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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Analysis Results (Jan 2010 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SSO ProShares Ultra S&P500 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$59,854 25.07% 24.37%70.46%-2.92%-32.40% 1.041.811.00
Portfolio 2$10,000$28,276 13.87% 11.95%32.30%1.30%-16.14% 1.142.001.00
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceProShares Ultra S&P500 (SSO)iShares Core S&P 500 ETF (IVV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20101.50%26.83%15.09%$12,683$11,50926.83%15.09%
20112.96%-2.92%1.86%$12,313$11,723-2.92%1.86%
20121.74%31.04%16.06%$16,135$13,60531.04%16.06%
20131.50%70.46%32.30%$27,504$17,99970.46%32.30%
20140.76%25.53%13.56%$34,526$20,44125.53%13.56%
20150.73%-1.19%1.30%$34,114$20,705-1.19%1.30%
20162.07%21.55%12.16%$41,464$23,22221.55%12.16%
20172.11%44.35%21.76%$59,854$28,27644.35%21.76%
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares Ultra S&P500 (SSO)iShares Core S&P 500 ETF (IVV)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20101-7.51%-3.71%$9,249$9,629-7.51%-3.71%
201026.11%3.15%$9,814$9,9326.11%3.15%
2010312.38%6.11%$11,029$10,53912.38%6.11%
201042.81%1.62%$11,339$10,7102.81%1.62%
20105-16.09%-8.00%$9,514$9,853-16.09%-8.00%
20106-10.92%-5.26%$8,475$9,335-10.92%-5.26%
2010714.06%6.99%$9,667$9,98714.06%6.99%
20108-9.25%-4.43%$8,772$9,545-9.25%-4.43%
2010918.44%8.81%$10,390$10,38618.44%8.81%
2010107.57%3.84%$11,177$10,7857.57%3.84%
201011-0.40%-0.07%$11,132$10,778-0.40%-0.07%
20101213.94%6.78%$12,683$11,50913.94%6.78%
201114.33%2.30%$13,233$11,7734.33%2.30%
201126.94%3.46%$14,151$12,1806.94%3.46%
20113-0.39%-0.00%$14,096$12,180-0.39%-0.00%
201145.74%2.95%$14,906$12,5405.74%2.95%
20115-2.38%-1.19%$14,551$12,391-2.38%-1.19%
20116-3.74%-1.68%$14,007$12,183-3.74%-1.68%
20117-4.22%-1.97%$13,416$11,943-4.22%-1.97%
20118-12.81%-5.52%$11,698$11,283-12.81%-5.52%
20119-13.86%-6.80%$10,076$10,516-13.86%-6.80%
20111021.81%10.65%$12,274$11,63621.81%10.65%
201111-1.56%-0.32%$12,083$11,599-1.56%-0.32%
2011121.91%1.06%$12,313$11,7231.91%1.06%
201218.97%4.61%$13,417$12,2638.97%4.61%
201228.45%4.21%$14,551$12,7808.45%4.21%
201236.71%3.29%$15,527$13,2006.71%3.29%
20124-1.61%-0.66%$15,277$13,113-1.61%-0.66%
20125-11.37%-6.01%$13,540$12,325-11.37%-6.01%
201267.27%4.20%$14,524$12,8437.27%4.20%
201272.53%1.24%$14,891$13,0032.53%1.24%
201284.61%2.48%$15,578$13,3254.61%2.48%
201294.87%2.34%$16,337$13,6374.87%2.34%
201210-4.15%-2.02%$15,659$13,361-4.15%-2.02%
2012110.94%0.87%$15,806$13,4770.94%0.87%
2012122.08%0.95%$16,135$13,6052.08%0.95%
2013110.27%5.11%$17,792$14,30110.27%5.11%
201322.16%1.36%$18,177$14,4942.16%1.36%
201337.39%3.68%$19,520$15,0287.39%3.68%
201343.86%1.96%$20,274$15,3233.86%1.96%
201354.55%2.40%$21,197$15,6904.55%2.40%
20136-3.11%-1.59%$20,537$15,441-3.11%-1.59%
2013710.41%5.39%$22,676$16,27310.41%5.39%
20138-6.08%-3.04%$21,297$15,779-6.08%-3.04%
201396.48%3.24%$22,677$16,2906.48%3.24%
2013109.07%4.61%$24,735$17,0419.07%4.61%
2013115.77%2.98%$26,163$17,5505.77%2.98%
2013125.13%2.56%$27,504$17,9995.13%2.56%
20141-7.23%-3.49%$25,514$17,371-7.23%-3.49%
201429.06%4.56%$27,826$18,1639.06%4.56%
201431.52%0.87%$28,250$18,3211.52%0.87%
201441.23%0.74%$28,598$18,4581.23%0.74%
201454.41%2.28%$29,859$18,8794.41%2.28%
201464.10%2.09%$31,083$19,2744.10%2.09%
20147-2.88%-1.40%$30,189$19,005-2.88%-1.40%
201487.87%3.97%$32,565$19,7597.87%3.97%
20149-2.93%-1.38%$31,609$19,487-2.93%-1.38%
2014104.38%2.39%$32,992$19,9524.38%2.39%
2014115.54%2.75%$34,819$20,5025.54%2.75%
201412-0.84%-0.30%$34,526$20,441-0.84%-0.30%
20151-6.15%-2.90%$32,403$19,848-6.15%-2.90%
2015211.40%5.65%$36,097$20,96811.40%5.65%
20153-3.43%-1.59%$34,859$20,635-3.43%-1.59%
201541.84%0.97%$35,500$20,8351.84%0.97%
201552.31%1.30%$36,320$21,1062.31%1.30%
20156-4.09%-1.98%$34,834$20,689-4.09%-1.98%
201574.22%2.19%$36,303$21,1424.22%2.19%
20158-12.48%-6.14%$31,774$19,843-12.48%-6.14%
20159-5.54%-2.49%$30,014$19,349-5.54%-2.49%
20151017.45%8.47%$35,250$20,98817.45%8.47%
2015110.60%0.39%$35,460$21,0710.60%0.39%
201512-3.80%-1.73%$34,114$20,705-3.80%-1.73%
20161-10.37%-5.00%$30,578$19,669-10.37%-5.00%
20162-0.62%-0.06%$30,388$19,658-0.62%-0.06%
2016313.98%6.82%$34,637$21,00013.98%6.82%
201640.60%0.39%$34,843$21,0820.60%0.39%
201653.18%1.69%$35,950$21,4393.18%1.69%
201660.16%0.25%$36,009$21,4930.16%0.25%
201677.40%3.74%$38,672$22,2967.40%3.74%
201680.10%0.13%$38,710$22,3250.10%0.13%
20169-0.28%0.01%$38,602$22,327-0.28%0.01%
201610-3.68%-1.78%$37,182$21,930-3.68%-1.78%
2016117.23%3.67%$39,869$22,7357.23%3.67%
2016124.00%2.14%$41,464$23,2224.00%2.14%
201713.47%1.75%$42,901$23,6293.47%1.75%
201727.83%3.98%$46,261$24,5687.83%3.98%
20173-0.02%0.12%$46,250$24,597-0.02%0.12%
201741.85%0.97%$47,106$24,8351.85%0.97%
201752.55%1.39%$48,306$25,1812.55%1.39%
201761.04%0.67%$48,808$25,3501.04%0.67%
201773.95%2.07%$50,734$25,8763.95%2.07%
201780.31%0.27%$50,892$25,9460.31%0.27%
201793.82%2.04%$52,835$26,4763.82%2.04%
2017104.53%2.32%$55,227$27,0914.53%2.32%
2017115.87%3.12%$58,472$27,9375.87%3.12%
2017122.36%1.21%$59,854$28,2762.36%1.21%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%46.58%
Large-cap Growth31.27%52.53%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value49.25%0.40%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets18.72%0.28%
Emerging Markets0.75%0.00%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.21%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared75.15%99.94%
Style analysis is based on monthly returns from Jan 2010 to Dec 2017 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity0.90%100.00%$49,854100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IVViShares Core S&P 500 ETFLarge Blend0.04%100.00%$18,276100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/05/2019. © 2019 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)2.12%1.15%
Arithmetic Mean (annualized)28.69%14.67%
Geometric Mean (monthly)1.88%1.09%
Geometric Mean (annualized)25.07%13.87%
Volatility (monthly)7.04%3.45%
Volatility (annualized)24.37%11.95%
Downside Deviation (monthly)4.05%1.96%
Max. Drawdown-32.40%-16.14%
US Market Correlation1.001.00
Beta(*)1.960.96
Alpha (annualized)-1.49%0.53%
R299.08%99.15%
Sharpe Ratio1.041.14
Sortino Ratio1.812.00
Treynor Ratio (%)12.9214.16
Calmar Ratio1.161.35
Active Return11.25%0.06%
Tracking Error12.12%1.20%
Information Ratio0.930.05
Skewness-0.11-0.17
Excess Kurtosis0.540.49
Historical Value-at-Risk (5%)-11.54%-5.60%
Analytical Value-at-Risk (5%)-9.45%-4.53%
Conditional Value-at-Risk (5%)-13.81%-6.74%
Upside Capture Ratio (%)210.6098.29
Downside Capture Ratio (%)195.2196.38
Safe Withdrawal Rate26.34%19.61%
Perpetual Withdrawal Rate18.70%10.72%
Positive Periods64 out of 96 (66.67%)66 out of 96 (68.75%)
Gain/Loss Ratio1.091.06
* 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
1May 2011Sep 20115 monthsMar 20126 months11 months-32.40%
2May 2010Jun 20102 monthsDec 20106 months8 months-25.26%
3Jun 2015Sep 20154 monthsJul 201610 months1 year 2 months-17.36%
4Apr 2012May 20122 monthsAug 20123 months5 months-12.80%
5Jan 2010Jan 20101 monthMar 20102 months3 months-7.51%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-7.23%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-6.94%
8Aug 2013Aug 20131 monthSep 20131 month2 months-6.08%
9Oct 2012Oct 20121 monthJan 20133 months4 months-4.15%
10Sep 2016Oct 20162 monthsNov 20161 month3 months-3.95%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.14%
2May 2010Jun 20102 monthsOct 20104 months6 months-12.84%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5Jan 2010Jan 20101 monthMar 20102 months3 months-3.71%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.49%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.19%
8Aug 2013Aug 20131 monthSep 20131 month2 months-3.04%
9Oct 2012Oct 20121 monthJan 20133 months4 months-2.02%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.98%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SSOProShares Ultra S&P50025.07%24.37%70.46%-2.92%-32.40%1.041.811.00
IVViShares Core S&P 500 ETF13.87%11.95%32.30%1.30%-16.14%1.142.001.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSSOIVVPortfolio 1Portfolio 2
SSOProShares Ultra S&P500-1.001.001.00
IVViShares Core S&P 500 ETF1.00-1.001.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P500$49,854
IVViShares Core S&P 500 ETF$18,276

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SSOProShares Ultra S&P500100.00%
IVViShares Core S&P 500 ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year26.96%70.46%-2.92%14.26%32.30%1.30%
3 years25.15%41.01%14.66%13.76%20.36%8.86%
5 years26.87%29.98%21.88%14.56%15.76%12.46%
7 years23.67%24.81%22.53%13.25%13.70%12.79%
Result statistics are based on annualized rolling returns over full calendar year periods