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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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jan 2011 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 40.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 60.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SSO ProShares Ultra S&P500 50.00%
UBT ProShares Ultra 20+ Year Treasury 50.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$89,779 27.91% 22.17%77.04%-12.26%-22.83% 1.202.300.12
Portfolio 2$10,000$52,109 20.34% 13.24%44.89%-8.36%-13.11% 1.432.660.40
Portfolio 3$10,000$29,800 13.03% 11.62%32.31%-4.56%-16.23% 1.071.761.00
   
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 2019 are based on full calendar months 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 (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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares Ultra S&P500 (SSO)ProShares Ultra 20+ Year Treasury (UBT)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20112.96%77.04%41.83%1.89%$17,704$14,183$10,189-11.88%109.14%-2.92%72.72%1.89%
20121.74%25.25%19.71%15.99%$22,173$16,978$11,81846.80%0.60%31.04%2.74%15.99%
20131.50%7.00%14.34%32.31%$23,725$19,413$15,636118.49%-39.01%70.46%-26.78%32.31%
20140.76%72.09%42.33%13.46%$40,827$27,630$17,74138.00%97.34%25.53%60.42%13.46%
20150.73%-6.90%-2.89%1.25%$38,011$26,831$17,963-5.24%-13.73%-1.19%-7.93%1.25%
20162.07%14.69%12.69%12.00%$43,594$30,235$20,11930.79%-2.52%21.55%0.28%12.00%
20172.11%41.06%29.80%21.70%$61,493$39,245$24,48571.37%22.73%44.35%16.12%21.70%
20181.91%-12.26%-8.36%-4.56%$53,956$35,966$23,369-25.15%-11.01%-14.62%-6.53%-4.56%
20192.43%66.39%44.89%27.52%$89,779$52,109$29,80086.67%49.79%54.71%33.46%27.52%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)ProShares Ultra S&P500 (SSO)ProShares Ultra 20+ Year Treasury (UBT)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20111-3.02%-0.85%2.33%$9,698$9,915$10,2336.56%-9.40%4.33%-6.02%2.33%
201127.08%5.18%3.47%$10,385$10,429$10,58810.39%4.49%6.94%3.22%3.47%
20113-0.66%-0.33%0.01%$10,316$10,395$10,590-0.80%-0.55%-0.39%-0.25%0.01%
201147.43%5.20%2.90%$11,083$10,936$10,8968.73%6.57%5.74%4.66%2.90%
201154.57%2.25%-1.12%$11,590$11,182$10,774-3.93%10.36%-2.38%6.92%-1.12%
20116-6.83%-4.26%-1.69%$10,798$10,705$10,592-5.87%-7.39%-3.74%-4.75%-1.69%
201175.41%2.25%-2.00%$11,383$10,946$10,380-6.39%13.28%-4.22%8.72%-2.00%
2011810.14%4.43%-5.50%$12,537$11,431$9,810-21.09%27.34%-12.81%19.62%-5.50%
2011925.56%10.92%-6.94%$15,742$12,679$9,128-20.69%41.35%-13.86%26.84%-6.94%
2011105.32%6.85%10.91%$16,579$13,548$10,12532.61%-12.87%21.81%-8.10%10.91%
2011110.74%0.59%-0.41%$16,702$13,627$10,084-3.35%4.89%-1.56%3.43%-0.41%
2011126.00%4.08%1.04%$17,704$14,183$10,1892.30%9.46%1.91%6.81%1.04%
201214.66%4.07%4.64%$18,529$14,760$10,66113.90%-1.50%8.97%-0.83%4.64%
201221.27%1.95%4.34%$18,765$15,048$11,12413.24%-7.95%8.45%-5.19%4.34%
20123-2.16%-0.13%3.22%$18,360$15,028$11,4829.29%-13.02%6.71%-8.74%3.22%
201247.67%4.03%-0.67%$19,768$15,633$11,405-2.38%14.37%-1.61%9.67%-0.67%
2012512.13%4.39%-6.01%$22,166$16,319$10,720-17.35%28.90%-11.37%18.53%-6.01%
20126-1.17%0.84%4.05%$21,907$16,457$11,15511.47%-5.78%7.27%-3.47%4.05%
201278.27%4.94%1.18%$23,718$17,269$11,2873.52%11.43%2.53%7.34%1.18%
20128-0.35%0.71%2.51%$23,635$17,392$11,5696.53%-4.61%4.61%-3.02%2.51%
20129-1.58%0.16%2.54%$23,262$17,419$11,8637.52%-7.87%4.87%-4.69%2.54%
201210-3.66%-2.75%-1.82%$22,410$16,940$11,647-5.96%-2.13%-4.15%-1.36%-1.82%
2012112.78%1.78%0.57%$23,032$17,241$11,7131.01%3.90%0.94%2.59%0.57%
201212-3.73%-1.53%0.90%$22,173$16,978$11,8182.82%-7.80%2.08%-4.97%0.90%
201310.41%1.74%5.12%$22,264$17,273$12,42315.39%-9.58%10.27%-6.80%5.12%
201323.47%2.34%1.28%$23,036$17,677$12,5823.56%3.39%2.16%2.55%1.28%
201334.12%3.51%3.80%$23,986$18,296$13,05911.03%-1.77%7.39%-1.07%3.80%
2013410.73%6.75%1.92%$26,559$19,531$13,3105.45%14.25%3.86%9.63%1.92%
20135-9.57%-4.52%2.36%$24,017$18,648$13,6256.80%-19.65%4.55%-13.12%2.36%
20136-8.04%-4.90%-1.34%$22,087$17,735$13,443-5.23%-10.33%-3.11%-6.93%-1.34%
201372.12%2.76%5.17%$22,556$18,224$14,13716.41%-7.41%10.41%-4.90%5.17%
20138-6.63%-4.35%-3.00%$21,059$17,431$13,713-9.21%-4.47%-6.08%-2.35%-3.00%
201395.11%3.80%3.17%$22,135$18,093$14,1489.60%1.53%6.48%0.81%3.17%
2013107.98%5.99%4.63%$23,901$19,177$14,80313.76%4.12%9.07%2.90%4.63%
201311-1.00%0.38%2.96%$23,662$19,250$15,2418.87%-8.19%5.77%-5.33%2.96%
2013120.27%0.85%2.59%$23,725$19,413$15,6367.54%-6.01%5.13%-4.22%2.59%
201417.40%2.92%-3.52%$25,480$19,981$15,085-10.72%19.47%-7.23%13.08%-3.52%
201425.63%4.58%4.55%$26,914$20,896$15,77213.65%1.63%9.06%0.90%4.55%
201431.90%1.39%0.83%$27,425$21,187$15,9032.15%1.76%1.52%1.28%0.83%
201444.24%2.72%0.70%$28,587$21,763$16,0131.65%5.96%1.23%4.20%0.70%
201457.95%5.05%2.32%$30,859$22,862$16,3856.62%8.79%4.41%5.67%2.32%
201461.78%1.72%2.06%$31,409$23,254$16,7236.22%-1.00%4.10%-0.57%2.06%
20147-0.81%-0.71%-1.34%$31,155$23,090$16,498-4.44%1.61%-2.88%1.47%-1.34%
2014813.47%8.30%3.95%$35,352$25,007$17,14911.95%14.42%7.87%8.72%3.95%
20149-5.81%-3.42%-1.38%$33,299$24,153$16,913-4.44%-6.65%-2.93%-3.87%-1.38%
2014107.25%5.07%2.36%$35,714$25,377$17,3116.03%8.06%4.38%5.76%2.36%
2014118.79%5.70%2.75%$38,853$26,823$17,7878.34%9.08%5.54%5.86%2.75%
2014125.08%3.01%-0.26%$40,827$27,630$17,741-1.54%9.38%-0.84%6.79%-0.26%
2015114.82%6.96%-2.96%$46,877$29,553$17,216-9.47%31.01%-6.15%20.06%-2.96%
20152-6.72%-2.00%5.62%$43,728$28,962$18,18317.48%-17.87%11.40%-12.47%5.62%
20153-0.55%-0.68%-1.57%$43,488$28,764$17,897-5.28%2.57%-3.43%2.05%-1.57%
20154-5.14%-2.53%0.98%$41,252$28,036$18,0732.59%-10.30%1.84%-6.90%0.98%
20155-3.00%-1.16%1.29%$40,012$27,712$18,3053.43%-7.91%2.31%-4.94%1.29%
20156-9.59%-6.10%-2.03%$36,174$26,021$17,934-6.21%-12.49%-4.09%-8.47%-2.03%
2015710.51%6.72%2.26%$39,976$27,769$18,3396.17%13.40%4.22%9.23%2.26%
20158-8.94%-6.82%-6.10%$36,401$25,876$17,221-18.87%-2.75%-12.48%-1.42%-6.10%
201590.40%-0.76%-2.54%$36,545$25,679$16,783-8.64%5.10%-5.54%3.28%-2.54%
2015109.67%8.01%8.51%$40,081$27,736$18,21126.79%-1.73%17.45%-1.43%8.51%
201511-1.08%-0.33%0.37%$39,648$27,645$18,2770.81%-2.71%0.60%-1.43%0.37%
201512-4.13%-2.94%-1.72%$38,011$26,831$17,963-6.06%-2.41%-3.80%-1.91%-1.72%
201614.49%0.83%-4.98%$39,719$27,053$17,069-15.38%17.74%-10.37%12.03%-4.98%
201625.34%3.03%-0.08%$41,841$27,872$17,055-1.68%8.71%-0.62%5.95%-0.08%
201636.05%6.12%6.72%$44,373$29,579$18,20221.50%-0.64%13.98%0.22%6.72%
20164-1.11%-0.75%0.39%$43,879$29,355$18,2730.81%-2.39%0.60%-2.11%0.39%
201653.00%2.28%1.70%$45,194$30,024$18,5844.65%1.86%3.18%1.35%1.70%
2016612.35%6.80%0.35%$50,774$32,065$18,649-0.20%21.23%0.16%13.74%0.35%
201678.10%5.87%3.65%$54,885$33,947$19,32911.13%6.07%7.40%4.34%3.65%
20168-2.06%-1.16%0.12%$53,753$33,553$19,3530.11%-3.58%0.10%-2.46%0.12%
20169-3.00%-1.32%0.01%$52,143$33,111$19,354-0.54%-4.78%-0.28%-2.41%0.01%
201610-10.24%-6.63%-1.73%$46,803$30,916$19,019-5.62%-13.32%-3.68%-9.58%-1.73%
201611-9.20%-3.87%3.68%$42,495$29,720$19,71911.05%-23.91%7.23%-15.69%3.68%
2016122.59%1.73%2.03%$43,594$30,235$20,1195.96%-0.99%4.00%-1.34%2.03%
201712.95%2.37%1.79%$44,880$30,952$20,4795.14%1.49%3.47%1.27%1.79%
201727.47%5.55%3.93%$48,235$32,670$21,28411.91%4.41%7.83%3.22%3.93%
20173-1.44%-0.79%0.13%$47,540$32,413$21,311-0.22%-2.35%-0.02%-1.60%0.13%
201743.77%2.36%0.99%$49,331$33,179$21,5222.77%4.43%1.85%2.88%0.99%
201754.59%3.06%1.41%$51,593$34,193$21,8263.70%5.17%2.55%3.56%1.41%
201761.80%1.30%0.64%$52,520$34,639$21,9651.51%1.98%1.04%1.56%0.64%
201770.89%1.13%2.06%$52,987$35,030$22,4165.87%-2.43%3.95%-1.69%2.06%
201785.96%3.45%0.29%$56,147$36,239$22,4820.21%10.13%0.31%6.77%0.29%
20179-2.13%-0.50%2.01%$54,948$36,057$22,9355.69%-7.29%3.82%-4.79%2.01%
2017102.42%2.18%2.36%$56,277$36,844$23,4756.83%-0.53%4.53%-0.16%2.36%
2017114.71%3.55%3.06%$58,929$38,150$24,1938.87%1.73%5.87%1.11%3.06%
2017124.35%2.87%1.21%$61,493$39,245$24,4853.45%5.04%2.36%3.42%1.21%
201811.42%2.28%5.64%$62,370$40,138$25,86518.22%-9.77%11.17%-6.62%5.64%
20182-11.42%-7.28%-3.64%$55,247$37,215$24,925-13.53%-9.57%-8.07%-6.34%-3.64%
201830.64%-0.44%-2.74%$55,603$37,050$24,241-8.69%8.44%-5.54%5.52%-2.74%
20184-4.08%-2.12%0.52%$53,335$36,265$24,367-0.14%-6.71%0.20%-4.43%0.52%
201855.77%3.96%2.43%$56,411$37,700$24,9596.46%5.27%4.41%3.48%2.43%
201861.40%1.01%0.58%$57,203$38,082$25,1031.29%1.49%1.02%1.01%0.58%
201871.47%2.06%3.70%$58,045$38,867$26,03210.73%-4.70%7.09%-2.97%3.70%
201885.86%4.28%3.19%$61,447$40,529$26,8639.09%3.36%6.15%2.21%3.19%
20189-4.29%-2.25%0.59%$58,814$39,619$27,0231.20%-8.77%0.89%-5.85%0.59%
201810-13.78%-10.11%-6.91%$50,710$35,614$25,156-20.78%-9.11%-14.01%-6.20%-6.91%
2018114.58%3.11%1.85%$53,033$36,721$25,6224.28%4.76%3.15%3.07%1.85%
2018121.74%-2.06%-8.79%$53,956$35,966$23,369-26.25%17.93%-17.72%12.31%-8.79%
201919.81%7.90%8.01%$59,247$38,808$25,24023.89%0.41%15.73%0.08%8.01%
201921.71%1.99%3.24%$60,258$39,579$26,0599.28%-4.52%6.21%-2.90%3.24%
2019311.11%6.77%1.81%$66,952$42,257$26,5304.85%17.00%3.45%10.96%1.81%
201940.79%1.78%4.09%$67,480$43,007$27,61311.81%-6.56%7.72%-4.16%4.09%
201953.36%-0.21%-6.38%$69,745$42,915$25,852-18.89%21.11%-12.77%13.91%-6.38%
201968.68%7.40%6.96%$75,802$46,093$27,65221.37%1.90%14.09%1.64%6.96%
201971.71%1.36%1.51%$77,101$46,720$28,0703.80%0.32%2.52%0.21%1.51%
2019818.07%9.19%-1.67%$91,037$51,014$27,600-6.62%35.11%-4.04%22.73%-1.67%
20199-4.43%-1.59%1.95%$87,001$50,201$28,1375.30%-9.07%3.62%-5.77%1.95%
201910-0.19%0.73%2.21%$86,837$50,565$28,7595.70%-4.11%4.00%-2.55%2.21%
2019113.39%3.05%3.62%$89,779$52,109$29,80010.73%-2.01%7.07%-1.23%3.62%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2Portfolio 3
Large-cap Value0.00%46.67%
Large-cap Growth37.85%53.11%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.22%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
REITs16.89%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries45.26%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared75.12%99.95%
Style analysis is based on monthly returns from Jan 2011 to Nov 2019 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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity0.92%40.00%$47,6068.95%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt1.09%60.00%$32,17391.05%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity0.90%50.00%$27,68838.08%
UBTProShares Ultra 20+ Year TreasuryLeveraged Debt0.95%50.00%$14,42261.92%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%100.00%$19,800100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/04/2019. (c) 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 2Portfolio 3
Arithmetic Mean (monthly)2.27%1.63%1.08%
Arithmetic Mean (annualized)30.92%21.36%13.78%
Geometric Mean (monthly)2.07%1.55%1.03%
Geometric Mean (annualized)27.91%20.34%13.03%
Volatility (monthly)6.40%3.82%3.35%
Volatility (annualized)22.17%13.24%11.62%
Downside Deviation (monthly)3.33%2.04%2.01%
Max. Drawdown-22.83%-13.11%-16.23%
US Market Correlation0.120.401.00
Beta(*)0.210.440.96
Alpha (annualized)24.54%13.90%0.76%
R21.33%16.16%99.16%
Sharpe Ratio1.201.431.07
Sortino Ratio2.302.661.76
Treynor Ratio (%)125.3942.8212.90
Calmar Ratio1.511.701.09
Active Return15.25%7.68%0.37%
Tracking Error23.97%13.85%1.15%
Information Ratio0.640.550.32
Skewness0.22-0.35-0.38
Excess Kurtosis1.120.310.97
Historical Value-at-Risk (5%)-9.42%-5.62%-6.06%
Analytical Value-at-Risk (5%)-7.87%-4.57%-4.44%
Conditional Value-at-Risk (5%)-10.92%-7.39%-7.02%
Upside Capture Ratio (%)95.1186.4699.45
Downside Capture Ratio (%)-27.7014.3196.13
Safe Withdrawal Rate37.08%27.40%18.94%
Perpetual Withdrawal Rate22.45%17.00%10.99%
Positive Periods71 out of 107 (66.36%)72 out of 107 (67.29%)77 out of 107 (71.96%)
Gain/Loss Ratio1.271.400.89
* 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
1Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-22.83%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-22.58%
3May 2013Aug 20134 monthsFeb 20146 months10 months-20.71%
4Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-18.69%
5Jun 2011Jun 20111 monthAug 20112 months3 months-6.83%
6Aug 2012Dec 20125 monthsMar 20133 months8 months-6.51%
7Sep 2014Sep 20141 monthOct 20141 month2 months-5.81%
8Sep 2019Oct 20192 months-4.61%
9Jan 2011Jan 20111 monthFeb 20111 month2 months-3.02%
10Mar 2012Mar 20121 monthApr 20121 month2 months-2.16%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-13.11%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-12.45%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-12.13%
4May 2013Aug 20134 monthsJan 20145 months9 months-10.75%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-9.65%
6Jun 2011Jun 20111 monthAug 20112 months3 months-4.26%
7Sep 2014Sep 20141 monthOct 20141 month2 months-3.42%
8Oct 2012Oct 20121 monthFeb 20134 months5 months-2.75%
9Sep 2019Sep 20191 monthNov 20192 months3 months-1.59%
10Jan 2011Jan 20111 monthFeb 20111 month2 months-0.85%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.23%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5May 2019May 20191 monthJun 20191 month2 months-6.38%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
10Jun 2015Jun 20151 monthJul 20151 month2 months-2.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50031.60%35.86%118.49%-25.15%-47.03%0.941.530.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF15.03%38.78%109.14%-39.01%-49.74%0.531.01-0.45
SSOProShares Ultra S&P50022.78%23.53%70.46%-14.62%-32.40%0.971.591.00
UBTProShares Ultra 20+ Year Treasury12.18%25.65%72.72%-26.78%-34.92%0.551.05-0.45
SPYSPDR S&P 500 ETF Trust13.03%11.62%32.31%-4.56%-16.23%1.071.761.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFSSOUBTSPYPortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500--0.441.00-0.441.000.130.421.00
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.44--0.441.00-0.440.820.63-0.44
SSOProShares Ultra S&P5001.00-0.44--0.441.000.130.421.00
UBTProShares Ultra 20+ Year Treasury-0.441.00-0.44--0.440.820.62-0.44
SPYSPDR S&P 500 ETF Trust1.00-0.441.00-0.44-0.130.421.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P500$47,606
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$32,173
SSOProShares Ultra S&P500$27,688
UBTProShares Ultra 20+ Year Treasury$14,422
SPYSPDR S&P 500 ETF Trust$19,800

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
UPROProShares UltraPro S&P5008.95%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF91.05%
SSOProShares Ultra S&P50038.08%
UBTProShares Ultra 20+ Year Treasury61.92%
SPYSPDR S&P 500 ETF Trust100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year27.25%77.04%-12.26%18.68%42.33%-8.36%11.76%32.31%-4.56%
3 years22.44%33.37%12.39%17.45%24.89%10.26%13.44%20.31%8.77%
5 years22.71%30.61%17.86%17.38%21.82%13.13%12.76%15.68%8.37%
7 years23.44%29.63%17.26%17.89%21.57%14.22%13.12%13.65%12.59%
Result statistics are based on annualized rolling returns over full calendar year periods