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 Analysis Results (Jan 1995 - Oct 2020)

Portfolio Allocations

LifeStrategy Income
Ticker Name Allocation
VASIX Vanguard LifeStrategy Income Inv 100.00%
Save portfolio »
Wellesley Income
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Wellington
Ticker Name Allocation
VWELX Vanguard Wellington Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
LifeStrategy Income$10,000$48,072 6.27% 4.43%22.99%-10.53%-15.50% 0.891.380.78
Wellesley Income$10,000$77,783 8.26% 6.17%28.91%-9.84%-18.82% 0.961.580.70
Wellington$10,000$104,653 9.52% 9.61%32.92%-22.30%-32.53% 0.761.160.90
Vanguard 500 Index Investor$10,000$114,006 9.88% 14.99%37.45%-37.02%-50.97% 0.550.800.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
LifeStrategy Income-0.53%4.58%5.60%5.41%5.15%4.77%6.27%
Wellesley Income-1.76%1.41%3.20%5.52%6.32%7.11%8.26%
Wellington-0.26%0.71%4.47%7.10%8.41%9.22%9.52%
Vanguard 500 Index Investor0.34%2.65%9.56%10.28%11.56%12.85%9.88%
Trailing returns are for full months ending in October 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 October
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard LifeStrategy Income Inv (VASIX)Vanguard Wellesley Income Inv (VWINX)Vanguard Wellington Inv (VWELX)
LifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index InvestorLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
19952.54%22.99%28.91%32.92%37.45%$12,299$12,891$13,292$13,74522.99%28.91%32.92%
19963.32%7.65%9.42%16.19%22.88%$13,240$14,105$15,444$16,8897.65%9.42%16.19%
19971.70%14.23%20.19%23.23%33.19%$15,124$16,953$19,032$22,49414.23%20.19%23.23%
19981.61%13.17%11.84%12.06%28.62%$17,116$18,961$21,327$28,93213.17%11.84%12.06%
19992.68%2.82%-4.14%4.41%21.07%$17,599$18,177$22,267$35,0272.82%-4.14%4.41%
20003.39%8.06%16.17%10.40%-9.06%$19,019$21,116$24,583$31,8558.06%16.17%10.40%
20011.55%4.06%7.39%4.19%-12.02%$19,792$22,676$25,612$28,0254.06%7.39%4.19%
20022.38%0.12%4.64%-6.90%-22.15%$19,816$23,728$23,846$21,8190.12%4.64%-6.90%
20031.88%10.77%9.66%20.75%28.50%$21,950$26,019$28,793$28,03810.77%9.66%20.75%
20043.26%6.00%7.55%11.16%10.74%$23,266$27,985$32,007$31,0496.00%7.55%11.16%
20053.42%3.23%3.48%6.82%4.77%$24,018$28,959$34,192$32,5313.23%3.48%6.82%
20062.54%7.93%11.28%14.97%15.64%$25,923$32,225$39,310$37,6207.93%11.28%14.97%
20074.08%6.70%5.61%8.34%5.39%$27,660$34,032$42,587$39,6466.70%5.61%8.34%
20080.09%-10.53%-9.84%-22.30%-37.02%$24,749$30,682$33,092$24,969-10.53%-9.84%-22.30%
20092.72%12.08%16.02%22.20%26.49%$27,739$35,599$40,437$31,58212.08%16.02%22.20%
20101.50%9.22%10.65%10.94%14.91%$30,297$39,389$44,859$36,2929.22%10.65%10.94%
20112.96%3.77%9.63%3.85%1.97%$31,440$43,182$46,587$37,0063.77%9.63%3.85%
20121.74%6.54%10.06%12.57%15.82%$33,497$47,524$52,444$42,8626.54%10.06%12.57%
20131.50%3.40%9.19%19.66%32.18%$34,635$51,890$62,757$56,6533.40%9.19%19.66%
20140.76%6.76%8.07%9.82%13.51%$36,975$56,075$68,921$64,3066.76%8.07%9.82%
20150.73%0.22%1.28%0.06%1.25%$37,057$56,791$68,960$65,1080.22%1.28%0.06%
20162.07%4.58%8.08%11.01%11.82%$38,756$61,380$76,555$72,8024.58%8.08%11.01%
20172.11%6.98%10.20%14.72%21.67%$41,462$67,639$87,827$88,5776.98%10.20%14.72%
20181.91%-1.05%-2.57%-3.42%-4.52%$41,026$65,899$84,821$84,570-1.05%-2.57%-3.42%
20192.29%12.05%16.39%22.51%31.33%$45,969$76,701$103,913$111,06312.05%16.39%22.51%
20201.29%4.58%1.41%0.71%2.65%$48,072$77,783$104,653$114,0064.58%1.41%0.71%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard LifeStrategy Income Inv (VASIX)Vanguard Wellesley Income Inv (VWINX)Vanguard Wellington Inv (VWELX)
LifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index InvestorLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
199512.02%2.87%1.96%2.58%$10,202$10,287$10,196$10,2582.02%2.87%1.96%
199522.58%3.08%4.05%3.88%$10,466$10,604$10,609$10,6562.58%3.08%4.05%
199531.26%1.06%2.15%2.95%$10,598$10,717$10,837$10,9711.26%1.06%2.15%
199541.64%1.95%2.26%2.94%$10,771$10,926$11,082$11,2941.64%1.95%2.26%
199553.98%5.51%4.98%3.95%$11,199$11,527$11,634$11,7403.98%5.51%4.98%
199561.18%0.87%1.21%2.31%$11,332$11,628$11,774$12,0121.18%0.87%1.21%
199570.91%0.21%2.14%3.30%$11,435$11,652$12,026$12,4080.91%0.21%2.14%
199581.09%1.66%1.27%0.26%$11,559$11,846$12,179$12,4411.09%1.66%1.27%
199591.70%2.31%3.07%4.21%$11,756$12,119$12,553$12,9651.70%2.31%3.07%
1995100.98%0.76%-1.06%-0.36%$11,871$12,211$12,420$12,9180.98%0.76%-1.06%
1995112.11%2.81%4.82%4.38%$12,121$12,554$13,019$13,4842.11%2.81%4.82%
1995121.47%2.68%2.10%1.93%$12,299$12,891$13,292$13,7451.47%2.68%2.10%
199611.30%0.93%2.21%3.39%$12,459$13,011$13,586$14,2101.30%0.93%2.21%
19962-1.11%-2.18%-0.76%0.92%$12,321$12,727$13,483$14,341-1.11%-2.18%-0.76%
19963-0.18%0.03%1.81%0.98%$12,299$12,731$13,727$14,481-0.18%0.03%1.81%
19964-0.26%-0.61%-0.20%1.46%$12,266$12,654$13,699$14,692-0.26%-0.61%-0.20%
199650.44%0.30%0.76%2.54%$12,320$12,693$13,803$15,0660.44%0.30%0.76%
199661.06%1.33%0.88%0.38%$12,451$12,862$13,925$15,1241.06%1.33%0.88%
19967-0.79%-0.91%-1.71%-4.42%$12,353$12,745$13,687$14,455-0.79%-0.91%-1.71%
199680.35%0.92%1.98%2.10%$12,396$12,862$13,958$14,7580.35%0.92%1.98%
199692.56%2.89%3.77%5.61%$12,713$13,234$14,484$15,5852.56%2.89%3.77%
1996102.43%4.14%3.58%2.76%$13,023$13,782$15,002$16,0152.43%4.14%3.58%
1996112.89%3.64%5.24%7.56%$13,399$14,284$15,787$17,2262.89%3.64%5.24%
199612-1.19%-1.25%-2.17%-1.96%$13,240$14,105$15,444$16,889-1.19%-1.25%-2.17%
199711.47%1.32%3.25%6.22%$13,435$14,291$15,946$17,9391.47%1.32%3.25%
199720.26%0.67%0.81%0.79%$13,469$14,387$16,076$18,0800.26%0.67%0.81%
19973-1.63%-2.55%-3.48%-4.14%$13,250$14,020$15,517$17,333-1.63%-2.55%-3.48%
199742.27%2.16%3.99%5.96%$13,551$14,322$16,136$18,3652.27%2.16%3.99%
199751.97%2.65%4.24%6.09%$13,818$14,701$16,820$19,4831.97%2.65%4.24%
199761.76%2.20%3.50%4.45%$14,061$15,024$17,409$20,3511.76%2.20%3.50%
199773.84%5.97%6.19%7.97%$14,601$15,921$18,487$21,9723.84%5.97%6.19%
19978-1.69%-2.28%-3.86%-5.61%$14,354$15,558$17,774$20,739-1.69%-2.28%-3.86%
199792.21%3.71%4.08%5.47%$14,671$16,135$18,500$21,8742.21%3.71%4.08%
1997100.73%0.67%-0.91%-3.35%$14,778$16,243$18,331$21,1410.73%0.67%-0.91%
1997111.12%2.40%2.11%4.60%$14,944$16,632$18,717$22,1131.12%2.40%2.11%
1997121.20%1.93%1.69%1.72%$15,124$16,953$19,032$22,4941.20%1.93%1.69%
199811.45%0.78%0.95%1.11%$15,343$17,085$19,213$22,7441.45%0.78%0.95%
199821.43%1.23%3.40%7.19%$15,562$17,294$19,866$24,3801.43%1.23%3.40%
199831.33%2.56%3.29%5.10%$15,769$17,737$20,519$25,6241.33%2.56%3.29%
199840.70%0.00%1.08%1.01%$15,880$17,737$20,740$25,8820.70%0.00%1.08%
199850.46%0.81%-0.56%-1.74%$15,953$17,880$20,623$25,4310.46%0.81%-0.56%
199861.47%1.11%0.50%4.07%$16,187$18,079$20,727$26,4671.47%1.11%0.50%
19987-0.08%-1.29%-1.58%-1.05%$16,175$17,846$20,400$26,188-0.08%-1.29%-1.58%
19988-1.85%-2.39%-7.65%-14.47%$15,876$17,420$18,840$22,397-1.85%-2.39%-7.65%
199892.82%5.49%5.35%6.41%$16,324$18,377$19,848$23,8332.82%5.49%5.35%
1998101.54%0.31%4.26%8.16%$16,575$18,434$20,693$25,7791.54%0.31%4.26%
1998111.74%2.38%3.00%6.07%$16,864$18,873$21,313$27,3441.74%2.38%3.00%
1998121.49%0.46%0.07%5.81%$17,116$18,961$21,327$28,9321.49%0.46%0.07%
199911.44%-0.54%0.51%4.20%$17,362$18,858$21,436$30,1481.44%-0.54%0.51%
19992-2.16%-2.86%-2.92%-3.12%$16,987$18,318$20,811$29,206-2.16%-2.86%-2.92%
199931.22%0.81%2.55%4.00%$17,194$18,466$21,341$30,3731.22%0.81%2.55%
199941.22%3.22%7.38%3.85%$17,403$19,062$22,917$31,5431.22%3.22%7.38%
19995-1.13%-0.69%-1.85%-2.39%$17,207$18,930$22,492$30,789-1.13%-0.69%-1.85%
199960.63%-0.07%1.94%5.56%$17,315$18,916$22,929$32,5000.63%-0.07%1.94%
19997-0.84%-1.64%-1.93%-3.13%$17,169$18,606$22,486$31,483-0.84%-1.64%-1.93%
19998-0.15%-0.95%-0.85%-0.50%$17,143$18,428$22,293$31,327-0.15%-0.95%-0.85%
199990.46%-0.53%-2.55%-2.74%$17,222$18,331$21,725$30,4680.46%-0.53%-2.55%
1999101.32%0.88%1.85%6.33%$17,450$18,493$22,127$32,3961.32%0.88%1.85%
1999110.31%-0.68%-0.24%2.02%$17,504$18,367$22,075$33,0510.31%-0.68%-0.24%
1999120.55%-1.04%0.87%5.98%$17,599$18,177$22,267$35,0270.55%-1.04%0.87%
20001-0.55%-1.01%-3.83%-5.03%$17,503$17,993$21,415$33,264-0.55%-1.01%-3.83%
200021.10%-3.00%-4.54%-1.91%$17,695$17,453$20,443$32,6301.10%-3.00%-4.54%
200032.56%5.61%7.34%9.76%$18,149$18,432$21,943$35,8152.56%5.61%7.34%
20004-1.00%0.16%0.84%-3.01%$17,968$18,461$22,128$34,739-1.00%0.16%0.84%
20005-0.47%1.27%1.27%-2.04%$17,884$18,696$22,410$34,031-0.47%1.27%1.27%
200062.12%-0.63%-1.83%2.49%$18,264$18,578$21,999$34,8772.12%-0.63%-1.83%
200070.62%1.98%1.40%-1.49%$18,377$18,945$22,307$34,3570.62%1.98%1.40%
200082.24%2.93%3.56%6.19%$18,788$19,500$23,102$36,4842.24%2.93%3.56%
20009-0.45%1.80%-0.34%-5.29%$18,703$19,851$23,023$34,554-0.45%1.80%-0.34%
2000100.31%1.27%2.38%-0.43%$18,761$20,102$23,572$34,4050.31%1.27%2.38%
200011-0.15%1.20%0.14%-7.88%$18,732$20,343$23,605$31,695-0.15%1.20%0.14%
2000121.53%3.80%4.15%0.50%$19,019$21,116$24,583$31,8551.53%3.80%4.15%
200112.00%0.25%2.02%3.55%$19,399$21,168$25,080$32,9842.00%0.25%2.02%
20012-1.58%1.23%-0.38%-9.14%$19,092$21,428$24,984$29,970-1.58%1.23%-0.38%
20013-1.14%-0.07%-1.87%-6.36%$18,873$21,412$24,518$28,065-1.14%-0.07%-1.87%
200141.57%1.88%3.51%7.77%$19,170$21,814$25,380$30,2461.57%1.88%3.51%
200150.77%1.02%1.73%0.65%$19,318$22,036$25,819$30,4430.77%1.02%1.73%
20016-0.01%-0.18%-1.67%-2.45%$19,316$21,997$25,388$29,698-0.01%-0.18%-1.67%
200171.63%1.80%1.36%-1.00%$19,631$22,393$25,734$29,4011.63%1.80%1.36%
20018-0.53%0.67%-1.76%-6.27%$19,526$22,543$25,282$27,557-0.53%0.67%-1.76%
20019-1.20%-0.56%-5.29%-8.09%$19,291$22,418$23,945$25,327-1.20%-0.56%-5.29%
2001101.97%0.43%1.42%1.90%$19,670$22,515$24,285$25,8071.97%0.43%1.42%
2001110.85%0.14%4.60%7.65%$19,837$22,548$25,402$27,7820.85%0.14%4.60%
200112-0.23%0.57%0.83%0.87%$19,792$22,676$25,612$28,025-0.23%0.57%0.83%
200210.31%0.45%0.26%-1.47%$19,853$22,778$25,678$27,6120.31%0.45%0.26%
200220.16%1.65%0.91%-1.94%$19,884$23,154$25,913$27,0780.16%1.65%0.91%
20023-0.31%-0.10%2.11%3.74%$19,823$23,131$26,458$28,091-0.31%-0.10%2.11%
20024-0.08%0.70%-2.07%-6.07%$19,807$23,293$25,910$26,385-0.08%0.70%-2.07%
200250.39%1.33%0.69%-0.75%$19,885$23,604$26,089$26,1860.39%1.33%0.69%
20026-1.49%-0.93%-3.23%-7.13%$19,588$23,384$25,247$24,317-1.49%-0.93%-3.23%
20027-1.44%-2.09%-4.99%-7.72%$19,305$22,895$23,988$22,440-1.44%-2.09%-4.99%
200281.22%0.86%0.32%0.65%$19,541$23,093$24,064$22,5871.22%0.86%0.32%
20029-2.25%-2.67%-6.66%-10.87%$19,101$22,476$22,461$20,130-2.25%-2.67%-6.66%
2002102.16%2.31%3.43%8.78%$19,514$22,994$23,231$21,8992.16%2.31%3.43%
2002111.79%2.36%4.68%5.88%$19,863$23,536$24,318$23,1851.79%2.36%4.68%
200212-0.24%0.82%-1.94%-5.89%$19,816$23,728$23,846$21,819-0.24%0.82%-1.94%
20031-0.65%-1.56%-2.16%-2.62%$19,687$23,359$23,331$21,246-0.65%-1.56%-2.16%
200320.41%0.10%-1.17%-1.52%$19,767$23,382$23,059$20,9240.41%0.10%-1.17%
200330.32%-0.11%-0.05%0.96%$19,831$23,358$23,048$21,1240.32%-0.11%-0.05%
200343.02%3.40%5.90%8.25%$20,431$24,153$24,408$22,8673.02%3.40%5.90%
200352.70%4.24%5.61%5.26%$20,981$25,177$25,777$24,0712.70%4.24%5.61%
200360.38%0.18%0.63%1.26%$21,061$25,223$25,941$24,3740.38%0.18%0.63%
20037-1.40%-3.38%-0.84%1.74%$20,767$24,371$25,724$24,799-1.40%-3.38%-0.84%
200380.79%0.40%1.95%1.93%$20,930$24,469$26,226$25,2780.79%0.40%1.95%
200391.64%1.72%0.26%-1.07%$21,274$24,889$26,296$25,0081.64%1.72%0.26%
2003100.85%0.44%3.24%5.64%$21,455$25,000$27,149$26,4180.85%0.44%3.24%
2003110.46%0.54%1.17%0.86%$21,554$25,135$27,466$26,6470.46%0.54%1.17%
2003121.84%3.52%4.83%5.22%$21,950$26,019$28,793$28,0381.84%3.52%4.83%
200411.14%0.48%0.73%1.82%$22,199$26,144$29,003$28,5481.14%0.48%0.73%
200421.05%1.38%2.07%1.38%$22,432$26,505$29,603$28,9421.05%1.38%2.07%
200430.22%0.32%-0.61%-1.51%$22,481$26,591$29,423$28,5040.22%0.32%-0.61%
20044-2.23%-2.17%-1.74%-1.58%$21,979$26,013$28,910$28,054-2.23%-2.17%-1.74%
200450.08%-0.34%0.03%1.36%$21,996$25,925$28,920$28,4350.08%-0.34%0.03%
200460.76%1.11%2.16%1.93%$22,163$26,213$29,544$28,9840.76%1.11%2.16%
20047-0.15%0.34%-1.30%-3.31%$22,129$26,302$29,159$28,024-0.15%0.34%-1.30%
200481.45%2.07%1.46%0.38%$22,450$26,847$29,584$28,1311.45%2.07%1.46%
200490.45%0.66%1.51%1.07%$22,551$27,025$30,031$28,4320.45%0.66%1.51%
2004100.98%0.66%1.09%1.51%$22,772$27,204$30,357$28,8620.98%0.66%1.09%
2004110.60%0.89%2.62%4.05%$22,908$27,447$31,153$30,0300.60%0.89%2.62%
2004121.56%1.96%2.74%3.39%$23,266$27,985$32,007$31,0491.56%1.96%2.74%
20051-0.30%-0.09%-1.23%-2.45%$23,197$27,959$31,615$30,287-0.30%-0.09%-1.23%
200520.30%1.25%2.28%2.09%$23,266$28,309$32,336$30,9210.30%1.25%2.28%
20053-0.88%-1.41%-1.54%-1.76%$23,060$27,909$31,839$30,377-0.88%-1.41%-1.54%
200540.23%0.94%-0.64%-1.91%$23,112$28,170$31,636$29,7960.23%0.94%-0.64%
200551.65%1.07%1.65%3.17%$23,493$28,471$32,159$30,7401.65%1.07%1.65%
200560.37%0.87%0.70%0.13%$23,580$28,720$32,383$30,7790.37%0.87%0.70%
200570.59%0.09%2.22%3.71%$23,719$28,746$33,103$31,9200.59%0.09%2.22%
200580.52%0.78%0.88%-0.91%$23,842$28,971$33,393$31,6280.52%0.78%0.88%
20059-0.37%-0.25%1.07%0.79%$23,754$28,898$33,750$31,879-0.37%-0.25%1.07%
200510-0.89%-1.34%-1.80%-1.68%$23,543$28,512$33,144$31,344-0.89%-1.34%-1.80%
2005111.42%1.03%2.32%3.76%$23,878$28,805$33,912$32,5241.42%1.03%2.32%
2005120.59%0.53%0.82%0.02%$24,018$28,959$34,192$32,5310.59%0.53%0.82%
200610.89%0.85%2.57%2.65%$24,232$29,207$35,070$33,3920.89%0.85%2.57%
200620.29%0.80%-0.19%0.26%$24,303$29,440$35,003$33,4800.29%0.80%-0.19%
20063-0.08%-0.66%0.61%1.23%$24,284$29,245$35,215$33,892-0.08%-0.66%0.61%
200640.30%1.09%1.93%1.33%$24,356$29,564$35,896$34,3440.30%1.09%1.93%
20065-0.74%-0.66%-1.36%-2.90%$24,177$29,370$35,408$33,349-0.74%-0.66%-1.36%
200660.16%0.58%0.14%0.13%$24,215$29,540$35,459$33,3910.16%0.58%0.14%
200670.97%2.14%1.64%0.61%$24,451$30,171$36,042$33,5940.97%2.14%1.64%
200681.71%1.81%1.94%2.36%$24,868$30,718$36,739$34,3881.71%1.81%1.94%
200691.24%1.23%1.41%2.56%$25,177$31,097$37,257$35,2691.24%1.23%1.41%
2006101.45%1.64%2.60%3.25%$25,543$31,607$38,225$36,4161.45%1.64%2.60%
2006111.29%1.30%1.75%1.89%$25,872$32,018$38,893$37,1041.29%1.30%1.75%
2006120.20%0.65%1.07%1.39%$25,923$32,225$39,310$37,6200.20%0.65%1.07%
200710.43%0.32%0.68%1.49%$26,035$32,329$39,576$38,1820.43%0.32%0.68%
200720.43%0.91%-0.49%-1.97%$26,146$32,624$39,383$37,4300.43%0.91%-0.49%
200730.42%0.63%0.95%1.11%$26,257$32,830$39,757$37,8460.42%0.63%0.95%
200741.57%1.73%3.44%4.42%$26,670$33,397$41,124$39,5181.57%1.73%3.44%
200750.49%0.45%2.28%3.48%$26,801$33,546$42,063$40,8920.49%0.45%2.28%
20076-0.56%-1.19%-0.84%-1.68%$26,652$33,146$41,711$40,206-0.56%-1.19%-0.84%
20077-0.21%-0.73%-1.47%-3.08%$26,595$32,905$41,096$38,966-0.21%-0.73%-1.47%
200781.14%1.42%1.38%1.50%$26,898$33,372$41,662$39,5501.14%1.42%1.38%
200791.48%1.72%3.13%3.72%$27,297$33,945$42,966$41,0231.48%1.72%3.13%
2007101.19%0.94%0.98%1.58%$27,623$34,264$43,388$41,6701.19%0.94%0.98%
2007110.14%-0.18%-1.31%-4.19%$27,661$34,203$42,818$39,9260.14%-0.18%-1.31%
200712-0.00%-0.50%-0.54%-0.70%$27,660$34,032$42,587$39,646-0.00%-0.50%-0.54%
20081-0.56%-0.82%-2.85%-6.02%$27,505$33,751$41,372$37,261-0.56%-0.82%-2.85%
20082-0.85%-1.29%-0.76%-3.25%$27,272$33,314$41,059$36,050-0.85%-1.29%-0.76%
20083-0.14%0.38%-0.35%-0.44%$27,233$33,441$40,916$35,891-0.14%0.38%-0.35%
200841.22%1.18%2.60%4.85%$27,566$33,835$41,981$37,6331.22%1.18%2.60%
200850.14%-0.56%0.91%1.29%$27,605$33,646$42,362$38,1200.14%-0.56%0.91%
20086-2.59%-3.41%-5.02%-8.44%$26,891$32,498$40,236$34,903-2.59%-3.41%-5.02%
20087-0.22%0.15%-1.32%-0.83%$26,831$32,546$39,705$34,613-0.22%0.15%-1.32%
200880.81%0.78%0.74%1.45%$27,049$32,801$39,997$35,1130.81%0.78%0.74%
20089-3.93%-3.47%-7.39%-8.91%$25,987$31,663$37,041$31,986-3.93%-3.47%-7.39%
200810-6.76%-7.19%-12.18%-16.79%$24,229$29,385$32,528$26,615-6.76%-7.19%-12.18%
200811-0.08%0.33%-2.06%-7.17%$24,209$29,482$31,859$24,705-0.08%0.33%-2.06%
2008122.23%4.07%3.87%1.07%$24,749$30,682$33,092$24,9692.23%4.07%3.87%
20091-2.37%-4.62%-5.44%-8.41%$24,162$29,265$31,290$22,868-2.37%-4.62%-5.44%
20092-3.27%-4.96%-6.45%-10.66%$23,373$27,814$29,272$20,431-3.27%-4.96%-6.45%
200933.46%2.94%5.04%8.76%$24,181$28,631$30,746$22,2213.46%2.94%5.04%
200943.04%3.54%5.87%9.56%$24,915$29,645$32,550$24,3453.04%3.54%5.87%
200952.21%4.39%6.30%5.62%$25,465$30,946$34,600$25,7132.21%4.39%6.30%
200960.59%1.25%0.52%0.22%$25,616$31,333$34,779$25,7690.59%1.25%0.52%
200973.05%5.68%5.71%7.58%$26,398$33,112$36,766$27,7223.05%5.68%5.71%
200981.79%2.32%2.70%3.60%$26,871$33,882$37,759$28,7201.79%2.32%2.70%
200991.81%1.87%2.54%3.72%$27,359$34,514$38,719$29,7871.81%1.87%2.54%
200910-0.08%-0.05%-0.47%-1.87%$27,338$34,497$38,539$29,231-0.08%-0.05%-0.47%
2009112.35%3.20%4.54%5.98%$27,980$35,602$40,290$30,9792.35%3.20%4.54%
200912-0.86%-0.01%0.37%1.95%$27,739$35,599$40,437$31,582-0.86%-0.01%0.37%
201010.45%-0.29%-1.70%-3.60%$27,864$35,494$39,750$30,4440.45%-0.29%-1.70%
201020.90%1.08%1.48%3.09%$28,115$35,878$40,339$31,3850.90%1.08%1.48%
201031.25%1.99%3.93%6.01%$28,466$36,592$41,924$33,2731.25%1.99%3.93%
201041.26%1.49%0.74%1.58%$28,824$37,138$42,234$33,7981.26%1.49%0.74%
20105-1.09%-2.71%-5.38%-8.01%$28,508$36,133$39,963$31,092-1.09%-2.71%-5.38%
20106-0.06%0.19%-2.17%-5.24%$28,492$36,203$39,095$29,463-0.06%0.19%-2.17%
201072.38%3.49%5.42%7.00%$29,169$37,467$41,214$31,5242.38%3.49%5.42%
201080.07%0.86%-2.21%-4.53%$29,190$37,787$40,304$30,0960.07%0.86%-2.21%
201092.23%2.70%5.26%8.92%$29,840$38,810$42,423$32,7812.23%2.70%5.26%
2010101.07%0.88%2.13%3.79%$30,160$39,151$43,325$34,0221.07%0.88%2.13%
201011-0.42%-0.92%-1.02%0.00%$30,032$38,792$42,881$34,022-0.42%-0.92%-1.02%
2010120.88%1.54%4.61%6.67%$30,297$39,389$44,859$36,2920.88%1.54%4.61%
201110.50%0.65%1.99%2.36%$30,448$39,643$45,754$37,1480.50%0.65%1.99%
201120.99%1.88%2.30%3.42%$30,750$40,387$46,807$38,4170.99%1.88%2.30%
201130.08%0.14%-0.18%0.03%$30,775$40,445$46,724$38,4270.08%0.14%-0.18%
201141.83%2.58%2.80%2.95%$31,338$41,488$48,030$39,5591.83%2.58%2.80%
201150.35%0.84%-0.51%-1.15%$31,447$41,836$47,784$39,1060.35%0.84%-0.51%
20116-0.66%-1.06%-1.32%-1.67%$31,239$41,393$47,152$38,452-0.66%-1.06%-1.32%
201170.42%0.04%-1.30%-2.05%$31,370$41,411$46,538$37,6650.42%0.04%-1.30%
20118-1.11%-0.27%-3.52%-5.45%$31,021$41,300$44,900$35,614-1.11%-0.27%-3.52%
20119-1.51%-1.46%-4.12%-7.04%$30,552$40,697$43,049$33,106-1.51%-1.46%-4.12%
2011102.44%4.03%7.12%10.91%$31,297$42,338$46,116$36,7192.44%4.03%7.12%
201111-0.42%-0.53%-0.64%-0.23%$31,166$42,114$45,821$36,633-0.42%-0.53%-0.64%
2011120.88%2.53%1.67%1.02%$31,440$43,182$46,587$37,0060.88%2.53%1.67%
201211.84%1.88%3.29%4.46%$32,018$43,991$48,118$38,6581.84%1.88%3.29%
201220.83%1.28%2.56%4.31%$32,285$44,556$49,352$40,3230.83%1.28%2.56%
20123-0.09%0.46%1.53%3.28%$32,256$44,761$50,105$41,646-0.09%0.46%1.53%
201240.69%0.93%-0.09%-0.64%$32,480$45,179$50,060$41,3800.69%0.93%-0.09%
20125-0.76%-1.43%-3.98%-6.02%$32,234$44,534$48,070$38,889-0.76%-1.43%-3.98%
201260.89%2.00%3.22%4.11%$32,520$45,423$49,617$40,4870.89%2.00%3.22%
201271.31%2.44%1.46%1.37%$32,947$46,533$50,341$41,0421.31%2.44%1.46%
201280.55%0.53%1.23%2.24%$33,127$46,782$50,959$41,9610.55%0.53%1.23%
201290.66%0.86%1.93%2.58%$33,347$47,183$51,944$43,0420.66%0.86%1.93%
201210-0.14%0.25%0.00%-1.86%$33,302$47,299$51,944$42,242-0.14%0.25%0.00%
2012110.34%0.29%0.18%0.56%$33,415$47,434$52,035$42,4780.34%0.29%0.18%
2012120.25%0.19%0.79%0.90%$33,497$47,524$52,444$42,8620.25%0.19%0.79%
201310.42%1.45%3.49%5.18%$33,639$48,214$54,273$45,0800.42%1.45%3.49%
201320.56%1.23%0.89%1.34%$33,827$48,805$54,753$45,6840.56%1.23%0.89%
201330.71%1.26%2.53%3.74%$34,068$49,421$56,140$47,3920.71%1.26%2.53%
201341.18%1.97%2.28%1.91%$34,470$50,393$57,418$48,2961.18%1.97%2.28%
20135-1.30%-0.87%0.65%2.33%$34,021$49,956$57,792$49,420-1.30%-0.87%0.65%
20136-1.59%-1.59%-1.35%-1.35%$33,481$49,160$57,012$48,753-1.59%-1.59%-1.35%
201371.21%2.04%3.55%5.07%$33,886$50,161$59,036$51,2261.21%2.04%3.55%
20138-0.98%-1.87%-2.23%-2.91%$33,552$49,220$57,718$49,734-0.98%-1.87%-2.23%
201391.68%1.63%2.28%3.12%$34,116$50,023$59,036$51,2871.68%1.63%2.28%
2013101.40%2.10%2.78%4.59%$34,594$51,072$60,678$53,6391.40%2.10%2.78%
2013110.21%0.79%1.93%3.03%$34,666$51,475$61,846$55,2640.21%0.79%1.93%
201312-0.09%0.81%1.47%2.51%$34,635$51,890$62,757$56,653-0.09%0.81%1.47%
201410.56%-0.36%-1.53%-3.47%$34,829$51,702$61,797$54,6870.56%-0.36%-1.53%
201421.32%2.06%3.00%4.56%$35,288$52,767$63,650$57,1811.32%2.06%3.00%
201430.13%0.92%0.92%0.82%$35,335$53,253$64,236$57,6530.13%0.92%0.92%
201440.62%1.19%1.09%0.72%$35,553$53,885$64,935$58,0700.62%1.19%1.09%
201451.23%1.21%1.46%2.33%$35,991$54,538$65,884$59,4261.23%1.21%1.46%
201460.58%0.78%1.40%2.05%$36,201$54,961$66,806$60,6450.58%0.78%1.40%
20147-0.34%-1.00%-1.03%-1.39%$36,078$54,410$66,120$59,803-0.34%-1.00%-1.03%
201481.56%1.99%2.46%3.98%$36,640$55,492$67,744$62,1851.56%1.99%2.46%
20149-1.11%-1.25%-1.36%-1.41%$36,234$54,798$66,821$61,306-1.11%-1.25%-1.36%
2014101.15%1.17%1.56%2.42%$36,652$55,438$67,865$62,7921.15%1.17%1.56%
2014110.94%1.31%1.81%2.68%$36,996$56,165$69,095$64,4760.94%1.31%1.81%
201412-0.05%-0.16%-0.25%-0.26%$36,975$56,075$68,921$64,306-0.05%-0.16%-0.25%
201511.41%0.55%-1.38%-3.02%$37,496$56,382$67,970$62,3651.41%0.55%-1.38%
201520.33%0.82%3.26%5.74%$37,620$56,843$70,189$65,9450.33%0.82%3.26%
201530.18%-0.10%-0.98%-1.59%$37,688$56,786$69,504$64,8940.18%-0.10%-0.98%
201540.00%0.51%1.10%0.95%$37,688$57,073$70,265$65,5100.00%0.51%1.10%
20155-0.26%-0.12%0.33%1.27%$37,588$57,007$70,495$66,343-0.26%-0.12%0.33%
20156-1.27%-2.06%-1.94%-1.93%$37,109$55,831$69,130$65,061-1.27%-2.06%-1.94%
201570.88%1.23%1.78%2.08%$37,435$56,521$70,359$66,4140.88%1.23%1.78%
20158-1.61%-2.16%-4.51%-6.04%$36,834$55,298$67,188$62,402-1.61%-2.16%-4.51%
20159-0.05%0.11%-1.35%-2.49%$36,817$55,360$66,280$60,848-0.05%0.11%-1.35%
2015101.57%3.40%5.44%8.42%$37,395$57,242$69,885$65,9731.57%3.40%5.44%
201511-0.13%0.00%0.08%0.29%$37,345$57,242$69,939$66,162-0.13%0.00%0.08%
201512-0.77%-0.79%-1.40%-1.59%$37,057$56,791$68,960$65,108-0.77%-0.79%-1.40%
201610.07%-0.20%-2.77%-4.98%$37,083$56,675$67,048$61,8680.07%-0.20%-2.77%
201620.48%0.45%-0.25%-0.15%$37,261$56,930$66,879$61,7780.48%0.45%-0.25%
201632.19%3.52%5.08%6.78%$38,075$58,931$70,274$65,9642.19%3.52%5.08%
201640.47%0.91%1.45%0.37%$38,254$59,467$71,292$66,2110.47%0.91%1.45%
201650.27%0.59%0.79%1.78%$38,356$59,817$71,858$67,3910.27%0.59%0.79%
201661.47%2.18%0.78%0.25%$38,920$61,121$72,416$67,5601.47%2.18%0.78%
201671.45%1.38%2.39%3.68%$39,485$61,966$74,144$70,0431.45%1.38%2.39%
201680.00%0.00%0.20%0.13%$39,485$61,966$74,296$70,1340.00%0.00%0.20%
201690.08%-0.32%-0.13%0.01%$39,514$61,770$74,199$70,1400.08%-0.32%-0.13%
201610-1.17%-1.22%-1.16%-1.83%$39,050$61,014$73,339$68,854-1.17%-1.22%-1.16%
201611-1.39%-0.74%2.21%3.70%$38,509$60,565$74,963$71,401-1.39%-0.74%2.21%
2016120.64%1.35%2.12%1.96%$38,756$61,380$76,555$72,8020.64%1.35%2.12%
201710.47%0.27%0.92%1.88%$38,938$61,548$77,261$74,1730.47%0.27%0.92%
201721.14%1.96%2.66%3.96%$39,380$62,753$79,319$77,1131.14%1.96%2.66%
201730.22%-0.04%-0.18%0.10%$39,466$62,729$79,178$77,1900.22%-0.04%-0.18%
201740.86%0.70%0.77%1.02%$39,806$63,166$79,789$77,9760.86%0.70%0.77%
201750.85%1.15%1.16%1.39%$40,146$63,894$80,715$79,0620.85%1.15%1.16%
201760.00%0.41%0.69%0.61%$40,147$64,159$81,273$79,5460.00%0.41%0.69%
201770.78%0.88%1.20%2.04%$40,463$64,720$82,245$81,1710.78%0.88%1.20%
201780.78%0.53%0.14%0.29%$40,778$65,063$82,364$81,4090.78%0.53%0.14%
201790.08%0.84%2.02%2.06%$40,812$65,611$84,029$83,0850.08%0.84%2.02%
2017100.58%0.90%1.38%2.32%$41,049$66,201$85,187$85,0110.58%0.90%1.38%
2017110.45%1.08%1.83%3.06%$41,234$66,915$86,744$87,6110.45%1.08%1.83%
2017120.55%1.08%1.25%1.10%$41,462$67,639$87,827$88,5770.55%1.08%1.25%
201810.32%0.56%2.88%5.71%$41,595$68,015$90,356$93,6370.32%0.56%2.88%
20182-1.35%-2.73%-3.58%-3.69%$41,036$66,159$87,117$90,177-1.35%-2.73%-3.58%
201830.26%-0.27%-1.10%-2.56%$41,142$65,978$86,159$87,8730.26%-0.27%-1.10%
20184-0.33%-0.50%0.29%0.37%$41,008$65,650$86,411$88,201-0.33%-0.50%0.29%
201850.59%0.65%0.61%2.39%$41,249$66,079$86,936$90,3130.59%0.65%0.61%
201860.04%0.16%-0.14%0.61%$41,267$66,186$86,813$90,8590.04%0.16%-0.14%
201870.59%2.04%3.37%3.71%$41,509$67,535$89,734$94,2300.59%2.04%3.37%
201880.52%0.57%1.13%3.25%$41,724$67,916$90,750$97,2890.52%0.57%1.13%
20189-0.30%-0.23%0.26%0.55%$41,601$67,761$90,986$97,828-0.30%-0.23%0.26%
201810-1.95%-2.27%-3.93%-6.85%$40,790$66,223$87,407$91,128-1.95%-2.27%-3.93%
2018110.73%1.63%2.02%2.03%$41,087$67,300$89,175$92,9750.73%1.63%2.02%
201812-0.15%-2.08%-4.88%-9.04%$41,026$65,899$84,821$84,570-0.15%-2.08%-4.88%
201912.42%3.23%4.42%8.00%$42,019$68,030$88,568$91,3372.42%3.23%4.42%
201920.53%1.51%2.45%3.20%$42,240$69,055$90,739$94,2600.53%1.51%2.45%
201931.85%1.88%1.56%1.94%$43,022$70,351$92,151$96,0861.85%1.88%1.56%
201940.71%1.08%2.42%4.04%$43,327$71,112$94,382$99,9680.71%1.08%2.42%
201950.06%-0.65%-2.83%-6.36%$43,355$70,650$91,715$93,6060.06%-0.65%-2.83%
201962.27%3.14%4.39%7.03%$44,339$72,872$95,739$100,1892.27%3.14%4.39%
201970.50%0.49%1.14%1.43%$44,562$73,228$96,827$101,6180.50%0.49%1.14%
201981.63%1.68%0.38%-1.59%$45,287$74,459$97,197$100,0011.63%1.68%0.38%
201990.03%0.59%1.63%1.86%$45,299$74,900$98,782$101,8600.03%0.59%1.63%
2019100.50%0.63%1.42%2.15%$45,523$75,369$100,180$104,0550.50%0.63%1.42%
2019110.49%0.62%1.67%3.62%$45,748$75,837$101,857$107,8220.49%0.62%1.67%
2019120.48%1.14%2.02%3.01%$45,969$76,701$103,913$111,0630.48%1.14%2.02%
202011.36%1.28%0.35%-0.05%$46,593$77,684$104,272$111,0071.36%1.28%0.35%
20202-0.37%-2.46%-5.33%-8.24%$46,423$75,775$98,715$101,858-0.37%-2.46%-5.33%
20203-3.96%-6.28%-9.25%-12.37%$44,586$71,013$89,580$89,256-3.96%-6.28%-9.25%
202043.51%5.70%7.98%12.81%$46,153$75,060$96,727$100,6933.51%5.70%7.98%
202051.36%2.11%2.82%4.76%$46,779$76,645$99,455$105,4821.36%2.11%2.82%
202061.18%0.47%0.86%1.98%$47,329$77,007$100,313$107,5681.18%0.47%0.86%
202072.12%2.81%4.60%5.63%$48,331$79,173$104,926$113,6212.12%2.81%4.60%
202080.47%0.22%3.29%7.18%$48,560$79,344$108,373$121,7760.47%0.22%3.29%
20209-0.35%-0.70%-1.97%-3.81%$48,388$78,787$106,238$117,135-0.35%-0.70%-1.97%
202010-0.65%-1.27%-1.49%-2.67%$48,072$77,783$104,653$114,006-0.65%-1.27%-1.49%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
Large-cap Value7.93%23.73%28.58%46.13%
Large-cap Growth8.69%7.74%23.52%53.87%
Mid-cap Value0.32%0.00%0.00%0.00%
Mid-cap Growth3.73%0.00%0.00%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 Markets0.98%3.55%8.90%0.00%
Emerging Markets3.64%0.03%1.06%0.00%
Corporate Bonds13.05%22.87%15.45%0.00%
Long-Term Treasuries2.24%6.71%1.48%0.00%
Intermediate-Term Treasuries15.86%9.27%0.22%0.00%
Short-Term Treasuries43.56%26.10%20.78%0.00%
R Squared92.83%93.50%97.40%99.91%
Style analysis is based on monthly returns from Apr 2005 to Oct 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 LifeStrategy Income

Holdings Based Style Analysis for LifeStrategy Income
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VASIXVanguard LifeStrategy Income Inv15% to 30% Equity100.00%0.11%21.237.09$38,072100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Wellesley Income

Holdings Based Style Analysis for Wellesley Income
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%0.23%17.938.18$67,783100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Wellington

Holdings Based Style Analysis for Wellington
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWELXVanguard Wellington Inv50% to 70% Equity100.00%0.25%25.358.17$94,653100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (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
MetricLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
Arithmetic Mean (monthly)0.52%0.68%0.80%0.88%
Arithmetic Mean (annualized)6.37%8.47%10.02%11.12%
Geometric Mean (monthly)0.51%0.66%0.76%0.79%
Geometric Mean (annualized)6.27%8.26%9.52%9.88%
Volatility (monthly)1.28%1.78%2.77%4.33%
Volatility (annualized)4.43%6.17%9.61%14.99%
Downside Deviation (monthly)0.75%1.01%1.75%2.90%
Max. Drawdown-15.50%-18.82%-32.53%-50.97%
US Market Correlation0.780.700.900.99
Beta(*)0.230.300.591.00
Alpha (annualized)3.71%4.98%3.33%-0.00%
R263.11%53.02%84.87%100.00%
Sharpe Ratio0.890.960.760.55
Sortino Ratio1.381.581.160.80
Treynor Ratio (%)16.7219.6412.398.32
Calmar Ratio1.250.640.500.52
Active Return-3.61%-1.61%-0.36%N/A
Tracking Error11.79%11.32%7.19%N/A
Information Ratio-0.31-0.14-0.05N/A
Skewness-0.86-0.36-0.71-0.67
Excess Kurtosis3.742.372.021.23
Historical Value-at-Risk (5%)-1.58%-2.33%-4.30%-7.42%
Analytical Value-at-Risk (5%)-1.59%-2.25%-3.76%-6.24%
Conditional Value-at-Risk (5%)-2.66%-3.65%-6.33%-9.94%
Upside Capture Ratio (%)30.0139.4765.68100.00
Downside Capture Ratio (%)14.8718.8453.65100.00
Safe Withdrawal Rate7.39%9.16%10.46%10.45%
Perpetual Withdrawal Rate3.99%5.82%6.93%7.25%
Positive Periods219 out of 310 (70.65%)219 out of 310 (70.65%)208 out of 310 (67.10%)206 out of 310 (66.45%)
Gain/Loss Ratio1.181.121.020.84
* 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 PeriodStartEndLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-1.69%-2.28%-3.86%-5.61%
Russian Debt DefaultJul 1998Oct 1998-1.92%-3.64%-9.11%-15.38%
Dotcom CrashMar 2000Oct 2002-3.94%-4.78%-15.11%-44.82%
Subprime CrisisNov 2007Mar 2009-15.50%-18.82%-32.53%-50.97%

Drawdowns for LifeStrategy Income

Drawdowns for LifeStrategy Income (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-15.50%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-4.31%
3Jun 2002Sep 20024 monthsApr 20037 months11 months-3.94%
4May 2013Jun 20132 monthsOct 20134 months6 months-2.87%
5Jun 2011Sep 20114 monthsJan 20124 months8 months-2.84%
6Feb 2001Mar 20012 monthsJul 20014 months6 months-2.71%
7Oct 2016Nov 20162 monthsApr 20175 months7 months-2.55%
8May 2015Sep 20155 monthsMar 20166 months11 months-2.31%
9Sep 2018Oct 20182 monthsJan 20193 months5 months-2.24%
10Apr 2004Apr 20041 monthSep 20045 months6 months-2.23%
Worst 10 drawdowns included above

Drawdowns for Wellesley Income

Drawdowns for Wellesley Income (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%
4Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
5Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
6Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
7Jan 1999Feb 19992 monthsApr 19992 months4 months-3.39%
8Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
9May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
10Feb 1996Apr 19963 monthsSep 19965 months8 months-2.74%
Worst 10 drawdowns included above

Drawdowns for Wellington

Drawdowns for Wellington (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.53%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-15.11%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-14.09%
4Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.84%
5May 2011Sep 20115 monthsJan 20124 months9 months-10.37%
6May 1998Aug 19984 monthsNov 19983 months7 months-9.16%
7Jun 2001Sep 20014 monthsFeb 20025 months9 months-7.26%
8Oct 2018Dec 20183 monthsMar 20193 months6 months-6.78%
9Jun 2015Sep 20154 monthsApr 20167 months11 months-5.98%
10Feb 2018Mar 20182 monthsAug 20185 months7 months-4.64%
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 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Sep 2020Oct 20202 months-6.38%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
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
VASIXVanguard LifeStrategy Income Inv6.27%4.43%22.99%-10.53%-15.50%0.891.380.78
VWINXVanguard Wellesley Income Inv8.26%6.17%28.91%-9.84%-18.82%0.961.580.70
VWELXVanguard Wellington Inv9.52%9.61%32.92%-22.30%-32.53%0.761.160.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameVASIXVWINXVWELXLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
VASIXVanguard LifeStrategy Income Inv1.000.890.841.000.890.840.79
VWINXVanguard Wellesley Income Inv0.891.000.880.891.000.880.73
VWELXVanguard Wellington Inv0.840.881.000.840.881.000.92

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameLifeStrategy IncomeWellesley IncomeWellington
VASIXVanguard LifeStrategy Income Inv$38,072
VWINXVanguard Wellesley Income Inv$67,783
VWELXVanguard Wellington Inv$94,653

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameLifeStrategy IncomeWellesley IncomeWellington
VASIXVanguard LifeStrategy Income Inv100.00%
VWINXVanguard Wellesley Income Inv100.00%
VWELXVanguard Wellington Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodLifeStrategy IncomeWellesley IncomeWellingtonVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year6.47%22.99%-10.53%8.77%28.91%-9.84%10.41%32.92%-22.30%11.78%37.45%-37.02%
3 years5.81%14.79%1.00%7.94%19.24%1.95%9.11%23.93%-1.08%9.51%31.03%-14.60%
5 years5.48%11.97%2.43%7.55%12.69%3.35%8.49%17.36%2.82%8.10%28.49%-2.38%
7 years5.36%10.24%3.24%7.53%12.41%4.41%8.29%14.38%3.73%7.16%15.86%-1.64%
10 years5.29%8.81%3.76%7.39%10.84%4.93%8.07%12.34%4.49%6.71%13.40%-1.46%
15 years5.23%7.04%4.26%7.31%8.83%6.39%7.96%9.76%6.99%6.44%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods