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 Analysis Results (Jan 2019 - Jun 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TVIX VelocityShares Daily 2x VIX ST ETN 20.00%
TQQQ ProShares UltraPro QQQ 80.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 45.00%
TQQQ ProShares UltraPro QQQ 55.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 40.00%
TQQQ ProShares UltraPro QQQ 50.00%
VIIX VelocityShares VIX ST ETN 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$271,531 94.63% 30.43%94.44%39.64%-13.09% 2.326.200.57
Portfolio 2$100,000$282,368 99.78% 32.53%97.20%43.19%-17.06% 2.285.480.80
Portfolio 3$100,000$268,071 92.97% 24.01%68.91%58.71%-4.13% 2.8413.590.61
   
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 June
  • 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 monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVelocityShares Daily 2x VIX ST ETN (TVIX)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)VelocityShares VIX ST ETN (VIIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20192.29%39.64%97.20%68.91%$139,644$197,200$168,910-92.76%133.83%34.74%-67.70%
20200.32%94.44%43.19%58.71%$271,531$282,368$268,071146.59%12.82%57.74%123.82%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVelocityShares Daily 2x VIX ST ETN (TVIX)ProShares UltraPro QQQ (TQQQ)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)VelocityShares VIX ST ETN (VIIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
2019112.78%14.99%11.17%$112,776$114,990$111,166-43.79%26.92%0.41%-24.57%
201922.23%2.68%1.34%$115,287$118,071$112,658-23.16%8.57%-4.52%-11.35%
201935.91%13.73%11.63%$122,106$134,278$125,762-14.63%11.05%17.00%-6.93%
201948.40%6.20%4.49%$132,359$142,606$131,411-24.59%16.64%-6.56%-12.06%
20195-13.09%-3.71%-1.68%$115,027$137,317$129,20730.58%-24.01%21.11%18.86%
2019613.05%13.51%10.77%$130,036$155,864$143,119-26.76%23.00%1.90%-14.94%
201971.00%3.55%2.29%$131,342$161,404$146,399-19.78%6.20%0.32%-9.37%
20198-2.54%11.51%11.61%$128,001$179,989$163,40218.44%-7.79%35.11%14.66%
20199-3.31%-3.05%-3.91%$123,760$174,507$157,009-24.11%1.88%-9.07%-12.26%
2019103.50%4.98%2.93%$128,094$183,206$161,613-32.21%12.43%-4.11%-16.37%
2019113.31%5.80%3.60%$132,338$193,838$167,430-32.21%12.20%-2.01%-16.95%
2019125.52%1.73%0.88%$139,644$197,200$168,910-17.89%11.37%-10.05%-7.84%
202018.60%15.22%14.36%$151,658$227,205$193,16810.25%8.19%23.80%7.45%
202022.72%-1.71%2.40%$155,788$223,312$197,79984.69%-17.77%17.91%41.18%
202039.44%-15.61%-4.13%$170,498$188,449$189,637199.73%-38.13%11.91%101.75%
2020429.51%26.76%22.47%$220,811$238,871$232,250-38.26%46.45%2.68%-18.29%
202059.59%7.33%5.51%$241,991$256,389$245,042-26.57%18.63%-6.48%-12.18%
2020612.21%10.13%9.40%$271,531$282,368$268,071-10.87%17.98%0.54%1.92%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TVIXVelocityShares Daily 2x VIX ST ETNVolatility20.00%1.65%$11,890-20.19%
TQQQProShares UltraPro QQQLeveraged Equity80.00%0.95%$159,641120.19%
100.00%1.09%$171,531100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt45.00%1.05%$69,7083.70%
TQQQProShares UltraPro QQQLeveraged Equity55.00%0.95%$112,66196.30%
100.00%1.00%$182,368100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERReturn ContributionRisk Contribution
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt40.00%1.05%$54,69319.97%
TQQQProShares UltraPro QQQLeveraged Equity50.00%0.95%$103,15596.46%
VIIXVelocityShares VIX ST ETNVolatility10.00%0.89%$10,223-16.44%
100.00%0.98%$168,071100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)6.05%6.34%5.84%
Arithmetic Mean (annualized)102.27%109.02%97.63%
Geometric Mean (monthly)5.71%5.94%5.63%
Geometric Mean (annualized)94.63%99.78%92.97%
Volatility (monthly)8.79%9.39%6.93%
Volatility (annualized)30.43%32.53%24.01%
Downside Deviation (monthly)3.24%3.87%1.40%
Max. Drawdown-13.09%-17.06%-4.13%
US Market Correlation0.570.800.61
Beta(*)0.801.200.68
Alpha (annualized)58.25%54.59%58.01%
R232.24%63.43%36.94%
Sharpe Ratio2.322.282.84
Sortino Ratio6.205.4813.59
Treynor Ratio (%)88.3161.80100.92
Active Return77.88%83.02%76.22%
Tracking Error25.41%20.15%20.29%
Information Ratio3.074.123.76
Skewness0.51-0.180.64
Excess Kurtosis2.831.210.35
Historical Value-at-Risk (5%)-13.09%-15.61%-4.13%
Analytical Value-at-Risk (5%)-8.00%-8.67%-5.24%
Conditional Value-at-Risk (5%)N/AN/AN/A
Upside Capture Ratio (%)202.29215.81152.08
Downside Capture Ratio (%)-11.71-8.99-77.40
Safe Withdrawal Rate100.00%100.00%100.00%
Perpetual Withdrawal Rate62.21%63.66%61.72%
Positive Periods15 out of 18 (83.33%)14 out of 18 (77.78%)15 out of 18 (83.33%)
Gain/Loss Ratio1.351.642.36
* 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
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthDec 20197 months8 months-13.09%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-17.06%
2May 2019May 20191 monthJun 20191 month2 months-3.71%
3Sep 2019Sep 20191 monthOct 20191 month2 months-3.05%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2020Mar 20201 monthApr 20201 month2 months-4.13%
2Sep 2019Sep 20191 monthNov 20192 months3 months-3.91%
3May 2019May 20191 monthJun 20191 month2 months-1.68%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TVIXVelocityShares Daily 2x VIX ST ETN-68.30%202.49%146.59%-92.76%-92.76%0.020.05-0.88
TQQQProShares UltraPro QQQ90.93%67.78%133.83%12.82%-49.12%1.292.170.98
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF65.31%45.00%57.74%34.74%-23.15%1.303.98-0.52
VIIXVelocityShares VIX ST ETN-19.46%103.36%123.82%-67.70%-67.70%0.130.33-0.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameTVIXTQQQTMFVIIXPortfolio 1Portfolio 2Portfolio 3
TVIXVelocityShares Daily 2x VIX ST ETN1.00-0.830.461.00-0.15-0.66-0.40
TQQQProShares UltraPro QQQ-0.831.00-0.49-0.840.670.840.68
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF0.46-0.491.000.49-0.260.060.27
VIIXVelocityShares VIX ST ETN1.00-0.840.491.00-0.16-0.65-0.38

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TVIXVelocityShares Daily 2x VIX ST ETN$11,890
TQQQProShares UltraPro QQQ$159,641$112,661$103,155
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$69,708$54,693
VIIXVelocityShares VIX ST ETN$10,223

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TVIXVelocityShares Daily 2x VIX ST ETN-20.19%
TQQQProShares UltraPro QQQ120.19%96.30%96.46%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF3.70%19.97%
VIIXVelocityShares VIX ST ETN-16.44%

Annual Asset Returns