Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Model Simulation Results (Jan 2010 - Dec 2019) Save

Tactical asset allocation model results from Jan 2010 to Dec 2019 are based on adaptive allocation model holding the top 2 best performing assets. The model uses a single performance window of 1 calendar month(s). Volatility based risk adjustments are done based on daily volatility over the past 20 trading days. Inverse volatility weights based on the volatility window are used to set approximated risk parity asset weights for each lookback period. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for ProShares UltraPro S&P500 (UPRO) [Jul 2009 - Oct 2022].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Adaptive Allocation Model$10,000$183,46233.77%19.32%65.31%-3.23%-19.14% 1.592.910.40
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Adaptive Allocation Model10.38%53.87%53.87%31.69%22.74%33.77%33.77%19.53%20.88%
Trailing return and volatility are as of last full calendar month ending December 2019
Notes on results:
  • 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.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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.
  • 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.
  • The results for the tactical asset allocation model assume monthly rebalancing trades.
  • The relative strength signal is based on total return including dividends.
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationAdaptive Allocation Model ReturnAdaptive Allocation Model BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101.50%51.40%$15,14036.34%16.20%
20112.96%65.31%$25,028-11.88%109.14%
20121.74%35.61%$33,94046.80%0.60%
20131.50%18.85%$40,336118.49%-39.01%
20140.76%63.26%$65,85338.00%97.34%
20150.73%-3.23%$63,724-5.24%-13.73%
20162.07%26.06%$80,33130.79%-2.52%
20172.11%48.64%$119,40271.37%22.73%
20181.91%-0.14%$119,231-25.15%-11.01%
20192.29%53.87%$183,462102.31%34.74%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthAdaptive Allocation Model ReturnAdaptive Allocation Model BalanceProShares UltraPro S&P500 (UPRO)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
20101-3.35%$9,665-11.19%7.34%
201022.91%$9,9468.94%-1.82%
201034.47%$10,39118.90%-6.73%
201046.53%$11,0694.08%9.96%
20105-2.17%$10,829-24.15%16.54%
201062.53%$11,103-16.58%16.73%
201076.36%$11,81021.17%-3.90%
201089.06%$12,880-13.46%25.94%
2010911.57%$14,37027.94%-9.02%
2010101.23%$14,54711.44%-13.57%
201011-2.97%$14,115-0.82%-6.03%
2010127.26%$15,14021.36%-11.63%
201113.46%$15,6646.56%-9.40%
201127.85%$16,89310.39%4.49%
20113-0.68%$16,779-0.80%-0.55%
201147.55%$18,0458.73%6.57%
201152.32%$18,463-3.93%10.36%
20116-6.68%$17,230-5.87%-7.39%
201174.30%$17,972-6.39%13.28%
201182.74%$18,465-21.09%27.34%
2011915.09%$21,250-20.69%41.35%
2011109.41%$23,24932.61%-12.87%
2011110.82%$23,440-3.35%4.89%
2011126.78%$25,0282.30%9.46%
201216.33%$26,61213.90%-1.50%
201225.53%$28,08313.24%-7.95%
201231.09%$28,3899.29%-13.02%
201244.77%$29,743-2.38%14.37%
201255.49%$31,376-17.35%28.90%
201262.84%$32,26611.47%-5.78%
201277.97%$34,8373.52%11.43%
201280.41%$34,9816.53%-4.61%
201292.70%$35,9267.52%-7.87%
201210-4.36%$34,359-5.96%-2.13%
2012112.26%$35,1371.01%3.90%
201212-3.41%$33,9402.82%-7.80%
201313.14%$35,00615.39%-9.58%
201323.50%$36,2323.56%3.39%
201334.39%$37,82411.03%-1.77%
201349.16%$41,2895.45%14.25%
20135-7.08%$38,3676.80%-19.65%
20136-7.17%$35,618-5.23%-10.33%
201374.24%$37,12916.41%-7.41%
20138-7.77%$34,242-9.21%-4.47%
201396.14%$36,3459.60%1.53%
2013109.62%$39,84313.76%4.12%
201311-1.01%$39,4408.87%-8.19%
2013122.27%$40,3367.54%-6.01%
201414.38%$42,103-10.72%19.47%
201426.41%$44,80013.65%1.63%
201431.93%$45,6632.15%1.76%
201443.63%$47,3221.65%5.96%
201457.97%$51,0926.62%8.79%
201462.91%$52,5766.22%-1.00%
20147-2.18%$51,431-4.44%1.61%
2014813.19%$58,21511.95%14.42%
20149-5.47%$55,030-4.44%-6.65%
2014107.01%$58,8876.03%8.06%
2014118.83%$64,0868.34%9.08%
2014122.76%$65,853-1.54%9.38%
2015111.70%$73,560-9.47%31.01%
20152-0.12%$73,47517.48%-17.87%
20153-2.21%$71,850-5.28%2.57%
20154-3.60%$69,2612.59%-10.30%
20155-1.16%$68,4603.43%-7.91%
20156-8.50%$62,642-6.21%-12.49%
201578.94%$68,2446.17%13.40%
20158-11.70%$60,259-18.87%-2.75%
201590.19%$60,371-8.64%5.10%
20151010.95%$66,98426.79%-1.73%
201511-1.05%$66,2790.81%-2.71%
201512-3.85%$63,724-6.06%-2.41%
201612.42%$65,266-15.38%17.74%
201625.13%$68,612-1.68%8.71%
201639.11%$74,86321.50%-0.64%
20164-0.69%$74,3470.81%-2.39%
201653.28%$76,7864.65%1.86%
2016611.06%$85,278-0.20%21.23%
201678.33%$92,38311.13%6.07%
20168-1.19%$91,2840.11%-3.58%
20169-1.91%$89,540-0.54%-4.78%
201610-9.83%$80,740-5.62%-13.32%
201611-3.85%$77,62811.05%-23.91%
2016123.48%$80,3315.96%-0.99%
201713.57%$83,2005.14%1.49%
201729.40%$91,02511.91%4.41%
20173-0.85%$90,250-0.22%-2.35%
201743.46%$93,3722.77%4.43%
201754.32%$97,4023.70%5.17%
201761.75%$99,1091.51%1.98%
201772.27%$101,3545.87%-2.43%
201784.02%$105,4310.21%10.13%
20179-1.77%$103,5695.69%-7.29%
2017104.40%$108,1276.83%-0.53%
2017116.09%$114,7158.87%1.73%
2017124.09%$119,4023.45%5.04%
201819.04%$130,19418.22%-9.77%
20182-11.58%$115,122-13.53%-9.57%
201833.17%$118,766-8.69%8.44%
20184-4.74%$113,140-0.14%-6.71%
201855.71%$119,6066.46%5.27%
201861.38%$121,2581.29%1.49%
201873.23%$125,17110.73%-4.70%
201886.16%$132,8799.09%3.36%
20189-3.96%$127,6201.20%-8.77%
201810-15.81%$107,448-20.78%-9.11%
2018114.63%$112,4184.28%4.76%
2018126.06%$119,231-26.25%17.93%
201916.34%$126,79023.89%0.41%
20192-0.20%$126,5419.28%-4.52%
2019310.88%$140,3154.85%17.00%
201941.03%$141,75611.81%-6.56%
20195-2.75%$137,852-18.89%21.11%
201968.69%$149,83621.37%1.90%
201971.99%$152,8113.80%0.32%
2019812.28%$171,580-6.62%35.11%
20199-3.13%$166,2115.30%-9.07%
2019102.43%$170,2435.70%-4.11%
2019115.04%$178,82010.73%-2.01%
2019122.60%$183,4628.38%-10.05%
Portfolio return and risk metrics
MetricAdaptive Allocation Model
Arithmetic Mean (monthly)2.61%
Arithmetic Mean (annualized)36.20%
Geometric Mean (monthly)2.45%
Geometric Mean (annualized)33.77%
Standard Deviation (monthly)5.58%
Standard Deviation (annualized)19.32%
Downside Deviation (monthly)3.03%
Maximum Drawdown-19.14%
Stock Market Correlation0.40
Beta(*)0.60
Alpha (annualized)23.26%
R216.03%
Sharpe Ratio1.59
Sortino Ratio2.91
Treynor Ratio (%)51.13
Calmar Ratio1.66
Active Return20.47%
Tracking Error18.43%
Information Ratio1.11
Skewness-0.57
Excess Kurtosis0.56
Historical Value-at-Risk (5%)-7.20%
Analytical Value-at-Risk (5%)-6.57%
Conditional Value-at-Risk (5%)-10.86%
Upside Capture Ratio (%)131.18
Downside Capture Ratio (%)16.67
Safe Withdrawal Rate41.62%
Perpetual Withdrawal Rate23.93%
Positive Periods85 out of 120 (70.83%)
Gain/Loss Ratio1.28
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Adaptive Allocation Model

Drawdowns for Adaptive Allocation Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2018Oct 20182 monthsMar 20195 months7 months-19.14%
2Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-18.08%
3May 2013Aug 20134 monthsJan 20145 months9 months-17.07%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-15.97%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-13.10%
6Jun 2011Jun 20111 monthAug 20112 months3 months-6.68%
7Oct 2012Dec 20123 monthsFeb 20132 months5 months-5.53%
8Sep 2014Sep 20141 monthOct 20141 month2 months-5.47%
9Jan 2010Jan 20101 monthMar 20102 months3 months-3.35%
10Sep 2019Sep 20191 monthNov 20192 months3 months-3.13%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year34.89%93.85%-11.28%
3 years30.65%55.09%16.15%
5 years30.18%50.07%21.95%
7 years30.26%37.20%23.52%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceAdaptive Allocation Model
121Jan 2020Jan 20201Please sign-in for forward signals--
120Dec 2019Dec 2019131.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
68.61% ProShares UltraPro S&P500 (UPRO)		TMF: -10.05%
UPRO: 8.38%		2.60%
119Nov 2019Nov 2019144.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.31% ProShares UltraPro S&P500 (UPRO)		TMF: -2.01%
UPRO: 10.73%		5.04%
118Oct 2019Oct 2019133.36% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
66.64% ProShares UltraPro S&P500 (UPRO)		TMF: -4.11%
UPRO: 5.70%		2.43%
117Sep 2019Sep 2019158.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.36% ProShares UltraPro S&P500 (UPRO)		TMF: -9.07%
UPRO: 5.30%		-3.13%
116Aug 2019Aug 2019145.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
54.70% ProShares UltraPro S&P500 (UPRO)		TMF: 35.11%
UPRO: -6.62%		12.28%
115Jul 2019Jul 2019152.22% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.78% ProShares UltraPro S&P500 (UPRO)		TMF: 0.32%
UPRO: 3.80%		1.99%
114Jun 2019Jun 2019165.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.87% ProShares UltraPro S&P500 (UPRO)		TMF: 1.90%
UPRO: 21.37%		8.69%
113May 2019May 2019140.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
59.65% ProShares UltraPro S&P500 (UPRO)		TMF: 21.11%
UPRO: -18.89%		-2.75%
112Apr 2019Apr 2019158.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.30% ProShares UltraPro S&P500 (UPRO)		TMF: -6.56%
UPRO: 11.81%		1.03%
111Mar 2019Mar 2019149.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.33% ProShares UltraPro S&P500 (UPRO)		TMF: 17.00%
UPRO: 4.85%		10.88%
110Feb 2019Feb 2019168.65% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
31.35% ProShares UltraPro S&P500 (UPRO)		TMF: -4.52%
UPRO: 9.28%		-0.20%
109Jan 2019Jan 2019174.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
25.24% ProShares UltraPro S&P500 (UPRO)		TMF: 0.41%
UPRO: 23.89%		6.34%
108Dec 2018Dec 2018173.13% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
26.87% ProShares UltraPro S&P500 (UPRO)		TMF: 17.93%
UPRO: -26.25%		6.06%
107Nov 2018Nov 2018172.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
27.60% ProShares UltraPro S&P500 (UPRO)		TMF: 4.76%
UPRO: 4.28%		4.63%
106Oct 2018Oct 2018142.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.38% ProShares UltraPro S&P500 (UPRO)		TMF: -9.11%
UPRO: -20.78%		-15.81%
105Sep 2018Sep 2018151.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.27% ProShares UltraPro S&P500 (UPRO)		TMF: -8.77%
UPRO: 1.20%		-3.96%
104Aug 2018Aug 2018151.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.81% ProShares UltraPro S&P500 (UPRO)		TMF: 3.36%
UPRO: 9.09%		6.16%
103Jul 2018Jul 2018148.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.37% ProShares UltraPro S&P500 (UPRO)		TMF: -4.70%
UPRO: 10.73%		3.23%
102Jun 2018Jun 2018147.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
52.81% ProShares UltraPro S&P500 (UPRO)		TMF: 1.49%
UPRO: 1.29%		1.38%
101May 2018May 2018162.72% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.28% ProShares UltraPro S&P500 (UPRO)		TMF: 5.27%
UPRO: 6.46%		5.71%
100Apr 2018Apr 2018170.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
30.00% ProShares UltraPro S&P500 (UPRO)		TMF: -6.71%
UPRO: -0.14%		-4.74%
99Mar 2018Mar 2018169.21% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
30.79% ProShares UltraPro S&P500 (UPRO)		TMF: 8.44%
UPRO: -8.69%		3.17%
98Feb 2018Feb 2018149.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.60% ProShares UltraPro S&P500 (UPRO)		TMF: -9.57%
UPRO: -13.53%		-11.58%
97Jan 2018Jan 2018132.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
67.21% ProShares UltraPro S&P500 (UPRO)		TMF: -9.77%
UPRO: 18.22%		9.04%
96Dec 2017Dec 2017139.80% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
60.20% ProShares UltraPro S&P500 (UPRO)		TMF: 5.04%
UPRO: 3.45%		4.09%
95Nov 2017Nov 2017138.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.06% ProShares UltraPro S&P500 (UPRO)		TMF: 1.73%
UPRO: 8.87%		6.09%
94Oct 2017Oct 2017133.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
66.94% ProShares UltraPro S&P500 (UPRO)		TMF: -0.53%
UPRO: 6.83%		4.40%
93Sep 2017Sep 2017157.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.54% ProShares UltraPro S&P500 (UPRO)		TMF: -7.29%
UPRO: 5.69%		-1.77%
92Aug 2017Aug 2017138.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.55% ProShares UltraPro S&P500 (UPRO)		TMF: 10.13%
UPRO: 0.21%		4.02%
91Jul 2017Jul 2017143.43% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.57% ProShares UltraPro S&P500 (UPRO)		TMF: -2.43%
UPRO: 5.87%		2.27%
90Jun 2017Jun 2017151.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.99% ProShares UltraPro S&P500 (UPRO)		TMF: 1.98%
UPRO: 1.51%		1.75%
89May 2017May 2017142.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.93% ProShares UltraPro S&P500 (UPRO)		TMF: 5.17%
UPRO: 3.70%		4.32%
88Apr 2017Apr 2017141.40% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.60% ProShares UltraPro S&P500 (UPRO)		TMF: 4.43%
UPRO: 2.77%		3.46%
87Mar 2017Mar 2017129.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
70.27% ProShares UltraPro S&P500 (UPRO)		TMF: -2.35%
UPRO: -0.22%		-0.85%
86Feb 2017Feb 2017133.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
66.59% ProShares UltraPro S&P500 (UPRO)		TMF: 4.41%
UPRO: 11.91%		9.40%
85Jan 2017Jan 2017142.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.06% ProShares UltraPro S&P500 (UPRO)		TMF: 1.49%
UPRO: 5.14%		3.57%
84Dec 2016Dec 2016135.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
64.33% ProShares UltraPro S&P500 (UPRO)		TMF: -0.99%
UPRO: 5.96%		3.48%
83Nov 2016Nov 2016142.64% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.36% ProShares UltraPro S&P500 (UPRO)		TMF: -23.91%
UPRO: 11.05%		-3.85%
82Oct 2016Oct 2016154.63% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.37% ProShares UltraPro S&P500 (UPRO)		TMF: -13.32%
UPRO: -5.62%		-9.83%
81Sep 2016Sep 2016132.41% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
67.59% ProShares UltraPro S&P500 (UPRO)		TMF: -4.78%
UPRO: -0.54%		-1.91%
80Aug 2016Aug 2016135.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
64.82% ProShares UltraPro S&P500 (UPRO)		TMF: -3.58%
UPRO: 0.11%		-1.19%
79Jul 2016Jul 2016155.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.62% ProShares UltraPro S&P500 (UPRO)		TMF: 6.07%
UPRO: 11.13%		8.33%
78Jun 2016Jun 2016152.56% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.44% ProShares UltraPro S&P500 (UPRO)		TMF: 21.23%
UPRO: -0.20%		11.06%
77May 2016May 2016149.07% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.93% ProShares UltraPro S&P500 (UPRO)		TMF: 1.86%
UPRO: 4.65%		3.28%
76Apr 2016Apr 2016146.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.25% ProShares UltraPro S&P500 (UPRO)		TMF: -2.39%
UPRO: 0.81%		-0.69%
75Mar 2016Mar 2016155.95% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.05% ProShares UltraPro S&P500 (UPRO)		TMF: -0.64%
UPRO: 21.50%		9.11%
74Feb 2016Feb 2016165.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.47% ProShares UltraPro S&P500 (UPRO)		TMF: 8.71%
UPRO: -1.68%		5.13%
73Jan 2016Jan 2016153.74% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
46.26% ProShares UltraPro S&P500 (UPRO)		TMF: 17.74%
UPRO: -15.38%		2.42%
72Dec 2015Dec 2015160.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
39.65% ProShares UltraPro S&P500 (UPRO)		TMF: -2.41%
UPRO: -6.06%		-3.85%
71Nov 2015Nov 2015152.98% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.02% ProShares UltraPro S&P500 (UPRO)		TMF: -2.71%
UPRO: 0.81%		-1.05%
70Oct 2015Oct 2015155.52% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
44.48% ProShares UltraPro S&P500 (UPRO)		TMF: -1.73%
UPRO: 26.79%		10.95%
69Sep 2015Sep 2015164.23% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
35.77% ProShares UltraPro S&P500 (UPRO)		TMF: 5.10%
UPRO: -8.64%		0.19%
68Aug 2015Aug 2015144.46% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.54% ProShares UltraPro S&P500 (UPRO)		TMF: -2.75%
UPRO: -18.87%		-11.70%
67Jul 2015Jul 2015138.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.70% ProShares UltraPro S&P500 (UPRO)		TMF: 13.40%
UPRO: 6.17%		8.94%
66Jun 2015Jun 2015136.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
63.56% ProShares UltraPro S&P500 (UPRO)		TMF: -12.49%
UPRO: -6.21%		-8.50%
65May 2015May 2015140.45% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
59.55% ProShares UltraPro S&P500 (UPRO)		TMF: -7.91%
UPRO: 3.43%		-1.16%
64Apr 2015Apr 2015148.06% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.94% ProShares UltraPro S&P500 (UPRO)		TMF: -10.30%
UPRO: 2.59%		-3.60%
63Mar 2015Mar 2015139.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
60.92% ProShares UltraPro S&P500 (UPRO)		TMF: 2.57%
UPRO: -5.28%		-2.21%
62Feb 2015Feb 2015149.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.21% ProShares UltraPro S&P500 (UPRO)		TMF: -17.87%
UPRO: 17.48%		-0.12%
61Jan 2015Jan 2015152.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.69% ProShares UltraPro S&P500 (UPRO)		TMF: 31.01%
UPRO: -9.47%		11.70%
60Dec 2014Dec 2014139.32% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
60.68% ProShares UltraPro S&P500 (UPRO)		TMF: 9.38%
UPRO: -1.54%		2.76%
59Nov 2014Nov 2014165.87% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
34.13% ProShares UltraPro S&P500 (UPRO)		TMF: 9.08%
UPRO: 8.34%		8.83%
58Oct 2014Oct 2014148.11% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.89% ProShares UltraPro S&P500 (UPRO)		TMF: 8.06%
UPRO: 6.03%		7.01%
57Sep 2014Sep 2014146.85% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.15% ProShares UltraPro S&P500 (UPRO)		TMF: -6.65%
UPRO: -4.44%		-5.47%
56Aug 2014Aug 2014150.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.97% ProShares UltraPro S&P500 (UPRO)		TMF: 14.42%
UPRO: 11.95%		13.19%
55Jul 2014Jul 2014137.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
62.61% ProShares UltraPro S&P500 (UPRO)		TMF: 1.61%
UPRO: -4.44%		-2.18%
54Jun 2014Jun 2014145.94% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
54.06% ProShares UltraPro S&P500 (UPRO)		TMF: -1.00%
UPRO: 6.22%		2.91%
53May 2014May 2014161.81% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
38.19% ProShares UltraPro S&P500 (UPRO)		TMF: 8.79%
UPRO: 6.62%		7.97%
52Apr 2014Apr 2014146.02% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
53.98% ProShares UltraPro S&P500 (UPRO)		TMF: 5.96%
UPRO: 1.65%		3.63%
51Mar 2014Mar 2014157.00% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.00% ProShares UltraPro S&P500 (UPRO)		TMF: 1.76%
UPRO: 2.15%		1.93%
50Feb 2014Feb 2014160.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
39.71% ProShares UltraPro S&P500 (UPRO)		TMF: 1.63%
UPRO: 13.65%		6.41%
49Jan 2014Jan 2014150.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.99% ProShares UltraPro S&P500 (UPRO)		TMF: 19.47%
UPRO: -10.72%		4.38%
48Dec 2013Dec 2013138.84% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
61.16% ProShares UltraPro S&P500 (UPRO)		TMF: -6.01%
UPRO: 7.54%		2.27%
47Nov 2013Nov 2013157.93% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.07% ProShares UltraPro S&P500 (UPRO)		TMF: -8.19%
UPRO: 8.87%		-1.01%
46Oct 2013Oct 2013142.91% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.09% ProShares UltraPro S&P500 (UPRO)		TMF: 4.12%
UPRO: 13.76%		9.62%
45Sep 2013Sep 2013142.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.14% ProShares UltraPro S&P500 (UPRO)		TMF: 1.53%
UPRO: 9.60%		6.14%
44Aug 2013Aug 2013130.35% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
69.65% ProShares UltraPro S&P500 (UPRO)		TMF: -4.47%
UPRO: -9.21%		-7.77%
43Jul 2013Jul 2013151.09% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.91% ProShares UltraPro S&P500 (UPRO)		TMF: -7.41%
UPRO: 16.41%		4.24%
42Jun 2013Jun 2013137.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
62.03% ProShares UltraPro S&P500 (UPRO)		TMF: -10.33%
UPRO: -5.23%		-7.17%
41May 2013May 2013152.48% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.52% ProShares UltraPro S&P500 (UPRO)		TMF: -19.65%
UPRO: 6.80%		-7.08%
40Apr 2013Apr 2013142.19% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.81% ProShares UltraPro S&P500 (UPRO)		TMF: 14.25%
UPRO: 5.45%		9.16%
39Mar 2013Mar 2013151.86% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.14% ProShares UltraPro S&P500 (UPRO)		TMF: -1.77%
UPRO: 11.03%		4.39%
38Feb 2013Feb 2013135.55% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
64.45% ProShares UltraPro S&P500 (UPRO)		TMF: 3.39%
UPRO: 3.56%		3.50%
37Jan 2013Jan 2013149.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.95% ProShares UltraPro S&P500 (UPRO)		TMF: -9.58%
UPRO: 15.39%		3.14%
36Dec 2012Dec 2012158.60% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
41.40% ProShares UltraPro S&P500 (UPRO)		TMF: -7.80%
UPRO: 2.82%		-3.41%
35Nov 2012Nov 2012143.27% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.73% ProShares UltraPro S&P500 (UPRO)		TMF: 3.90%
UPRO: 1.01%		2.26%
34Oct 2012Oct 2012141.78% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.22% ProShares UltraPro S&P500 (UPRO)		TMF: -2.13%
UPRO: -5.96%		-4.36%
33Sep 2012Sep 2012131.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
68.70% ProShares UltraPro S&P500 (UPRO)		TMF: -7.87%
UPRO: 7.52%		2.70%
32Aug 2012Aug 2012154.92% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.08% ProShares UltraPro S&P500 (UPRO)		TMF: -4.61%
UPRO: 6.53%		0.41%
31Jul 2012Jul 2012156.25% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.75% ProShares UltraPro S&P500 (UPRO)		TMF: 11.43%
UPRO: 3.52%		7.97%
30Jun 2012Jun 2012150.05% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.95% ProShares UltraPro S&P500 (UPRO)		TMF: -5.78%
UPRO: 11.47%		2.84%
29May 2012May 2012149.38% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.62% ProShares UltraPro S&P500 (UPRO)		TMF: 28.90%
UPRO: -17.35%		5.49%
28Apr 2012Apr 2012142.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.31% ProShares UltraPro S&P500 (UPRO)		TMF: 14.37%
UPRO: -2.38%		4.77%
27Mar 2012Mar 2012136.76% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
63.24% ProShares UltraPro S&P500 (UPRO)		TMF: -13.02%
UPRO: 9.29%		1.09%
26Feb 2012Feb 2012136.39% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
63.61% ProShares UltraPro S&P500 (UPRO)		TMF: -7.95%
UPRO: 13.24%		5.53%
25Jan 2012Jan 2012149.18% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.82% ProShares UltraPro S&P500 (UPRO)		TMF: -1.50%
UPRO: 13.90%		6.33%
24Dec 2011Dec 2011162.53% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
37.47% ProShares UltraPro S&P500 (UPRO)		TMF: 9.46%
UPRO: 2.30%		6.78%
23Nov 2011Nov 2011150.62% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
49.38% ProShares UltraPro S&P500 (UPRO)		TMF: 4.89%
UPRO: -3.35%		0.82%
22Oct 2011Oct 2011151.01% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
48.99% ProShares UltraPro S&P500 (UPRO)		TMF: -12.87%
UPRO: 32.61%		9.41%
21Sep 2011Sep 2011157.66% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.34% ProShares UltraPro S&P500 (UPRO)		TMF: 41.35%
UPRO: -20.69%		15.09%
20Aug 2011Aug 2011149.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
50.80% ProShares UltraPro S&P500 (UPRO)		TMF: 27.34%
UPRO: -21.09%		2.74%
19Jul 2011Jul 2011154.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.63% ProShares UltraPro S&P500 (UPRO)		TMF: 13.28%
UPRO: -6.39%		4.30%
18Jun 2011Jun 2011152.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
47.21% ProShares UltraPro S&P500 (UPRO)		TMF: -7.39%
UPRO: -5.87%		-6.68%
17May 2011May 2011143.73% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.27% ProShares UltraPro S&P500 (UPRO)		TMF: 10.36%
UPRO: -3.93%		2.32%
16Apr 2011Apr 2011154.70% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.30% ProShares UltraPro S&P500 (UPRO)		TMF: 6.57%
UPRO: 8.73%		7.55%
15Mar 2011Mar 2011148.79% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
51.21% ProShares UltraPro S&P500 (UPRO)		TMF: -0.55%
UPRO: -0.80%		-0.68%
14Feb 2011Feb 2011143.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
56.92% ProShares UltraPro S&P500 (UPRO)		TMF: 4.49%
UPRO: 10.39%		7.85%
13Jan 2011Jan 2011119.44% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
80.56% ProShares UltraPro S&P500 (UPRO)		TMF: -9.40%
UPRO: 6.56%		3.46%
12Dec 2010Dec 2010142.75% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.25% ProShares UltraPro S&P500 (UPRO)		TMF: -11.63%
UPRO: 21.36%		7.26%
11Nov 2010Nov 2010141.20% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.80% ProShares UltraPro S&P500 (UPRO)		TMF: -6.03%
UPRO: -0.82%		-2.97%
10Oct 2010Oct 2010140.82% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
59.18% ProShares UltraPro S&P500 (UPRO)		TMF: -13.57%
UPRO: 11.44%		1.23%
9Sep 2010Sep 2010144.29% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
55.71% ProShares UltraPro S&P500 (UPRO)		TMF: -9.02%
UPRO: 27.94%		11.57%
8Aug 2010Aug 2010157.16% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.84% ProShares UltraPro S&P500 (UPRO)		TMF: 25.94%
UPRO: -13.46%		9.06%
7Jul 2010Jul 2010159.08% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
40.92% ProShares UltraPro S&P500 (UPRO)		TMF: -3.90%
UPRO: 21.17%		6.36%
6Jun 2010Jun 2010157.37% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
42.63% ProShares UltraPro S&P500 (UPRO)		TMF: 16.73%
UPRO: -16.58%		2.53%
5May 2010May 2010154.03% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
45.97% ProShares UltraPro S&P500 (UPRO)		TMF: 16.54%
UPRO: -24.15%		-2.17%
4Apr 2010Apr 2010141.69% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
58.31% ProShares UltraPro S&P500 (UPRO)		TMF: 9.96%
UPRO: 4.08%		6.53%
3Mar 2010Mar 2010156.31% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.69% ProShares UltraPro S&P500 (UPRO)		TMF: -6.73%
UPRO: 18.90%		4.47%
2Feb 2010Feb 2010156.04% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
43.96% ProShares UltraPro S&P500 (UPRO)		TMF: -1.82%
UPRO: 8.94%		2.91%
1Jan 2010Jan 2010142.30% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)
57.70% ProShares UltraPro S&P500 (UPRO)		TMF: 7.34%
UPRO: -11.19%		-3.35%