27%
20153-9.62%-2.94%-3.44%$167,804$525,391$360,031-18.27%-7.46%2.57%-7.37%
20154-1.52%-1.80%-2.99%$165,249$515,940$349,258-28.24%5.16%-10.30%-14.50%
20155-0.33%-0.07%-1.29%$164,708$515,595$344,756-27.05%6.35%-7.91%-13.00%
20156-4.55%-9.83%-8.24%$157,220$464,917$316,3557.87%-7.65%-12.49%5.84%
201572.55%13.37%10.00%$161,237$527,094$347,998-40.63%13.35%13.40%-20.34%
2015814.83%-12.94%-4.99%$185,154$458,876$330,629159.30%-21.28%-2.75%67.50%
20159-10.03%-2.18%-2.47%$166,592$448,876$322,449-17.59%-8.13%5.10%-4.47%
20151020.01%19.70%15.27%$199,932$537,284$371,676-48.85%37.23%-1.73%-26.54%
2015110.18%-0.50%-0.45%$200,298$534,606$369,995-4.33%1.31%-2.71%-0.24%
201512-3.61%-4.25%-3.16%$193,074$511,862$358,2875.03%-5.77%-2.41%6.81%
20161-9.91%-3.64%-1.47%$173,942$493,235$353,02734.98%-21.13%17.74%20.01%
20162-4.07%0.60%0.79%$166,856$496,180$355,8023.79%-6.04%8.71%3.22%
201636.79%11.24%7.31%$178,180$551,970$381,828-49.94%20.97%-0.64%-29.13%
20164-10.20%-6.34%-6.20%$160,006$516,999$358,172-12.76%-9.56%-2.39%-4.58%
201652.91%7.90%5.24%$164,659$557,824$376,937-36.81%12.84%1.86%-19.23%
20166-8.25%5.25%4.72%$151,082$587,088$394,741-9.92%-7.83%21.23%1.47%
201678.20%15.12%11.07%$163,468$675,847$438,457-49.08%22.52%6.07%-26.14%
20168-1.92%0.03%-1.03%$160,335$676,079$433,957-21.55%2.99%-3.58%-10.90%
201691.31%1.04%0.36%$162,443$683,111$435,523-16.63%5.80%-4.78%-6.28%
201610-3.82%-8.53%-7.58%$156,235$624,835$402,502-0.66%-4.61%-13.32%0.52%
201611-6.35%-10.15%-10.85%$146,311$561,397$358,839-36.16%1.10%-23.91%-18.35%
201612-1.38%0.98%0.05%$144,291$566,926$359,001-17.29%2.60%-0.99%-8.59%
201714.04%9.34%6.10%$150,114$619,871$380,894-42.86%15.76%1.49%-23.78%
201728.54%9.35%7.94%$162,938$677,826$411,144-10.85%13.39%4.41%-5.18%
20173-1.02%2.05%0.44%$161,273$691,695$412,966-27.67%5.64%-2.35%-14.38%
201744.08%6.43%5.32%$167,853$736,202$434,944-11.89%8.07%4.43%-4.87%
201754.59%8.61%6.77%$175,550$799,615$464,392-22.81%11.43%5.17%-10.13%
20176-8.75%-3.55%-3.79%$160,188$771,260$446,812-11.48%-8.07%1.98%-5.44%
201775.46%5.81%4.09%$168,932$816,107$465,079-22.96%12.56%-2.43%-12.20%
201783.66%7.33%6.90%$175,120$875,919$497,186-1.84%5.04%10.13%3.33%
20179-6.66%-3.86%-4.99%$163,464$842,112$472,394-29.05%-1.06%-7.29%-15.44%
2017105.77%7.32%5.33%$172,893$903,761$497,572-26.13%13.74%-0.53%-13.30%
2017111.94%3.81%2.84%$176,248$938,163$511,728-12.31%5.50%1.73%-6.00%
201712-3.96%2.92%1.35%$169,270$965,538$518,614-24.52%1.18%5.04%-12.61%
2018124.91%10.84%10.67%$211,428$1,070,208$573,97113.72%27.70%-9.77%7.30%
201822.56%-7.70%-2.09%$216,842$987,817$562,00037.46%-6.16%-9.57%48.26%
20183-8.98%-3.58%-2.66%$197,366$952,409$547,0348.78%-13.42%8.44%6.72%
20184-5.09%-3.25%-4.12%$187,310$921,441$524,469-23.78%-0.42%-6.71%-12.30%
201858.89%11.72%9.50%$203,964$1,029,434$574,296-23.54%17.00%5.27%-11.06%
201860.97%1.87%1.70%$205,943$1,048,693$584,060-3.88%2.18%1.49%0.13%
201870.29%2.05%0.39%$206,542$1,070,141$586,344-28.80%7.56%-4.70%-15.11%
2018810.90%11.24%9.45%$229,062$1,190,472$641,725-16.26%17.69%3.36%-7.47%
20189-4.55%-4.83%-5.09%$218,637$1,132,991$609,047-16.34%-1.60%-8.77%-7.82%
201810-4.08%-18.74%-12.91%$209,708$920,719$530,42686.02%-26.61%-9.11%40.41%
201811-6.03%0.54%-0.36%$197,054$925,693$528,526-18.53%-2.91%4.76%-8.06%
201812-5.92%-6.69%-2.65%$185,382$863,720$514,53977.76%-26.84%17.93%36.03%
2019112.78%14.99%11.17%$209,066$993,192$571,995-43.79%26.92%0.41%-24.57%
201922.23%2.68%1.34%$213,722$1,019,800$579,669-23.16%8.57%-4.52%-11.35%
201935.91%13.73%11.63%$226,363$1,159,783$647,092-14.63%11.05%17.00%-6.93%
201948.40%6.20%4.49%$245,370$1,231,715$676,163-24.59%16.64%-6.56%-12.06%
20195-13.09%-3.71%-1.68%$213,240$1,186,034$664,82030.58%-24.01%21.11%18.86%
2019613.05%13.51%10.77%$241,063$1,346,225$736,405-26.76%23.00%1.90%-14.94%
201971.00%3.55%2.29%$243,485$1,394,081$753,280-19.78%6.20%0.32%-9.37%
20198-2.54%11.51%11.61%$237,292$1,554,600$840,76818.44%-7.79%35.11%14.66%
20199-3.31%-3.05%-3.91%$229,428$1,507,249$807,873-24.11%1.88%-9.07%-12.26%
2019103.50%4.98%2.93%$237,463$1,582,383$831,563-32.21%12.43%-4.11%-16.37%
2019113.31%5.80%3.60%$245,332$1,674,214$861,495-32.21%12.20%-2.01%-16.95%
2019125.52%1.73%0.88%$258,876$1,703,254$869,108-17.89%11.37%-10.05%-7.84%
202018.60%15.22%14.36%$281,147$1,962,415$993,92310.25%8.19%23.80%7.45%
202022.72%-1.71%2.40%$288,802$1,928,794$1,017,75284.69%-17.77%17.91%41.18%
202039.44%-15.61%-4.13%$316,072$1,627,667$975,755199.73%-38.13%11.91%101.75%
2020429.51%26.76%22.47%$409,343$2,063,173$1,195,015-38.26%46.45%2.68%-18.29%
202059.59%7.33%5.51%$448,607$2,214,486$1,260,836-26.57%18.63%-6.48%-12.18%
2020612.21%10.13%9.40%$503,370$2,438,868$1,379,330-10.87%17.98%0.54%1.92%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TVIXVelocityShares Daily 2x VIX ST ETNVolatility20.00%1.65%-$209,227-0.90%
TQQQProShares UltraPro QQQLeveraged Equity80.00%0.95%$612,596100.90%
100.00%1.09%$403,370100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%1.05%$701,55721.59%
TQQQProShares UltraPro QQQLeveraged Equity55.00%0.95%$1,637,31178.41%
100.00%1.00%$2,338,868100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%$365,21235.62%
TQQQProShares UltraPro QQQLeveraged Equity50.00%0.95%$952,83471.28%
VIIXVelocityShares VIX ST ETNVolatility10.00%0.89%-$38,716-6.90%
100.00%0.98%$1,279,330100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (c) 2020 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 2Portfolio 3
Arithmetic Mean (monthly)1.70%3.12%2.51%
Arithmetic Mean (annualized)22.47%44.51%34.58%
Geometric Mean (monthly)1.43%2.84%2.33%
Geometric Mean (annualized)18.54%39.97%31.82%
Volatility (monthly)7.62%7.51%6.07%
Volatility (annualized)26.39%26.01%21.03%
Downside Deviation (monthly)3.99%3.80%2.81%
Max. Drawdown-34.71%-27.45%-19.82%
US Market Correlation0.470.620.43
Beta(*)0.921.190.66
Alpha (annualized)9.35%23.04%22.10%
R222.53%38.76%18.33%
Sharpe Ratio0.751.411.40
Sortino Ratio1.422.773.00
Treynor Ratio (%)21.6130.9944.66
Calmar Ratio2.441.702.30
Active Return6.79%28.21%20.06%
Tracking Error23.25%20.51%19.56%
Information Ratio0.291.381.03
Skewness0.66-0.070.22
Excess Kurtosis1.060.460.17
Historical Value-at-Risk (5%)-9.69%-9.62%-7.42%
Analytical Value-at-Risk (5%)-10.77%-9.18%-7.43%
Conditional Value-at-Risk (5%)-11.15%-13.45%-9.59%
Upside Capture Ratio (%)103.44191.86120.99
Downside Capture Ratio (%)60.7164.124.34
Safe Withdrawal Rate15.21%38.65%29.59%
Perpetual Withdrawal Rate14.91%28.60%23.93%
Positive Periods67 out of 114 (58.77%)78 out of 114 (68.42%)74 out of 114 (64.91%)
Gain/Loss Ratio1.251.321.55
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2012Feb 201311 monthsFeb 20141 year1 year 11 months-34.71%
2Dec 2015Dec 20161 year 1 monthJan 20181 year 1 month2 years 2 months-27.96%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-19.07%
4Mar 2011Jun 20114 monthsSep 20113 months7 months-16.75%
5Nov 2011Dec 20112 monthsFeb 20122 months4 months-15.62%
6Mar 2015Jun 20154 monthsOct 20154 months8 months-15.32%
7Mar 2018Apr 20182 monthsAug 20184 months6 months-13.62%
8May 2019May 20191 monthDec 20197 months8 months-13.09%
9Mar 2014Apr 20142 monthsAug 20144 months6 months-11.57%
10Dec 2014Dec 20141 monthFeb 20152 months3 months-2.11%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsApr 20194 months8 months-27.45%
2Oct 2016Nov 20162 monthsMar 20174 months6 months-17.82%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-17.08%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-17.06%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-13.90%
6Sep 2012Jan 20135 monthsApr 20133 months8 months-12.87%
7May 2013Jun 20132 monthsSep 20133 months5 months-11.75%
8Jun 2011Jun 20111 monthJul 20111 month2 months-7.18%
9Apr 2016Apr 20161 monthMay 20161 month2 months-6.34%
10Sep 2014Sep 20141 monthOct 20141 month2 months-4.52%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Dec 20184 monthsMar 20193 months7 months-19.82%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-18.16%
3Sep 2012Jan 20135 monthsOct 20139 months1 year 2 months-16.27%
4Mar 2015Jun 20154 monthsMar 20169 months1 year 1 month-15.15%
5Feb 2018Apr 20183 monthsMay 20181 month4 months-8.62%
6Jun 2011Jun 20111 monthJul 20111 month2 months-6.56%
7Apr 2016Apr 20161 monthJun 20162 months3 months-6.20%
8Sep 2017Sep 20171 monthOct 20171 month2 months-4.99%
9Mar 2020Mar 20201 monthApr 20201 month2 months-4.13%
10Sep 2019Sep 20191 monthNov 20192 months3 months-3.91%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TVIXVelocityShares Daily 2x VIX ST ETN-82.14%137.53%146.59%-97.08%-100.00%-0.67-1.11-0.81
TQQQProShares UltraPro QQQ43.91%47.85%139.73%-19.80%-49.12%1.001.730.91
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF18.32%39.02%109.14%-39.01%-49.74%0.601.17-0.44
VIIXVelocityShares VIX ST ETN-44.89%71.26%123.82%-77.56%-99.89%-0.53-0.86-0.82

Monthly Correlations

Correlations for the portfolio assets
TickerNameTVIXTQQQTMFVIIXPortfolio 1Portfolio 2Portfolio 3
TVIXVelocityShares Daily 2x VIX ST ETN1.00-0.720.390.98-0.01-0.47-0.20
TQQQProShares UltraPro QQQ-0.721.00-0.35-0.740.700.770.63
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.39-0.351.000.40-0.100.320.48
VIIXVelocityShares VIX ST ETN0.98-0.740.401.00-0.05-0.48-0.20

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TVIXVelocityShares Daily 2x VIX ST ETN-$209,227
TQQQProShares UltraPro QQQ$612,596$1,637,311$952,834
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$701,557$365,212
VIIXVelocityShares VIX ST ETN-$38,716

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TVIXVelocityShares Daily 2x VIX ST ETN-0.90%
TQQQProShares UltraPro QQQ100.90%78.41%71.28%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF21.59%35.62%
VIIXVelocityShares VIX ST ETN-6.90%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year13.16%39.64%-25.27%41.04%97.20%-10.55%29.53%68.91%-0.79%
3 years10.92%26.94%-1.35%34.68%47.82%19.05%24.56%34.27%12.82%
5 years9.74%14.06%6.23%32.62%38.62%26.59%23.31%29.08%20.24%
7 years10.51%15.50%7.81%34.40%38.26%28.95%24.37%26.51%20.09%
Result statistics are based on annualized rolling returns over full calendar year periods