Backtest Portfolio Asset Allocation

Portfolio Model Configuration

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Portfolio Analysis Results (Jan 2018 - Dec 2021)

Direxion Daily Technology Bull 3X ETF

Ticker Name Allocation
TECL Direxion Daily Technology Bull 3X ETF 100.00%
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ProShares UltraPro QQQ

Ticker Name Allocation
TQQQ ProShares UltraPro QQQ 100.00%
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Bitcoin Market Price USD

Ticker Name Allocation
^BTC Bitcoin Market Price USD 100.00%
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Performance Summary

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Direxion Daily Technology Bull 3X ETF$10,000$78,208 67.23% 63.08%185.57%-24.02%-56.62% 1.141.900.92
ProShares UltraPro QQQ$10,000$72,076 63.85% 60.85%133.83%-19.80%-49.12% 1.111.940.94
Bitcoin Market Price USD$10,000$35,458 37.22% 81.09%305.46%-71.75%-73.81% 0.761.440.28

Portfolio Growth

   

Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 yearFull3 year
Direxion Daily Technology Bull 3X ETF52.75%112.82%112.82%117.53%67.23%63.84%
ProShares UltraPro QQQ33.52%82.98%82.98%107.91%63.85%60.84%
Bitcoin Market Price USD5.94%59.10%59.10%132.41%37.22%78.68%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The results assume annual rebalancing of portfolio assets to match the specified allocation.

Annual Returns

Annual returns for the configured portfolios
YearInflationDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USDDirexion Daily Technology Bull 3X ETF (TECL)ProShares UltraPro QQQ (TQQQ)Bitcoin Market Price USD (^BTC)
ReturnBalanceReturnBalanceReturnBalance
20181.91%-24.02%$7,598-19.80%$8,020-71.75%$2,825-24.02%-19.80%-71.75%
20192.29%185.57%$21,697133.83%$18,75294.60%$5,497185.57%133.83%94.60%
20201.36%69.37%$36,748110.05%$39,390305.46%$22,28769.37%110.05%305.46%
20217.04%112.82%$78,20882.98%$72,07659.10%$35,458112.82%82.98%59.10%

Monthly Returns

Monthly returns for the configured portfolios
YearMonthDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USDDirexion Daily Technology Bull 3X ETF (TECL)ProShares UltraPro QQQ (TQQQ)Bitcoin Market Price USD (^BTC)
ReturnBalanceReturnBalanceReturnBalance
2018121.99%$12,19927.70%$12,770-24.10%$7,59021.99%27.70%-24.10%
20182-4.14%$11,694-6.16%$11,9839.97%$8,347-4.14%-6.16%9.97%
20183-12.78%$10,199-13.42%$10,375-36.07%$5,336-12.78%-13.42%-36.07%
20184-1.43%$10,053-0.42%$10,33132.97%$7,096-1.43%-0.42%32.97%
2018520.57%$12,12017.00%$12,087-19.64%$5,70220.57%17.00%-19.64%
20186-1.77%$11,9062.18%$12,351-14.83%$4,857-1.77%2.18%-14.83%
201875.54%$12,5657.56%$13,28521.39%$5,8965.54%7.56%21.39%
2018820.13%$15,09517.69%$15,636-8.73%$5,38120.13%17.69%-8.73%
20189-0.98%$14,946-1.60%$15,385-6.43%$5,035-0.98%-1.60%-6.43%
201810-25.06%$11,201-26.61%$11,291-3.88%$4,840-25.06%-26.61%-3.88%
201811-8.29%$10,272-2.91%$10,962-37.48%$3,026-8.29%-2.91%-37.48%
201812-26.04%$7,598-26.84%$8,020-6.65%$2,825-26.04%-26.84%-6.65%
2019118.73%$9,02126.92%$10,178-7.29%$2,61918.73%26.92%-7.29%
2019221.38%$10,9508.57%$11,05111.08%$2,90921.38%8.57%11.08%
2019313.53%$12,43111.05%$12,2727.76%$3,13513.53%11.05%7.76%
2019419.62%$14,87016.64%$14,31428.88%$4,04019.62%16.64%28.88%
20195-25.23%$11,118-24.01%$10,87761.31%$6,517-25.23%-24.01%61.31%
2019627.90%$14,22023.00%$13,37928.42%$8,36927.90%23.00%28.42%
201979.34%$15,5486.20%$14,208-8.48%$7,6609.34%6.20%-8.48%
20198-7.28%$14,415-7.79%$13,101-3.80%$7,369-7.28%-7.79%-3.80%
201993.80%$14,9621.88%$13,348-14.38%$6,3093.80%1.88%-14.38%
20191010.63%$16,55312.43%$15,00710.80%$6,99110.63%12.43%10.80%
20191116.14%$19,22412.20%$16,837-17.40%$5,77416.14%12.20%-17.40%
20191212.86%$21,69711.37%$18,752-4.80%$5,49712.86%11.37%-4.80%
2020111.04%$24,0928.19%$20,28830.77%$7,18811.04%8.19%30.77%
20202-22.66%$18,632-17.77%$16,683-7.98%$6,614-22.66%-17.77%-7.98%
20203-43.91%$10,451-38.13%$10,322-25.39%$4,935-43.91%-38.13%-25.39%
2020438.41%$14,46646.45%$15,11736.01%$6,71238.41%46.45%36.01%
2020520.98%$17,50218.63%$17,9337.53%$7,21820.98%18.63%7.53%
2020619.65%$20,94017.98%$21,157-2.96%$7,00419.65%17.98%-2.96%
2020716.33%$24,36022.25%$25,86524.32%$8,70716.33%22.25%24.32%
2020838.38%$33,70935.17%$34,9612.68%$8,94138.38%35.17%2.68%
20209-18.43%$27,498-18.88%$28,361-8.02%$8,223-18.43%-18.88%-8.02%
202010-16.13%$23,064-10.28%$25,44729.32%$10,635-16.13%-10.28%29.32%
20201136.13%$31,39634.54%$34,23739.53%$14,83936.13%34.54%39.53%
20201217.05%$36,74815.05%$39,39050.20%$22,28717.05%15.05%50.20%
20211-3.88%$35,323-0.47%$39,20313.66%$25,331-3.88%-0.47%13.66%
202122.97%$36,374-1.38%$38,66236.28%$34,5222.97%-1.38%36.28%
202132.69%$37,3512.29%$39,54630.23%$44,9582.69%2.29%30.23%
2021415.56%$43,16317.97%$46,652-2.42%$43,86915.56%17.97%-2.42%
20215-4.13%$41,382-4.71%$44,455-35.55%$28,272-4.13%-4.71%-35.55%
2021621.49%$50,27719.41%$53,083-5.62%$26,68421.49%19.41%-5.62%
2021711.40%$56,0088.36%$57,52020.12%$32,05411.40%8.36%20.12%
2021810.51%$61,89312.62%$64,77812.06%$35,92010.51%12.62%12.06%
20219-17.28%$51,199-16.67%$53,980-6.82%$33,470-17.28%-16.67%-6.82%
20211025.46%$64,23424.56%$67,23540.39%$46,98625.46%24.56%40.39%
20211112.89%$72,5145.37%$70,845-6.45%$43,95812.89%5.37%-6.45%
2021127.85%$78,2081.74%$72,076-19.34%$35,4587.85%1.74%-19.34%

Holdings Based Style Analysis for Direxion Daily Technology Bull 3X ETF

Holdings Based Style Analysis for Direxion Daily Technology Bull 3X ETF
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
TECLDirexion Daily Technology Bull 3X ETFLeveraged Equity100.00%0.22%0.94%0.94%26.16$68,208100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors

Holdings Based Style Analysis for ProShares UltraPro QQQ

Holdings Based Style Analysis for ProShares UltraPro QQQ
TickerNameCategoryWeightTTM YieldExpense RatioContribution
NetGrossReturnRisk
TQQQProShares UltraPro QQQLeveraged Equity100.00%0.57%0.86%0.98%$62,076100.00%
Asset Allocation
Fixed Income Maturity

Fund fundamentals data as of 01/27/2023. (c) 2023 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.

Risk and Return Metrics

Portfolio return and risk metrics
MetricDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USD
Arithmetic Mean (monthly)6.07%5.73%5.23%
Arithmetic Mean (annualized)102.90%95.09%84.43%
Geometric Mean (monthly)4.38%4.20%2.67%
Geometric Mean (annualized)67.23%63.85%37.22%
Standard Deviation (monthly)18.21%17.57%23.41%
Standard Deviation (annualized)63.08%60.85%81.09%
Downside Deviation (monthly)10.82%10.03%12.32%
Maximum Drawdown-56.62%-49.12%-73.81%
Stock Market Correlation0.920.940.28
Beta(*)3.273.221.29
Alpha (annualized)15.95%12.60%40.31%
R284.55%88.30%7.98%
Sharpe Ratio1.141.110.76
Sortino Ratio1.901.941.44
Treynor Ratio (%)21.9721.0047.80
Calmar Ratio2.082.203.23
Active Return50.15%46.77%20.14%
Tracking Error47.27%44.58%77.96%
Information Ratio1.061.050.26
Skewness-0.56-0.280.29
Excess Kurtosis0.060.10-0.50
Historical Value-at-Risk (5%)-25.17%-25.70%-31.99%
Analytical Value-at-Risk (5%)-23.88%-23.17%-33.27%
Conditional Value-at-Risk (5%)-31.72%-30.53%-36.37%
Upside Capture Ratio (%)520.54482.4993.20
Downside Capture Ratio (%)285.89275.15-5.68
Safe Withdrawal Rate44.37%44.41%15.88%
Perpetual Withdrawal Rate38.33%37.06%24.85%
Positive Periods31 out of 48 (64.58%)31 out of 48 (64.58%)23 out of 48 (47.92%)
Gain/Loss Ratio1.221.241.90
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USD
COVID-19 StartJan 2020Mar 2020-56.62%-49.12%-31.34%

Drawdowns for Direxion Daily Technology Bull 3X ETF

Drawdowns for Direxion Daily Technology Bull 3X ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-56.62%
2Sep 2018Dec 20184 monthsJul 20197 months11 months-49.67%
3Sep 2020Oct 20202 monthsDec 20202 months4 months-31.58%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-17.60%
5Sep 2021Sep 20211 monthOct 20211 month2 months-17.28%
6Aug 2019Aug 20191 monthOct 20192 months3 months-7.28%
7May 2021May 20211 monthJun 20211 month2 months-4.13%
8Jan 2021Jan 20211 monthMar 20212 months3 months-3.88%

Drawdowns for ProShares UltraPro QQQ

Drawdowns for ProShares UltraPro QQQ
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-49.12%
2Sep 2018Dec 20184 monthsNov 201911 months1 year 3 months-48.71%
3Sep 2020Oct 20202 monthsDec 20202 months4 months-27.21%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-19.10%
5Sep 2021Sep 20211 monthOct 20211 month2 months-16.67%
6May 2021May 20211 monthJun 20211 month2 months-4.71%
7Jan 2021Feb 20212 monthsMar 20211 month3 months-1.85%

Drawdowns for Bitcoin Market Price USD

Drawdowns for Bitcoin Market Price USD
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2018Jan 20191 year 1 monthOct 20201 year 9 months2 years 10 months-73.81%
2Apr 2021Jun 20213 monthsOct 20214 months7 months-40.65%
3Nov 2021Dec 20212 months-24.54%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
TECLDirexion Daily Technology Bull 3X ETF67.23%63.08%185.57%-24.02%-56.62%1.141.900.92
TQQQProShares UltraPro QQQ63.85%60.85%133.83%-19.80%-49.12%1.111.940.94
^BTCBitcoin Market Price USD37.22%81.09%305.46%-71.75%-73.81%0.761.440.28

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 yearNetGross
Direxion Daily Technology Bull 3X ETF52.75%112.82%112.82%117.53%0.94%0.94%
ProShares UltraPro QQQ33.52%82.98%82.98%107.91%0.86%0.98%
Bitcoin Market Price USD5.94%59.10%59.10%132.41%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameTECLTQQQ^BTCDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USD
TECLDirexion Daily Technology Bull 3X ETF1.000.970.261.000.970.26
TQQQProShares UltraPro QQQ0.971.000.250.971.000.25
^BTCBitcoin Market Price USD0.260.251.000.260.251.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USD
TECLDirexion Daily Technology Bull 3X ETF$68,208
TQQQProShares UltraPro QQQ$62,076
^BTCBitcoin Market Price USD$25,458
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameDirexion Daily Technology Bull 3X ETFProShares UltraPro QQQBitcoin Market Price USD
TECLDirexion Daily Technology Bull 3X ETF100.00%
TQQQProShares UltraPro QQQ100.00%
^BTCBitcoin Market Price USD100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns