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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Asset 6
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Portfolio Analysis Results (Jul 1986 - Jan 2010)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWELX Vanguard Wellington Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
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Portfolio 3
Ticker Name Allocation
PRWCX T. Rowe Price Capital Appreciation 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$85,695 9.54% 10.51%32.92%-22.30%-32.53% 0.520.760.89
Portfolio 2$10,000$75,804 8.97% 6.92%28.91%-9.84%-18.82% 0.671.060.67
Portfolio 3$10,000$120,844 11.14% 10.05%33.05%-27.17%-36.61% 0.691.020.81
Vanguard 500 Index Investor$10,000$71,674 8.71% 15.77%37.45%-37.02%-50.97% 0.340.480.99
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 13.14%27.04%0.15%4.69%6.38%9.54%
Portfolio 22.89%21.29%3.16%4.89%7.03%8.97%
Portfolio 35.00%36.05%-0.30%4.53%9.48%11.14%
Vanguard 500 Index Investor4.15%33.13%-7.27%0.10%-0.88%8.71%
Trailing returns are for full months ending in January 2010 excluding portfolio cashflows.
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 1986 are based on monthly returns from July to December
  • The annual results for 2010 are based on monthly returns 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
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Wellington Inv (VWELX)Vanguard Wellesley Income Inv (VWINX)T. Rowe Price Capital Appreciation (PRWCX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
19860.91%1.89%5.52%8.50%-2.05%$10,189$10,552$10,850$9,7951.89%5.52%8.50%
19874.43%2.28%-1.92%5.74%4.71%$10,421$10,350$11,473$10,2552.28%-1.92%5.74%
19884.42%16.11%13.61%21.21%16.22%$12,100$11,759$13,906$11,91916.11%13.61%21.21%
19894.65%21.60%20.93%21.42%31.36%$14,714$14,220$16,884$15,65721.60%20.93%21.42%
19906.11%-2.81%3.76%-1.25%-3.32%$14,301$14,755$16,673$15,137-2.81%3.76%-1.25%
19913.06%23.65%21.57%21.59%30.22%$17,683$17,937$20,273$19,71123.65%21.57%21.59%
19922.90%7.93%8.67%9.36%7.42%$19,084$19,493$22,171$21,1757.93%8.67%9.36%
19932.75%13.52%14.65%15.66%9.89%$21,664$22,348$25,643$23,26913.52%14.65%15.66%
19942.67%-0.49%-4.44%3.80%1.18%$21,558$21,357$26,617$23,543-0.49%-4.44%3.80%
19952.54%32.92%28.91%22.57%37.45%$28,656$27,531$32,624$32,35932.92%28.91%22.57%
19963.32%16.19%9.42%16.82%22.88%$33,295$30,124$38,111$39,76116.19%9.42%16.82%
19971.70%23.23%20.19%16.20%33.19%$41,031$36,206$44,285$52,95823.23%20.19%16.20%
19981.61%12.06%11.84%5.77%28.62%$45,978$40,494$46,843$68,11312.06%11.84%5.77%
19992.68%4.41%-4.14%7.07%21.07%$48,004$38,819$50,154$82,4644.41%-4.14%7.07%
20003.39%10.40%16.17%22.17%-9.06%$52,998$45,097$61,271$74,99610.40%16.17%22.17%
20011.55%4.19%7.39%10.26%-12.02%$55,216$48,428$67,559$65,9794.19%7.39%10.26%
20022.38%-6.90%4.64%0.54%-22.15%$51,408$50,676$67,925$51,368-6.90%4.64%0.54%
20031.88%20.75%9.66%25.47%28.50%$62,074$55,569$85,223$66,00920.75%9.66%25.47%
20043.26%11.16%7.55%15.29%10.74%$69,003$59,766$98,257$73,09811.16%7.55%15.29%
20053.42%6.82%3.48%6.85%4.77%$73,712$61,847$104,989$76,5886.82%3.48%6.85%
20062.54%14.97%11.28%14.54%15.64%$84,746$68,823$120,260$88,56814.97%11.28%14.54%
20074.08%8.34%5.61%4.56%5.39%$91,810$72,681$125,747$93,3388.34%5.61%4.56%
20080.09%-22.30%-9.84%-27.17%-37.02%$71,341$65,527$91,583$58,784-22.30%-9.84%-27.17%
20092.72%22.20%16.02%33.05%26.49%$87,175$76,027$121,851$74,35322.20%16.02%33.05%
20100.34%-1.70%-0.29%-0.83%-3.60%$85,695$75,804$120,844$71,674-1.70%-0.29%-0.83%
Annual returns for 1986 and 2010 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellington Inv (VWELX)Vanguard Wellesley Income Inv (VWINX)T. Rowe Price Capital Appreciation (PRWCX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
19867-3.40%0.12%-1.40%-5.74%$9,660$10,012$9,860$9,426-3.40%0.12%-1.40%
198685.97%5.05%5.78%7.45%$10,237$10,518$10,430$10,1285.97%5.05%5.78%
19869-4.74%-3.78%0.67%-8.31%$9,752$10,120$10,500$9,287-4.74%-3.78%0.67%
1986103.65%2.48%6.10%5.63%$10,108$10,372$11,140$9,8103.65%2.48%6.10%
1986112.21%2.24%0.36%2.55%$10,331$10,604$11,180$10,0602.21%2.24%0.36%
198612-1.37%-0.49%-2.95%-2.64%$10,189$10,552$10,850$9,795-1.37%-0.49%-2.95%
198718.90%4.61%6.28%13.27%$11,096$11,039$11,531$11,0948.90%4.61%6.28%
198722.90%0.12%2.63%3.97%$11,417$11,052$11,835$11,5342.90%0.12%2.63%
198731.71%-0.90%0.71%2.86%$11,612$10,952$11,918$11,8641.71%-0.90%0.71%
19874-1.96%-4.27%0.61%-0.99%$11,385$10,484$11,992$11,746-1.96%-4.27%0.61%
198750.40%-0.69%-0.26%1.04%$11,430$10,411$11,960$11,8680.40%-0.69%-0.26%
198763.67%2.58%1.92%5.02%$11,850$10,680$12,190$12,4643.67%2.58%1.92%
198772.05%-0.19%3.78%4.91%$12,093$10,660$12,651$13,0762.05%-0.19%3.78%
198781.69%1.13%1.82%3.84%$12,297$10,781$12,881$13,5791.69%1.13%1.82%
19879-3.29%-2.43%-1.22%-2.29%$11,893$10,518$12,724$13,268-3.29%-2.43%-1.22%
198710-13.20%-2.60%-7.73%-21.73%$10,322$10,245$11,740$10,386-13.20%-2.60%-7.73%
198711-4.24%-0.80%-6.42%-8.19%$9,885$10,163$10,987$9,535-4.24%-0.80%-6.42%
1987125.42%1.84%4.42%7.55%$10,421$10,350$11,473$10,2555.42%1.84%4.42%
198816.20%6.31%4.28%4.17%$11,068$11,003$11,964$10,6846.20%6.31%4.28%
198823.93%1.44%6.02%4.59%$11,503$11,161$12,684$11,1743.93%1.44%6.02%
19883-3.08%-2.19%-2.39%-3.04%$11,148$10,916$12,381$10,834-3.08%-2.19%-2.39%
198841.19%-0.54%2.14%1.01%$11,280$10,858$12,646$10,9441.19%-0.54%2.14%
198850.09%0.61%0.90%0.81%$11,290$10,924$12,760$11,0330.09%0.61%0.90%
198863.86%3.36%5.15%4.56%$11,726$11,291$13,417$11,5353.86%3.36%5.15%
19887-0.24%-0.20%-0.19%-0.37%$11,698$11,269$13,392$11,493-0.24%-0.20%-0.19%
19888-2.05%0.00%-3.49%-3.40%$11,459$11,269$12,924$11,102-2.05%0.00%-3.49%
198893.48%3.00%4.30%4.26%$11,857$11,607$13,480$11,5743.48%3.00%4.30%
1988102.22%1.90%2.06%2.73%$12,120$11,828$13,758$11,8912.22%1.90%2.06%
198811-1.29%-0.84%0.64%-1.47%$11,964$11,729$13,847$11,715-1.29%-0.84%0.64%
1988121.14%0.26%0.43%1.74%$12,100$11,759$13,906$11,9191.14%0.26%0.43%
198916.12%3.15%5.28%7.32%$12,841$12,129$14,640$12,7926.12%3.15%5.28%
19892-1.76%-1.21%0.27%-2.47%$12,614$11,982$14,680$12,476-1.76%-1.21%0.27%
198931.82%1.48%1.18%2.26%$12,843$12,160$14,853$12,7581.82%1.48%1.18%
198943.39%2.77%2.88%5.18%$13,279$12,498$15,280$13,4193.39%2.77%2.88%
198952.65%3.26%2.01%4.04%$13,630$12,906$15,587$13,9612.65%3.26%2.01%
198960.68%2.49%1.63%-0.59%$13,723$13,226$15,841$13,8790.68%2.49%1.63%
198974.84%3.68%6.07%9.01%$14,387$13,713$16,801$15,1294.84%3.68%6.07%
198981.61%-0.52%1.75%1.86%$14,619$13,641$17,095$15,4101.61%-0.52%1.75%
19899-0.96%0.35%-0.86%-0.40%$14,478$13,689$16,948$15,348-0.96%0.35%-0.86%
198910-2.10%1.07%-1.97%-2.34%$14,174$13,835$16,615$14,989-2.10%1.07%-1.97%
1989111.27%1.35%0.96%2.04%$14,354$14,022$16,775$15,2941.27%1.35%0.96%
1989122.51%1.42%0.65%2.38%$14,714$14,220$16,884$15,6572.51%1.42%0.65%
19901-5.12%-3.09%-2.59%-6.72%$13,961$13,781$16,447$14,605-5.12%-3.09%-2.59%
199020.91%0.86%1.04%1.27%$14,087$13,899$16,619$14,7920.91%0.86%1.04%
199030.89%0.23%1.22%2.61%$14,213$13,931$16,822$15,1770.89%0.23%1.22%
19904-3.06%-2.48%-2.13%-2.50%$13,778$13,585$16,463$14,798-3.06%-2.48%-2.13%
199057.13%4.77%4.93%9.69%$14,760$14,234$17,274$16,2327.13%4.77%4.93%
19906-0.80%0.62%-0.54%-0.66%$14,641$14,321$17,181$16,125-0.80%0.62%-0.54%
199070.29%0.61%-0.54%-0.35%$14,683$14,409$17,087$16,0680.29%0.61%-0.54%
19908-6.41%-3.97%-4.66%-9.03%$13,742$13,838$16,291$14,617-6.41%-3.97%-4.66%
19909-3.56%-0.43%-4.98%-4.89%$13,253$13,778$15,480$13,902-3.56%-0.43%-4.98%
199010-0.52%1.36%-3.73%-0.41%$13,185$13,966$14,902$13,845-0.52%1.36%-3.73%
1990115.99%3.46%7.54%6.44%$13,974$14,449$16,026$14,7375.99%3.46%7.54%
1990122.34%2.11%4.04%2.72%$14,301$14,755$16,673$15,1372.34%2.11%4.04%
199113.38%1.25%4.81%4.35%$14,785$14,939$17,475$15,7963.38%1.25%4.81%
199124.88%2.53%5.07%7.12%$15,506$15,316$18,361$16,9204.88%2.53%5.07%
199130.92%1.39%1.91%2.41%$15,649$15,529$18,712$17,3270.92%1.39%1.91%
199140.68%1.09%0.00%0.20%$15,755$15,698$18,712$17,3610.68%1.09%0.00%
199153.86%1.31%2.59%4.27%$16,363$15,904$19,196$18,1033.86%1.31%2.59%
19916-3.19%-1.35%-0.87%-4.56%$15,841$15,689$19,029$17,277-3.19%-1.35%-0.87%
199173.24%2.49%2.37%4.63%$16,354$16,079$19,480$18,0773.24%2.49%2.37%
199182.09%2.37%-0.09%2.33%$16,695$16,460$19,464$18,4982.09%2.37%-0.09%
19919-0.05%1.92%0.52%-1.67%$16,686$16,776$19,564$18,190-0.05%1.92%0.52%
1991101.69%1.62%1.20%1.33%$16,968$17,047$19,798$18,4311.69%1.62%1.20%
199111-3.80%-0.28%-2.62%-4.01%$16,323$16,999$19,280$17,692-3.80%-0.28%-2.62%
1991128.33%5.52%5.15%11.41%$17,683$17,937$20,273$19,7118.33%5.52%5.15%
19921-1.75%-2.82%0.91%-1.88%$17,373$17,431$20,457$19,340-1.75%-2.82%0.91%
199221.03%-0.06%1.44%1.24%$17,551$17,421$20,751$19,5811.03%-0.06%1.44%
19923-0.87%-0.57%-1.06%-1.93%$17,399$17,322$20,531$19,204-0.87%-0.57%-1.06%
199242.79%2.04%1.61%2.91%$17,883$17,675$20,862$19,7642.79%2.04%1.61%
199251.34%2.11%1.06%0.48%$18,122$18,049$21,082$19,8591.34%2.11%1.06%
19926-0.32%1.07%-0.52%-1.49%$18,065$18,242$20,972$19,563-0.32%1.07%-0.52%
199272.87%3.99%2.89%4.04%$18,583$18,970$21,579$20,3542.87%3.99%2.89%
19928-1.08%0.49%-0.34%-2.07%$18,382$19,062$21,506$19,933-1.08%0.49%-0.34%
199291.16%1.03%1.03%1.17%$18,595$19,258$21,726$20,1661.16%1.03%1.03%
199210-0.99%-1.51%-0.42%0.33%$18,411$18,967$21,634$20,233-0.99%-1.51%-0.42%
1992111.95%0.66%1.70%3.40%$18,770$19,092$22,002$20,9211.95%0.66%1.70%
1992121.68%2.10%0.77%1.21%$19,084$19,493$22,171$21,1751.68%2.10%0.77%
199311.15%1.93%-0.18%0.81%$19,304$19,868$22,132$21,3451.15%1.93%-0.18%
199321.92%3.35%1.23%1.36%$19,674$20,534$22,405$21,6341.92%3.35%1.23%
199332.05%1.41%3.39%2.11%$20,076$20,824$23,164$22,0902.05%1.41%3.39%
199340.40%0.10%0.34%-2.42%$20,157$20,846$23,242$21,5550.40%0.10%0.34%
199351.30%0.52%2.35%2.65%$20,418$20,955$23,787$22,1271.30%0.52%2.35%
199361.10%2.36%0.08%0.27%$20,642$21,449$23,806$22,1861.10%2.36%0.08%
199370.25%0.98%0.41%-0.42%$20,693$21,659$23,903$22,0920.25%0.98%0.41%
199383.29%3.42%1.79%3.79%$21,374$22,399$24,332$22,9283.29%3.42%1.79%
19939-0.66%0.65%0.40%-0.79%$21,234$22,545$24,429$22,746-0.66%0.65%0.40%
1993100.92%0.45%3.27%2.08%$21,429$22,646$25,227$23,2190.92%0.45%3.27%
199311-0.48%-2.23%-0.08%-1.00%$21,326$22,141$25,208$22,988-0.48%-2.23%-0.08%
1993121.59%0.93%1.73%1.22%$21,664$22,348$25,643$23,2691.59%0.93%1.73%
199413.28%1.87%2.69%3.38%$22,375$22,766$26,332$24,0553.28%1.87%2.69%
19942-3.04%-2.96%-1.77%-2.71%$21,696$22,093$25,866$23,402-3.04%-2.96%-1.77%
19943-4.00%-3.36%-1.64%-4.39%$20,827$21,350$25,440$22,375-4.00%-3.36%-1.64%
199441.34%0.06%0.32%1.29%$21,106$21,362$25,521$22,6641.34%0.06%0.32%
199451.58%0.72%0.79%1.60%$21,438$21,515$25,724$23,0271.58%0.72%0.79%
19946-1.42%-1.12%-0.87%-2.45%$21,135$21,275$25,501$22,464-1.42%-1.12%-0.87%
199473.43%2.60%1.99%3.28%$21,861$21,827$26,008$23,2003.43%2.60%1.99%
199482.43%0.94%4.21%4.08%$22,392$22,031$27,101$24,1452.43%0.94%4.21%
19949-2.42%-2.72%-0.60%-2.45%$21,850$21,431$26,939$23,555-2.42%-2.72%-0.60%
1994100.10%0.00%0.60%2.25%$21,872$21,431$27,101$24,0840.10%0.00%0.60%
199411-3.30%-1.37%-1.72%-3.65%$21,150$21,138$26,635$23,204-3.30%-1.37%-1.72%
1994121.93%1.03%-0.07%1.46%$21,558$21,357$26,617$23,5431.93%1.03%-0.07%
199511.96%2.87%2.31%2.58%$21,981$21,971$27,233$24,1511.96%2.87%2.31%
199524.05%3.08%1.86%3.88%$22,870$22,647$27,739$25,0884.05%3.08%1.86%
199532.15%1.06%1.90%2.95%$23,363$22,888$28,267$25,8292.15%1.06%1.90%
199542.26%1.95%1.63%2.94%$23,891$23,333$28,729$26,5882.26%1.95%1.63%
199554.98%5.51%3.22%3.95%$25,081$24,618$29,653$27,6404.98%5.51%3.22%
199561.21%0.87%1.41%2.31%$25,383$24,834$30,071$28,2791.21%0.87%1.41%
199572.14%0.21%2.19%3.30%$25,927$24,885$30,731$29,2132.14%0.21%2.19%
199581.27%1.66%1.00%0.26%$26,256$25,298$31,038$29,2901.27%1.66%1.00%
199593.07%2.31%1.91%4.21%$27,062$25,882$31,632$30,5243.07%2.31%1.91%
199510-1.06%0.76%-0.90%-0.36%$26,776$26,078$31,346$30,413-1.06%0.76%-0.90%
1995114.82%2.81%3.44%4.38%$28,067$26,811$32,424$31,7454.82%2.81%3.44%
1995122.10%2.68%0.62%1.93%$28,656$27,531$32,624$32,3592.10%2.68%0.62%
199612.21%0.93%2.41%3.39%$29,289$27,787$33,412$33,4542.21%0.93%2.41%
19962-0.76%-2.18%0.64%0.92%$29,066$27,181$33,627$33,763-0.76%-2.18%0.64%
199631.81%0.03%1.35%0.98%$29,593$27,190$34,080$34,0931.81%0.03%1.35%
19964-0.20%-0.61%1.05%1.46%$29,533$27,026$34,438$34,589-0.20%-0.61%1.05%
199650.76%0.30%1.11%2.54%$29,758$27,108$34,820$35,4690.76%0.30%1.11%
199660.88%1.33%0.21%0.38%$30,019$27,469$34,891$35,6050.88%1.33%0.21%
19967-1.71%-0.91%-1.92%-4.42%$29,507$27,218$34,223$34,031-1.71%-0.91%-1.92%
199681.98%0.92%2.30%2.10%$30,091$27,469$35,011$34,7451.98%0.92%2.30%
199693.77%2.89%3.00%5.61%$31,224$28,263$36,061$36,6933.77%2.89%3.00%
1996103.58%4.14%1.13%2.76%$32,341$29,434$36,467$37,7043.58%4.14%1.13%
1996115.24%3.64%3.93%7.56%$34,034$30,506$37,898$40,5565.24%3.64%3.93%
199612-2.17%-1.25%0.56%-1.96%$33,295$30,124$38,111$39,761-2.17%-1.25%0.56%
199713.25%1.32%0.69%6.22%$34,377$30,521$38,374$42,2333.25%1.32%0.69%
199720.81%0.67%1.24%0.79%$34,657$30,726$38,848$42,5660.81%0.67%1.24%
19973-3.48%-2.55%-1.42%-4.14%$33,452$29,942$38,295$40,806-3.48%-2.55%-1.42%
199743.99%2.16%0.83%5.96%$34,786$30,587$38,611$43,2363.99%2.16%0.83%
199754.24%2.65%4.57%6.09%$36,261$31,397$40,376$45,8694.24%2.65%4.57%
199763.50%2.20%2.67%4.45%$37,531$32,087$41,456$47,9113.50%2.20%2.67%
199776.19%5.97%2.92%7.97%$39,855$34,003$42,667$51,7286.19%5.97%2.92%
19978-3.86%-2.28%-1.17%-5.61%$38,318$33,228$42,167$48,826-3.86%-2.28%-1.17%
199794.08%3.71%3.00%5.47%$39,882$34,459$43,431$51,4974.08%3.71%3.00%
199710-0.91%0.67%-0.67%-3.35%$39,518$34,690$43,141$49,771-0.91%0.67%-0.67%
1997112.11%2.40%0.79%4.60%$40,350$35,521$43,484$52,0602.11%2.40%0.79%
1997121.69%1.93%1.84%1.72%$41,031$36,206$44,285$52,9581.69%1.93%1.84%
199810.95%0.78%0.27%1.11%$41,421$36,488$44,406$53,5460.95%0.78%0.27%
199823.40%1.23%2.64%7.19%$42,828$36,935$45,580$57,3973.40%1.23%2.64%
199833.29%2.56%3.63%5.10%$44,236$37,881$47,235$60,3273.29%2.56%3.63%
199841.08%0.00%-0.32%1.01%$44,713$37,881$47,085$60,9351.08%0.00%-0.32%
19985-0.56%0.81%-1.53%-1.74%$44,460$38,186$46,362$59,872-0.56%0.81%-1.53%
199860.50%1.11%1.10%4.07%$44,685$38,610$46,874$62,3100.50%1.11%1.10%
19987-1.58%-1.29%-2.31%-1.05%$43,978$38,113$45,790$61,653-1.58%-1.29%-2.31%
19988-7.65%-2.39%-4.60%-14.47%$40,616$37,203$43,683$52,730-7.65%-2.39%-4.60%
199895.35%5.49%4.14%6.41%$42,789$39,247$45,489$56,1105.35%5.49%4.14%
1998104.26%0.31%1.52%8.16%$44,610$39,369$46,182$60,6914.26%0.31%1.52%
1998113.00%2.38%1.63%6.07%$45,948$40,307$46,934$64,3763.00%2.38%1.63%
1998120.07%0.46%-0.20%5.81%$45,978$40,494$46,843$68,1130.07%0.46%-0.20%
199910.51%-0.54%-1.21%4.20%$46,213$40,275$46,276$70,9760.51%-0.54%-1.21%
19992-2.92%-2.86%-1.99%-3.12%$44,866$39,121$45,354$68,759-2.92%-2.86%-1.99%
199932.55%0.81%1.64%4.00%$46,009$39,438$46,098$71,5072.55%0.81%1.64%
199947.38%3.22%7.15%3.85%$49,406$40,709$49,394$74,2617.38%3.22%7.15%
19995-1.85%-0.69%0.93%-2.39%$48,489$40,429$49,854$72,487-1.85%-0.69%0.93%
199961.94%-0.07%2.20%5.56%$49,431$40,399$50,953$76,5141.94%-0.07%2.20%
19997-1.93%-1.64%-1.74%-3.13%$48,475$39,736$50,067$74,119-1.93%-1.64%-1.74%
19998-0.85%-0.95%0.99%-0.50%$48,061$39,357$50,563$73,751-0.85%-0.95%0.99%
19999-2.55%-0.53%0.07%-2.74%$46,835$39,148$50,598$71,731-2.55%-0.53%0.07%
1999101.85%0.88%-0.49%6.33%$47,703$39,494$50,350$76,2691.85%0.88%-0.49%
199911-0.24%-0.68%-0.63%2.02%$47,590$39,225$50,031$77,812-0.24%-0.68%-0.63%
1999120.87%-1.04%0.24%5.98%$48,004$38,819$50,154$82,4640.87%-1.04%0.24%
20001-3.83%-1.01%-2.56%-5.03%$46,167$38,428$48,871$78,314-3.83%-1.01%-2.56%
20002-4.54%-3.00%-3.77%-1.91%$44,072$37,275$47,027$76,821-4.54%-3.00%-3.77%
200037.34%5.61%7.42%9.76%$47,307$39,365$50,514$84,3197.34%5.61%7.42%
200040.84%0.16%1.43%-3.01%$47,705$39,428$51,236$81,7850.84%0.16%1.43%
200051.27%1.27%2.50%-2.04%$48,312$39,929$52,519$80,1171.27%1.27%2.50%
20006-1.83%-0.63%-0.31%2.49%$47,426$39,676$52,359$82,110-1.83%-0.63%-0.31%
200071.40%1.98%0.46%-1.49%$48,090$40,460$52,599$80,8861.40%1.98%0.46%
200083.56%2.93%4.95%6.19%$49,804$41,646$55,205$85,8933.56%2.93%4.95%
20009-0.34%1.80%2.11%-5.29%$49,635$42,395$56,368$81,349-0.34%1.80%2.11%
2000102.38%1.27%0.36%-0.43%$50,817$42,931$56,568$81,0002.38%1.27%0.36%
2000110.14%1.20%1.28%-7.88%$50,888$43,446$57,290$74,6190.14%1.20%1.28%
2000124.15%3.80%6.95%0.50%$52,998$45,097$61,271$74,9964.15%3.80%6.95%
200112.02%0.25%0.29%3.55%$54,068$45,208$61,447$77,6542.02%0.25%0.29%
20012-0.38%1.23%2.86%-9.14%$53,862$45,762$63,204$70,558-0.38%1.23%2.86%
20013-1.87%-0.07%0.00%-6.36%$52,857$45,728$63,204$66,073-1.87%-0.07%0.00%
200143.51%1.88%4.24%7.77%$54,714$46,587$65,883$71,2083.51%1.88%4.24%
200151.73%1.02%3.53%0.65%$55,662$47,062$68,211$71,6711.73%1.02%3.53%
20016-1.67%-0.18%-2.00%-2.45%$54,732$46,978$66,849$69,918-1.67%-0.18%-2.00%
200171.36%1.80%-0.92%-1.00%$55,478$47,825$66,234$69,2191.36%1.80%-0.92%
20018-1.76%0.67%1.13%-6.27%$54,503$48,145$66,981$64,876-1.76%0.67%1.13%
20019-5.29%-0.56%-4.33%-8.09%$51,621$47,877$64,082$59,627-5.29%-0.56%-4.33%
2001101.42%0.43%1.64%1.90%$52,354$48,085$65,136$60,7571.42%0.43%1.64%
2001114.60%0.14%1.89%7.65%$54,764$48,155$66,366$65,4074.60%0.14%1.89%
2001120.83%0.57%1.80%0.87%$55,216$48,428$67,559$65,9790.83%0.57%1.80%
200210.26%0.45%0.89%-1.47%$55,358$48,646$68,159$65,0070.26%0.45%0.89%
200220.91%1.65%2.64%-1.94%$55,864$49,449$69,959$63,7480.91%1.65%2.64%
200232.11%-0.10%4.02%3.74%$57,040$49,401$72,774$66,1342.11%-0.10%4.02%
20024-2.07%0.70%-0.82%-6.07%$55,857$49,746$72,174$62,117-2.07%0.70%-0.82%
200250.69%1.33%0.83%-0.75%$56,245$50,409$72,774$61,6480.69%1.33%0.83%
20026-3.23%-0.93%-4.57%-7.13%$54,429$49,941$69,451$57,250-3.23%-0.93%-4.57%
20027-4.99%-2.09%-4.65%-7.72%$51,715$48,897$66,221$52,831-4.99%-2.09%-4.65%
200280.32%0.86%2.44%0.65%$51,879$49,319$67,836$53,1760.32%0.86%2.44%
20029-6.66%-2.67%-5.71%-10.87%$48,422$48,001$63,960$47,393-6.66%-2.67%-5.71%
2002103.43%2.31%2.89%8.78%$50,082$49,108$65,806$51,5553.43%2.31%2.89%
2002114.68%2.36%4.35%5.88%$52,426$50,265$68,667$54,5844.68%2.36%4.35%
200212-1.94%0.82%-1.08%-5.89%$51,408$50,676$67,925$51,368-1.94%0.82%-1.08%
20031-2.16%-1.56%-0.84%-2.62%$50,298$49,887$67,351$50,019-2.16%-1.56%-0.84%
20032-1.17%0.10%-1.70%-1.52%$49,712$49,937$66,204$49,260-1.17%0.10%-1.70%
20033-0.05%-0.11%-0.36%0.96%$49,687$49,885$65,965$49,731-0.05%-0.11%-0.36%
200345.90%3.40%5.36%8.25%$52,619$51,583$69,502$53,8365.90%3.40%5.36%
200355.61%4.24%5.23%5.26%$55,571$53,770$73,135$56,6705.61%4.24%5.23%
200360.63%0.18%1.96%1.26%$55,924$53,867$74,569$57,3840.63%0.18%1.96%
20037-0.84%-3.38%0.13%1.74%$55,457$52,049$74,665$58,384-0.84%-3.38%0.13%
200381.95%0.40%1.98%1.93%$56,540$52,257$76,147$59,5131.95%0.40%1.98%
200390.26%1.72%-0.13%-1.07%$56,690$53,155$76,051$58,8750.26%1.72%-0.13%
2003103.24%0.44%4.78%5.64%$58,529$53,391$79,684$62,1963.24%0.44%4.78%
2003111.17%0.54%1.92%0.86%$59,213$53,680$81,214$62,7341.17%0.54%1.92%
2003124.83%3.52%4.94%5.22%$62,074$55,569$85,223$66,0094.83%3.52%4.94%
200410.73%0.48%1.03%1.82%$62,526$55,835$86,100$67,2110.73%0.48%1.03%
200422.07%1.38%2.32%1.38%$63,819$56,605$88,097$68,1372.07%1.38%2.32%
20043-0.61%0.32%-0.44%-1.51%$63,431$56,789$87,707$67,105-0.61%0.32%-0.44%
20044-1.74%-2.17%-1.17%-1.58%$62,326$55,556$86,684$66,047-1.74%-2.17%-1.17%
200450.03%-0.34%0.22%1.36%$62,348$55,368$86,879$66,9440.03%-0.34%0.22%
200462.16%1.11%3.14%1.93%$63,692$55,982$89,606$68,2362.16%1.11%3.14%
20047-1.30%0.34%-1.09%-3.31%$62,862$56,172$88,632$65,977-1.30%0.34%-1.09%
200481.46%2.07%0.55%0.38%$63,779$57,336$89,119$66,2291.46%2.07%0.55%
200491.51%0.66%2.30%1.07%$64,742$57,716$91,165$66,9361.51%0.66%2.30%
2004101.09%0.66%0.48%1.51%$65,446$58,098$91,603$67,9501.09%0.66%0.48%
2004112.62%0.89%5.16%4.05%$67,161$58,618$96,327$70,6992.62%0.89%5.16%
2004122.74%1.96%2.00%3.39%$69,003$59,766$98,257$73,0982.74%1.96%2.00%
20051-1.23%-0.09%-1.44%-2.45%$68,157$59,711$96,845$71,304-1.23%-0.09%-1.44%
200522.28%1.25%2.45%2.09%$69,712$60,459$99,215$72,7972.28%1.25%2.45%
20053-1.54%-1.41%-1.37%-1.76%$68,640$59,604$97,854$71,516-1.54%-1.41%-1.37%
20054-0.64%0.94%-1.55%-1.91%$68,202$60,163$96,341$70,148-0.64%0.94%-1.55%
200551.65%1.07%1.88%3.17%$69,330$60,805$98,156$72,3701.65%1.07%1.88%
200560.70%0.87%1.08%0.13%$69,813$61,336$99,215$72,4620.70%0.87%1.08%
200572.22%0.09%3.46%3.71%$71,365$61,393$102,643$75,1482.22%0.09%3.46%
200580.88%0.78%-0.05%-0.91%$71,991$61,872$102,592$74,4620.88%0.78%-0.05%
200591.07%-0.25%0.34%0.79%$72,759$61,718$102,945$75,0531.07%-0.25%0.34%
200510-1.80%-1.34%-1.67%-1.68%$71,453$60,891$101,231$73,793-1.80%-1.34%-1.67%
2005112.32%1.03%2.94%3.76%$73,109$61,518$104,206$76,5712.32%1.03%2.94%
2005120.82%0.53%0.75%0.02%$73,712$61,847$104,989$76,5880.82%0.53%0.75%
200612.57%0.85%2.69%2.65%$75,606$62,376$107,815$78,6142.57%0.85%2.69%
20062-0.19%0.80%0.19%0.26%$75,460$62,875$108,025$78,821-0.19%0.80%0.19%
200630.61%-0.66%1.07%1.23%$75,918$62,458$109,176$79,7910.61%-0.66%1.07%
200641.93%1.09%1.01%1.33%$77,385$63,139$110,275$80,8551.93%1.09%1.01%
20065-1.36%-0.66%-1.66%-2.90%$76,334$62,724$108,444$78,512-1.36%-0.66%-1.66%
200660.14%0.58%-0.19%0.13%$76,443$63,089$108,234$78,6130.14%0.58%-0.19%
200671.64%2.14%1.06%0.61%$77,700$64,436$109,386$79,0901.64%2.14%1.06%
200681.94%1.81%1.82%2.36%$79,204$65,604$111,374$80,9581.94%1.81%1.82%
200691.41%1.23%1.93%2.56%$80,320$66,414$113,520$83,0331.41%1.23%1.93%
2006102.60%1.64%2.44%3.25%$82,406$67,503$116,294$85,7332.60%1.64%2.44%
2006111.75%1.30%2.16%1.89%$83,847$68,380$118,806$87,3521.75%1.30%2.16%
2006121.07%0.65%1.22%1.39%$84,746$68,823$120,260$88,5681.07%0.65%1.22%
200710.68%0.32%1.41%1.49%$85,320$69,044$121,951$89,8900.68%0.32%1.41%
20072-0.49%0.91%-0.67%-1.97%$84,902$69,675$121,135$88,120-0.49%0.91%-0.67%
200730.95%0.63%0.77%1.11%$85,711$70,115$122,068$89,1000.95%0.63%0.77%
200743.44%1.73%3.54%4.42%$88,656$71,325$126,384$93,0363.44%1.73%3.54%
200752.28%0.45%2.68%3.48%$90,681$71,644$129,766$96,2712.28%0.45%2.68%
20076-0.84%-1.19%-0.45%-1.68%$89,923$70,789$129,183$94,657-0.84%-1.19%-0.45%
20077-1.47%-0.73%-3.21%-3.08%$88,597$70,274$125,042$91,737-1.47%-0.73%-3.21%
200781.38%1.42%0.51%1.50%$89,817$71,272$125,684$93,1121.38%1.42%0.51%
200793.13%1.72%1.67%3.72%$92,629$72,495$127,783$96,5793.13%1.72%1.67%
2007100.98%0.94%1.37%1.58%$93,537$73,178$129,533$98,1040.98%0.94%1.37%
200711-1.31%-0.18%-2.48%-4.19%$92,308$73,048$126,325$93,996-1.31%-0.18%-2.48%
200712-0.54%-0.50%-0.46%-0.70%$91,810$72,681$125,747$93,338-0.54%-0.50%-0.46%
20081-2.85%-0.82%-2.26%-6.02%$89,192$72,081$122,904$87,724-2.85%-0.82%-2.26%
20082-0.76%-1.29%-1.80%-3.25%$88,517$71,149$120,692$84,871-0.76%-1.29%-1.80%
20083-0.35%0.38%0.16%-0.44%$88,208$71,418$120,881$84,497-0.35%0.38%0.16%
200842.60%1.18%3.82%4.85%$90,504$72,260$125,494$88,5992.60%1.18%3.82%
200850.91%-0.56%2.11%1.29%$91,327$71,856$128,148$89,7440.91%-0.56%2.11%
20086-5.02%-3.41%-5.23%-8.44%$86,743$69,405$121,450$82,172-5.02%-3.41%-5.23%
20087-1.32%0.15%-0.16%-0.83%$85,598$69,508$121,261$81,488-1.32%0.15%-0.16%
200880.74%0.78%2.55%1.45%$86,228$70,053$124,357$82,6670.74%0.78%2.55%
20089-7.39%-3.47%-9.15%-8.91%$79,855$67,621$112,983$75,304-7.39%-3.47%-9.15%
200810-12.18%-7.19%-17.23%-16.79%$70,126$62,757$93,520$62,659-12.18%-7.19%-17.23%
200811-2.06%0.33%-5.41%-7.17%$68,682$62,964$88,465$58,163-2.06%0.33%-5.41%
2008123.87%4.07%3.52%1.07%$71,341$65,527$91,583$58,7843.87%4.07%3.52%
20091-5.44%-4.62%-3.01%-8.41%$67,457$62,500$88,826$53,839-5.44%-4.62%-3.01%
20092-6.45%-4.96%-7.39%-10.66%$63,106$59,402$82,260$48,101-6.45%-4.96%-7.39%
200935.04%2.94%7.18%8.76%$66,284$61,146$88,169$52,3155.04%2.94%7.18%
200945.87%3.54%10.28%9.56%$70,173$63,311$97,229$57,3155.87%3.54%10.28%
200956.30%4.39%5.47%5.62%$74,591$66,091$102,547$60,5356.30%4.39%5.47%
200960.52%1.25%1.92%0.22%$74,978$66,918$104,516$60,6680.52%1.25%1.92%
200975.71%5.68%5.15%7.58%$79,261$70,717$109,899$65,2665.71%5.68%5.15%
200982.70%2.32%2.63%3.60%$81,402$72,361$112,788$67,6152.70%2.32%2.63%
200992.54%1.87%2.91%3.72%$83,472$73,711$116,071$70,1282.54%1.87%2.91%
200910-0.47%-0.05%-0.85%-1.87%$83,083$73,674$115,086$68,818-0.47%-0.05%-0.85%
2009114.54%3.20%3.88%5.98%$86,858$76,035$119,550$72,9344.54%3.20%3.88%
2009120.37%-0.01%1.92%1.95%$87,175$76,027$121,851$74,3530.37%-0.01%1.92%
20101-1.70%-0.29%-0.83%-3.60%$85,695$75,804$120,844$71,674-1.70%-0.29%-0.83%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value13.88%19.14%14.45%47.41%
Large-cap Growth29.51%7.71%28.23%51.87%
Mid-cap Value0.00%0.00%17.75%0.00%
Mid-cap Growth0.00%0.00%10.65%0.00%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets14.95%8.43%0.00%0.00%
Emerging Markets2.74%0.00%2.31%0.10%
Corporate Bonds11.72%17.15%14.47%0.00%
Long-Term Treasuries0.00%3.22%0.00%0.47%
Intermediate-Term Treasuries9.56%10.81%0.00%0.15%
Short-Term Treasuries17.64%33.55%12.12%0.00%
R Squared97.76%92.83%94.31%99.86%
Style analysis is based on monthly returns from Apr 2005 to Jan 2010 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/EDurationReturn ContributionRisk Contribution
VWELXVanguard Wellington Inv50% to 70% Equity100.00%0.25%20.928.04$75,695100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%0.23%16.508.03$65,804100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PRWCXT. Rowe Price Capital Appreciation50% to 70% Equity100.00%0.70%28.432.75$110,844100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/27/2020. (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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.81%0.74%0.93%0.80%
Arithmetic Mean (annualized)10.14%9.23%11.71%10.09%
Geometric Mean (monthly)0.76%0.72%0.88%0.70%
Geometric Mean (annualized)9.54%8.97%11.14%8.71%
Volatility (monthly)3.04%2.00%2.90%4.55%
Volatility (annualized)10.51%6.92%10.05%15.77%
Downside Deviation (monthly)1.94%1.11%1.82%3.14%
Max. Drawdown-32.53%-18.82%-36.61%-50.97%
US Market Correlation0.890.670.810.99
Beta(*)0.610.310.521.00
Alpha (annualized)3.78%5.88%6.12%0.00%
R284.57%49.37%66.21%100.00%
Sharpe Ratio0.520.670.690.34
Sortino Ratio0.761.061.020.48
Treynor Ratio (%)8.9114.9913.285.41
Calmar Ratio0.000.17-0.01-0.14
Active Return0.83%0.26%2.43%N/A
Tracking Error7.37%11.97%9.58%N/A
Information Ratio0.110.020.25N/A
Skewness-0.73-0.22-1.04-0.88
Excess Kurtosis2.381.135.812.62
Historical Value-at-Risk (5%)-4.48%-2.86%-4.22%-7.85%
Analytical Value-at-Risk (5%)-4.18%-2.55%-3.85%-6.69%
Conditional Value-at-Risk (5%)-6.79%-3.88%-6.57%-10.78%
Upside Capture Ratio (%)69.5843.3565.61100.00
Downside Capture Ratio (%)56.3220.3942.13100.00
Safe Withdrawal Rate8.54%8.13%9.98%9.16%
Perpetual Withdrawal Rate5.92%5.44%7.26%5.22%
Positive Periods187 out of 283 (66.08%)196 out of 283 (69.26%)192 out of 283 (67.84%)180 out of 283 (63.60%)
Gain/Loss Ratio1.021.131.110.91
* Vanguard 500 Index Investor 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 2Portfolio 3Vanguard 500 Index Investor
Black Monday PeriodSep 1987Nov 1987-19.61%-5.73%-14.70%-29.78%
Asian CrisisJul 1997Jan 1998-3.86%-2.28%-1.17%-5.61%
Russian Debt DefaultJul 1998Oct 1998-9.11%-3.64%-6.81%-15.38%
Dotcom CrashMar 2000Oct 2002-15.11%-4.78%-12.11%-44.82%
Subprime CrisisNov 2007Mar 2009-32.53%-18.82%-36.49%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-32.53%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-19.61%
3Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-15.11%
4Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.84%
5Jun 1990Oct 19905 monthsJan 19913 months8 months-10.67%
6May 1998Aug 19984 monthsNov 19983 months7 months-9.16%
7Jun 2001Sep 20014 monthsFeb 20025 months9 months-7.26%
8Feb 1994Mar 19942 monthsAug 19945 months7 months-6.92%
9Jan 1990Apr 19904 monthsMay 19901 month5 months-6.36%
10Sep 1994Nov 19943 monthsFeb 19953 months6 months-5.54%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-18.82%
2May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
3Mar 1987Nov 19879 monthsFeb 19883 months1 year-8.04%
4Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-7.15%
5Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
6Jan 1990Apr 19904 monthsMay 19901 month5 months-4.46%
7Aug 1990Sep 19902 monthsNov 19902 months4 months-4.38%
8Sep 1986Sep 19861 monthNov 19862 months3 months-3.78%
9Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
10Jan 1992Mar 19923 monthsMay 19922 months5 months-3.43%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 months-36.61%
2Sep 1987Nov 19873 monthsJun 19887 months10 months-14.70%
3Jun 1990Oct 19905 monthsJan 19913 months8 months-13.73%
4Jun 2002Sep 20024 monthsMay 20038 months1 year-12.11%
5Jul 1999Feb 20008 monthsApr 20002 months10 months-7.71%
6Apr 1998Aug 19985 monthsApr 19998 months1 year 1 month-7.52%
7Jun 2001Sep 20014 monthsFeb 20025 months9 months-6.05%
8Sep 1989Jan 19905 monthsMay 19904 months9 months-3.79%
9Jul 1988Aug 19882 monthsSep 19881 month3 months-3.67%
10Feb 1994Mar 19942 monthsAug 19945 months7 months-3.38%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
7Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWELXVanguard Wellington Inv9.54%10.51%32.92%-22.30%-32.53%0.520.760.89
VWINXVanguard Wellesley Income Inv8.97%6.92%28.91%-9.84%-18.82%0.671.060.67
PRWCXT. Rowe Price Capital Appreciation11.14%10.05%33.05%-27.17%-36.61%0.691.020.81

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWELXVWINXPRWCXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
VWELXVanguard Wellington Inv1.000.850.881.000.850.880.92
VWINXVanguard Wellesley Income Inv0.851.000.730.851.000.730.70
PRWCXT. Rowe Price Capital Appreciation0.880.731.000.880.731.000.81

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWELXVanguard Wellington Inv$75,695
VWINXVanguard Wellesley Income Inv$65,804
PRWCXT. Rowe Price Capital Appreciation$110,844

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWELXVanguard Wellington Inv100.00%
VWINXVanguard Wellesley Income Inv100.00%
PRWCXT. Rowe Price Capital Appreciation100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.44%32.92%-22.30%9.35%28.91%-9.84%11.81%33.05%-27.17%10.96%37.45%-37.02%
3 years10.31%23.93%-1.08%9.44%19.24%1.95%11.34%18.49%-4.45%10.36%31.03%-14.60%
5 years10.58%17.36%2.82%9.58%13.70%3.35%11.74%14.84%1.45%10.53%28.49%-2.38%
7 years10.69%16.25%3.73%9.63%13.68%4.41%11.97%14.98%4.44%10.50%21.44%-1.64%
10 years10.91%14.69%4.49%9.78%13.34%4.93%12.09%14.46%6.93%10.94%19.04%-1.46%
15 years10.80%11.93%8.27%9.74%11.17%7.43%12.03%13.05%8.86%10.50%13.56%6.37%
Result statistics are based on annualized rolling returns over full calendar year periods