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 1999 - May 2021)

Portfolio Allocations

S&P 500 (SPY)
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »
Vanguard Wellesley Income IVWINX)
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Vaguaard Wellington (VWELX)
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
S&P 500 (SPY)$10,000$51,213 7.56% 14.97%32.31%-36.81%-50.80% 0.450.650.99
Vanguard Wellesley Income IVWINX)$10,000$45,859 7.03% 6.01%16.39%-9.84%-18.82% 0.871.400.71
Vaguaard Wellington (VWELX)$10,000$58,593 8.21% 9.63%22.51%-22.30%-32.53% 0.691.050.90
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
S&P 500 (SPY)10.79%12.71%40.25%17.91%17.10%14.27%7.56%18.40%14.89%
Vanguard Wellesley Income IVWINX)5.20%4.53%13.45%9.58%7.77%7.59%7.03%7.56%6.29%
Vaguaard Wellington (VWELX)8.36%8.73%25.65%12.86%11.70%10.09%8.21%11.79%9.61%
Trailing annualized return and volatility are for full months ending in May 2021 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 2021 are based on monthly returns from January to May
  • 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
YearInflationS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)SPDR S&P 500 ETF Trust (SPY)Vanguard Wellesley Income Inv (VWINX)Vanguard Wellington Inv (VWELX)
ReturnBalanceReturnBalanceReturnBalance
19992.68%20.39%$12,039-4.14%$9,5864.41%$10,44120.39%-4.14%4.41%
20003.39%-9.73%$10,86716.17%$11,13710.40%$11,527-9.73%16.17%10.40%
20011.55%-11.75%$9,5907.39%$11,9594.19%$12,009-11.75%7.39%4.19%
20022.38%-21.59%$7,5204.64%$12,514-6.90%$11,181-21.59%4.64%-6.90%
20031.88%28.18%$9,6399.66%$13,72320.75%$13,50128.18%9.66%20.75%
20043.26%10.70%$10,6707.55%$14,75911.16%$15,00810.70%7.55%11.16%
20053.42%4.83%$11,1853.48%$15,2736.82%$16,0324.83%3.48%6.82%
20062.54%15.85%$12,95811.28%$16,99614.97%$18,43215.85%11.28%14.97%
20074.08%5.14%$13,6245.61%$17,9488.34%$19,9685.14%5.61%8.34%
20080.09%-36.81%$8,609-9.84%$16,182-22.30%$15,516-36.81%-9.84%-22.30%
20092.72%26.36%$10,87916.02%$18,77522.20%$18,96026.36%16.02%22.20%
20101.50%15.06%$12,51710.65%$20,77410.94%$21,03415.06%10.65%10.94%
20112.96%1.89%$12,7539.63%$22,7743.85%$21,8441.89%9.63%3.85%
20121.74%15.99%$14,79310.06%$25,06412.57%$24,59015.99%10.06%12.57%
20131.50%32.31%$19,5729.19%$27,36719.66%$29,42632.31%9.19%19.66%
20140.76%13.46%$22,2068.07%$29,5749.82%$32,31613.46%8.07%9.82%
20150.73%1.25%$22,4841.28%$29,9520.06%$32,3341.25%1.28%0.06%
20162.07%12.00%$25,1838.08%$32,37211.01%$35,89612.00%8.08%11.01%
20172.11%21.70%$30,64810.20%$35,67314.72%$41,18121.70%10.20%14.72%
20181.91%-4.56%$29,251-2.57%$34,756-3.42%$39,771-4.56%-2.57%-3.42%
20192.29%31.22%$38,38416.39%$40,45322.51%$48,72331.22%16.39%22.51%
20201.36%18.37%$45,4368.45%$43,87310.60%$53,88818.37%8.45%10.60%
20213.35%12.71%$51,2134.53%$45,8598.73%$58,59312.71%4.53%8.73%
Annual return for 2021 is from 01/01/2021 to 05/31/2021
Monthly returns for the configured portfolios
YearMonthS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)SPDR S&P 500 ETF Trust (SPY)Vanguard Wellesley Income Inv (VWINX)Vanguard Wellington Inv (VWELX)
ReturnBalanceReturnBalanceReturnBalance
199913.52%$10,352-0.54%$9,9460.51%$10,0513.52%-0.54%0.51%
19992-3.21%$10,020-2.86%$9,661-2.92%$9,758-3.21%-2.86%-2.92%
199934.15%$10,4360.81%$9,7392.55%$10,0074.15%0.81%2.55%
199943.80%$10,8333.22%$10,0537.38%$10,7453.80%3.22%7.38%
19995-2.29%$10,585-0.69%$9,984-1.85%$10,546-2.29%-0.69%-1.85%
199965.54%$11,171-0.07%$9,9771.94%$10,7515.54%-0.07%1.94%
19997-3.10%$10,824-1.64%$9,813-1.93%$10,543-3.10%-1.64%-1.93%
19998-0.52%$10,768-0.95%$9,719-0.85%$10,453-0.52%-0.95%-0.85%
19999-2.24%$10,527-0.53%$9,668-2.55%$10,186-2.24%-0.53%-2.55%
1999106.41%$11,2020.88%$9,7531.85%$10,3756.41%0.88%1.85%
1999111.67%$11,389-0.68%$9,687-0.24%$10,3511.67%-0.68%-0.24%
1999125.71%$12,039-1.04%$9,5860.87%$10,4415.71%-1.04%0.87%
20001-4.98%$11,439-1.01%$9,490-3.83%$10,041-4.98%-1.01%-3.83%
20002-1.52%$11,265-3.00%$9,205-4.54%$9,586-1.52%-3.00%-4.54%
200039.69%$12,3575.61%$9,7217.34%$10,2899.69%5.61%7.34%
20004-3.51%$11,9230.16%$9,7370.84%$10,376-3.51%0.16%0.84%
20005-1.57%$11,7351.27%$9,8601.27%$10,508-1.57%1.27%1.27%
200061.97%$11,967-0.63%$9,798-1.83%$10,3151.97%-0.63%-1.83%
20007-1.57%$11,7791.98%$9,9921.40%$10,459-1.57%1.98%1.40%
200086.53%$12,5482.93%$10,2843.56%$10,8326.53%2.93%3.56%
20009-5.48%$11,8611.80%$10,469-0.34%$10,795-5.48%1.80%-0.34%
200010-0.47%$11,8051.27%$10,6022.38%$11,053-0.47%1.27%2.38%
200011-7.47%$10,9241.20%$10,7290.14%$11,068-7.47%1.20%0.14%
200012-0.52%$10,8673.80%$11,1374.15%$11,527-0.52%3.80%4.15%
200114.45%$11,3510.25%$11,1642.02%$11,7604.45%0.25%2.02%
20012-9.54%$10,2681.23%$11,301-0.38%$11,715-9.54%1.23%-0.38%
20013-5.60%$9,693-0.07%$11,292-1.87%$11,496-5.60%-0.07%-1.87%
200148.54%$10,5211.88%$11,5053.51%$11,9008.54%1.88%3.51%
20015-0.56%$10,4621.02%$11,6221.73%$12,106-0.56%1.02%1.73%
20016-2.38%$10,213-0.18%$11,601-1.67%$11,904-2.38%-0.18%-1.67%
20017-1.02%$10,1091.80%$11,8101.36%$12,066-1.02%1.80%1.36%
20018-5.93%$9,5090.67%$11,889-1.76%$11,854-5.93%0.67%-1.76%
20019-8.16%$8,733-0.56%$11,823-5.29%$11,227-8.16%-0.56%-5.29%
2001101.30%$8,8470.43%$11,8751.42%$11,3871.30%0.43%1.42%
2001117.80%$9,5370.14%$11,8924.60%$11,9117.80%0.14%4.60%
2001120.56%$9,5900.57%$11,9590.83%$12,0090.56%0.57%0.83%
20021-0.98%$9,4960.45%$12,0130.26%$12,040-0.98%0.45%0.26%
20022-1.79%$9,3261.65%$12,2110.91%$12,150-1.79%1.65%0.91%
200233.32%$9,636-0.10%$12,2002.11%$12,4063.32%-0.10%2.11%
20024-5.82%$9,0760.70%$12,285-2.07%$12,149-5.82%0.70%-2.07%
20025-0.59%$9,0221.33%$12,4490.69%$12,233-0.59%1.33%0.69%
20026-7.38%$8,356-0.93%$12,333-3.23%$11,838-7.38%-0.93%-3.23%
20027-7.88%$7,698-2.09%$12,075-4.99%$11,248-7.88%-2.09%-4.99%
200280.68%$7,7500.86%$12,1790.32%$11,2830.68%0.86%0.32%
20029-10.49%$6,937-2.67%$11,854-6.66%$10,532-10.49%-2.67%-6.66%
2002108.23%$7,5082.31%$12,1273.43%$10,8938.23%2.31%3.43%
2002116.17%$7,9712.36%$12,4134.68%$11,4026.17%2.36%4.68%
200212-5.66%$7,5200.82%$12,514-1.94%$11,181-5.66%0.82%-1.94%
20031-2.46%$7,335-1.56%$12,319-2.16%$10,940-2.46%-1.56%-2.16%
20032-1.35%$7,2360.10%$12,332-1.17%$10,812-1.35%0.10%-1.17%
200330.21%$7,251-0.11%$12,319-0.05%$10,8070.21%-0.11%-0.05%
200348.46%$7,8643.40%$12,7385.90%$11,4448.46%3.40%5.90%
200355.48%$8,2964.24%$13,2785.61%$12,0875.48%4.24%5.61%
200361.07%$8,3840.18%$13,3020.63%$12,1631.07%0.18%0.63%
200371.80%$8,535-3.38%$12,853-0.84%$12,0621.80%-3.38%-0.84%
200382.06%$8,7110.40%$12,9051.95%$12,2972.06%0.40%1.95%
20039-1.09%$8,6171.72%$13,1270.26%$12,330-1.09%1.72%0.26%
2003105.35%$9,0780.44%$13,1853.24%$12,7305.35%0.44%3.24%
2003111.09%$9,1770.54%$13,2561.17%$12,8791.09%0.54%1.17%
2003125.03%$9,6393.52%$13,7234.83%$13,5015.03%3.52%4.83%
200411.98%$9,8290.48%$13,7880.73%$13,5991.98%0.48%0.73%
200421.36%$9,9631.38%$13,9792.07%$13,8801.36%1.38%2.07%
20043-1.32%$9,8310.32%$14,024-0.61%$13,796-1.32%0.32%-0.61%
20044-1.89%$9,645-2.17%$13,719-1.74%$13,556-1.89%-2.17%-1.74%
200451.71%$9,810-0.34%$13,6730.03%$13,5601.71%-0.34%0.03%
200461.85%$9,9921.11%$13,8252.16%$13,8531.85%1.11%2.16%
20047-3.22%$9,6700.34%$13,872-1.30%$13,672-3.22%0.34%-1.30%
200480.24%$9,6932.07%$14,1591.46%$13,8720.24%2.07%1.46%
200491.00%$9,7910.66%$14,2531.51%$14,0811.00%0.66%1.51%
2004101.29%$9,9170.66%$14,3471.09%$14,2341.29%0.66%1.09%
2004114.45%$10,3580.89%$14,4762.62%$14,6074.45%0.89%2.62%
2004123.02%$10,6701.96%$14,7592.74%$15,0083.02%1.96%2.74%
20051-2.24%$10,431-0.09%$14,746-1.23%$14,824-2.24%-0.09%-1.23%
200522.09%$10,6491.25%$14,9302.28%$15,1622.09%1.25%2.28%
20053-1.83%$10,455-1.41%$14,719-1.54%$14,929-1.83%-1.41%-1.54%
20054-1.87%$10,2590.94%$14,857-0.64%$14,834-1.87%0.94%-0.64%
200553.22%$10,5891.07%$15,0161.65%$15,0793.22%1.07%1.65%
200560.15%$10,6050.87%$15,1470.70%$15,1840.15%0.87%0.70%
200573.83%$11,0110.09%$15,1612.22%$15,5223.83%0.09%2.22%
20058-0.94%$10,9080.78%$15,2790.88%$15,658-0.94%0.78%0.88%
200590.80%$10,995-0.25%$15,2411.07%$15,8250.80%-0.25%1.07%
200510-2.37%$10,735-1.34%$15,037-1.80%$15,541-2.37%-1.34%-1.80%
2005114.40%$11,2071.03%$15,1922.32%$15,9014.40%1.03%2.32%
200512-0.19%$11,1850.53%$15,2730.82%$16,032-0.19%0.53%0.82%
200612.40%$11,4540.85%$15,4042.57%$16,4442.40%0.85%2.57%
200620.57%$11,5200.80%$15,527-0.19%$16,4120.57%0.80%-0.19%
200631.65%$11,710-0.66%$15,4240.61%$16,5121.65%-0.66%0.61%
200641.26%$11,8581.09%$15,5921.93%$16,8311.26%1.09%1.93%
20065-3.01%$11,500-0.66%$15,490-1.36%$16,602-3.01%-0.66%-1.36%
200660.26%$11,5310.58%$15,5800.14%$16,6260.26%0.58%0.14%
200670.45%$11,5822.14%$15,9121.64%$16,8990.45%2.14%1.64%
200682.18%$11,8351.81%$16,2011.94%$17,2262.18%1.81%1.94%
200692.70%$12,1551.23%$16,4011.41%$17,4692.70%1.23%1.41%
2006103.15%$12,5381.64%$16,6702.60%$17,9233.15%1.64%2.60%
2006111.99%$12,7871.30%$16,8861.75%$18,2361.99%1.30%1.75%
2006121.34%$12,9580.65%$16,9961.07%$18,4321.34%0.65%1.07%
200711.50%$13,1530.32%$17,0500.68%$18,5571.50%0.32%0.68%
20072-1.96%$12,8950.91%$17,206-0.49%$18,466-1.96%0.91%-0.49%
200731.16%$13,0440.63%$17,3150.95%$18,6421.16%0.63%0.95%
200744.43%$13,6221.73%$17,6143.44%$19,2824.43%1.73%3.44%
200753.39%$14,0840.45%$17,6922.28%$19,7233.39%0.45%2.28%
20076-1.46%$13,878-1.19%$17,481-0.84%$19,558-1.46%-1.19%-0.84%
20077-3.13%$13,444-0.73%$17,354-1.47%$19,269-3.13%-0.73%-1.47%
200781.28%$13,6161.42%$17,6001.38%$19,5351.28%1.42%1.38%
200793.87%$14,1431.72%$17,9033.13%$20,1463.87%1.72%3.13%
2007101.36%$14,3350.94%$18,0710.98%$20,3441.36%0.94%0.98%
200711-3.87%$13,780-0.18%$18,039-1.31%$20,077-3.87%-0.18%-1.31%
200712-1.13%$13,624-0.50%$17,948-0.54%$19,968-1.13%-0.50%-0.54%
20081-6.05%$12,800-0.82%$17,800-2.85%$19,399-6.05%-0.82%-2.85%
20082-2.58%$12,469-1.29%$17,570-0.76%$19,252-2.58%-1.29%-0.76%
20083-0.90%$12,3560.38%$17,637-0.35%$19,185-0.90%0.38%-0.35%
200844.77%$12,9451.18%$17,8452.60%$19,6844.77%1.18%2.60%
200851.51%$13,141-0.56%$17,7450.91%$19,8631.51%-0.56%0.91%
20086-8.35%$12,044-3.41%$17,140-5.02%$18,866-8.35%-3.41%-5.02%
20087-0.90%$11,9360.15%$17,165-1.32%$18,617-0.90%0.15%-1.32%
200881.55%$12,1200.78%$17,3000.74%$18,7541.55%0.78%0.74%
20089-9.44%$10,976-3.47%$16,699-7.39%$17,368-9.44%-3.47%-7.39%
200810-16.52%$9,163-7.19%$15,498-12.18%$15,252-16.52%-7.19%-12.18%
200811-6.96%$8,5250.33%$15,549-2.06%$14,938-6.96%0.33%-2.06%
2008120.98%$8,6094.07%$16,1823.87%$15,5160.98%4.07%3.87%
20091-8.21%$7,902-4.62%$15,434-5.44%$14,672-8.21%-4.62%-5.44%
20092-10.74%$7,053-4.96%$14,669-6.45%$13,725-10.74%-4.96%-6.45%
200938.35%$7,6422.94%$15,1005.04%$14,4168.35%2.94%5.04%
200949.93%$8,4013.54%$15,6355.87%$15,2629.93%3.54%5.87%
200955.85%$8,8924.39%$16,3216.30%$16,2235.85%4.39%6.30%
20096-0.07%$8,8861.25%$16,5250.52%$16,307-0.07%1.25%0.52%
200977.46%$9,5495.68%$17,4635.71%$17,2397.46%5.68%5.71%
200983.69%$9,9022.32%$17,8692.70%$17,7053.69%2.32%2.70%
200993.55%$10,2531.87%$18,2032.54%$18,1553.55%1.87%2.54%
200910-1.92%$10,056-0.05%$18,194-0.47%$18,070-1.92%-0.05%-0.47%
2009116.16%$10,6753.20%$18,7774.54%$18,8916.16%3.20%4.54%
2009121.91%$10,879-0.01%$18,7750.37%$18,9601.91%-0.01%0.37%
20101-3.63%$10,483-0.29%$18,720-1.70%$18,638-3.63%-0.29%-1.70%
201023.12%$10,8101.08%$18,9221.48%$18,9143.12%1.08%1.48%
201036.09%$11,4691.99%$19,2993.93%$19,6576.09%1.99%3.93%
201041.55%$11,6461.49%$19,5870.74%$19,8031.55%1.49%0.74%
20105-7.95%$10,721-2.71%$19,057-5.38%$18,738-7.95%-2.71%-5.38%
20106-5.17%$10,1660.19%$19,093-2.17%$18,331-5.17%0.19%-2.17%
201076.83%$10,8613.49%$19,7605.42%$19,3256.83%3.49%5.42%
20108-4.50%$10,3720.86%$19,929-2.21%$18,898-4.50%0.86%-2.21%
201098.96%$11,3012.70%$20,4685.26%$19,8928.96%2.70%5.26%
2010103.82%$11,7330.88%$20,6482.13%$20,3153.82%0.88%2.13%
2010110.00%$11,733-0.92%$20,459-1.02%$20,1060.00%-0.92%-1.02%
2010126.68%$12,5171.54%$20,7744.61%$21,0346.68%1.54%4.61%
201112.33%$12,8090.65%$20,9081.99%$21,4532.33%0.65%1.99%
201123.47%$13,2531.88%$21,3002.30%$21,9473.47%1.88%2.30%
201130.01%$13,2550.14%$21,331-0.18%$21,9080.01%0.14%-0.18%
201142.90%$13,6392.58%$21,8812.80%$22,5212.90%2.58%2.80%
20115-1.12%$13,4860.84%$22,065-0.51%$22,405-1.12%0.84%-0.51%
20116-1.69%$13,258-1.06%$21,831-1.32%$22,109-1.69%-1.06%-1.32%
20117-2.00%$12,9930.04%$21,840-1.30%$21,821-2.00%0.04%-1.30%
20118-5.50%$12,279-0.27%$21,782-3.52%$21,053-5.50%-0.27%-3.52%
20119-6.94%$11,426-1.46%$21,463-4.12%$20,185-6.94%-1.46%-4.12%
20111010.91%$12,6734.03%$22,3297.12%$21,62310.91%4.03%7.12%
201111-0.41%$12,621-0.53%$22,211-0.64%$21,485-0.41%-0.53%-0.64%
2011121.04%$12,7532.53%$22,7741.67%$21,8441.04%2.53%1.67%
201214.64%$13,3451.88%$23,2013.29%$22,5624.64%1.88%3.29%
201224.34%$13,9241.28%$23,4992.56%$23,1404.34%1.28%2.56%
201233.22%$14,3720.46%$23,6071.53%$23,4943.22%0.46%1.53%
20124-0.67%$14,2760.93%$23,828-0.09%$23,473-0.67%0.93%-0.09%
20125-6.01%$13,418-1.43%$23,487-3.98%$22,539-6.01%-1.43%-3.98%
201264.05%$13,9622.00%$23,9563.22%$23,2654.05%2.00%3.22%
201271.18%$14,1272.44%$24,5421.46%$23,6041.18%2.44%1.46%
201282.51%$14,4810.53%$24,6731.23%$23,8942.51%0.53%1.23%
201292.54%$14,8480.86%$24,8851.93%$24,3562.54%0.86%1.93%
201210-1.82%$14,5780.25%$24,9460.00%$24,356-1.82%0.25%0.00%
2012110.57%$14,6610.29%$25,0170.18%$24,3990.57%0.29%0.18%
2012120.90%$14,7930.19%$25,0640.79%$24,5900.90%0.19%0.79%
201315.12%$15,5501.45%$25,4283.49%$25,4485.12%1.45%3.49%
201321.28%$15,7481.23%$25,7400.89%$25,6731.28%1.23%0.89%
201333.80%$16,3461.26%$26,0652.53%$26,3233.80%1.26%2.53%
201341.92%$16,6601.97%$26,5772.28%$26,9221.92%1.97%2.28%
201352.36%$17,054-0.87%$26,3470.65%$27,0982.36%-0.87%0.65%
20136-1.34%$16,826-1.59%$25,927-1.35%$26,732-1.34%-1.59%-1.35%
201375.17%$17,6952.04%$26,4553.55%$27,6815.17%2.04%3.55%
20138-3.00%$17,165-1.87%$25,959-2.23%$27,063-3.00%-1.87%-2.23%
201393.17%$17,7081.63%$26,3832.28%$27,6813.17%1.63%2.28%
2013104.63%$18,5282.10%$26,9352.78%$28,4514.63%2.10%2.78%
2013112.96%$19,0780.79%$27,1481.93%$28,9992.96%0.79%1.93%
2013122.59%$19,5720.81%$27,3671.47%$29,4262.59%0.81%1.47%
20141-3.52%$18,882-0.36%$27,268-1.53%$28,976-3.52%-0.36%-1.53%
201424.55%$19,7412.06%$27,8303.00%$29,8454.55%2.06%3.00%
201430.83%$19,9050.92%$28,0860.92%$30,1190.83%0.92%0.92%
201440.70%$20,0441.19%$28,4191.09%$30,4470.70%1.19%1.09%
201452.32%$20,5091.21%$28,7641.46%$30,8922.32%1.21%1.46%
201462.06%$20,9320.78%$28,9871.40%$31,3242.06%0.78%1.40%
20147-1.34%$20,651-1.00%$28,696-1.03%$31,002-1.34%-1.00%-1.03%
201483.95%$21,4661.99%$29,2672.46%$31,7643.95%1.99%2.46%
20149-1.38%$21,170-1.25%$28,900-1.36%$31,331-1.38%-1.25%-1.36%
2014102.36%$21,6681.17%$29,2381.56%$31,8212.36%1.17%1.56%
2014112.75%$22,2631.31%$29,6211.81%$32,3972.75%1.31%1.81%
201412-0.26%$22,206-0.16%$29,574-0.25%$32,316-0.26%-0.16%-0.25%
20151-2.96%$21,5480.55%$29,736-1.38%$31,870-2.96%0.55%-1.38%
201525.62%$22,7600.82%$29,9793.26%$32,9105.62%0.82%3.26%
20153-1.57%$22,401-0.10%$29,949-0.98%$32,589-1.57%-0.10%-0.98%
201540.98%$22,6210.51%$30,1001.10%$32,9460.98%0.51%1.10%
201551.29%$22,912-0.12%$30,0650.33%$33,0541.29%-0.12%0.33%
20156-2.03%$22,447-2.06%$29,446-1.94%$32,414-2.03%-2.06%-1.94%
201572.26%$22,9541.23%$29,8091.78%$32,9902.26%1.23%1.78%
20158-6.10%$21,555-2.16%$29,164-4.51%$31,503-6.10%-2.16%-4.51%
20159-2.54%$21,0070.11%$29,197-1.35%$31,078-2.54%0.11%-1.35%
2015108.51%$22,7943.40%$30,1905.44%$32,7688.51%3.40%5.44%
2015110.37%$22,8770.00%$30,1900.08%$32,7930.37%0.00%0.08%
201512-1.72%$22,484-0.79%$29,952-1.40%$32,334-1.72%-0.79%-1.40%
20161-4.98%$21,365-0.20%$29,891-2.77%$31,438-4.98%-0.20%-2.77%
20162-0.08%$21,3470.45%$30,025-0.25%$31,359-0.08%0.45%-0.25%
201636.72%$22,7833.52%$31,0805.08%$32,9506.72%3.52%5.08%
201640.39%$22,8730.91%$31,3631.45%$33,4280.39%0.91%1.45%
201651.70%$23,2620.59%$31,5480.79%$33,6931.70%0.59%0.79%
201660.35%$23,3432.18%$32,2350.78%$33,9550.35%2.18%0.78%
201673.65%$24,1941.38%$32,6812.39%$34,7653.65%1.38%2.39%
201680.12%$24,2230.00%$32,6810.20%$34,8360.12%0.00%0.20%
201690.01%$24,225-0.32%$32,578-0.13%$34,7910.01%-0.32%-0.13%
201610-1.73%$23,805-1.22%$32,179-1.16%$34,388-1.73%-1.22%-1.16%
2016113.68%$24,682-0.74%$31,9422.21%$35,1493.68%-0.74%2.21%
2016122.03%$25,1831.35%$32,3722.12%$35,8962.03%1.35%2.12%
201711.79%$25,6330.27%$32,4610.92%$36,2261.79%0.27%0.92%
201723.93%$26,6411.96%$33,0962.66%$37,1913.93%1.96%2.66%
201730.13%$26,674-0.04%$33,084-0.18%$37,1250.13%-0.04%-0.18%
201740.99%$26,9390.70%$33,3140.77%$37,4120.99%0.70%0.77%
201751.41%$27,3191.15%$33,6981.16%$37,8461.41%1.15%1.16%
201760.64%$27,4930.41%$33,8370.69%$38,1080.64%0.41%0.69%
201772.06%$28,0580.88%$34,1341.20%$38,5642.06%0.88%1.20%
201780.29%$28,1400.53%$34,3140.14%$38,6190.29%0.53%0.14%
201792.01%$28,7070.84%$34,6032.02%$39,4002.01%0.84%2.02%
2017102.36%$29,3830.90%$34,9151.38%$39,9432.36%0.90%1.38%
2017113.06%$30,2821.08%$35,2911.83%$40,6733.06%1.08%1.83%
2017121.21%$30,6481.08%$35,6731.25%$41,1811.21%1.08%1.25%
201815.64%$32,3750.56%$35,8712.88%$42,3665.64%0.56%2.88%
20182-3.64%$31,198-2.73%$34,892-3.58%$40,848-3.64%-2.73%-3.58%
20183-2.74%$30,342-0.27%$34,797-1.10%$40,399-2.74%-0.27%-1.10%
201840.52%$30,499-0.50%$34,6240.29%$40,5170.52%-0.50%0.29%
201852.43%$31,2410.65%$34,8500.61%$40,7632.43%0.65%0.61%
201860.58%$31,4200.16%$34,907-0.14%$40,7050.58%0.16%-0.14%
201873.70%$32,5842.04%$35,6183.37%$42,0753.70%2.04%3.37%
201883.19%$33,6250.57%$35,8191.13%$42,5513.19%0.57%1.13%
201890.59%$33,825-0.23%$35,7380.26%$42,6620.59%-0.23%0.26%
201810-6.91%$31,487-2.27%$34,926-3.93%$40,984-6.91%-2.27%-3.93%
2018111.85%$32,0711.63%$35,4942.02%$41,8131.85%1.63%2.02%
201812-8.79%$29,251-2.08%$34,756-4.88%$39,771-8.79%-2.08%-4.88%
201918.01%$31,5933.23%$35,8794.42%$41,5288.01%3.23%4.42%
201923.24%$32,6171.51%$36,4202.45%$42,5463.24%1.51%2.45%
201931.81%$33,2071.88%$37,1031.56%$43,2081.81%1.88%1.56%
201944.09%$34,5631.08%$37,5052.42%$44,2544.09%1.08%2.42%
20195-6.38%$32,359-0.65%$37,261-2.83%$43,004-6.38%-0.65%-2.83%
201966.96%$34,6113.14%$38,4334.39%$44,8906.96%3.14%4.39%
201971.51%$35,1350.49%$38,6201.14%$45,4011.51%0.49%1.14%
20198-1.67%$34,5461.68%$39,2700.38%$45,574-1.67%1.68%0.38%
201991.95%$35,2190.59%$39,5031.63%$46,3171.95%0.59%1.63%
2019102.21%$35,9980.63%$39,7501.42%$46,9732.21%0.63%1.42%
2019113.62%$37,3010.62%$39,9971.67%$47,7593.62%0.62%1.67%
2019122.90%$38,3841.14%$40,4532.02%$48,7232.90%1.14%2.02%
20201-0.04%$38,3681.28%$40,9710.35%$48,892-0.04%1.28%0.35%
20202-7.92%$35,331-2.46%$39,964-5.33%$46,286-7.92%-2.46%-5.33%
20203-12.46%$30,927-6.28%$37,452-9.25%$42,003-12.46%-6.28%-9.25%
2020412.70%$34,8545.70%$39,5877.98%$45,35412.70%5.70%7.98%
202054.76%$36,5152.11%$40,4232.82%$46,6334.76%2.11%2.82%
202061.78%$37,1640.47%$40,6140.86%$47,0351.78%0.47%0.86%
202075.89%$39,3522.81%$41,7564.60%$49,1985.89%2.81%4.60%
202086.98%$42,0990.22%$41,8463.29%$50,8156.98%0.22%3.29%
20209-3.74%$40,524-0.70%$41,552-1.97%$49,814-3.74%-0.70%-1.97%
202010-2.49%$39,514-1.27%$41,023-1.49%$49,070-2.49%-1.27%-1.49%
20201110.88%$43,8125.72%$43,3687.46%$52,73010.88%5.72%7.46%
2020123.71%$45,4361.16%$43,8732.20%$53,8883.71%1.16%2.20%
20211-1.02%$44,973-1.27%$43,315-1.15%$53,268-1.02%-1.27%-1.15%
202122.78%$46,2240.64%$43,5941.51%$54,0702.78%0.64%1.51%
202134.54%$48,3221.69%$44,3313.19%$55,7934.54%1.69%3.19%
202145.29%$50,8792.00%$45,2204.16%$58,1165.29%2.00%4.16%
202150.66%$51,2131.41%$45,8590.82%$58,5930.66%1.41%0.82%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
Large-cap Value45.87%24.76%28.75%
Large-cap Growth53.88%6.93%24.01%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.08%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%3.59%8.53%
Emerging Markets0.02%0.00%0.93%
Corporate Bonds0.14%22.64%15.25%
Long-Term Treasuries0.00%6.65%1.55%
Intermediate-Term Treasuries0.00%9.58%0.09%
Short-Term Treasuries0.00%25.84%20.89%
R Squared99.91%93.67%97.39%
Style analysis is based on monthly returns from April 2005 to May 2021 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 S&P 500 (SPY)

Holdings Based Style Analysis for S&P 500 (SPY)
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%1.25%0.09%26.07$41,213100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard Wellesley Income IVWINX)

Holdings Based Style Analysis for Vanguard Wellesley Income IVWINX)
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%1.85%0.22%22.167.77$35,859100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vaguaard Wellington (VWELX)

Holdings Based Style Analysis for Vaguaard Wellington (VWELX)
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWELXVanguard Wellington Inv50% to 70% Equity100.00%1.32%0.24%28.047.87$48,593100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (c) 2021 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
MetricS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
Arithmetic Mean (monthly)0.70%0.58%0.70%
Arithmetic Mean (annualized)8.77%7.22%8.71%
Geometric Mean (monthly)0.61%0.57%0.66%
Geometric Mean (annualized)7.56%7.03%8.21%
Volatility (monthly)4.32%1.73%2.78%
Volatility (annualized)14.97%6.01%9.63%
Downside Deviation (monthly)2.91%1.04%1.78%
Max. Drawdown-50.80%-18.82%-32.53%
US Market Correlation0.990.710.90
Beta(*)0.960.280.56
Alpha (annualized)-0.16%4.51%3.34%
R297.85%50.66%81.25%
Sharpe Ratio0.450.870.69
Sortino Ratio0.651.401.05
Treynor Ratio (%)7.0519.1811.93
Calmar Ratio0.921.120.91
Active Return-0.52%-1.04%0.13%
Tracking Error2.30%11.99%8.00%
Information Ratio-0.22-0.090.02
Skewness-0.50-0.50-0.64
Excess Kurtosis1.042.912.20
Historical Value-at-Risk (5%)-7.43%-2.23%-4.35%
Analytical Value-at-Risk (5%)-6.40%-2.27%-3.87%
Conditional Value-at-Risk (5%)-9.57%-3.72%-6.24%
Upside Capture Ratio (%)93.9134.7861.36
Downside Capture Ratio (%)95.4616.7149.64
Safe Withdrawal Rate5.05%6.90%7.16%
Perpetual Withdrawal Rate5.04%4.56%5.62%
Positive Periods169 out of 269 (62.83%)186 out of 269 (69.14%)177 out of 269 (65.80%)
Gain/Loss Ratio0.891.080.99
* 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 PeriodStartEndS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
Dotcom CrashMar 2000Oct 2002-44.71%-4.78%-15.11%
Subprime CrisisNov 2007Mar 2009-50.80%-18.82%-32.53%

Drawdowns for S&P 500 (SPY)

Drawdowns for S&P 500 (SPY) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.71%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.43%
8May 2019May 20191 monthJun 20191 month2 months-6.38%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
Worst 10 drawdowns included above

Drawdowns for Vanguard Wellesley Income IVWINX)

Drawdowns for Vanguard Wellesley Income IVWINX) (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%
5Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
6Jan 1999Feb 19992 monthsApr 19992 months4 months-3.39%
7Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
8May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
9Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
10May 2010May 20101 monthJul 20102 months3 months-2.71%
Worst 10 drawdowns included above

Drawdowns for Vaguaard Wellington (VWELX)

Drawdowns for Vaguaard Wellington (VWELX) (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%
6Jun 2001Sep 20014 monthsFeb 20025 months9 months-7.26%
7Oct 2018Dec 20183 monthsMar 20193 months6 months-6.78%
8Jun 2015Sep 20154 monthsApr 20167 months11 months-5.98%
9Feb 2018Mar 20182 monthsAug 20185 months7 months-4.64%
10Apr 2012May 20122 monthsJul 20122 months4 months-4.06%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust7.56%14.97%32.31%-36.81%-50.80%0.450.650.99
VWINXVanguard Wellesley Income Inv7.03%6.01%16.39%-9.84%-18.82%0.871.400.71
VWELXVanguard Wellington Inv8.21%9.63%22.51%-22.30%-32.53%0.691.050.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVWINXVWELXS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
SPYSPDR S&P 500 ETF Trust1.000.740.921.000.740.92
VWINXVanguard Wellesley Income Inv0.741.000.890.741.000.89
VWELXVanguard Wellington Inv0.920.891.000.920.891.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
SPYSPDR S&P 500 ETF Trust$41,213
VWINXVanguard Wellesley Income Inv$35,859
VWELXVanguard Wellington Inv$48,593

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
SPYSPDR S&P 500 ETF Trust100.00%
VWINXVanguard Wellesley Income Inv100.00%
VWELXVanguard Wellington Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodS&P 500 (SPY)Vanguard Wellesley Income IVWINX)Vaguaard Wellington (VWELX)
AverageHighLowAverageHighLowAverageHighLow
1 year8.21%56.25%-43.44%7.30%28.99%-16.51%8.37%37.81%-28.71%
3 years6.98%25.45%-16.28%7.09%17.01%-1.88%7.89%19.02%-5.79%
5 years7.42%22.86%-6.67%7.08%13.66%0.97%8.04%16.81%-0.22%
7 years7.40%17.14%-3.91%7.08%10.86%2.65%7.99%12.53%1.76%
10 years6.98%16.55%-3.45%7.13%9.52%4.27%7.74%11.98%3.47%
15 years7.28%10.47%3.67%7.10%8.19%6.39%7.97%9.45%6.78%