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 Assets 
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Asset 6
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Portfolio Analysis Results (Jan 2012 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 45.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 35.00%
UGLD VelocityShares 3x Long Gold ETN 20.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
UPRO ProShares UltraPro S&P500 40.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 30.00%
UGL ProShares Ultra Gold 30.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$54,820 21.46% 21.19%67.71%-18.04%-25.38% 1.001.770.59
Portfolio 2$10,000$48,154 19.68% 19.75%60.68%-15.77%-23.02% 0.981.770.59
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 yearFull
Portfolio 15.36%18.93%28.37%22.57%23.34%21.46%
Portfolio 27.23%20.50%29.72%22.08%22.17%19.68%
Trailing returns are for full months ending in September 2020 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 2020 are based on monthly returns from January to September
  • 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 annual 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)VelocityShares 3x Long Gold ETN (UGLD)ProShares Ultra Gold (UGL)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20121.74%22.93%21.30%$12,293$12,13046.80%0.60%8.33%8.01%
20131.50%25.81%20.20%$15,467$14,580118.49%-39.01%-69.28%-51.65%
20140.76%48.62%42.33%$22,986$20,75238.00%97.34%-12.75%-6.91%
20150.73%-14.03%-13.00%$19,762$18,055-5.24%-13.73%-34.31%-22.60%
20162.07%15.66%15.06%$22,857$20,77430.79%-2.52%13.43%11.67%
20172.11%46.73%42.12%$33,537$29,52571.37%22.73%33.25%22.50%
20181.91%-18.04%-15.77%$27,486$24,869-25.15%-11.01%-14.35%-8.02%
20192.29%67.71%60.68%$46,096$39,960102.31%34.74%47.53%31.11%
20201.29%18.93%20.50%$54,820$48,154-19.96%55.14%43.05%39.82%
Annual returns for 2020 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)VelocityShares 3x Long Gold ETN (UGLD)ProShares Ultra Gold (UGL)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
2012112.87%12.07%$11,287$11,20713.90%-1.50%35.69%23.20%
201221.35%1.15%$11,439$11,33613.24%-7.95%-9.29%-6.46%
20123-0.00%0.22%$11,439$11,3619.29%-13.02%-5.13%-2.91%
201241.88%1.57%$11,654$11,539-2.38%14.37%-1.33%-0.83%
20125-5.06%-5.13%$11,064$10,947-17.35%28.90%-18.55%-12.60%
201264.06%4.01%$11,513$11,38611.47%-5.78%5.16%4.07%
201275.89%5.23%$12,191$11,9813.52%11.43%1.97%1.38%
201283.92%3.91%$12,668$12,4496.53%-4.61%14.35%9.59%
201293.84%3.71%$13,155$12,9117.52%-7.87%14.53%9.40%
201210-5.51%-5.05%$12,430$12,259-5.96%-2.13%-9.17%-6.12%
2012111.26%1.11%$12,586$12,3951.01%3.90%-2.16%-1.27%
201212-2.32%-2.14%$12,293$12,1302.82%-7.80%-7.49%-5.00%
201313.10%2.86%$12,675$12,47715.39%-9.58%-2.34%-1.41%
20132-0.03%-0.41%$12,671$12,4253.56%3.39%-15.14%-10.10%
201335.61%5.13%$13,382$13,06411.03%-1.77%2.59%1.81%
201343.31%2.36%$13,824$13,3725.45%14.25%-24.89%-15.80%
20135-4.72%-4.75%$13,172$12,7366.80%-19.65%-18.59%-12.55%
20136-9.14%-9.50%$11,968$11,526-5.23%-10.33%-31.07%-21.29%
2013710.28%10.26%$13,199$12,70816.41%-7.41%21.07%13.60%
20138-6.11%-4.79%$12,393$12,099-9.21%-4.47%15.86%11.18%
201395.28%4.13%$13,047$12,5999.60%1.53%-14.92%-9.77%
20131010.27%9.26%$14,388$13,76613.76%4.12%-2.74%-1.38%
2013113.50%2.61%$14,891$14,1258.87%-8.19%-15.97%-10.93%
2013123.86%3.22%$15,467$14,5807.54%-6.01%-12.10%-7.65%
201413.92%3.50%$16,073$15,091-10.72%19.47%9.64%6.50%
2014210.08%9.18%$17,693$16,47713.65%1.63%19.65%12.65%
20143-0.68%-0.70%$17,573$16,3622.15%1.76%-9.54%-6.38%
201443.21%2.90%$18,137$16,8361.65%5.96%1.25%1.06%
201454.15%3.53%$18,890$17,4316.62%8.79%-9.58%-6.36%
201465.68%5.36%$19,963$18,3666.22%-1.00%19.76%12.68%
20147-3.44%-3.16%$19,277$17,785-4.44%1.61%-10.94%-7.08%
2014810.86%9.67%$21,371$19,50511.95%14.42%0.74%0.44%
20149-7.59%-7.14%$19,750$18,113-4.44%-6.65%-17.65%-11.97%
2014104.49%3.80%$20,637$18,8026.03%8.06%-9.87%-6.50%
2014117.27%6.61%$22,136$20,0458.34%9.08%-2.42%-1.08%
2014123.84%3.53%$22,986$20,752-1.54%9.38%3.22%2.32%
2015111.96%10.75%$25,735$22,984-9.47%31.01%26.83%17.47%
20152-4.70%-4.19%$24,526$22,02217.48%-17.87%-16.51%-11.19%
20153-2.96%-2.76%$23,799$21,415-5.28%2.57%-7.58%-4.82%
20154-2.93%-2.44%$23,101$20,8922.59%-10.30%-1.18%-0.52%
20155-0.91%-0.58%$22,891$20,7703.43%-7.91%1.20%1.16%
20156-7.99%-7.11%$21,063$19,293-6.21%-12.49%-5.01%-3.49%
201573.16%2.07%$21,728$19,6936.17%13.40%-19.56%-12.99%
20158-8.73%-7.33%$19,831$18,250-18.87%-2.75%11.08%7.26%
20159-3.17%-3.05%$19,204$17,693-8.64%5.10%-5.69%-3.88%
20151011.87%10.68%$21,483$19,58326.79%-1.73%6.14%4.36%
201511-3.96%-4.24%$20,631$18,7540.81%-2.71%-19.29%-13.24%
201512-4.21%-3.72%$19,762$18,055-6.06%-2.41%-2.12%-1.20%
201612.57%2.47%$20,271$18,502-15.38%17.74%16.42%11.00%
2016210.73%9.75%$22,446$20,306-1.68%8.71%34.62%22.48%
201635.95%5.49%$23,781$21,42021.50%-0.64%-3.20%-1.81%
201643.28%2.71%$24,560$22,0010.81%-2.39%15.30%9.50%
20165-2.68%-2.31%$23,903$21,4944.65%1.86%-17.92%-12.31%
2016614.35%12.56%$27,332$24,192-0.20%21.23%28.07%18.16%
201677.58%6.91%$29,405$25,86411.13%6.07%5.17%3.80%
20168-4.05%-3.37%$28,215$24,9930.11%-3.58%-10.46%-6.63%
20169-1.66%-1.54%$27,748$24,609-0.54%-4.78%1.57%0.85%
201610-9.46%-8.30%$25,124$22,565-5.62%-13.32%-9.49%-6.09%
201611-10.17%-8.94%$22,570$20,54911.05%-23.91%-23.96%-16.31%
2016121.27%1.10%$22,857$20,7745.96%-0.99%-6.28%-4.02%
201716.02%5.59%$24,231$21,9365.14%1.49%15.91%10.30%
201728.82%7.83%$26,370$23,65411.91%4.41%9.29%5.79%
20173-1.29%-0.98%$26,029$23,423-0.22%-2.35%-1.98%-0.75%
201743.72%3.34%$26,999$24,2042.77%4.43%4.72%3.12%
201753.13%2.83%$27,844$24,8903.70%5.17%-1.01%-0.45%
20176-0.11%-0.15%$27,815$24,8511.51%1.98%-6.88%-4.54%
201773.19%3.03%$28,701$25,6035.87%-2.43%6.29%4.35%
201785.86%5.27%$30,384$26,9520.21%10.13%12.68%8.29%
20179-2.03%-1.81%$29,769$26,4645.69%-7.29%-10.33%-7.00%
2017102.65%2.39%$30,557$27,0966.83%-0.53%-2.79%-1.87%
2017115.08%4.74%$32,110$28,3808.87%1.73%0.10%0.51%
2017124.44%4.03%$33,537$29,5253.45%5.04%6.40%4.12%
201816.56%6.27%$35,735$31,37718.22%-9.77%8.89%6.39%
20182-11.01%-9.93%$31,801$28,261-13.53%-9.57%-6.92%-4.90%
20183-1.45%-1.24%$31,341$27,909-8.69%8.44%1.06%0.97%
20184-3.05%-2.59%$30,384$27,187-0.14%-6.71%-3.51%-2.00%
201853.72%3.11%$31,515$28,0326.46%5.27%-4.36%-2.85%
20186-1.12%-1.38%$31,161$27,6441.29%1.49%-11.02%-7.58%
201872.29%1.95%$31,875$28,18210.73%-4.70%-7.58%-4.62%
201884.72%3.88%$33,378$29,2779.09%3.36%-6.81%-4.62%
20189-2.40%-2.10%$32,577$28,6631.20%-8.77%-2.60%-1.53%
201810-13.64%-11.85%$28,133$25,265-20.78%-9.11%5.42%3.60%
2018113.75%3.28%$29,190$26,0934.28%4.76%0.52%0.44%
201812-5.84%-4.69%$27,486$24,869-26.25%17.93%14.55%9.77%
2019112.48%11.16%$30,916$27,64623.89%0.41%7.91%4.95%
201922.72%2.47%$31,756$28,3299.28%-4.52%-2.45%-1.55%
201936.48%5.61%$33,814$29,9174.85%17.00%-5.57%-3.65%
201943.61%3.30%$35,034$30,90511.81%-6.56%-2.67%-1.77%
20195-3.84%-3.60%$33,688$29,793-18.89%21.11%4.41%3.03%
2019614.91%13.88%$38,709$33,92921.37%1.90%24.95%16.21%
201971.97%1.76%$39,473$34,5263.80%0.32%-0.17%-0.30%
2019811.85%10.70%$44,151$38,219-6.62%35.11%23.43%15.64%
20199-3.27%-2.87%$42,706$37,1205.30%-9.07%-10.61%-7.05%
2019102.35%2.28%$43,708$37,9685.70%-4.11%6.66%4.62%
2019112.61%2.42%$44,849$38,88710.73%-2.01%-9.84%-6.66%
2019122.78%2.76%$46,096$39,9608.38%-10.05%10.33%7.00%
2020110.55%9.34%$50,957$43,691-0.91%23.80%13.14%8.54%
20202-3.12%-2.79%$49,367$42,474-23.04%17.91%-4.14%-1.75%
20203-10.03%-9.08%$44,416$38,616-48.13%11.91%-1.43%-0.59%
2020412.47%11.68%$49,953$43,12637.17%2.68%18.06%12.87%
202050.98%1.12%$50,441$43,60813.38%-6.48%6.32%4.34%
202063.16%2.98%$52,033$44,9063.23%0.54%8.42%5.86%
2020710.47%16.08%$57,483$52,12617.70%13.13%-1.67%18.56%
20208-1.51%-1.95%$56,614$51,10922.05%-14.89%0.00%-2.47%
20209-3.17%-5.78%$54,820$48,154-12.26%2.15%0.00%-8.51%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity45.00%0.93%$25,56251.60%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt35.00%1.05%$15,09724.84%
UGLDVelocityShares 3x Long Gold ETNLeveraged Commodities20.00%1.35%$4,16223.57%
100.00%1.06%$44,820100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
UPROProShares UltraPro S&P500Leveraged Equity40.00%0.93%$21,57549.22%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt30.00%1.05%$11,50822.10%
UGLProShares Ultra GoldLeveraged Commodities30.00%0.95%$5,07128.68%
100.00%0.97%$38,154100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)1.82%1.67%
Arithmetic Mean (annualized)24.12%21.94%
Geometric Mean (monthly)1.63%1.51%
Geometric Mean (annualized)21.46%19.68%
Volatility (monthly)6.12%5.70%
Volatility (annualized)21.19%19.75%
Downside Deviation (monthly)3.42%3.13%
Max. Drawdown-25.38%-23.02%
US Market Correlation0.590.59
Beta(*)0.940.88
Alpha (annualized)8.76%7.81%
R235.14%35.35%
Sharpe Ratio1.000.98
Sortino Ratio1.771.77
Treynor Ratio (%)22.5722.09
Calmar Ratio0.981.06
Active Return7.63%5.84%
Tracking Error17.08%15.97%
Information Ratio0.450.37
Skewness-0.100.04
Excess Kurtosis-0.29-0.19
Historical Value-at-Risk (5%)-9.36%-8.75%
Analytical Value-at-Risk (5%)-8.58%-8.03%
Conditional Value-at-Risk (5%)-10.86%-9.86%
Upside Capture Ratio (%)115.01105.43
Downside Capture Ratio (%)74.0369.26
Safe Withdrawal Rate25.49%23.55%
Perpetual Withdrawal Rate17.70%16.36%
Positive Periods64 out of 105 (60.95%)65 out of 105 (61.90%)
Gain/Loss Ratio1.321.27
* 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 2015Sep 20158 monthsJun 20169 months1 year 5 months-25.38%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-23.25%
3Feb 2018Dec 201811 monthsJun 20196 months1 year 5 months-23.08%
4May 2013Jun 20132 monthsOct 20134 months6 months-13.43%
5Feb 2020Mar 20202 monthsJun 20203 months5 months-12.84%
6Sep 2014Sep 20141 monthNov 20142 months3 months-7.59%
7Oct 2012Dec 20123 monthsMar 20133 months6 months-6.55%
8May 2012May 20121 monthJul 20122 months3 months-5.06%
9Aug 2020Sep 20202 months-4.63%
10Jul 2014Jul 20141 monthAug 20141 month2 months-3.44%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-23.02%
2Feb 2018Dec 201811 monthsJun 20196 months1 year 5 months-20.74%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-20.55%
4May 2013Jun 20132 monthsOct 20134 months6 months-13.80%
5Feb 2020Mar 20202 monthsJun 20203 months5 months-11.62%
6Aug 2020Sep 20202 months-7.62%
7Sep 2014Sep 20141 monthNov 20142 months3 months-7.14%
8Oct 2012Dec 20123 monthsMar 20133 months6 months-6.05%
9May 2012May 20121 monthJul 20122 months3 months-5.13%
10Jul 2014Jul 20141 monthAug 20141 month2 months-3.16%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
UPROProShares UltraPro S&P50032.06%40.75%118.49%-25.15%-60.44%0.891.350.99
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF10.12%36.86%97.34%-39.01%-49.74%0.420.75-0.36
UGLDVelocityShares 3x Long Gold ETN-7.18%44.03%47.53%-69.28%-85.94%0.030.050.05
UGLProShares Ultra Gold-1.60%29.97%39.82%-51.65%-69.46%0.070.110.08

Monthly Correlations

Correlations for the portfolio assets
TickerNameUPROTMFUGLDUGLPortfolio 1Portfolio 2
UPROProShares UltraPro S&P5001.00-0.350.040.070.590.60
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.351.000.300.320.410.39
UGLDVelocityShares 3x Long Gold ETN0.040.301.000.970.560.58
UGLProShares Ultra Gold0.070.320.971.000.590.63

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
UPROProShares UltraPro S&P500$25,562$21,575
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$15,097$11,508
UGLDVelocityShares 3x Long Gold ETN$4,162
UGLProShares Ultra Gold$5,071

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
UPROProShares UltraPro S&P50051.60%49.22%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF24.84%22.10%
UGLDVelocityShares 3x Long Gold ETN23.57%
UGLProShares Ultra Gold28.68%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year24.42%67.71%-18.04%21.62%60.68%-15.77%
3 years19.07%31.97%11.62%17.06%27.55%11.26%
5 years16.83%22.23%12.19%15.12%19.47%11.27%
7 years18.16%20.78%15.54%16.23%18.57%13.90%
Result statistics are based on annualized rolling returns over full calendar year periods