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 Assets 
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Portfolio Analysis Results (Jan 2006 - Dec 2016)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$14,839 3.65% 6.69%10.14%-13.92%-24.19% 0.410.540.92
Portfolio 2$10,000$15,235 3.90% 5.86%12.01%-15.48%-23.04% 0.500.721.00
   
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.
  • 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 backtested results assume monthly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceGateway A (GATEX)Vanguard 500 Index Investor (VFINX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20062.54%10.14%9.07%$11,014$10,90710.14%15.64%4.82%
20074.08%7.94%5.00%$11,888$11,4527.94%5.39%4.56%
20080.09%-13.92%-15.48%$10,233$9,680-13.92%-37.02%1.53%
20092.72%6.57%10.63%$10,904$10,7096.57%26.49%0.16%
20101.50%4.83%6.26%$11,431$11,3794.83%14.91%0.14%
20112.96%2.99%1.10%$11,773$11,5032.99%1.97%0.07%
20121.74%4.51%6.26%$12,304$12,2234.51%15.82%0.08%
20131.50%8.39%12.01%$13,336$13,6928.39%32.18%0.05%
20140.76%3.33%5.32%$13,780$14,4193.33%13.51%0.03%
20150.73%2.34%0.73%$14,102$14,5252.34%1.25%0.05%
20162.07%5.23%4.89%$14,839$15,2355.23%11.82%0.30%
Monthly returns for the configured portfolios
YearMonthReturnBalanceGateway A (GATEX)Vanguard 500 Index Investor (VFINX)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200611.52%1.26%$10,152$10,1261.52%2.65%0.33%
200620.51%0.33%$10,204$10,1590.51%0.26%0.37%
200631.18%0.72%$10,324$10,2321.18%1.23%0.38%
200641.24%0.76%$10,452$10,3101.24%1.33%0.38%
20065-1.03%-0.92%$10,344$10,214-1.03%-2.90%0.39%
200660.68%0.29%$10,415$10,2440.68%0.13%0.40%
200670.89%0.49%$10,507$10,2940.89%0.61%0.41%
200681.30%1.20%$10,644$10,4171.30%2.36%0.42%
200691.02%1.27%$10,752$10,5501.02%2.56%0.41%
2006101.01%1.54%$10,861$10,7121.01%3.25%0.40%
2006111.00%1.01%$10,970$10,8201.00%1.89%0.42%
2006120.40%0.80%$11,014$10,9070.40%1.39%0.41%
200711.44%0.84%$11,172$10,9991.44%1.49%0.41%
20072-0.22%-0.54%$11,148$10,940-0.22%-1.97%0.42%
200731.21%0.70%$11,283$11,0161.21%1.11%0.42%
200741.34%2.01%$11,434$11,2381.34%4.42%0.41%
200751.25%1.63%$11,578$11,4221.25%3.48%0.40%
200760.53%-0.44%$11,639$11,3720.53%-1.68%0.39%
20077-1.06%-1.00%$11,516$11,258-1.06%-3.08%0.39%
200781.64%0.84%$11,705$11,3531.64%1.50%0.40%
200791.55%1.69%$11,886$11,5441.55%3.72%0.33%
2007101.25%0.82%$12,035$11,6391.25%1.58%0.31%
200711-1.72%-1.48%$11,828$11,466-1.72%-4.19%0.32%
2007120.51%-0.13%$11,888$11,4520.51%-0.70%0.26%
20081-2.23%-2.24%$11,622$11,195-2.23%-6.02%0.28%
20082-1.00%-1.20%$11,506$11,061-1.00%-3.25%0.16%
200830.20%-0.09%$11,529$11,0510.20%-0.44%0.15%
200843.40%2.01%$11,921$11,2733.40%4.85%0.11%
200851.05%0.59%$12,046$11,3401.05%1.29%0.12%
20086-3.41%-3.28%$11,636$10,967-3.41%-8.44%0.15%
200870.36%-0.24%$11,677$10,9410.36%-0.83%0.16%
200881.33%0.66%$11,832$11,0131.33%1.45%0.14%
20089-2.66%-3.48%$11,517$10,630-2.66%-8.91%0.14%
200810-9.17%-6.67%$10,462$9,921-9.17%-16.79%0.08%
200811-5.99%-2.85%$9,835$9,639-5.99%-7.17%0.04%
2008124.05%0.43%$10,233$9,6804.05%1.07%0.00%
20091-3.85%-3.36%$9,839$9,355-3.85%-8.41%0.01%
20092-7.19%-4.25%$9,132$8,957-7.19%-10.66%0.02%
200934.77%3.52%$9,568$9,2724.77%8.76%0.02%
200944.01%3.83%$9,951$9,6284.01%9.56%0.02%
200951.03%2.25%$10,054$9,8451.03%5.62%0.01%
200960.93%0.09%$10,148$9,8540.93%0.22%0.01%
200972.03%3.04%$10,353$10,1542.03%7.58%0.02%
200981.41%1.45%$10,499$10,3011.41%3.60%0.02%
200990.59%1.49%$10,561$10,4550.59%3.72%0.01%
200910-0.08%-0.74%$10,553$10,377-0.08%-1.87%0.01%
2009112.24%2.40%$10,789$10,6262.24%5.98%0.00%
2009121.07%0.78%$10,904$10,7091.07%1.95%0.01%
20101-1.90%-1.44%$10,697$10,555-1.90%-3.60%0.01%
201021.45%1.24%$10,853$10,6861.45%3.09%0.01%
201031.93%2.41%$11,062$10,9431.93%6.01%0.01%
201040.43%0.64%$11,110$11,0130.43%1.58%0.01%
20105-3.78%-3.19%$10,689$10,662-3.78%-8.01%0.01%
20106-1.97%-2.09%$10,478$10,439-1.97%-5.24%0.01%
201073.36%2.81%$10,831$10,7323.36%7.00%0.02%
20108-1.29%-1.80%$10,691$10,538-1.29%-4.53%0.01%
201093.69%3.57%$11,086$10,9153.69%8.92%0.01%
2010101.02%1.52%$11,200$11,0811.02%3.79%0.01%
2010110.12%0.01%$11,213$11,0820.12%0.00%0.01%
2010121.95%2.68%$11,431$11,3791.95%6.67%0.01%
201110.81%0.95%$11,523$11,4870.81%2.36%0.01%
201120.99%1.37%$11,637$11,6440.99%3.42%0.01%
201130.64%0.02%$11,712$11,6470.64%0.03%0.01%
201141.39%1.18%$11,875$11,7841.39%2.95%0.01%
20115-0.30%-0.46%$11,840$11,731-0.30%-1.15%0.00%
20116-0.98%-0.67%$11,723$11,652-0.98%-1.67%0.01%
20117-0.79%-0.82%$11,630$11,557-0.79%-2.05%0.00%
20118-1.98%-2.17%$11,400$11,306-1.98%-5.45%0.01%
20119-2.11%-2.82%$11,160$10,988-2.11%-7.04%0.00%
2011103.34%4.37%$11,533$11,4673.34%10.91%0.00%
2011110.58%-0.09%$11,599$11,4570.58%-0.23%0.00%
2011121.50%0.41%$11,773$11,5031.50%1.02%0.00%
201210.87%1.79%$11,875$11,7090.87%4.46%0.00%
201221.16%1.73%$12,014$11,9111.16%4.31%0.01%
201230.79%1.32%$12,109$12,0680.79%3.28%0.01%
201240.33%-0.25%$12,149$12,0370.33%-0.64%0.01%
20125-2.47%-2.40%$11,849$11,748-2.47%-6.02%0.01%
201262.43%1.65%$12,137$11,9422.43%4.11%0.01%
201271.07%0.55%$12,267$12,0081.07%1.37%0.01%
201280.48%0.90%$12,326$12,1160.48%2.24%0.01%
201290.70%1.04%$12,412$12,2410.70%2.58%0.01%
201210-0.69%-0.74%$12,326$12,151-0.69%-1.86%0.01%
201211-0.33%0.23%$12,285$12,179-0.33%0.56%0.01%
2012120.15%0.36%$12,304$12,2230.15%0.90%0.01%
201311.77%2.07%$12,521$12,4771.77%5.18%0.00%
201320.83%0.54%$12,626$12,5440.83%1.34%0.01%
201331.01%1.50%$12,754$12,7321.01%3.74%0.01%
201340.71%0.77%$12,845$12,8300.71%1.91%0.01%
20135-0.04%0.93%$12,840$12,950-0.04%2.33%0.00%
20136-0.73%-0.54%$12,747$12,880-0.73%-1.35%0.00%
201371.18%2.03%$12,898$13,1421.18%5.07%0.00%
20138-1.13%-1.16%$12,751$12,989-1.13%-2.91%0.00%
201391.13%1.25%$12,895$13,1511.13%3.12%0.00%
2013101.56%1.84%$13,097$13,3931.56%4.59%0.00%
2013110.74%1.21%$13,193$13,5550.74%3.03%0.00%
2013121.08%1.01%$13,336$13,6921.08%2.51%0.01%
20141-1.59%-1.38%$13,124$13,502-1.59%-3.47%0.01%
201421.37%1.83%$13,304$13,7491.37%4.56%0.00%
201430.74%0.33%$13,403$13,7940.74%0.82%0.00%
201440.34%0.29%$13,449$13,8350.34%0.72%0.00%
201450.86%0.94%$13,564$13,9640.86%2.33%0.00%
201460.68%0.82%$13,656$14,0790.68%2.05%0.00%
20147-0.78%-0.55%$13,550$14,001-0.78%-1.39%0.00%
201481.71%1.59%$13,782$14,2241.71%3.98%0.00%
20149-0.44%-0.56%$13,720$14,144-0.44%-1.41%0.00%
201410-0.37%0.97%$13,669$14,281-0.37%2.42%0.00%
2014110.75%1.07%$13,772$14,4350.75%2.68%0.00%
2014120.06%-0.10%$13,780$14,4190.06%-0.26%0.00%
20151-1.12%-1.21%$13,626$14,246-1.12%-3.02%0.00%
201522.50%2.30%$13,966$14,5732.50%5.74%0.00%
20153-0.26%-0.64%$13,930$14,480-0.26%-1.59%0.00%
201540.60%0.38%$14,014$14,5350.60%0.95%0.00%
201550.93%0.51%$14,145$14,6090.93%1.27%0.00%
20156-0.61%-0.77%$14,060$14,497-0.61%-1.93%0.00%
201571.34%0.83%$14,248$14,6171.34%2.08%0.00%
20158-2.81%-2.41%$13,847$14,265-2.81%-6.04%0.01%
20159-0.89%-0.99%$13,724$14,123-0.89%-2.49%0.01%
2015102.69%3.37%$14,094$14,5992.69%8.42%0.00%
2015110.17%0.12%$14,117$14,6160.17%0.29%0.01%
201512-0.11%-0.63%$14,102$14,525-0.11%-1.59%0.02%
20161-3.10%-1.98%$13,665$14,237-3.10%-4.98%0.01%
201620.56%-0.04%$13,741$14,2310.56%-0.15%0.03%
201631.98%2.73%$14,013$14,6191.98%6.78%0.03%
201640.37%0.16%$14,065$14,6420.37%0.37%0.02%
201651.15%0.72%$14,227$14,7481.15%1.78%0.02%
201660.38%0.12%$14,282$14,7660.38%0.25%0.03%
201670.94%1.48%$14,416$14,9850.94%3.68%0.02%
201680.66%0.07%$14,511$14,9940.66%0.13%0.02%
201690.32%0.02%$14,557$14,9970.32%0.01%0.03%
201610-0.23%-0.72%$14,524$14,889-0.23%-1.83%0.02%
2016111.55%1.50%$14,749$15,1121.55%3.70%0.03%
2016120.61%0.81%$14,839$15,2350.61%1.96%0.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value17.26%18.14%
Large-cap Growth17.29%21.95%
Mid-cap Value0.00%0.29%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth2.66%1.19%
Global ex-US Developed Markets0.74%0.00%
Emerging Markets0.00%0.00%
REITs4.16%0.00%
Corporate Bonds0.96%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries56.93%58.42%
R Squared85.39%98.50%
Style analysis is based on monthly returns from Jan 2006 to Dec 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
GATEXGateway AOptions-based100.00%0.94%18.01$4,839100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend40.00%0.14%19.68$4,473100.01%
CASHXCashCash60.00%$762-0.01%
100.00%0.14%19.68$5,235100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (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 2
Arithmetic Mean (monthly)0.32%0.33%
Arithmetic Mean (annualized)3.89%4.08%
Geometric Mean (monthly)0.30%0.32%
Geometric Mean (annualized)3.65%3.90%
Volatility (monthly)1.93%1.69%
Volatility (annualized)6.69%5.86%
Downside Deviation (monthly)1.46%1.15%
Max. Drawdown-24.19%-23.04%
US Market Correlation0.921.00
Beta(*)0.410.38
Alpha (annualized)0.27%0.64%
R284.65%99.07%
Sharpe Ratio0.410.50
Sortino Ratio0.540.72
Treynor Ratio (%)6.827.68
Calmar Ratio0.891.07
Active Return-4.20%-3.95%
Tracking Error9.39%9.36%
Information Ratio-0.45-0.42
Skewness-1.65-0.80
Excess Kurtosis5.861.96
Historical Value-at-Risk (5%)-3.20%-2.97%
Analytical Value-at-Risk (5%)-2.86%-2.44%
Conditional Value-at-Risk (5%)-5.56%-4.04%
Upside Capture Ratio (%)37.8837.75
Downside Capture Ratio (%)39.9538.16
Safe Withdrawal Rate9.79%9.75%
Perpetual Withdrawal Rate1.71%1.95%
Positive Periods92 out of 132 (69.70%)87 out of 132 (65.91%)
Gain/Loss Ratio0.690.86
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-24.19%-23.04%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsMar 20123 years 1 month3 years 10 months-24.19%
2Nov 2007Feb 20084 monthsMay 20083 months7 months-4.39%
3Aug 2015Jan 20166 monthsJun 20165 months11 months-4.09%
4May 2012May 20121 monthJul 20122 months3 months-2.47%
5Jan 2014Jan 20141 monthMar 20142 months3 months-1.59%
6Aug 2013Aug 20131 monthOct 20132 months3 months-1.13%
7Sep 2014Jan 20155 monthsFeb 20151 month6 months-1.13%
8Jul 2007Jul 20071 monthAug 20071 month2 months-1.06%
9May 2006May 20061 monthJul 20062 months3 months-1.03%
10Oct 2012Nov 20122 monthsJan 20132 months4 months-1.02%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-23.04%
2May 2011Sep 20115 monthsFeb 20125 months10 months-6.76%
3Aug 2015Sep 20152 monthsMar 20166 months8 months-3.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-2.65%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-1.43%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-1.38%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.31%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.16%
9May 2006May 20061 monthAug 20063 months4 months-0.92%
10Jun 2015Jun 20151 monthJul 20151 month2 months-0.77%
Worst 10 drawdowns included above

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%0.410.540.92
VFINXVanguard 500 Index Investor7.60%14.66%32.18%-37.02%-50.97%0.500.721.00
CASHXCash1.06%0.51%4.82%0.03%0.00%N/AN/A-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameGATEXVFINXCASHXPortfolio 1Portfolio 2
GATEXGateway A1.000.920.051.000.92
VFINXVanguard 500 Index Investor0.921.00-0.050.921.00
CASHXCash0.05-0.051.000.05-0.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
GATEXGateway A$4,839
VFINXVanguard 500 Index Investor$4,473
CASHXCash$762

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
GATEXGateway A100.00%
VFINXVanguard 500 Index Investor100.01%
CASHXCash-0.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year3.85%10.14%-13.92%4.16%12.01%-15.48%
3 years3.00%5.39%-1.30%3.58%7.82%-1.08%
5 years3.43%5.44%0.69%4.16%7.18%1.07%
7 years3.42%4.69%2.13%4.14%5.97%2.91%
10 years3.26%3.50%3.03%3.60%3.80%3.40%
Result statistics are based on annualized rolling returns over full calendar year periods