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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2011 - Dec 2019)

Note: The time period was constrained by the available data for ProShares Ultra 20+ Year Treasury (UBT) [Feb 2010 - Sep 2020].

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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$88,266	27.38%	22.11%	77.04%	-12.26%	-22.83%	1.18	2.27	0.11
Portfolio 2	$10,000	$52,056	20.12%	13.19%	44.74%	-8.36%	-13.11%	1.42	2.63	0.40
Portfolio 3	$10,000	$30,666	13.26%	11.58%	32.31%	-4.56%	-16.23%	1.09	1.79	1.00

Trailing Returns

Trailing Returns
Name	3 Month	1 year	3 year	5 year	Full
Portfolio 1	1.45%	63.59%	26.51%	16.67%	27.38%
Portfolio 2	3.70%	44.74%	19.85%	13.51%	20.12%
Portfolio 3	8.99%	31.22%	15.08%	11.57%	13.26%
Trailing returns are for full months ending in December 2019 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.
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
Year	Inflation	Return			Balance			ProShares 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)
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	ProShares 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)
2011	2.96%	77.04%	41.83%	1.89%	$17,704	$14,183	$10,189	-11.88%	109.14%	-2.92%	72.72%	1.89%
2012	1.74%	25.25%	19.71%	15.99%	$22,173	$16,978	$11,818	46.80%	0.60%	31.04%	2.74%	15.99%
2013	1.50%	7.00%	14.34%	32.31%	$23,725	$19,413	$15,636	118.49%	-39.01%	70.46%	-26.78%	32.31%
2014	0.76%	72.09%	42.33%	13.46%	$40,827	$27,630	$17,741	38.00%	97.34%	25.53%	60.42%	13.46%
2015	0.73%	-6.90%	-2.89%	1.25%	$38,011	$26,831	$17,963	-5.24%	-13.73%	-1.19%	-7.93%	1.25%
2016	2.07%	14.69%	12.69%	12.00%	$43,594	$30,235	$20,119	30.79%	-2.52%	21.55%	0.28%	12.00%
2017	2.11%	41.06%	29.80%	21.70%	$61,493	$39,245	$24,485	71.37%	22.73%	44.35%	16.12%	21.70%
2018	1.91%	-12.26%	-8.36%	-4.56%	$53,956	$35,966	$23,369	-25.15%	-11.01%	-14.62%	-6.53%	-4.56%
2019	2.29%	63.59%	44.74%	31.22%	$88,266	$52,056	$30,666	102.31%	34.74%	63.45%	24.45%	31.22%

Monthly returns for the configured portfolios
Year	Month	Return			Balance			ProShares 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)
Year	Month	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	ProShares 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)
2011	1	-3.02%	-0.85%	2.33%	$9,698	$9,915	$10,233	6.56%	-9.40%	4.33%	-6.02%	2.33%
2011	2	7.08%	5.18%	3.47%	$10,385	$10,429	$10,588	10.39%	4.49%	6.94%	3.22%	3.47%
2011	3	-0.66%	-0.33%	0.01%	$10,316	$10,395	$10,590	-0.80%	-0.55%	-0.39%	-0.25%	0.01%
2011	4	7.43%	5.20%	2.90%	$11,083	$10,936	$10,896	8.73%	6.57%	5.74%	4.66%	2.90%
2011	5	4.57%	2.25%	-1.12%	$11,590	$11,182	$10,774	-3.93%	10.36%	-2.38%	6.92%	-1.12%
2011	6	-6.83%	-4.26%	-1.69%	$10,798	$10,705	$10,592	-5.87%	-7.39%	-3.74%	-4.75%	-1.69%
2011	7	5.41%	2.25%	-2.00%	$11,383	$10,946	$10,380	-6.39%	13.28%	-4.22%	8.72%	-2.00%
2011	8	10.14%	4.43%	-5.50%	$12,537	$11,431	$9,810	-21.09%	27.34%	-12.81%	19.62%	-5.50%
2011	9	25.56%	10.92%	-6.94%	$15,742	$12,679	$9,128	-20.69%	41.35%	-13.86%	26.84%	-6.94%
2011	10	5.32%	6.85%	10.91%	$16,579	$13,548	$10,125	32.61%	-12.87%	21.81%	-8.10%	10.91%
2011	11	0.74%	0.59%	-0.41%	$16,702	$13,627	$10,084	-3.35%	4.89%	-1.56%	3.43%	-0.41%
2011	12	6.00%	4.08%	1.04%	$17,704	$14,183	$10,189	2.30%	9.46%	1.91%	6.81%	1.04%
2012	1	4.66%	4.07%	4.64%	$18,529	$14,760	$10,661	13.90%	-1.50%	8.97%	-0.83%	4.64%
2012	2	1.27%	1.95%	4.34%	$18,765	$15,048	$11,124	13.24%	-7.95%	8.45%	-5.19%	4.34%
2012	3	-2.16%	-0.13%	3.22%	$18,360	$15,028	$11,482	9.29%	-13.02%	6.71%	-8.74%	3.22%
2012	4	7.67%	4.03%	-0.67%	$19,768	$15,633	$11,405	-2.38%	14.37%	-1.61%	9.67%	-0.67%
2012	5	12.13%	4.39%	-6.01%	$22,166	$16,319	$10,720	-17.35%	28.90%	-11.37%	18.53%	-6.01%
2012	6	-1.17%	0.84%	4.05%	$21,907	$16,457	$11,155	11.47%	-5.78%	7.27%	-3.47%	4.05%
2012	7	8.27%	4.94%	1.18%	$23,718	$17,269	$11,287	3.52%	11.43%	2.53%	7.34%	1.18%
2012	8	-0.35%	0.71%	2.51%	$23,635	$17,392	$11,569	6.53%	-4.61%	4.61%	-3.02%	2.51%
2012	9	-1.58%	0.16%	2.54%	$23,262	$17,419	$11,863	7.52%	-7.87%	4.87%	-4.69%	2.54%
2012	10	-3.66%	-2.75%	-1.82%	$22,410	$16,940	$11,647	-5.96%	-2.13%	-4.15%	-1.36%	-1.82%
2012	11	2.78%	1.78%	0.57%	$23,032	$17,241	$11,713	1.01%	3.90%	0.94%	2.59%	0.57%
2012	12	-3.73%	-1.53%	0.90%	$22,173	$16,978	$11,818	2.82%	-7.80%	2.08%	-4.97%	0.90%
2013	1	0.41%	1.74%	5.12%	$22,264	$17,273	$12,423	15.39%	-9.58%	10.27%	-6.80%	5.12%
2013	2	3.47%	2.34%	1.28%	$23,036	$17,677	$12,582	3.56%	3.39%	2.16%	2.55%	1.28%
2013	3	4.12%	3.51%	3.80%	$23,986	$18,296	$13,059	11.03%	-1.77%	7.39%	-1.07%	3.80%
2013	4	10.73%	6.75%	1.92%	$26,559	$19,531	$13,310	5.45%	14.25%	3.86%	9.63%	1.92%
2013	5	-9.57%	-4.52%	2.36%	$24,017	$18,648	$13,625	6.80%	-19.65%	4.55%	-13.12%	2.36%
2013	6	-8.04%	-4.90%	-1.34%	$22,087	$17,735	$13,443	-5.23%	-10.33%	-3.11%	-6.93%	-1.34%
2013	7	2.12%	2.76%	5.17%	$22,556	$18,224	$14,137	16.41%	-7.41%	10.41%	-4.90%	5.17%
2013	8	-6.63%	-4.35%	-3.00%	$21,059	$17,431	$13,713	-9.21%	-4.47%	-6.08%	-2.35%	-3.00%
2013	9	5.11%	3.80%	3.17%	$22,135	$18,093	$14,148	9.60%	1.53%	6.48%	0.81%	3.17%
2013	10	7.98%	5.99%	4.63%	$23,901	$19,177	$14,803	13.76%	4.12%	9.07%	2.90%	4.63%
2013	11	-1.00%	0.38%	2.96%	$23,662	$19,250	$15,241	8.87%	-8.19%	5.77%	-5.33%	2.96%
2013	12	0.27%	0.85%	2.59%	$23,725	$19,413	$15,636	7.54%	-6.01%	5.13%	-4.22%	2.59%
2014	1	7.40%	2.92%	-3.52%	$25,480	$19,981	$15,085	-10.72%	19.47%	-7.23%	13.08%	-3.52%
2014	2	5.63%	4.58%	4.55%	$26,914	$20,896	$15,772	13.65%	1.63%	9.06%	0.90%	4.55%
2014	3	1.90%	1.39%	0.83%	$27,425	$21,187	$15,903	2.15%	1.76%	1.52%	1.28%	0.83%
2014	4	4.24%	2.72%	0.70%	$28,587	$21,763	$16,013	1.65%	5.96%	1.23%	4.20%	0.70%
2014	5	7.95%	5.05%	2.32%	$30,859	$22,862	$16,385	6.62%	8.79%	4.41%	5.67%	2.32%
2014	6	1.78%	1.72%	2.06%	$31,409	$23,254	$16,723	6.22%	-1.00%	4.10%	-0.57%	2.06%
2014	7	-0.81%	-0.71%	-1.34%	$31,155	$23,090	$16,498	-4.44%	1.61%	-2.88%	1.47%	-1.34%
2014	8	13.47%	8.30%	3.95%	$35,352	$25,007	$17,149	11.95%	14.42%	7.87%	8.72%	3.95%
2014	9	-5.81%	-3.42%	-1.38%	$33,299	$24,153	$16,913	-4.44%	-6.65%	-2.93%	-3.87%	-1.38%
2014	10	7.25%	5.07%	2.36%	$35,714	$25,377	$17,311	6.03%	8.06%	4.38%	5.76%	2.36%
2014	11	8.79%	5.70%	2.75%	$38,853	$26,823	$17,787	8.34%	9.08%	5.54%	5.86%	2.75%
2014	12	5.08%	3.01%	-0.26%	$40,827	$27,630	$17,741	-1.54%	9.38%	-0.84%	6.79%	-0.26%
2015	1	14.82%	6.96%	-2.96%	$46,877	$29,553	$17,216	-9.47%	31.01%	-6.15%	20.06%	-2.96%
2015	2	-6.72%	-2.00%	5.62%	$43,728	$28,962	$18,183	17.48%	-17.87%	11.40%	-12.47%	5.62%
2015	3	-0.55%	-0.68%	-1.57%	$43,488	$28,764	$17,897	-5.28%	2.57%	-3.43%	2.05%	-1.57%
2015	4	-5.14%	-2.53%	0.98%	$41,252	$28,036	$18,073	2.59%	-10.30%	1.84%	-6.90%	0.98%
2015	5	-3.00%	-1.16%	1.29%	$40,012	$27,712	$18,305	3.43%	-7.91%	2.31%	-4.94%	1.29%
2015	6	-9.59%	-6.10%	-2.03%	$36,174	$26,021	$17,934	-6.21%	-12.49%	-4.09%	-8.47%	-2.03%
2015	7	10.51%	6.72%	2.26%	$39,976	$27,769	$18,339	6.17%	13.40%	4.22%	9.23%	2.26%
2015	8	-8.94%	-6.82%	-6.10%	$36,401	$25,876	$17,221	-18.87%	-2.75%	-12.48%	-1.42%	-6.10%
2015	9	0.40%	-0.76%	-2.54%	$36,545	$25,679	$16,783	-8.64%	5.10%	-5.54%	3.28%	-2.54%
2015	10	9.67%	8.01%	8.51%	$40,081	$27,736	$18,211	26.79%	-1.73%	17.45%	-1.43%	8.51%
2015	11	-1.08%	-0.33%	0.37%	$39,648	$27,645	$18,277	0.81%	-2.71%	0.60%	-1.43%	0.37%
2015	12	-4.13%	-2.94%	-1.72%	$38,011	$26,831	$17,963	-6.06%	-2.41%	-3.80%	-1.91%	-1.72%
2016	1	4.49%	0.83%	-4.98%	$39,719	$27,053	$17,069	-15.38%	17.74%	-10.37%	12.03%	-4.98%
2016	2	5.34%	3.03%	-0.08%	$41,841	$27,872	$17,055	-1.68%	8.71%	-0.62%	5.95%	-0.08%
2016	3	6.05%	6.12%	6.72%	$44,373	$29,579	$18,202	21.50%	-0.64%	13.98%	0.22%	6.72%
2016	4	-1.11%	-0.75%	0.39%	$43,879	$29,355	$18,273	0.81%	-2.39%	0.60%	-2.11%	0.39%
2016	5	3.00%	2.28%	1.70%	$45,194	$30,024	$18,584	4.65%	1.86%	3.18%	1.35%	1.70%
2016	6	12.35%	6.80%	0.35%	$50,774	$32,065	$18,649	-0.20%	21.23%	0.16%	13.74%	0.35%
2016	7	8.10%	5.87%	3.65%	$54,885	$33,947	$19,329	11.13%	6.07%	7.40%	4.34%	3.65%
2016	8	-2.06%	-1.16%	0.12%	$53,753	$33,553	$19,353	0.11%	-3.58%	0.10%	-2.46%	0.12%
2016	9	-3.00%	-1.32%	0.01%	$52,143	$33,111	$19,354	-0.54%	-4.78%	-0.28%	-2.41%	0.01%
2016	10	-10.24%	-6.63%	-1.73%	$46,803	$30,916	$19,019	-5.62%	-13.32%	-3.68%	-9.58%	-1.73%
2016	11	-9.20%	-3.87%	3.68%	$42,495	$29,720	$19,719	11.05%	-23.91%	7.23%	-15.69%	3.68%
2016	12	2.59%	1.73%	2.03%	$43,594	$30,235	$20,119	5.96%	-0.99%	4.00%	-1.34%	2.03%
2017	1	2.95%	2.37%	1.79%	$44,880	$30,952	$20,479	5.14%	1.49%	3.47%	1.27%	1.79%
2017	2	7.47%	5.55%	3.93%	$48,235	$32,670	$21,284	11.91%	4.41%	7.83%	3.22%	3.93%
2017	3	-1.44%	-0.79%	0.13%	$47,540	$32,413	$21,311	-0.22%	-2.35%	-0.02%	-1.60%	0.13%
2017	4	3.77%	2.36%	0.99%	$49,331	$33,179	$21,522	2.77%	4.43%	1.85%	2.88%	0.99%
2017	5	4.59%	3.06%	1.41%	$51,593	$34,193	$21,826	3.70%	5.17%	2.55%	3.56%	1.41%
2017	6	1.80%	1.30%	0.64%	$52,520	$34,639	$21,965	1.51%	1.98%	1.04%	1.56%	0.64%
2017	7	0.89%	1.13%	2.06%	$52,987	$35,030	$22,416	5.87%	-2.43%	3.95%	-1.69%	2.06%
2017	8	5.96%	3.45%	0.29%	$56,147	$36,239	$22,482	0.21%	10.13%	0.31%	6.77%	0.29%
2017	9	-2.13%	-0.50%	2.01%	$54,948	$36,057	$22,935	5.69%	-7.29%	3.82%	-4.79%	2.01%
2017	10	2.42%	2.18%	2.36%	$56,277	$36,844	$23,475	6.83%	-0.53%	4.53%	-0.16%	2.36%
2017	11	4.71%	3.55%	3.06%	$58,929	$38,150	$24,193	8.87%	1.73%	5.87%	1.11%	3.06%
2017	12	4.35%	2.87%	1.21%	$61,493	$39,245	$24,485	3.45%	5.04%	2.36%	3.42%	1.21%
2018	1	1.42%	2.28%	5.64%	$62,370	$40,138	$25,865	18.22%	-9.77%	11.17%	-6.62%	5.64%
2018	2	-11.42%	-7.28%	-3.64%	$55,247	$37,215	$24,925	-13.53%	-9.57%	-8.07%	-6.34%	-3.64%
2018	3	0.64%	-0.44%	-2.74%	$55,603	$37,050	$24,241	-8.69%	8.44%	-5.54%	5.52%	-2.74%
2018	4	-4.08%	-2.12%	0.52%	$53,335	$36,265	$24,367	-0.14%	-6.71%	0.20%	-4.43%	0.52%
2018	5	5.77%	3.96%	2.43%	$56,411	$37,700	$24,959	6.46%	5.27%	4.41%	3.48%	2.43%
2018	6	1.40%	1.01%	0.58%	$57,203	$38,082	$25,103	1.29%	1.49%	1.02%	1.01%	0.58%
2018	7	1.47%	2.06%	3.70%	$58,045	$38,867	$26,032	10.73%	-4.70%	7.09%	-2.97%	3.70%
2018	8	5.86%	4.28%	3.19%	$61,447	$40,529	$26,863	9.09%	3.36%	6.15%	2.21%	3.19%
2018	9	-4.29%	-2.25%	0.59%	$58,814	$39,619	$27,023	1.20%	-8.77%	0.89%	-5.85%	0.59%
2018	10	-13.78%	-10.11%	-6.91%	$50,710	$35,614	$25,156	-20.78%	-9.11%	-14.01%	-6.20%	-6.91%
2018	11	4.58%	3.11%	1.85%	$53,033	$36,721	$25,622	4.28%	4.76%	3.15%	3.07%	1.85%
2018	12	1.74%	-2.06%	-8.79%	$53,956	$35,966	$23,369	-26.25%	17.93%	-17.72%	12.31%	-8.79%
2019	1	9.81%	7.90%	8.01%	$59,247	$38,808	$25,240	23.89%	0.41%	15.73%	0.08%	8.01%
2019	2	1.71%	1.99%	3.24%	$60,258	$39,579	$26,059	9.28%	-4.52%	6.21%	-2.90%	3.24%
2019	3	11.11%	6.77%	1.81%	$66,952	$42,257	$26,530	4.85%	17.00%	3.45%	10.96%	1.81%
2019	4	0.79%	1.78%	4.09%	$67,480	$43,007	$27,613	11.81%	-6.56%	7.72%	-4.16%	4.09%
2019	5	3.36%	-0.21%	-6.38%	$69,745	$42,915	$25,852	-18.89%	21.11%	-12.77%	13.91%	-6.38%
2019	6	8.68%	7.40%	6.96%	$75,802	$46,093	$27,652	21.37%	1.90%	14.09%	1.64%	6.96%
2019	7	1.71%	1.36%	1.51%	$77,101	$46,720	$28,070	3.80%	0.32%	2.52%	0.21%	1.51%
2019	8	18.07%	9.19%	-1.67%	$91,037	$51,014	$27,600	-6.62%	35.11%	-4.04%	22.73%	-1.67%
2019	9	-4.43%	-1.59%	1.95%	$87,001	$50,201	$28,137	5.30%	-9.07%	3.62%	-5.77%	1.95%
2019	10	-0.19%	0.73%	2.21%	$86,837	$50,565	$28,759	5.70%	-4.11%	4.00%	-2.55%	2.21%
2019	11	3.39%	3.05%	3.62%	$89,779	$52,109	$29,800	10.73%	-2.01%	7.07%	-1.23%	3.62%
2019	12	-1.69%	-0.10%	2.90%	$88,266	$52,056	$30,666	8.38%	-10.05%	5.65%	-6.75%	2.90%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 3
Large-cap Value	46.67%
Large-cap Growth	53.11%
Mid-cap Value	0.00%
Mid-cap Growth	0.00%
Small-cap Value	0.22%
Small-cap Growth	0.00%
Global ex-US Developed Markets	0.00%
Emerging Markets	0.00%
Corporate Bonds	0.00%
Long-Term Treasuries	0.00%
Intermediate-Term Treasuries	0.00%
Short-Term Treasuries	0.00%
R Squared	99.95%
Style analysis is based on monthly returns from Jan 2011 to Dec 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
Ticker	Name	Category	Weight	ER	Return Contribution	Risk Contribution
UPRO	ProShares UltraPro S&P500	Leveraged Equity	40.00%	0.93%	$51,020	8.70%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	Leveraged Debt	60.00%	1.05%	$27,246	91.30%
			100.00%	1.00%	$78,266	100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	ER	Return Contribution	Risk Contribution
SSO	ProShares Ultra S&P500	Leveraged Equity	50.00%	0.91%	$29,266	37.77%
UBT	ProShares Ultra 20+ Year Treasury	Leveraged Debt	50.00%	0.95%	$12,790	62.23%
			100.00%	0.93%	$42,056	100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	ER	P/E	Return Contribution	Risk Contribution
SPY	SPDR S&P 500 ETF Trust	Large Blend	100.00%	0.09%	25.89	$20,666	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (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
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	2.23%	1.61%	1.10%
Arithmetic Mean (annualized)	30.36%	21.14%	14.01%
Geometric Mean (monthly)	2.04%	1.54%	1.04%
Geometric Mean (annualized)	27.38%	20.12%	13.26%
Volatility (monthly)	6.38%	3.81%	3.34%
Volatility (annualized)	22.11%	13.19%	11.58%
Downside Deviation (monthly)	3.32%	2.03%	2.00%
Max. Drawdown	-22.83%	-13.11%	-16.23%
US Market Correlation	0.11	0.40	1.00
Beta^(*)	0.21	0.44	0.96
Alpha (annualized)	24.14%	13.67%	0.77%
R²	1.26%	15.92%	99.16%
Sharpe Ratio	1.18	1.42	1.09
Sortino Ratio	2.27	2.63	1.79
Treynor Ratio (%)	126.68	42.62	13.06
Calmar Ratio	1.42	1.64	1.12
Active Return	14.49%	7.24%	0.38%
Tracking Error	23.94%	13.83%	1.15%
Information Ratio	0.61	0.52	0.33
Skewness	0.24	-0.34	-0.39
Excess Kurtosis	1.14	0.32	0.99
Historical Value-at-Risk (5%)	-9.41%	-5.56%	-6.05%
Analytical Value-at-Risk (5%)	-7.90%	-4.58%	-4.40%
Conditional Value-at-Risk (5%)	-10.92%	-7.39%	-7.02%
Upside Capture Ratio (%)	92.76	85.10	99.48
Downside Capture Ratio (%)	-27.68	14.31	96.13
Safe Withdrawal Rate	35.34%	25.80%	17.67%
Perpetual Withdrawal Rate	20.09%	15.26%	10.13%
Positive Periods	71 out of 108 (65.74%)	72 out of 108 (66.67%)	78 out of 108 (72.22%)
Gain/Loss Ratio	1.29	1.44	0.89
^* 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)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2015	Jun 2015	5 months	Jun 2016	1 year	1 year 5 months	-22.83%
2	Aug 2016	Nov 2016	4 months	Aug 2017	9 months	1 year 1 month	-22.58%
3	May 2013	Aug 2013	4 months	Feb 2014	6 months	10 months	-20.71%
4	Feb 2018	Oct 2018	9 months	Mar 2019	5 months	1 year 2 months	-18.69%
5	Jun 2011	Jun 2011	1 month	Aug 2011	2 months	3 months	-6.83%
6	Aug 2012	Dec 2012	5 months	Mar 2013	3 months	8 months	-6.51%
7	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-5.81%
8	Sep 2019	Oct 2019	2 months				-4.61%
9	Jan 2011	Jan 2011	1 month	Feb 2011	1 month	2 months	-3.02%
10	Mar 2012	Mar 2012	1 month	Apr 2012	1 month	2 months	-2.16%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2015	Sep 2015	8 months	Mar 2016	6 months	1 year 2 months	-13.11%
2	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-12.45%
3	Sep 2018	Oct 2018	2 months	Mar 2019	5 months	7 months	-12.13%
4	May 2013	Aug 2013	4 months	Jan 2014	5 months	9 months	-10.75%
5	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-9.65%
6	Jun 2011	Jun 2011	1 month	Aug 2011	2 months	3 months	-4.26%
7	Sep 2014	Sep 2014	1 month	Oct 2014	1 month	2 months	-3.42%
8	Oct 2012	Oct 2012	1 month	Feb 2013	4 months	5 months	-2.75%
9	Sep 2019	Sep 2019	1 month	Nov 2019	2 months	3 months	-1.59%
10	Jan 2011	Jan 2011	1 month	Feb 2011	1 month	2 months	-0.85%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	May 2011	Sep 2011	5 months	Feb 2012	5 months	10 months	-16.23%
2	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.52%
3	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.48%
4	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-6.63%
5	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.38%
6	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.28%
7	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-3.52%
8	Dec 2014	Jan 2015	2 months	Feb 2015	1 month	3 months	-3.21%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-3.00%
10	Jun 2015	Jun 2015	1 month	Jul 2015	1 month	2 months	-2.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
UPRO	ProShares UltraPro S&P500	32.45%	35.74%	118.49%	-25.15%	-47.03%	0.96	1.57	0.99
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	13.53%	38.80%	109.14%	-39.01%	-49.74%	0.49	0.93	-0.45
SSO	ProShares Ultra S&P500	23.30%	23.45%	70.46%	-14.62%	-32.40%	0.99	1.62	1.00
UBT	ProShares Ultra 20+ Year Treasury	11.20%	25.67%	72.72%	-26.78%	-34.92%	0.51	0.97	-0.45
SPY	SPDR S&P 500 ETF Trust	13.26%	11.58%	32.31%	-4.56%	-16.23%	1.09	1.79	1.00

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	UPRO	TMF	SSO	UBT	SPY	Portfolio 1	Portfolio 2	Portfolio 3
UPRO	ProShares UltraPro S&P500	1.00	-0.44	1.00	-0.44	1.00	0.13	0.41	1.00
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	-0.44	1.00	-0.44	1.00	-0.44	0.82	0.63	-0.44
SSO	ProShares Ultra S&P500	1.00	-0.44	1.00	-0.44	1.00	0.13	0.41	1.00
UBT	ProShares Ultra 20+ Year Treasury	-0.44	1.00	-0.44	1.00	-0.44	0.82	0.62	-0.44
SPY	SPDR S&P 500 ETF Trust	1.00	-0.44	1.00	-0.44	1.00	0.13	0.41	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
UPRO	ProShares UltraPro S&P500	$51,020
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	$27,246
SSO	ProShares Ultra S&P500		$29,266
UBT	ProShares Ultra 20+ Year Treasury		$12,790
SPY	SPDR S&P 500 ETF Trust			$20,666

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
UPRO	ProShares UltraPro S&P500	8.70%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	91.30%
SSO	ProShares Ultra S&P500		37.77%
UBT	ProShares Ultra 20+ Year Treasury		62.23%
SPY	SPDR S&P 500 ETF Trust			100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	31.28%	77.04%	-12.26%	21.58%	44.74%	-8.36%	13.92%	32.31%	-4.56%
3 years	23.03%	33.37%	12.39%	17.79%	24.89%	10.26%	13.67%	20.31%	8.77%
5 years	21.50%	30.61%	16.67%	16.61%	21.82%	13.13%	12.52%	15.68%	8.37%
7 years	22.90%	29.63%	17.26%	17.71%	21.57%	14.22%	13.61%	14.59%	12.59%
Result statistics are based on annualized rolling returns over full calendar year periods