Portfolio Visualizer Portfolio Backtest
Report Parameters
Start Date 01/01/2012
End Date 01/31/2020
Initial Balance $1,000,000
Periodic Adjustment None
Rebalancing No rebalancing
Reinvest Dividends Yes
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Portfolio Visualizer Portfolio Backtest
Portfolio 1
Ticker Name Allocation
VIXY ProShares VIX Short-Term Futures 100.00%
Portfolio Performance (Jan 2012 - Jan 2020)
Metric Portfolio 1
Start Balance $1,000,000
End Balance $1,765
End Balance (inflation adjusted) $1,550
CAGR -54.35%
CAGR (inflation adjusted) -55.08%
Stdev 57.34%
Best Year 66.78%
Worst Year -77.54%
Max. Drawdown -99.84%
Sharpe Ratio -1.07
Sortino Ratio -1.39
US Stock Market Correlation -0.81
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Risk and Return Metrics (Jan 2012 - Jan 2020)
Metric Portfolio 1
Arithmetic Mean (monthly) -5.06%
Arithmetic Mean (annualized) -46.39%
Geometric Mean (monthly) -6.33%
Geometric Mean (annualized) -54.35%
Volatility (monthly) 16.55%
Volatility (annualized) 57.34%
Downside Deviation (monthly) 12.74%
Max. Drawdown -99.84%
US Market Correlation -0.81
Beta (*) -4.17
Alpha (annualized) -2.14%
R Squared 66.38%
Sharpe Ratio -1.07
Sortino Ratio -1.39
Treynor Ratio (%) 14.74
Calmar Ratio -0.51
Active Return -68.65%
Tracking Error 66.79%
Information Ratio -1.03
Skewness 1.60
Excess Kurtosis 4.13
Historical Value-at-Risk (5%) -26.70%
Analytical Value-at-Risk (5%) -32.29%
Conditional Value-at-Risk (5%) -28.90%
Upside Capture Ratio (%) -270.46
Downside Capture Ratio (%) -554.83
Safe Withdrawal Rate 0.07%
Perpetual Withdrawal Rate 0.00%
Positive Periods 27 out of 97 (27.84%)
Gain/Loss Ratio 1.19
(*) US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
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Portfolio 1 Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Balance
2012 -24.48% -8.29% -31.81% -1.57% 26.21% -27.27% -10.21% -15.44% -21.68% 2.76% -20.00% 7.66% -77.54% 1.74% $224,584
2013 -23.16% -1.45% -15.37% -6.24% 1.08% 8.25% -27.45% 13.04% -13.96% -12.27% -12.08% -6.24% -66.46% 1.50% $75,337
2014 15.74% -11.54% -3.80% -4.59% -16.52% -14.97% 10.67% -11.02% 10.89% -2.89% -9.71% 15.20% -26.43% 0.76% $55,426
2015 16.96% -25.13% -7.45% -14.52% -13.00% 6.01% -20.43% 67.67% -4.53% -26.64% -0.32% 6.73% -36.49% 0.73% $35,199
2016 19.95% 2.94% -29.04% -4.97% -19.10% 2.00% -26.20% -10.95% -5.88% 0.32% -18.23% -8.52% -68.10% 2.07% $11,228
2017 -23.89% -5.07% -14.26% -5.01% -10.15% -5.43% -12.32% 3.17% -15.42% -13.43% -5.79% -12.74% -72.78% 2.11% $3,057
2018 7.13% 47.94% 6.70% -12.31% -10.98% -0.13% -15.20% -7.50% -8.35% 41.07% -8.34% 36.09% 66.78% 1.91% $5,098
2019 -24.50% -11.42% -6.97% -12.07% 18.70% -14.64% -9.35% 14.02% -11.75% -16.70% -16.67% -8.27% -67.81% 2.29% $1,641
2020 7.56% 7.56% 0.00% $1,765
Exposures for Portfolio 1
Ticker Name Category ER Weight
VIXY ProShares VIX Short-Term Futures Volatility 0.87% 100.00%
Asset Allocation for Portfolio 1
Category Weight
US Stocks 99.92%
Intl Stocks 0.00%
US Bonds 0.00%
Intl Bonds 0.00%
Other 0.00%
Cash 0.08%
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Drawdowns for Portfolio 1
Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2012 Dec 2019 8 years -99.84%
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Rolling Returns (Jan 2012 - Jan 2020)
Roll Period Average High Low
1 year -43.60% 66.78% -77.54%
3 years -51.95% -46.08% -61.94%
5 years -52.27% -41.65% -59.26%
7 years -51.72% -50.48% -52.96%
Result statistics are based on annualized rolling returns over full calendar year periods
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Notes:
• 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 full calendar months from January to January
• 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
• Drawdowns are calculated based on monthly returns excluding cashflows
• The backtested results assume no rebalancing per parameterization. See the allocation drift section for details
• Fund fundamentals data as of 02/05/2020. (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.
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