Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2006 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
Save portfolio »
GATEX Gateway A 100.00%
Portfolio 2
Ticker Name Allocation
Save portfolio »
VFINX Vanguard 500 Index Investor 40.00%
CASHX Cash 60.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$14,839 3.65% 6.69%10.14%-13.92%-24.19% 0.420.540.92
2$10,000$15,215 3.89% 5.86%11.98%-15.45%-23.01% 0.500.721.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationGateway A (GATEX)Vanguard 500 Index Investor (VFINX)Cash (CASHX)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End Balance
20062.54%10.14%15.64%4.81%10.14%7.41%$11,0149.07%6.36%$10,907
20074.08%7.94%5.39%4.67%7.94%3.71%$11,8885.06%0.94%$11,458
20080.09%-13.92%-37.02%1.59%-13.92%-14.00%$10,233-15.45%-15.52%$9,689
20092.72%6.57%26.49%0.09%6.57%3.74%$10,90410.58%7.66%$10,714
20101.50%4.83%14.91%0.10%4.83%3.28%$11,4316.23%4.67%$11,382
20112.96%2.99%1.97%0.04%2.99%0.03%$11,7731.08%-1.83%$11,505
20121.74%4.51%15.82%0.06%4.51%2.72%$12,3046.24%4.43%$12,223
20131.50%8.39%32.18%0.00%8.39%6.79%$13,33611.98%10.32%$13,687
20140.76%3.33%13.51%0.00%3.33%2.55%$13,7805.29%4.50%$14,412
20150.73%2.34%1.25%0.01%2.34%1.59%$14,1020.71%-0.02%$14,513
20162.07%5.23%11.82%0.21%5.23%3.09%$14,8394.83%2.70%$15,215
Monthly returns for the configured portfolios
YearMonthGateway A (GATEX)Vanguard 500 Index Investor (VFINX)Cash (CASHX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
200611.52%2.65%0.35%1.52%$10,1521.27%$10,127
200620.51%0.26%0.34%0.51%$10,2040.31%$10,158
200631.18%1.23%0.37%1.18%$10,3240.71%$10,231
200641.24%1.33%0.36%1.24%$10,4520.75%$10,307
20065-1.03%-2.90%0.43%-1.03%$10,344-0.90%$10,215
200660.68%0.13%0.40%0.68%$10,4150.29%$10,244
200670.89%0.61%0.40%0.89%$10,5070.48%$10,294
200681.30%2.36%0.42%1.30%$10,6441.20%$10,417
200691.02%2.56%0.41%1.02%$10,7521.27%$10,549
2006101.01%3.25%0.41%1.01%$10,8611.55%$10,712
2006111.00%1.89%0.42%1.00%$10,9701.01%$10,820
2006120.40%1.39%0.40%0.40%$11,0140.80%$10,907
200711.44%1.49%0.44%1.44%$11,1720.86%$11,001
20072-0.22%-1.97%0.38%-0.22%$11,148-0.56%$10,939
200731.21%1.11%0.43%1.21%$11,2830.70%$11,016
200741.34%4.42%0.44%1.34%$11,4342.03%$11,240
200751.25%3.48%0.41%1.25%$11,5781.64%$11,424
200760.53%-1.68%0.40%0.53%$11,639-0.43%$11,374
20077-1.06%-3.08%0.40%-1.06%$11,516-0.99%$11,261
200781.64%1.50%0.42%1.64%$11,7050.85%$11,357
200791.55%3.72%0.32%1.55%$11,8861.68%$11,548
2007101.25%1.58%0.32%1.25%$12,0350.82%$11,643
200711-1.72%-4.19%0.34%-1.72%$11,828-1.47%$11,472
2007120.51%-0.70%0.27%0.51%$11,888-0.12%$11,458
20081-2.23%-6.02%0.21%-2.23%$11,622-2.28%$11,197
20082-1.00%-3.25%0.13%-1.00%$11,506-1.22%$11,060
200830.20%-0.44%0.17%0.20%$11,529-0.07%$11,052
200843.40%4.85%0.18%3.40%$11,9212.05%$11,279
200851.05%1.29%0.18%1.05%$12,0460.62%$11,349
20086-3.41%-8.44%0.17%-3.41%$11,636-3.27%$10,978
200870.36%-0.83%0.15%0.36%$11,677-0.24%$10,951
200881.33%1.45%0.13%1.33%$11,8320.66%$11,023
20089-2.66%-8.91%0.15%-2.66%$11,517-3.47%$10,640
200810-9.17%-16.79%0.08%-9.17%$10,462-6.67%$9,931
200811-5.99%-7.17%0.03%-5.99%$9,835-2.85%$9,647
2008124.05%1.07%0.00%4.05%$10,2330.43%$9,689
20091-3.85%-8.41%0.00%-3.85%$9,839-3.37%$9,362
20092-7.19%-10.66%0.01%-7.19%$9,132-4.26%$8,964
200934.77%8.76%0.02%4.77%$9,5683.52%$9,279
200944.01%9.56%0.01%4.01%$9,9513.83%$9,634
200951.03%5.62%0.00%1.03%$10,0542.25%$9,851
200960.93%0.22%0.01%0.93%$10,1480.09%$9,860
200972.03%7.58%0.01%2.03%$10,3533.04%$10,160
200981.41%3.60%0.01%1.41%$10,4991.45%$10,307
200990.59%3.72%0.01%0.59%$10,5611.49%$10,460
200910-0.08%-1.87%0.00%-0.08%$10,553-0.75%$10,382
2009112.24%5.98%0.00%2.24%$10,7892.39%$10,631
2009121.07%1.95%0.01%1.07%$10,9040.78%$10,714
20101-1.90%-3.60%0.00%-1.90%$10,697-1.44%$10,560
201021.45%3.09%0.00%1.45%$10,8531.24%$10,690
201031.93%6.01%0.01%1.93%$11,0622.41%$10,948
201040.43%1.58%0.01%0.43%$11,1100.64%$11,018
20105-3.78%-8.01%0.01%-3.78%$10,689-3.20%$10,666
20106-1.97%-5.24%0.01%-1.97%$10,478-2.09%$10,443
201073.36%7.00%0.01%3.36%$10,8312.80%$10,736
20108-1.29%-4.53%0.01%-1.29%$10,691-1.81%$10,542
201093.69%8.92%0.01%3.69%$11,0863.57%$10,918
2010101.02%3.79%0.01%1.02%$11,2001.52%$11,085
2010110.12%0.00%0.01%0.12%$11,2130.01%$11,085
2010121.95%6.67%0.01%1.95%$11,4312.67%$11,382
201110.81%2.36%0.01%0.81%$11,5230.95%$11,490
201120.99%3.42%0.01%0.99%$11,6371.37%$11,647
201130.64%0.03%0.01%0.64%$11,7120.02%$11,649
201141.39%2.95%0.00%1.39%$11,8751.18%$11,787
20115-0.30%-1.15%0.00%-0.30%$11,840-0.46%$11,733
20116-0.98%-1.67%0.00%-0.98%$11,723-0.67%$11,654
20117-0.79%-2.05%0.00%-0.79%$11,630-0.82%$11,559
20118-1.98%-5.45%0.01%-1.98%$11,400-2.17%$11,308
20119-2.11%-7.04%0.00%-2.11%$11,160-2.82%$10,989
2011103.34%10.91%0.00%3.34%$11,5334.37%$11,469
2011110.58%-0.23%0.00%0.58%$11,599-0.09%$11,458
2011121.50%1.02%0.00%1.50%$11,7730.41%$11,505
201210.87%4.46%0.00%0.87%$11,8751.79%$11,710
201221.16%4.31%0.00%1.16%$12,0141.72%$11,912
201230.79%3.28%0.00%0.79%$12,1091.31%$12,068
201240.33%-0.64%0.00%0.33%$12,149-0.26%$12,037
20125-2.47%-6.02%0.01%-2.47%$11,849-2.40%$11,748
201262.43%4.11%0.00%2.43%$12,1371.64%$11,941
201271.07%1.37%0.00%1.07%$12,2670.55%$12,007
201280.48%2.24%0.01%0.48%$12,3260.90%$12,115
201290.70%2.58%0.01%0.70%$12,4121.04%$12,241
201210-0.69%-1.86%0.01%-0.69%$12,326-0.74%$12,150
201211-0.33%0.56%0.01%-0.33%$12,2850.23%$12,178
2012120.15%0.90%0.01%0.15%$12,3040.37%$12,223
201311.77%5.18%0.00%1.77%$12,5212.07%$12,476
201320.83%1.34%0.00%0.83%$12,6260.54%$12,543
201331.01%3.74%0.00%1.01%$12,7541.50%$12,730
201340.71%1.91%0.00%0.71%$12,8450.76%$12,828
20135-0.04%2.33%0.00%-0.04%$12,8400.93%$12,947
20136-0.73%-1.35%0.00%-0.73%$12,747-0.54%$12,877
201371.18%5.07%0.00%1.18%$12,8982.03%$13,138
20138-1.13%-2.91%0.00%-1.13%$12,751-1.16%$12,985
201391.13%3.12%0.00%1.13%$12,8951.25%$13,148
2013101.56%4.59%0.00%1.56%$13,0971.83%$13,389
2013110.74%3.03%0.00%0.74%$13,1931.21%$13,551
2013121.08%2.51%0.00%1.08%$13,3361.01%$13,687
20141-1.59%-3.47%0.00%-1.59%$13,124-1.39%$13,497
201421.37%4.56%0.00%1.37%$13,3041.82%$13,743
201430.74%0.82%0.00%0.74%$13,4030.33%$13,789
201440.34%0.72%0.00%0.34%$13,4490.29%$13,829
201450.86%2.33%0.00%0.86%$13,5640.93%$13,958
201460.68%2.05%0.00%0.68%$13,6560.82%$14,072
20147-0.78%-1.39%0.00%-0.78%$13,550-0.56%$13,994
201481.71%3.98%0.00%1.71%$13,7821.59%$14,217
20149-0.44%-1.41%0.00%-0.44%$13,720-0.57%$14,137
201410-0.37%2.42%0.00%-0.37%$13,6690.97%$14,274
2014110.75%2.68%0.00%0.75%$13,7721.07%$14,427
2014120.06%-0.26%0.00%0.06%$13,780-0.11%$14,412
20151-1.12%-3.02%0.00%-1.12%$13,626-1.21%$14,238
201522.50%5.74%0.00%2.50%$13,9662.30%$14,565
20153-0.26%-1.59%0.00%-0.26%$13,930-0.64%$14,472
201540.60%0.95%0.00%0.60%$14,0140.38%$14,527
201550.93%1.27%0.00%0.93%$14,1450.51%$14,601
20156-0.61%-1.93%0.00%-0.61%$14,060-0.77%$14,488
201571.34%2.08%0.00%1.34%$14,2480.83%$14,608
20158-2.81%-6.04%0.00%-2.81%$13,847-2.42%$14,255
20159-0.89%-2.49%0.00%-0.89%$13,724-1.00%$14,113
2015102.69%8.42%0.00%2.69%$14,0943.37%$14,589
2015110.17%0.29%0.00%0.17%$14,1170.11%$14,606
201512-0.11%-1.59%0.01%-0.11%$14,102-0.63%$14,513
20161-3.10%-4.98%0.01%-3.10%$13,665-1.98%$14,225
201620.56%-0.15%0.02%0.56%$13,741-0.05%$14,219
201631.98%6.78%0.02%1.98%$14,0132.72%$14,606
201640.37%0.37%0.01%0.37%$14,0650.16%$14,629
201651.15%1.78%0.01%1.15%$14,2270.72%$14,734
201660.38%0.25%0.02%0.38%$14,2820.11%$14,750
201670.94%3.68%0.02%0.94%$14,4161.48%$14,969
201680.66%0.13%0.02%0.66%$14,5110.06%$14,979
201690.32%0.01%0.02%0.32%$14,5570.02%$14,981
201610-0.23%-1.83%0.02%-0.23%$14,524-0.72%$14,873
2016111.55%3.70%0.01%1.55%$14,7491.49%$15,094
2016120.61%1.96%0.03%0.61%$14,8390.80%$15,215
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.32%0.33%
Mean Return (annualized)3.89%4.07%
Compound Return (monthly)0.30%0.32%
Compound Return (annualized)3.65%3.89%
Volatility (monthly)1.92%1.68%
Volatility (annualized)6.69%5.86%
Downside Deviation (monthly)1.46%1.15%
Max. Drawdown-24.19%-23.01%
Market Correlation0.921.00
Beta(*)0.410.38
Alpha (annualized)0.27%0.63%
R284.65%99.07%
Sharpe Ratio0.420.50
Sortino Ratio0.540.72
Treynor Ratio (%)6.867.70
Diversification Ratio1.001.05
Skewness-1.65-0.80
Excess Kurtosis5.861.95
Historical Value-at-Risk (95%)-3.20%-2.97%
Delta Normal Value-at-Risk (95%)-3.16%-2.77%
Conditional Value-at-Risk (95%)-5.56%-4.04%
Positive Periods92 out of 132 (69.70%)87 out of 132 (65.91%)
Gain/Loss Ratio0.690.86

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jun 2008Feb 20099 monthsMar 20123 years 10 months-24.19%
2Nov 2007Feb 20084 monthsMay 20087 months-4.39%
3Aug 2015Jan 20166 monthsJun 201611 months-4.09%
4May 2012May 20121 monthJul 20123 months-2.47%
5Jan 2014Jan 20141 monthMar 20143 months-1.59%
6Aug 2013Aug 20131 monthOct 20133 months-1.13%
7Sep 2014Jan 20155 monthsFeb 20156 months-1.13%
8Jul 2007Jul 20071 monthAug 20072 months-1.06%
9May 2006May 20061 monthJul 20063 months-1.03%
10Oct 2012Nov 20122 monthsJan 20134 months-1.02%
11Jul 2014Jul 20141 monthAug 20142 months-0.78%
12May 2013Jun 20132 monthsJul 20133 months-0.76%
13Jun 2015Jun 20151 monthJul 20152 months-0.61%
14Mar 2015Mar 20151 monthApr 20152 months-0.26%
15Oct 2016Oct 20161 monthNov 20162 months-0.23%
16Feb 2007Feb 20071 monthMar 20072 months-0.22%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20113 years 4 months-23.01%
2May 2011Sep 20115 monthsFeb 201210 months-6.77%
3Aug 2015Sep 20152 monthsApr 20169 months-3.39%
4Apr 2012May 20122 monthsAug 20125 months-2.65%
5Jun 2007Jul 20072 monthsSep 20074 months-1.42%
6Jan 2014Jan 20141 monthFeb 20142 months-1.39%
7Dec 2014Jan 20152 monthsFeb 20153 months-1.31%
8Aug 2013Aug 20131 monthSep 20132 months-1.16%
9May 2006May 20061 monthAug 20064 months-0.90%
10Jun 2015Jun 20151 monthJul 20152 months-0.77%
11Oct 2012Oct 20121 monthJan 20134 months-0.74%
12Oct 2016Oct 20161 monthNov 20162 months-0.72%
13Mar 2015Mar 20151 monthMay 20153 months-0.64%
14Sep 2014Sep 20141 monthOct 20142 months-0.57%
15Feb 2007Feb 20071 monthMar 20072 months-0.56%
16Jul 2014Jul 20141 monthAug 20142 months-0.56%
17Jun 2013Jun 20131 monthJul 20132 months-0.54%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
GATEXGateway A3.65%6.69%10.14%-13.92%-24.19%0.420.540.92
VFINXVanguard 500 Index Investor7.60%14.66%32.18%-37.02%-50.97%0.500.721.00
CASHXCash1.04%0.52%4.81%0.00%0.00%N/AN/A-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameGATEXVFINXCASHXPF #1PF #2
GATEXGateway A-0.920.051.000.92
VFINXVanguard 500 Index Investor0.92--0.050.921.00
CASHXCash0.05-0.05-0.050.01

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2
GATEXGateway A100.00%
VFINXVanguard 500 Index Investor99.97%
CASHXCash0.03%

Annual Asset Returns