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 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 1985 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWELX Vanguard Wellington Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$8,360,506 6.13% 10.47%11.77%10.01%32.92%-22.30%-32.53%
(-37.82%)
0.721.090.91
Portfolio 2$1,000,000$5,801,389 5.05% 9.35%10.71%6.58%28.91%-9.84%-18.82%
(-25.19%)
0.901.490.70
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 18.97%4.29%11.50%9.58%10.03%10.40%10.47%
Portfolio 23.52%3.44%6.56%6.84%7.49%7.70%9.35%
Trailing returns are for full months ending in August 2020 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 2020 are based on monthly returns from January to August
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Annual withdrawal of 4.00% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
Annual returns for the configured portfolios
YearInflationReturnBalanceAdjustmentVanguard Wellington Inv (VWELX)Vanguard Wellesley Income Inv (VWINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19853.80%28.53%27.41%$1,233,859$1,223,158-$51,411-$50,96528.53%27.41%
19861.10%18.40%18.34%$1,402,468$1,389,561-$58,436-$57,89818.40%18.34%
19874.43%2.28%-1.92%$1,376,999$1,308,391-$57,375-$54,5162.28%-1.92%
19884.42%16.11%13.61%$1,534,849$1,427,058-$63,952-$59,46116.11%13.61%
19894.65%21.60%20.93%$1,791,788$1,656,748-$74,658-$69,03121.60%20.93%
19906.11%-2.81%3.76%$1,671,827$1,650,232-$69,659-$68,760-2.81%3.76%
19913.06%23.65%21.57%$1,984,501$1,925,894-$82,688-$80,24623.65%21.57%
19922.90%7.93%8.67%$2,056,127$2,009,233-$85,672-$83,7187.93%8.67%
19932.75%13.52%14.65%$2,240,674$2,211,431-$93,361-$92,14313.52%14.65%
19942.67%-0.49%-4.44%$2,140,570$2,028,799-$89,190-$84,533-0.49%-4.44%
19952.54%32.92%28.91%$2,731,485$2,510,717-$113,812-$104,61332.92%28.91%
19963.32%16.19%9.42%$3,046,715$2,637,321-$126,946-$109,88816.19%9.42%
19971.70%23.23%20.19%$3,604,414$3,043,003-$150,184-$126,79223.23%20.19%
19981.61%12.06%11.84%$3,877,472$3,267,244-$161,561-$136,13512.06%11.84%
19992.68%4.41%-4.14%$3,886,389$3,006,818-$161,933-$125,2844.41%-4.14%
20003.39%10.40%16.17%$4,119,037$3,353,354-$171,627-$139,72310.40%16.17%
20011.55%4.19%7.39%$4,119,798$3,456,964-$171,658-$144,0404.19%7.39%
20022.38%-6.90%4.64%$3,682,221$3,472,764-$153,426-$144,699-6.90%4.64%
20031.88%20.75%9.66%$4,268,362$3,655,741-$177,848-$152,32320.75%9.66%
20043.26%11.16%7.55%$4,555,053$3,774,619-$189,794-$157,27611.16%7.55%
20053.42%6.82%3.48%$4,671,253$3,749,797-$194,636-$156,2426.82%3.48%
20062.54%14.97%11.28%$5,155,671$4,005,831-$214,820-$166,91014.97%11.28%
20074.08%8.34%5.61%$5,362,023$4,061,167-$223,418-$169,2158.34%5.61%
20080.09%-22.30%-9.84%$3,999,881$3,514,982-$166,662-$146,458-22.30%-9.84%
20092.72%22.20%16.02%$4,692,182$3,915,098-$195,508-$163,12922.20%16.02%
20101.50%10.94%10.65%$4,997,151$4,158,662-$208,215-$173,27810.94%10.65%
20112.96%3.85%9.63%$4,982,045$4,376,719-$207,585-$182,3633.85%9.63%
20121.74%12.57%10.06%$5,384,058$4,624,146-$224,336-$192,67312.57%10.06%
20131.50%19.66%9.19%$6,185,062$4,847,050-$257,711-$201,96019.66%9.19%
20140.76%9.82%8.07%$6,520,874$5,028,464-$271,703-$209,5199.82%8.07%
20150.73%0.06%1.28%$6,263,575$4,888,917-$260,982-$203,7050.06%1.28%
20162.07%11.01%8.08%$6,675,311$5,072,606-$278,138-$211,35911.01%8.08%
20172.11%14.72%10.20%$7,351,858$5,366,290-$306,327-$223,59514.72%10.20%
20181.91%-3.42%-2.57%$6,816,195$5,019,146-$284,008-$209,131-3.42%-2.57%
20192.29%22.51%16.39%$8,016,407$5,608,191-$334,017-$233,67522.51%16.39%
20200.83%4.29%3.44%$8,360,506$5,801,389$0.00$0.004.29%3.44%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellington Inv (VWELX)Vanguard Wellesley Income Inv (VWINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
198515.52%3.61%$1,055,195$1,036,1455.52%3.61%
198520.54%-1.02%$1,060,877$1,025,6020.54%-1.02%
198530.46%2.14%$1,065,803$1,047,5640.46%2.14%
198541.16%2.20%$1,078,120$1,070,6211.16%2.20%
198555.34%5.53%$1,135,689$1,129,8015.34%5.53%
198561.83%1.90%$1,156,443$1,151,3221.83%1.90%
19857-0.57%-1.22%$1,149,802$1,137,224-0.57%-1.22%
198580.36%1.79%$1,153,934$1,157,5870.36%1.79%
19859-1.60%-1.76%$1,135,471$1,137,224-1.60%-1.76%
1985103.92%4.00%$1,179,950$1,182,7453.92%4.00%
1985115.09%3.58%$1,240,064$1,225,0715.09%3.58%
1985123.65%4.00%$1,233,859$1,223,1583.65%4.00%
198611.31%0.85%$1,250,027$1,233,5441.31%0.85%
198626.26%5.70%$1,328,313$1,303,8496.26%5.70%
198633.56%2.39%$1,375,661$1,335,0763.56%2.39%
19864-1.50%-1.03%$1,355,000$1,321,262-1.50%-1.03%
198653.31%1.29%$1,399,794$1,338,3263.31%1.29%
198662.43%2.49%$1,433,744$1,371,7112.43%2.49%
19867-3.40%0.12%$1,384,995$1,373,363-3.40%0.12%
198685.97%5.05%$1,467,694$1,442,7755.97%5.05%
19869-4.74%-3.78%$1,398,181$1,388,237-4.74%-3.78%
1986103.65%2.48%$1,449,216$1,422,6913.65%2.48%
1986112.21%2.24%$1,481,181$1,454,6242.21%2.24%
198612-1.37%-0.49%$1,402,468$1,389,561-1.37%-0.49%
198718.90%4.61%$1,527,230$1,453,6168.90%4.61%
198722.90%0.12%$1,571,471$1,455,3242.90%0.12%
198731.71%-0.90%$1,598,288$1,442,2001.71%-0.90%
19874-1.96%-4.27%$1,567,002$1,380,553-1.96%-4.27%
198750.40%-0.69%$1,573,250$1,371,0020.40%-0.69%
198763.67%2.58%$1,631,050$1,406,4193.67%2.58%
198772.05%-0.19%$1,664,466$1,403,7692.05%-0.19%
198781.69%1.13%$1,692,516$1,419,6711.69%1.13%
19879-3.29%-2.43%$1,636,889$1,385,105-3.29%-2.43%
198710-13.20%-2.60%$1,420,765$1,349,128-13.20%-2.60%
198711-4.24%-0.80%$1,360,578$1,338,335-4.24%-0.80%
1987125.42%1.84%$1,376,999$1,308,3915.42%1.84%
198816.20%6.31%$1,462,436$1,390,9466.20%6.31%
198823.93%1.44%$1,519,918$1,410,9733.93%1.44%
19883-3.08%-2.19%$1,473,053$1,380,005-3.08%-2.19%
198841.19%-0.54%$1,490,512$1,372,5861.19%-0.54%
198850.09%0.61%$1,491,800$1,380,9330.09%0.61%
198863.86%3.36%$1,549,427$1,427,3733.86%3.36%
19887-0.24%-0.20%$1,545,709$1,424,539-0.24%-0.20%
19888-2.05%0.00%$1,514,097$1,424,539-2.05%0.00%
198893.48%3.00%$1,566,729$1,467,3113.48%3.00%
1988102.22%1.90%$1,601,503$1,495,2142.22%1.90%
198811-1.29%-0.84%$1,580,826$1,482,706-1.29%-0.84%
1988121.14%0.26%$1,534,849$1,427,0581.14%0.26%
198916.12%3.15%$1,628,800$1,471,9466.12%3.15%
19892-1.76%-1.21%$1,600,102$1,454,177-1.76%-1.21%
198931.82%1.48%$1,629,177$1,475,7711.82%1.48%
198943.39%2.77%$1,684,420$1,516,7123.39%2.77%
198952.65%3.26%$1,728,992$1,566,2212.65%3.26%
198960.68%2.49%$1,740,741$1,605,1620.68%2.49%
198974.84%3.68%$1,824,939$1,664,2184.84%3.68%
198981.61%-0.52%$1,854,383$1,655,5051.61%-0.52%
19899-0.96%0.35%$1,836,572$1,661,346-0.96%0.35%
198910-2.10%1.07%$1,797,980$1,679,061-2.10%1.07%
1989111.27%1.35%$1,820,739$1,701,6981.27%1.35%
1989122.51%1.42%$1,791,788$1,656,7482.51%1.42%
19901-5.12%-3.09%$1,700,083$1,605,529-5.12%-3.09%
199020.91%0.86%$1,715,491$1,619,3190.91%0.86%
199030.89%0.23%$1,730,789$1,623,0620.89%0.23%
19904-3.06%-2.48%$1,677,754$1,582,787-3.06%-2.48%
199057.13%4.77%$1,797,345$1,658,3027.13%4.77%
19906-0.80%0.62%$1,782,900$1,668,510-0.80%0.62%
199070.29%0.61%$1,788,059$1,678,7520.29%0.61%
19908-6.41%-3.97%$1,673,455$1,612,176-6.41%-3.97%
19909-3.56%-0.43%$1,613,913$1,605,212-3.56%-0.43%
199010-0.52%1.36%$1,605,556$1,627,116-0.52%1.36%
1990115.99%3.46%$1,701,659$1,683,4395.99%3.46%
1990122.34%2.11%$1,671,827$1,650,2322.34%2.11%
199113.38%1.25%$1,728,377$1,670,8343.38%1.25%
199124.88%2.53%$1,812,747$1,713,0694.88%2.53%
199130.92%1.39%$1,829,388$1,736,8480.92%1.39%
199140.68%1.09%$1,841,868$1,755,7040.68%1.09%
199153.86%1.31%$1,912,914$1,778,7513.86%1.31%
19916-3.19%-1.35%$1,851,919$1,754,692-3.19%-1.35%
199173.24%2.49%$1,911,862$1,798,3733.24%2.49%
199182.09%2.37%$1,951,744$1,840,9892.09%2.37%
19919-0.05%1.92%$1,950,681$1,876,337-0.05%1.92%
1991101.69%1.62%$1,983,636$1,906,6531.69%1.62%
199111-3.80%-0.28%$1,908,160$1,901,240-3.80%-0.28%
1991128.33%5.52%$1,984,501$1,925,8948.33%5.52%
19921-1.75%-2.82%$1,949,686$1,871,569-1.75%-2.82%
199221.03%-0.06%$1,969,685$1,870,5041.03%-0.06%
19923-0.87%-0.57%$1,952,623$1,859,924-0.87%-0.57%
199242.79%2.04%$2,007,010$1,897,8372.79%2.04%
199251.34%2.11%$2,033,807$1,937,9171.34%2.11%
19926-0.32%1.07%$2,027,341$1,958,670-0.32%1.07%
199272.87%3.99%$2,085,542$2,036,7972.87%3.99%
19928-1.08%0.49%$2,062,919$2,046,700-1.08%0.49%
199291.16%1.03%$2,086,881$2,067,8081.16%1.03%
199210-0.99%-1.51%$2,066,187$2,036,528-0.99%-1.51%
1992111.95%0.66%$2,106,487$2,049,9341.95%0.66%
1992121.68%2.10%$2,056,127$2,009,2331.68%2.10%
199311.15%1.93%$2,079,736$2,047,9571.15%1.93%
199321.92%3.35%$2,119,608$2,116,5541.92%3.35%
199332.05%1.41%$2,162,976$2,146,4612.05%1.41%
199340.40%0.10%$2,171,650$2,148,7070.40%0.10%
199351.30%0.52%$2,199,839$2,159,9391.30%0.52%
199361.10%2.36%$2,223,951$2,210,8451.10%2.36%
199370.25%0.98%$2,229,426$2,232,4970.25%0.98%
199383.29%3.42%$2,302,791$2,308,8513.29%3.42%
19939-0.66%0.65%$2,287,664$2,323,874-0.66%0.65%
1993100.92%0.45%$2,308,672$2,334,2740.92%0.45%
199311-0.48%-2.23%$2,297,615$2,282,273-0.48%-2.23%
1993121.59%0.93%$2,240,674$2,211,4311.59%0.93%
199413.28%1.87%$2,314,264$2,252,8093.28%1.87%
19942-3.04%-2.96%$2,243,969$2,186,144-3.04%-2.96%
19943-4.00%-3.36%$2,154,121$2,112,638-4.00%-3.36%
199441.34%0.06%$2,182,961$2,113,8091.34%0.06%
199451.58%0.72%$2,217,347$2,129,0241.58%0.72%
19946-1.42%-1.12%$2,185,964$2,105,195-1.42%-1.12%
199473.43%2.60%$2,261,033$2,159,8763.43%2.60%
199482.43%0.94%$2,315,934$2,180,0842.43%0.94%
19949-2.42%-2.72%$2,259,969$2,120,706-2.42%-2.72%
1994100.10%0.00%$2,262,232$2,120,7060.10%0.00%
199411-3.30%-1.37%$2,187,541$2,091,721-3.30%-1.37%
1994121.93%1.03%$2,140,570$2,028,7991.93%1.03%
199511.96%2.87%$2,182,520$2,087,1051.96%2.87%
199524.05%3.08%$2,270,837$2,151,3604.05%3.08%
199532.15%1.06%$2,319,756$2,174,2672.15%1.06%
199542.26%1.95%$2,372,148$2,216,5682.26%1.95%
199554.98%5.51%$2,490,310$2,338,6364.98%5.51%
199561.21%0.87%$2,520,368$2,359,0771.21%0.87%
199572.14%0.21%$2,574,351$2,363,9822.14%0.21%
199581.27%1.66%$2,606,967$2,403,2181.27%1.66%
199593.07%2.31%$2,687,028$2,458,6573.07%2.31%
199510-1.06%0.76%$2,658,672$2,477,311-1.06%0.76%
1995114.82%2.81%$2,786,842$2,546,9544.82%2.81%
1995122.10%2.68%$2,731,485$2,510,7172.10%2.68%
199612.21%0.93%$2,791,862$2,534,0562.21%0.93%
19962-0.76%-2.18%$2,770,618$2,478,780-0.76%-2.18%
199631.81%0.03%$2,820,764$2,479,6451.81%0.03%
19964-0.20%-0.61%$2,815,129$2,464,632-0.20%-0.61%
199650.76%0.30%$2,836,541$2,472,1380.76%0.30%
199660.88%1.33%$2,861,433$2,505,0250.88%1.33%
19967-1.71%-0.91%$2,812,588$2,482,183-1.71%-0.91%
199681.98%0.92%$2,868,249$2,505,0251.98%0.92%
199693.77%2.89%$2,976,286$2,577,4303.77%2.89%
1996103.58%4.14%$3,082,745$2,684,2333.58%4.14%
1996115.24%3.64%$3,244,152$2,782,0285.24%3.64%
199612-2.17%-1.25%$3,046,715$2,637,321-2.17%-1.25%
199713.25%1.32%$3,145,747$2,672,0403.25%1.32%
199720.81%0.67%$3,171,379$2,690,0420.81%0.67%
19973-3.48%-2.55%$3,061,125$2,621,327-3.48%-2.55%
199743.99%2.16%$3,183,195$2,677,8263.99%2.16%
199754.24%2.65%$3,318,175$2,748,7794.24%2.65%
199763.50%2.20%$3,434,320$2,809,1513.50%2.20%
199776.19%5.97%$3,647,044$2,976,9026.19%5.97%
19978-3.86%-2.28%$3,506,410$2,909,003-3.86%-2.28%
199794.08%3.71%$3,649,493$3,016,7924.08%3.71%
199710-0.91%0.67%$3,616,186$3,037,012-0.91%0.67%
1997112.11%2.40%$3,692,316$3,109,8032.11%2.40%
1997121.69%1.93%$3,604,414$3,043,0031.69%1.93%
199810.95%0.78%$3,638,684$3,066,6670.95%0.78%
199823.40%1.23%$3,762,299$3,104,2533.40%1.23%
199833.29%2.56%$3,885,965$3,183,7293.29%2.56%
199841.08%0.00%$3,927,869$3,183,7291.08%0.00%
19985-0.56%0.81%$3,905,684$3,209,369-0.56%0.81%
199860.50%1.11%$3,925,404$3,245,0530.50%1.11%
19987-1.58%-1.29%$3,863,352$3,203,228-1.58%-1.29%
19988-7.65%-2.39%$3,567,985$3,126,789-7.65%-2.39%
199895.35%5.49%$3,758,844$3,298,5595.35%5.49%
1998104.26%0.31%$3,918,848$3,308,7814.26%0.31%
1998113.00%2.38%$4,036,351$3,387,6313.00%2.38%
1998120.07%0.46%$3,877,472$3,267,2440.07%0.46%
199910.51%-0.54%$3,897,289$3,249,5190.51%-0.54%
19992-2.92%-2.86%$3,783,673$3,156,465-2.92%-2.86%
199932.55%0.81%$3,880,058$3,181,9962.55%0.81%
199947.38%3.22%$4,166,532$3,284,5927.38%3.22%
19995-1.85%-0.69%$4,089,250$3,261,961-1.85%-0.69%
199961.94%-0.07%$4,168,667$3,259,5871.94%-0.07%
19997-1.93%-1.64%$4,088,061$3,206,076-1.93%-1.64%
19998-0.85%-0.95%$4,053,131$3,175,498-0.85%-0.95%
19999-2.55%-0.53%$3,949,757$3,158,660-2.55%-0.53%
1999101.85%0.88%$4,022,925$3,186,5571.85%0.88%
199911-0.24%-0.68%$4,013,440$3,164,859-0.24%-0.68%
1999120.87%-1.04%$3,886,389$3,006,8180.87%-1.04%
20001-3.83%-1.01%$3,737,661$2,976,511-3.83%-1.01%
20002-4.54%-3.00%$3,568,083$2,887,183-4.54%-3.00%
200037.34%5.61%$3,829,929$3,049,0837.34%5.61%
200040.84%0.16%$3,862,196$3,053,9380.84%0.16%
200051.27%1.27%$3,911,298$3,092,7801.27%1.27%
20006-1.83%-0.63%$3,839,557$3,073,180-1.83%-0.63%
200071.40%1.98%$3,893,356$3,133,8891.40%1.98%
200083.56%2.93%$4,032,101$3,225,7733.56%2.93%
20009-0.34%1.80%$4,018,421$3,283,747-0.34%1.80%
2000102.38%1.27%$4,114,165$3,325,3132.38%1.27%
2000110.14%1.20%$4,119,882$3,365,2170.14%1.20%
2000124.15%3.80%$4,119,037$3,353,3544.15%3.80%
200112.02%0.25%$4,202,265$3,361,5982.02%0.25%
20012-0.38%1.23%$4,186,203$3,402,814-0.38%1.23%
20013-1.87%-0.07%$4,108,126$3,400,275-1.87%-0.07%
200143.51%1.88%$4,252,478$3,464,1783.51%1.88%
200151.73%1.02%$4,326,127$3,499,4921.73%1.02%
20016-1.67%-0.18%$4,253,880$3,493,244-1.67%-0.18%
200171.36%1.80%$4,311,786$3,556,1701.36%1.80%
20018-1.76%0.67%$4,236,063$3,579,980-1.76%0.67%
20019-5.29%-0.56%$4,012,091$3,560,059-5.29%-0.56%
2001101.42%0.43%$4,069,021$3,575,5451.42%0.43%
2001114.60%0.14%$4,256,292$3,580,7074.60%0.14%
2001120.83%0.57%$4,119,798$3,456,9640.83%0.57%
200210.26%0.45%$4,130,377$3,472,5910.26%0.45%
200220.91%1.65%$4,168,160$3,529,8880.91%1.65%
200232.11%-0.10%$4,255,913$3,526,4732.11%-0.10%
20024-2.07%0.70%$4,167,628$3,551,048-2.07%0.70%
200250.69%1.33%$4,196,549$3,598,4420.69%1.33%
20026-3.23%-0.93%$4,061,078$3,565,010-3.23%-0.93%
20027-4.99%-2.09%$3,858,561$3,490,443-4.99%-2.09%
200280.32%0.86%$3,870,835$3,520,6250.32%0.86%
20029-6.66%-2.67%$3,612,908$3,426,508-6.66%-2.67%
2002103.43%2.31%$3,736,744$3,505,5263.43%2.31%
2002114.68%2.36%$3,911,662$3,588,1364.68%2.36%
200212-1.94%0.82%$3,682,221$3,472,764-1.94%0.82%
20031-2.16%-1.56%$3,602,759$3,418,666-2.16%-1.56%
20032-1.17%0.10%$3,560,780$3,422,156-1.17%0.10%
20033-0.05%-0.11%$3,559,008$3,418,558-0.05%-0.11%
200345.90%3.40%$3,768,984$3,534,9205.90%3.40%
200355.61%4.24%$3,980,470$3,684,7795.61%4.24%
200360.63%0.18%$4,005,733$3,691,4610.63%0.18%
20037-0.84%-3.38%$3,972,276$3,566,870-0.84%-3.38%
200381.95%0.40%$4,049,836$3,581,1091.95%0.40%
200390.26%1.72%$4,060,558$3,642,6660.26%1.72%
2003103.24%0.44%$4,192,285$3,658,8563.24%0.44%
2003111.17%0.54%$4,241,299$3,678,6431.17%0.54%
2003124.83%3.52%$4,268,362$3,655,7414.83%3.52%
200410.73%0.48%$4,299,475$3,673,2250.73%0.48%
200422.07%1.38%$4,388,368$3,723,9262.07%1.38%
20043-0.61%0.32%$4,361,728$3,736,002-0.61%0.32%
20044-1.74%-2.17%$4,285,703$3,654,899-1.74%-2.17%
200450.03%-0.34%$4,287,194$3,642,5580.03%-0.34%
200462.16%1.11%$4,379,627$3,682,9482.16%1.11%
20047-1.30%0.34%$4,322,573$3,695,415-1.30%0.34%
200481.46%2.07%$4,385,632$3,771,9951.46%2.07%
200491.51%0.66%$4,451,856$3,796,9811.51%0.66%
2004101.09%0.66%$4,500,246$3,822,1621.09%0.66%
2004112.62%0.89%$4,618,196$3,856,3372.62%0.89%
2004122.74%1.96%$4,555,053$3,774,6192.74%1.96%
20051-1.23%-0.09%$4,499,228$3,771,120-1.23%-0.09%
200522.28%1.25%$4,601,826$3,818,3472.28%1.25%
20053-1.54%-1.41%$4,531,065$3,764,343-1.54%-1.41%
20054-0.64%0.94%$4,502,204$3,799,640-0.64%0.94%
200551.65%1.07%$4,576,634$3,840,2301.65%1.07%
200560.70%0.87%$4,608,511$3,873,7620.70%0.87%
200572.22%0.09%$4,710,990$3,877,3252.22%0.09%
200580.88%0.78%$4,752,288$3,907,6170.88%0.78%
200591.07%-0.25%$4,803,022$3,897,8521.07%-0.25%
200510-1.80%-1.34%$4,716,786$3,845,665-1.80%-1.34%
2005112.32%1.03%$4,826,121$3,885,2552.32%1.03%
2005120.82%0.53%$4,671,253$3,749,7970.82%0.53%
200612.57%0.85%$4,791,305$3,781,8312.57%0.85%
20062-0.19%0.80%$4,782,070$3,812,086-0.19%0.80%
200630.61%-0.66%$4,811,065$3,786,8030.61%-0.66%
200641.93%1.09%$4,904,033$3,828,1201.93%1.09%
20065-1.36%-0.66%$4,837,406$3,802,970-1.36%-0.66%
200660.14%0.58%$4,844,329$3,825,0590.14%0.58%
200671.64%2.14%$4,924,001$3,906,7521.64%2.14%
200681.94%1.81%$5,019,294$3,977,5531.94%1.81%
200691.41%1.23%$5,090,014$4,026,6651.41%1.23%
2006102.60%1.64%$5,222,222$4,092,7052.60%1.64%
2006111.75%1.30%$5,313,509$4,145,9051.75%1.30%
2006121.07%0.65%$5,155,671$4,005,8311.07%0.65%
200710.68%0.32%$5,190,635$4,018,6870.68%0.32%
20072-0.49%0.91%$5,165,206$4,055,421-0.49%0.91%
200730.95%0.63%$5,214,368$4,081,0350.95%0.63%
200743.44%1.73%$5,393,566$4,151,4623.44%1.73%
200752.28%0.45%$5,516,766$4,169,9952.28%0.45%
20076-0.84%-1.19%$5,470,635$4,120,248-0.84%-1.19%
20077-1.47%-0.73%$5,389,995$4,090,282-1.47%-0.73%
200781.38%1.42%$5,464,184$4,148,3401.38%1.42%
200793.13%1.72%$5,635,250$4,219,5473.13%1.72%
2007100.98%0.94%$5,690,498$4,259,2830.98%0.94%
200711-1.31%-0.18%$5,615,751$4,251,714-1.31%-0.18%
200712-0.54%-0.50%$5,362,023$4,061,167-0.54%-0.50%
20081-2.85%-0.82%$5,209,151$4,027,665-2.85%-0.82%
20082-0.76%-1.29%$5,169,700$3,975,551-0.76%-1.29%
20083-0.35%0.38%$5,151,643$3,990,603-0.35%0.38%
200842.60%1.18%$5,285,774$4,037,6392.60%1.18%
200850.91%-0.56%$5,333,796$4,015,0620.91%-0.56%
20086-5.02%-3.41%$5,066,108$3,878,137-5.02%-3.41%
20087-1.32%0.15%$4,999,250$3,883,851-1.32%0.15%
200880.74%0.78%$5,036,022$3,914,3280.74%0.78%
20089-7.39%-3.47%$4,663,795$3,778,445-7.39%-3.47%
200810-12.18%-7.19%$4,095,574$3,506,628-12.18%-7.19%
200811-2.06%0.33%$4,011,268$3,518,195-2.06%0.33%
2008123.87%4.07%$3,999,881$3,514,9823.87%4.07%
20091-5.44%-4.62%$3,782,122$3,352,605-5.44%-4.62%
20092-6.45%-4.96%$3,538,167$3,186,408-6.45%-4.96%
200935.04%2.94%$3,716,362$3,279,9395.04%2.94%
200945.87%3.54%$3,934,389$3,396,1115.87%3.54%
200956.30%4.39%$4,182,146$3,545,2006.30%4.39%
200960.52%1.25%$4,203,815$3,589,5850.52%1.25%
200975.71%5.68%$4,443,938$3,793,3615.71%5.68%
200982.70%2.32%$4,563,999$3,881,5332.70%2.32%
200992.54%1.87%$4,680,077$3,953,9712.54%1.87%
200910-0.47%-0.05%$4,658,239$3,951,992-0.47%-0.05%
2009114.54%3.20%$4,869,901$4,078,6464.54%3.20%
2009120.37%-0.01%$4,692,182$3,915,0980.37%-0.01%
20101-1.70%-0.29%$4,612,488$3,903,566-1.70%-0.29%
201021.48%1.08%$4,680,797$3,945,8501.48%1.08%
201033.93%1.99%$4,864,712$4,024,3023.93%1.99%
201040.74%1.49%$4,900,723$4,084,4240.74%1.49%
20105-5.38%-2.71%$4,637,190$3,973,877-5.38%-2.71%
20106-2.17%0.19%$4,536,525$3,981,505-2.17%0.19%
201075.42%3.49%$4,782,412$4,120,5545.42%3.49%
20108-2.21%0.86%$4,676,796$4,155,806-2.21%0.86%
201095.26%2.70%$4,922,659$4,268,2215.26%2.70%
2010102.13%0.88%$5,027,362$4,305,7652.13%0.88%
201011-1.02%-0.92%$4,975,841$4,266,245-1.02%-0.92%
2010124.61%1.54%$4,997,151$4,158,6624.61%1.54%
201111.99%0.65%$5,096,773$4,185,4921.99%0.65%
201122.30%1.88%$5,214,070$4,264,0662.30%1.88%
20113-0.18%0.14%$5,204,860$4,270,132-0.18%0.14%
201142.80%2.58%$5,350,383$4,380,3172.80%2.58%
20115-0.51%0.84%$5,322,895$4,417,045-0.51%0.84%
20116-1.32%-1.06%$5,252,518$4,370,215-1.32%-1.06%
20117-1.30%0.04%$5,184,092$4,372,166-1.30%0.04%
20118-3.52%-0.27%$5,001,623$4,360,460-3.52%-0.27%
20119-4.12%-1.46%$4,795,481$4,296,712-4.12%-1.46%
2011107.12%4.03%$5,137,077$4,469,9997.12%4.03%
201111-0.64%-0.53%$5,104,232$4,446,369-0.64%-0.53%
2011121.67%2.53%$4,982,045$4,376,7191.67%2.53%
201213.29%1.88%$5,145,782$4,458,7943.29%1.88%
201222.56%1.28%$5,277,725$4,516,0562.56%1.28%
201231.53%0.46%$5,358,270$4,536,8461.53%0.46%
20124-0.09%0.93%$5,353,469$4,579,175-0.09%0.93%
20125-3.98%-1.43%$5,140,611$4,513,758-3.98%-1.43%
201263.22%2.00%$5,306,073$4,603,8673.22%2.00%
201271.46%2.44%$5,383,463$4,716,3931.46%2.44%
201281.23%0.53%$5,449,567$4,741,6151.23%0.53%
201291.93%0.86%$5,554,917$4,782,3141.93%0.86%
2012100.00%0.25%$5,554,917$4,794,0400.00%0.25%
2012110.18%0.29%$5,564,654$4,807,7210.18%0.29%
2012120.79%0.19%$5,384,058$4,624,1460.79%0.19%
201313.49%1.45%$5,571,799$4,691,2743.49%1.45%
201320.89%1.23%$5,621,122$4,748,8120.89%1.23%
201332.53%1.26%$5,763,445$4,808,7182.53%1.26%
201342.28%1.97%$5,894,687$4,903,3482.28%1.97%
201350.65%-0.87%$5,933,100$4,860,8610.65%-0.87%
20136-1.35%-1.59%$5,852,990$4,783,404-1.35%-1.59%
201373.55%2.04%$6,060,817$4,880,7463.55%2.04%
20138-2.23%-1.87%$5,925,487$4,789,244-2.23%-1.87%
201392.28%1.63%$6,060,760$4,867,3802.28%1.63%
2013102.78%2.10%$6,229,340$4,969,3552.78%2.10%
2013111.93%0.79%$6,349,290$5,008,5771.93%0.79%
2013121.47%0.81%$6,185,062$4,847,0501.47%0.81%
20141-1.53%-0.36%$6,090,510$4,829,495-1.53%-0.36%
201423.00%2.06%$6,273,094$4,928,9723.00%2.06%
201430.92%0.92%$6,330,858$4,974,3610.92%0.92%
201441.09%1.19%$6,399,761$5,033,3921.09%1.19%
201451.46%1.21%$6,493,272$5,094,3911.46%1.21%
201461.40%0.78%$6,584,139$5,133,9421.40%0.78%
20147-1.03%-1.00%$6,516,482$5,082,424-1.03%-1.00%
201482.46%1.99%$6,676,548$5,183,4782.46%1.99%
20149-1.36%-1.25%$6,585,563$5,118,629-1.36%-1.25%
2014101.56%1.17%$6,688,488$5,178,4961.56%1.17%
2014111.81%1.31%$6,809,675$5,246,3451.81%1.31%
201412-0.25%-0.16%$6,520,874$5,028,464-0.25%-0.16%
20151-1.38%0.55%$6,430,931$5,055,996-1.38%0.55%
201523.26%0.82%$6,640,798$5,097,2943.26%0.82%
20153-0.98%-0.10%$6,575,996$5,092,170-0.98%-0.10%
201541.10%0.51%$6,648,039$5,117,9081.10%0.51%
201550.33%-0.12%$6,669,819$5,111,9690.33%-0.12%
20156-1.94%-2.06%$6,540,624$5,006,588-1.94%-2.06%
201571.78%1.23%$6,656,939$5,068,3981.78%1.23%
20158-4.51%-2.16%$6,356,880$4,958,736-4.51%-2.16%
20159-1.35%0.11%$6,271,029$4,964,318-1.35%0.11%
2015105.44%3.40%$6,612,067$5,133,0775.44%3.40%
2015110.08%0.00%$6,617,157$5,133,0770.08%0.00%
201512-1.40%-0.79%$6,263,575$4,888,917-1.40%-0.79%
20161-2.77%-0.20%$6,089,918$4,878,948-2.77%-0.20%
20162-0.25%0.45%$6,074,595$4,900,880-0.25%0.45%
201635.08%3.52%$6,382,896$5,073,1645.08%3.52%
201641.45%0.91%$6,475,402$5,119,3201.45%0.91%
201650.79%0.59%$6,526,794$5,149,4220.79%0.59%
201660.78%2.18%$6,577,505$5,261,6820.78%2.18%
201672.39%1.38%$6,734,440$5,334,4522.39%1.38%
201680.20%0.00%$6,748,237$5,334,4520.20%0.00%
20169-0.13%-0.32%$6,739,433$5,317,585-0.13%-0.32%
201610-1.16%-1.22%$6,661,330$5,252,463-1.16%-1.22%
2016112.21%-0.74%$6,808,858$5,213,7972.21%-0.74%
2016122.12%1.35%$6,675,311$5,072,6062.12%1.35%
201710.92%0.27%$6,736,835$5,086,5470.92%0.27%
201722.66%1.96%$6,916,278$5,186,1272.66%1.96%
20173-0.18%-0.04%$6,903,964$5,184,135-0.18%-0.04%
201740.77%0.70%$6,957,256$5,220,2200.77%0.70%
201751.16%1.15%$7,038,054$5,280,3611.16%1.15%
201760.69%0.41%$7,086,671$5,302,2530.69%0.41%
201771.20%0.88%$7,171,469$5,348,6941.20%0.88%
201780.14%0.53%$7,181,852$5,376,9610.14%0.53%
201792.02%0.84%$7,326,977$5,422,2792.02%0.84%
2017101.38%0.90%$7,427,942$5,471,0911.38%0.90%
2017111.83%1.08%$7,563,724$5,530,0731.83%1.08%
2017121.25%1.08%$7,351,858$5,366,2901.25%1.08%
201812.88%0.56%$7,563,510$5,396,1472.88%0.56%
20182-3.58%-2.73%$7,292,385$5,248,853-3.58%-2.73%
20183-1.10%-0.27%$7,212,205$5,234,522-1.10%-0.27%
201840.29%-0.50%$7,233,314$5,208,4790.29%-0.50%
201850.61%0.65%$7,277,290$5,242,5350.61%0.65%
20186-0.14%0.16%$7,266,922$5,251,026-0.14%0.16%
201873.37%2.04%$7,511,456$5,358,0253.37%2.04%
201881.13%0.57%$7,596,511$5,388,3081.13%0.57%
201890.26%-0.23%$7,616,247$5,376,0070.26%-0.23%
201810-3.93%-2.27%$7,316,662$5,253,964-3.93%-2.27%
2018112.02%1.63%$7,464,671$5,339,3942.02%1.63%
201812-4.88%-2.08%$6,816,195$5,019,146-4.88%-2.08%
201914.42%3.23%$7,117,341$5,181,4514.42%3.23%
201922.45%1.51%$7,291,786$5,259,5222.45%1.51%
201931.56%1.88%$7,405,279$5,358,2251.56%1.88%
201942.42%1.08%$7,584,543$5,416,1742.42%1.08%
20195-2.83%-0.65%$7,370,165$5,380,991-2.83%-0.65%
201964.39%3.14%$7,693,547$5,550,1994.39%3.14%
201971.14%0.49%$7,780,994$5,577,2941.14%0.49%
201980.38%1.68%$7,810,764$5,671,0820.38%1.68%
201991.63%0.59%$7,938,089$5,704,6941.63%0.59%
2019101.42%0.63%$8,050,420$5,740,3751.42%0.63%
2019111.67%0.62%$8,185,218$5,776,0551.67%0.62%
2019122.02%1.14%$8,016,407$5,608,1912.02%1.14%
202010.35%1.28%$8,044,126$5,680,0390.35%1.28%
20202-5.33%-2.46%$7,615,402$5,540,450-5.33%-2.46%
20203-9.25%-6.28%$6,910,668$5,192,259-9.25%-6.28%
202047.98%5.70%$7,462,031$5,488,1917.98%5.70%
202052.82%2.11%$7,672,518$5,604,0812.82%2.11%
202060.86%0.47%$7,738,712$5,630,5150.86%0.47%
202074.60%2.81%$8,094,558$5,788,8864.60%2.81%
202083.29%0.22%$8,360,506$5,801,3893.29%0.22%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value28.53%23.65%
Large-cap Growth23.60%7.91%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets8.96%3.53%
Emerging Markets1.01%0.00%
Corporate Bonds15.41%22.89%
Long-Term Treasuries1.51%6.71%
Intermediate-Term Treasuries0.24%9.22%
Short-Term Treasuries20.74%26.09%
R Squared97.38%93.46%
Style analysis is based on monthly returns from Apr 2005 to Aug 2020 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$13,293,762100.00%

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$9,686,644100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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)0.88%0.77%
Arithmetic Mean (annualized)11.03%9.58%
Geometric Mean (monthly)0.83%0.75%
Geometric Mean (annualized)10.47%9.35%
Volatility (monthly)2.89%1.90%
Volatility (annualized)10.01%6.58%
Downside Deviation (monthly)1.80%1.03%
Max. Drawdown-32.53%-18.82%
US Market Correlation0.910.70
Beta(*)0.600.30
Alpha (annualized)3.49%5.65%
R283.47%49.15%
Sharpe Ratio0.720.90
Sortino Ratio1.091.49
Treynor Ratio (%)12.0919.60
Calmar Ratio0.680.80
Active Return-0.60%-1.73%
Tracking Error7.38%11.68%
Information Ratio-0.08-0.15
Skewness-0.70-0.22
Excess Kurtosis2.311.43
Historical Value-at-Risk (5%)-4.07%-2.58%
Analytical Value-at-Risk (5%)-3.88%-2.36%
Conditional Value-at-Risk (5%)-6.32%-3.66%
Upside Capture Ratio (%)66.5241.31
Downside Capture Ratio (%)54.2118.68
Safe Withdrawal Rate9.97%9.01%
Perpetual Withdrawal Rate7.30%6.33%
Positive Periods290 out of 428 (67.76%)302 out of 428 (70.56%)
Gain/Loss Ratio1.031.16
* 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
Black Monday PeriodSep 1987Nov 1987-19.61%-5.73%
Asian CrisisJul 1997Jan 1998-3.86%-2.28%
Russian Debt DefaultJul 1998Oct 1998-9.11%-3.64%
Dotcom CrashMar 2000Oct 2002-15.11%-4.78%
Subprime CrisisNov 2007Mar 2009-32.53%-18.82%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 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%
4Feb 2020Mar 20202 monthsJul 20204 months6 months-14.09%
5Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.84%
6Jun 1990Oct 19905 monthsJan 19913 months8 months-10.67%
7May 2011Sep 20115 monthsJan 20124 months9 months-10.37%
8May 1998Aug 19984 monthsNov 19983 months7 months-9.16%
9Jun 2001Sep 20014 monthsFeb 20025 months9 months-7.26%
10Feb 1994Mar 19942 monthsAug 19945 months7 months-6.92%
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%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-8.59%
3May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
4Mar 1987Nov 19879 monthsFeb 19883 months1 year-8.04%
5Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-7.15%
6Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
7Jan 1990Apr 19904 monthsMay 19901 month5 months-4.46%
8Aug 1990Sep 19902 monthsNov 19902 months4 months-4.38%
9Sep 1986Sep 19861 monthNov 19862 months3 months-3.78%
10Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWELXVanguard Wellington Inv10.47%10.01%32.92%-22.30%-32.53%0.721.090.91
VWINXVanguard Wellesley Income Inv9.35%6.58%28.91%-9.84%-18.82%0.901.490.70

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWELXVWINXPortfolio 1Portfolio 2
VWELXVanguard Wellington Inv1.000.861.000.86
VWINXVanguard Wellesley Income Inv0.861.000.861.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWELXVanguard Wellington Inv$13,293,762
VWINXVanguard Wellesley Income Inv$9,686,644

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWELXVanguard Wellington Inv100.00%
VWINXVanguard Wellesley Income Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year11.11%32.92%-22.30%9.76%28.91%-9.84%
3 years10.17%23.93%-1.08%9.06%19.24%1.95%
5 years10.07%17.36%2.82%9.07%15.23%3.35%
7 years10.03%16.25%3.73%9.06%14.39%4.41%
10 years9.85%14.69%4.49%8.92%13.34%4.93%
15 years9.61%14.03%6.99%8.70%12.10%6.39%
Result statistics are based on annualized rolling returns over full calendar year periods