Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Portfolio Analysis Results (Aug 2000 - Dec 2016)

Portfolio Allocations

Vanguard Conservative Growth (VSCGX)
Ticker Name Allocation
VSCGX Vanguard LifeStrategy Cnsrv Gr Inv 100.00%
Save portfolio »
Vanguard Moderate Growth (VSMGX)
Ticker Name Allocation
VSMGX Vanguard LifeStrategy Moderate Gr Inv 100.00%
Save portfolio »
Vanguard Growth (VASGX)
Ticker Name Allocation
VASGX Vanguard LifeStrategy Growth Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Conservative Growth (VSCGX)$10,000$21,256 4.70% 7.03%17.06%-19.52%-27.96% 0.470.670.95
Vanguard Moderate Growth (VSMGX)$10,000$21,547 4.79% 9.92%22.40%-26.50%-37.84% 0.370.510.98
Vanguard Growth (VASGX)$10,000$20,681 4.53% 13.01%28.52%-34.39%-47.55% 0.290.400.99
Vanguard 500 Index Investor$10,000$21,190 4.68% 14.83%32.18%-37.02%-50.97% 0.280.390.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Vanguard Conservative Growth (VSCGX)-1.01%5.96%4.20%6.15%4.39%4.70%4.63%4.62%
Vanguard Moderate Growth (VSMGX)-0.14%7.13%4.48%7.96%4.69%4.79%6.56%6.57%
Vanguard Growth (VASGX)0.76%8.33%4.69%9.73%4.65%4.53%8.68%8.67%
Vanguard 500 Index Investor3.80%11.82%8.72%14.49%6.82%4.68%10.74%10.36%
Trailing annualized return and volatility are for full months ending in December 2016 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 2000 are based on monthly returns from August to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index InvestorVanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)Vanguard LifeStrategy Growth Inv (VASGX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20000.69%0.59%$10,059-1.89%$9,811-4.74%$9,526-7.28%$9,2720.59%-1.89%-4.74%
20011.55%-0.08%$10,051-4.48%$9,371-8.86%$8,683-12.02%$8,157-0.08%-4.48%-8.86%
20022.38%-5.36%$9,511-10.32%$8,404-15.84%$7,308-22.15%$6,351-5.36%-10.32%-15.84%
20031.88%16.57%$11,08822.40%$10,28728.52%$9,39228.50%$8,16116.57%22.40%28.52%
20043.26%8.01%$11,97610.56%$11,37312.57%$10,57310.74%$9,0378.01%10.56%12.57%
20053.42%4.45%$12,5105.69%$12,0206.88%$11,3014.77%$9,4694.45%5.69%6.88%
20062.54%10.62%$13,83913.31%$13,61916.13%$13,12315.64%$10,95010.62%13.31%16.13%
20074.08%6.99%$14,8067.36%$14,6227.46%$14,1025.39%$11,5406.99%7.36%7.46%
20080.09%-19.52%$11,916-26.50%$10,747-34.39%$9,252-37.02%$7,268-19.52%-26.50%-34.39%
20092.72%17.06%$13,94820.33%$12,93224.99%$11,56426.49%$9,19217.06%20.33%24.99%
20101.50%11.14%$15,50213.31%$14,65415.06%$13,30614.91%$10,56311.14%13.31%15.06%
20112.96%1.76%$15,7750.26%$14,692-2.28%$13,0021.97%$10,7711.76%0.26%-2.28%
20121.74%9.19%$17,22411.76%$16,42114.38%$14,87115.82%$12,4759.19%11.76%14.38%
20131.50%9.08%$18,78815.04%$18,89121.20%$18,02432.18%$16,4899.08%15.04%21.20%
20140.76%6.95%$20,0947.07%$20,2277.18%$19,31713.51%$18,7176.95%7.07%7.18%
20150.73%-0.17%$20,060-0.57%$20,112-1.17%$19,0901.25%$18,951-0.17%-0.57%-1.17%
20162.07%5.96%$21,2567.13%$21,5478.33%$20,68111.82%$21,1905.96%7.13%8.33%
Annual return for 2000 is from 08/01/2000 to 12/31/2000
Monthly returns for the configured portfolios
YearMonthVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index InvestorVanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)Vanguard LifeStrategy Growth Inv (VASGX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
200083.12%$10,3124.11%$10,4114.97%$10,4976.19%$10,6193.12%4.11%4.97%
20009-1.61%$10,146-2.78%$10,122-3.83%$10,096-5.29%$10,057-1.61%-2.78%-3.83%
200010-0.20%$10,126-0.66%$10,056-1.28%$9,967-0.43%$10,014-0.20%-0.66%-1.28%
200011-2.25%$9,898-4.15%$9,639-6.19%$9,350-7.89%$9,224-2.25%-4.15%-6.19%
2000121.62%$10,0591.79%$9,8111.89%$9,5260.51%$9,2721.62%1.79%1.89%
200112.24%$10,2852.61%$10,0672.86%$9,7993.55%$9,6002.24%2.61%2.86%
20012-3.52%$9,922-5.54%$9,509-7.44%$9,069-9.14%$8,723-3.52%-5.54%-7.44%
20013-2.54%$9,670-4.06%$9,123-5.57%$8,564-6.36%$8,169-2.54%-4.06%-5.57%
200143.36%$9,9954.88%$9,5686.61%$9,1307.77%$8,8033.36%4.88%6.61%
200150.55%$10,0510.48%$9,6140.27%$9,1540.65%$8,8610.55%0.48%0.27%
20016-0.49%$10,002-1.07%$9,511-1.65%$9,003-2.45%$8,644-0.49%-1.07%-1.65%
200170.77%$10,0790.06%$9,517-0.71%$8,939-1.00%$8,5580.77%0.06%-0.71%
20018-1.80%$9,897-2.92%$9,239-4.19%$8,565-6.27%$8,021-1.80%-2.92%-4.19%
20019-3.08%$9,592-5.20%$8,759-7.30%$7,940-8.09%$7,372-3.08%-5.20%-7.30%
2001102.13%$9,7972.51%$8,9792.67%$8,1521.90%$7,5112.13%2.51%2.67%
2001112.38%$10,0303.80%$9,3205.37%$8,5907.65%$8,0862.38%3.80%5.37%
2001120.21%$10,0510.55%$9,3711.08%$8,6830.87%$8,1570.21%0.55%1.08%
20021-0.21%$10,029-0.75%$9,301-1.32%$8,568-1.47%$8,037-0.21%-0.75%-1.32%
20022-0.29%$10,001-0.63%$9,242-1.10%$8,474-1.94%$7,881-0.29%-0.63%-1.10%
200230.93%$10,0942.04%$9,4303.23%$8,7483.74%$8,1760.93%2.04%3.23%
20024-1.14%$9,978-2.00%$9,242-3.02%$8,484-6.07%$7,680-1.14%-2.00%-3.02%
200250.14%$9,993-0.13%$9,230-0.41%$8,449-0.75%$7,6220.14%-0.13%-0.41%
20026-2.81%$9,712-4.08%$8,854-5.42%$7,991-7.13%$7,078-2.81%-4.08%-5.42%
20027-3.14%$9,407-4.98%$8,413-6.79%$7,448-7.72%$6,532-3.14%-4.98%-6.79%
200281.00%$9,5010.92%$8,4900.61%$7,4930.65%$6,5741.00%0.92%0.61%
20029-4.67%$9,057-6.95%$7,900-9.26%$6,800-10.87%$5,859-4.67%-6.95%-9.26%
2002103.72%$9,3955.36%$8,3236.80%$7,2628.78%$6,3743.72%5.36%6.80%
2002112.97%$9,6734.01%$8,6575.19%$7,6395.88%$6,7482.97%4.01%5.19%
200212-1.67%$9,511-2.92%$8,404-4.33%$7,308-5.89%$6,351-1.67%-2.92%-4.33%
20031-1.25%$9,393-1.87%$8,247-2.44%$7,130-2.62%$6,184-1.25%-1.87%-2.44%
20032-0.24%$9,370-0.81%$8,180-1.43%$7,028-1.52%$6,090-0.24%-0.81%-1.43%
200330.47%$9,4150.44%$8,2170.43%$7,0580.96%$6,1480.47%0.44%0.43%
200344.44%$9,8326.12%$8,7197.71%$7,6038.25%$6,6564.44%6.12%7.71%
200353.64%$10,1904.66%$9,1255.42%$8,0155.26%$7,0063.64%4.66%5.42%
200360.72%$10,2641.05%$9,2211.45%$8,1311.26%$7,0940.72%1.05%1.45%
20037-0.22%$10,2420.40%$9,2581.57%$8,2591.74%$7,218-0.22%0.40%1.57%
200381.17%$10,3621.72%$9,4172.05%$8,4281.93%$7,3581.17%1.72%2.05%
200391.02%$10,4670.71%$9,4840.18%$8,444-1.07%$7,2791.02%0.71%0.18%
2003102.31%$10,7093.61%$9,8275.03%$8,8695.64%$7,6892.31%3.61%5.03%
2003110.71%$10,7851.00%$9,9251.27%$8,9810.86%$7,7560.71%1.00%1.27%
2003122.81%$11,0883.65%$10,2874.57%$9,3925.22%$8,1612.81%3.65%4.57%
200411.31%$11,2331.69%$10,4601.87%$9,5681.82%$8,3091.31%1.69%1.87%
200421.22%$11,3701.42%$10,6091.57%$9,7181.38%$8,4241.22%1.42%1.57%
20043-0.07%$11,363-0.29%$10,578-0.59%$9,661-1.51%$8,296-0.07%-0.29%-0.59%
20044-2.23%$11,110-2.40%$10,324-2.36%$9,433-1.58%$8,165-2.23%-2.40%-2.36%
200450.34%$11,1480.60%$10,3860.93%$9,5211.36%$8,2760.34%0.60%0.93%
200461.17%$11,2781.55%$10,5461.85%$9,6971.93%$8,4361.17%1.55%1.85%
20047-1.10%$11,154-1.96%$10,340-2.85%$9,421-3.31%$8,157-1.10%-1.96%-2.85%
200481.18%$11,2861.09%$10,4530.77%$9,4940.38%$8,1881.18%1.09%0.77%
200490.82%$11,3791.26%$10,5841.59%$9,6451.07%$8,2750.82%1.26%1.59%
2004101.16%$11,5111.54%$10,7471.78%$9,8171.51%$8,4011.16%1.54%1.78%
2004111.89%$11,7282.97%$11,0664.19%$10,2294.05%$8,7411.89%2.97%4.19%
2004122.12%$11,9762.77%$11,3733.36%$10,5733.39%$9,0372.12%2.77%3.36%
20051-0.92%$11,867-1.40%$11,214-2.00%$10,362-2.45%$8,815-0.92%-1.40%-2.00%
200520.93%$11,9761.53%$11,3862.19%$10,5892.09%$9,0000.93%1.53%2.19%
20053-1.11%$11,843-1.51%$11,214-1.79%$10,399-1.76%$8,842-1.11%-1.51%-1.79%
20054-0.53%$11,780-1.08%$11,094-1.83%$10,209-1.91%$8,672-0.53%-1.08%-1.83%
200551.94%$12,0092.40%$11,3602.79%$10,4943.17%$8,9471.94%2.40%2.79%
200560.53%$12,0720.62%$11,4300.65%$10,5620.13%$8,9590.53%0.62%0.65%
200571.58%$12,2632.41%$11,7063.42%$10,9243.71%$9,2911.58%2.41%3.42%
200580.26%$12,2940.16%$11,725-0.10%$10,913-0.91%$9,2060.26%0.16%-0.10%
200590.20%$12,3190.60%$11,7961.22%$11,0460.79%$9,2790.20%0.60%1.22%
200510-1.17%$12,175-1.63%$11,603-1.97%$10,828-1.68%$9,123-1.17%-1.63%-1.97%
2005112.03%$12,4222.71%$11,9183.39%$11,1953.76%$9,4672.03%2.71%3.39%
2005120.70%$12,5100.86%$12,0200.94%$11,3010.02%$9,4690.70%0.86%0.94%
200611.74%$12,7282.54%$12,3263.43%$11,6882.65%$9,7191.74%2.54%3.43%
200620.13%$12,7440.11%$12,339-0.05%$11,6830.26%$9,7450.13%0.11%-0.05%
200630.57%$12,8170.95%$12,4561.61%$11,8711.23%$9,8650.57%0.95%1.61%
200640.82%$12,9221.15%$12,5991.63%$12,0651.33%$9,9960.82%1.15%1.63%
20065-1.45%$12,735-2.17%$12,326-2.90%$11,715-2.90%$9,707-1.45%-2.17%-2.90%
200660.14%$12,7530.13%$12,3420.11%$11,7280.13%$9,7190.14%0.13%0.11%
200670.71%$12,8440.59%$12,4140.37%$11,7720.61%$9,7780.71%0.59%0.37%
200681.85%$13,0812.18%$12,6842.31%$12,0432.36%$10,0091.85%2.18%2.31%
200691.51%$13,2791.66%$12,8951.85%$12,2662.56%$10,2651.51%1.66%1.85%
2006101.99%$13,5422.66%$13,2383.23%$12,6623.25%$10,5991.99%2.66%3.23%
2006111.58%$13,7571.94%$13,4952.27%$12,9501.89%$10,7991.58%1.94%2.27%
2006120.60%$13,8390.92%$13,6191.34%$13,1231.39%$10,9500.60%0.92%1.34%
200710.84%$13,9551.13%$13,7731.42%$13,3101.49%$11,1130.84%1.13%1.42%
20072-0.12%$13,939-0.58%$13,693-1.07%$13,167-1.97%$10,894-0.12%-0.58%-1.07%
200730.72%$14,0380.98%$13,8271.25%$13,3321.11%$11,0150.72%0.98%1.25%
200742.21%$14,3492.95%$14,2353.63%$13,8164.42%$11,5022.21%2.95%3.63%
200751.40%$14,5502.11%$14,5362.98%$14,2283.48%$11,9021.40%2.11%2.98%
20076-0.69%$14,450-0.96%$14,396-1.08%$14,074-1.68%$11,703-0.69%-0.96%-1.08%
20077-0.94%$14,314-1.65%$14,159-2.36%$13,742-3.08%$11,342-0.94%-1.65%-2.36%
200781.06%$14,4671.20%$14,3281.05%$13,8861.50%$11,5111.06%1.20%1.05%
200792.17%$14,7802.88%$14,7413.59%$14,3853.72%$11,9402.17%2.88%3.59%
2007101.56%$15,0101.97%$15,0322.39%$14,7291.58%$12,1291.56%1.97%2.39%
200711-1.14%$14,840-2.25%$14,694-3.54%$14,208-4.19%$11,621-1.14%-2.25%-3.54%
200712-0.23%$14,806-0.49%$14,622-0.75%$14,102-0.70%$11,540-0.23%-0.49%-0.75%
20081-2.28%$14,469-3.91%$14,049-5.58%$13,314-6.02%$10,845-2.28%-3.91%-5.58%
20082-1.31%$14,279-1.82%$13,794-2.32%$13,005-3.25%$10,493-1.31%-1.82%-2.32%
20083-0.30%$14,236-0.30%$13,753-0.48%$12,943-0.44%$10,447-0.30%-0.30%-0.48%
200842.32%$14,5663.46%$14,2294.56%$13,5334.85%$10,9542.32%3.46%4.56%
200850.66%$14,6620.97%$14,3661.54%$13,7421.29%$11,0950.66%0.97%1.54%
20086-4.25%$14,038-5.92%$13,516-7.57%$12,701-8.44%$10,159-4.25%-5.92%-7.57%
20087-0.56%$13,959-0.83%$13,405-1.16%$12,554-0.83%$10,074-0.56%-0.83%-1.16%
200880.63%$14,0470.63%$13,4880.45%$12,6101.45%$10,2200.63%0.63%0.45%
20089-5.77%$13,237-7.15%$12,525-8.92%$11,486-8.91%$9,310-5.77%-7.15%-8.92%
200810-10.09%$11,901-13.22%$10,869-16.62%$9,577-16.79%$7,747-10.09%-13.22%-16.62%
200811-2.08%$11,654-3.73%$10,464-5.93%$9,009-7.17%$7,191-2.08%-3.73%-5.93%
2008122.25%$11,9162.71%$10,7472.69%$9,2521.07%$7,2682.25%2.71%2.69%
20091-4.14%$11,423-6.30%$10,070-8.06%$8,506-8.41%$6,656-4.14%-6.30%-8.06%
20092-5.33%$10,814-7.22%$9,343-9.18%$7,725-10.66%$5,947-5.33%-7.22%-9.18%
200934.99%$11,3536.64%$9,9638.08%$8,3508.76%$6,4684.99%6.64%8.08%
200945.24%$11,9497.01%$10,6629.21%$9,1199.56%$7,0865.24%7.01%9.21%
200953.55%$12,3724.48%$11,1395.83%$9,6515.62%$7,4843.55%4.48%5.83%
200960.43%$12,4260.25%$11,1670.11%$9,6610.22%$7,5000.43%0.25%0.11%
200974.54%$12,9895.81%$11,8167.13%$10,3507.58%$8,0694.54%5.81%7.13%
200982.31%$13,2892.75%$12,1403.27%$10,6883.60%$8,3592.31%2.75%3.27%
200992.46%$13,6163.21%$12,5303.88%$11,1033.72%$8,6702.46%3.21%3.88%
200910-0.60%$13,534-1.27%$12,371-1.89%$10,893-1.87%$8,508-0.60%-1.27%-1.89%
2009113.11%$13,9544.02%$12,8694.77%$11,4125.98%$9,0173.11%4.02%4.77%
200912-0.04%$13,9480.50%$12,9321.33%$11,5641.95%$9,192-0.04%0.50%1.33%
20101-0.66%$13,856-1.70%$12,713-2.76%$11,245-3.60%$8,861-0.66%-1.70%-2.76%
201021.40%$14,0501.78%$12,9402.26%$11,4993.09%$9,1351.40%1.78%2.26%
201032.58%$14,4123.79%$13,4295.09%$12,0846.01%$9,6842.58%3.79%5.09%
201041.22%$14,5881.36%$13,6121.42%$12,2561.58%$9,8371.22%1.36%1.42%
20105-2.99%$14,153-4.62%$12,984-6.61%$11,446-8.01%$9,050-2.99%-4.62%-6.61%
20106-1.31%$13,967-2.42%$12,669-3.59%$11,034-5.24%$8,576-1.31%-2.42%-3.59%
201073.80%$14,4985.18%$13,3256.52%$11,7547.00%$9,1763.80%5.18%6.52%
20108-1.09%$14,340-2.10%$13,045-3.24%$11,373-4.53%$8,760-1.09%-2.10%-3.24%
201094.09%$14,9275.99%$13,8277.90%$12,2728.92%$9,5414.09%5.99%7.90%
2010101.82%$15,1992.45%$14,1663.15%$12,6583.79%$9,9031.82%2.45%3.15%
201011-0.49%$15,124-0.52%$14,092-0.56%$12,5870.00%$9,903-0.49%-0.52%-0.56%
2010122.50%$15,5023.99%$14,6545.71%$13,3066.67%$10,5632.50%3.99%5.71%
201110.92%$15,6441.12%$14,8191.45%$13,4992.36%$10,8120.92%1.12%1.45%
201121.57%$15,8912.27%$15,1562.86%$13,8853.42%$11,1821.57%2.27%2.86%
201130.12%$15,9110.15%$15,1780.17%$13,9090.03%$11,1850.12%0.15%0.17%
201142.27%$16,2722.86%$15,6123.34%$14,3732.95%$11,5142.27%2.86%3.34%
20115-0.18%$16,244-0.62%$15,515-1.22%$14,198-1.15%$11,382-0.18%-0.62%-1.22%
20116-0.96%$16,087-1.22%$15,326-1.50%$13,985-1.67%$11,192-0.96%-1.22%-1.50%
20117-0.30%$16,039-0.84%$15,197-1.61%$13,761-2.05%$10,963-0.30%-0.84%-1.61%
20118-2.63%$15,618-3.92%$14,601-5.56%$12,996-5.45%$10,366-2.63%-3.92%-5.56%
20119-3.54%$15,065-5.27%$13,831-7.29%$12,049-7.04%$9,636-3.54%-5.27%-7.29%
2011104.66%$15,7676.66%$14,7528.87%$13,11710.91%$10,6874.66%6.66%8.87%
201111-0.55%$15,681-0.72%$14,646-0.93%$12,996-0.23%$10,662-0.55%-0.72%-0.93%
2011120.60%$15,7750.31%$14,6920.05%$13,0021.02%$10,7710.60%0.31%0.05%
201212.77%$16,2123.81%$15,2524.79%$13,6244.46%$11,2522.77%3.81%4.79%
201221.80%$16,5042.66%$15,6583.57%$14,1114.31%$11,7361.80%2.66%3.57%
201230.41%$16,5710.88%$15,7971.44%$14,3153.28%$12,1220.41%0.88%1.44%
201240.29%$16,620-0.10%$15,781-0.56%$14,235-0.64%$12,0440.29%-0.10%-0.56%
20125-2.53%$16,200-4.28%$15,106-5.97%$13,384-6.02%$11,319-2.53%-4.28%-5.97%
201261.77%$16,4862.69%$15,5133.58%$13,8634.11%$11,7841.77%2.69%3.58%
201271.19%$16,6831.10%$15,6840.99%$14,0001.37%$11,9461.19%1.10%0.99%
201281.12%$16,8691.58%$15,9312.08%$14,2922.24%$12,2131.12%1.58%2.08%
201291.18%$17,0681.80%$16,2172.30%$14,6212.58%$12,5281.18%1.80%2.30%
201210-0.35%$17,009-0.62%$16,117-0.81%$14,503-1.86%$12,295-0.35%-0.62%-0.81%
2012110.58%$17,1080.72%$16,2330.90%$14,6330.56%$12,3640.58%0.72%0.90%
2012120.68%$17,2241.16%$16,4211.63%$14,8710.90%$12,4750.68%1.16%1.63%
201311.53%$17,4882.68%$16,8603.73%$15,4275.18%$13,1211.53%2.68%3.73%
201320.52%$17,5800.52%$16,9480.54%$15,5091.34%$13,2970.52%0.52%0.54%
201331.28%$17,8051.84%$17,2602.39%$15,8803.74%$13,7941.28%1.84%2.39%
201341.43%$18,0601.71%$17,5551.97%$16,1921.91%$14,0571.43%1.71%1.97%
20135-0.73%$17,927-0.27%$17,5080.24%$16,2312.33%$14,384-0.73%-0.27%0.24%
20136-1.74%$17,615-1.78%$17,197-1.89%$15,925-1.35%$14,190-1.74%-1.78%-1.89%
201372.21%$18,0053.19%$17,7454.21%$16,5955.07%$14,9102.21%3.19%4.21%
20138-1.37%$17,759-1.73%$17,439-2.10%$16,247-2.91%$14,476-1.37%-1.73%-2.10%
201392.49%$18,2003.19%$17,9953.97%$16,8923.12%$14,9282.49%3.19%3.97%
2013102.04%$18,5712.69%$18,4803.32%$17,4534.59%$15,6122.04%2.69%3.32%
2013110.67%$18,6951.14%$18,6891.59%$17,7303.03%$16,0850.67%1.14%1.59%
2013120.50%$18,7881.08%$18,8911.66%$18,0242.51%$16,4890.50%1.08%1.66%
20141-0.50%$18,694-1.56%$18,597-2.57%$17,560-3.47%$15,917-0.50%-1.56%-2.57%
201422.23%$19,1103.12%$19,1774.01%$18,2654.56%$16,6432.23%3.12%4.01%
201430.18%$19,1450.30%$19,2350.39%$18,3370.82%$16,7800.18%0.30%0.39%
201440.60%$19,2600.55%$19,3410.50%$18,4280.72%$16,9020.60%0.55%0.50%
201451.47%$19,5431.65%$19,6601.84%$18,7682.33%$17,2971.47%1.65%1.84%
201461.02%$19,7421.44%$19,9421.89%$19,1222.05%$17,6521.02%1.44%1.89%
20147-0.75%$19,594-1.12%$19,719-1.48%$18,838-1.39%$17,407-0.75%-1.12%-1.48%
201481.99%$19,9842.39%$20,1902.80%$19,3663.98%$18,1001.99%2.39%2.80%
20149-1.57%$19,670-2.04%$19,777-2.52%$18,878-1.41%$17,844-1.57%-2.04%-2.52%
2014101.34%$19,9341.54%$20,0831.71%$19,2012.42%$18,2761.34%1.54%1.71%
2014111.11%$20,1561.32%$20,3471.44%$19,4782.68%$18,7671.11%1.32%1.44%
201412-0.31%$20,094-0.59%$20,227-0.82%$19,317-0.26%$18,717-0.31%-0.59%-0.82%
201510.54%$20,203-0.25%$20,177-1.08%$19,110-3.02%$18,1520.54%-0.25%-1.08%
201521.67%$20,5412.96%$20,7734.32%$19,9345.74%$19,1941.67%2.96%4.32%
20153-0.15%$20,510-0.49%$20,672-0.84%$19,767-1.59%$18,888-0.15%-0.49%-0.84%
201540.43%$20,5970.89%$20,8571.36%$20,0350.95%$19,0670.43%0.89%1.36%
201550.00%$20,5970.20%$20,8990.44%$20,1221.27%$19,3100.00%0.20%0.44%
20156-1.49%$20,291-1.61%$20,561-1.81%$19,757-1.93%$18,937-1.49%-1.61%-1.81%
201570.87%$20,4670.87%$20,7400.82%$19,9202.08%$19,3310.87%0.87%0.82%
20158-2.80%$19,895-4.01%$19,908-5.27%$18,870-6.05%$18,162-2.80%-4.01%-5.27%
20159-0.83%$19,730-1.70%$19,569-2.51%$18,396-2.48%$17,711-0.83%-1.70%-2.51%
2015102.91%$20,3054.38%$20,4265.78%$19,4598.42%$19,2022.91%4.38%5.78%
201511-0.11%$20,283-0.17%$20,392-0.17%$19,4260.29%$19,257-0.11%-0.17%-0.17%
201512-1.10%$20,060-1.37%$20,112-1.73%$19,090-1.59%$18,951-1.10%-1.37%-1.73%
20161-1.35%$19,790-2.78%$19,554-4.18%$18,292-4.98%$18,007-1.35%-2.78%-4.18%
201620.17%$19,824-0.22%$19,510-0.57%$18,187-0.15%$17,9810.17%-0.22%-0.57%
201633.48%$20,5134.83%$20,4526.16%$19,3086.78%$19,2003.48%4.83%6.16%
201640.72%$20,6600.90%$20,6351.09%$19,5180.37%$19,2710.72%0.90%1.09%
201650.33%$20,7280.46%$20,7310.57%$19,6301.78%$19,6150.33%0.46%0.57%
201661.08%$20,9510.64%$20,8640.19%$19,6680.25%$19,6641.08%0.64%0.19%
201672.11%$21,3942.79%$21,4453.45%$20,3473.68%$20,3872.11%2.79%3.45%
201680.11%$21,4160.25%$21,4980.35%$20,4180.13%$20,4130.11%0.25%0.35%
201690.26%$21,4730.37%$21,5770.52%$20,5240.01%$20,4150.26%0.37%0.52%
201610-1.43%$21,165-1.59%$21,234-1.83%$20,149-1.83%$20,041-1.43%-1.59%-1.83%
201611-0.54%$21,0510.21%$21,2780.98%$20,3473.70%$20,782-0.54%0.21%0.98%
2016120.97%$21,2561.26%$21,5471.64%$20,6811.96%$21,1900.97%1.26%1.64%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index Investor
Large-cap Value15.26%21.63%27.85%47.66%
Large-cap Growth16.51%21.92%26.57%51.95%
Mid-cap Value0.55%2.43%3.50%0.00%
Mid-cap Growth5.36%5.26%6.83%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 Markets4.64%9.58%14.29%0.00%
Emerging Markets4.03%4.45%5.39%0.02%
Corporate Bonds8.47%4.55%1.60%0.00%
Long-Term Treasuries0.00%0.19%0.00%0.00%
Intermediate-Term Treasuries15.18%13.89%7.60%0.37%
Short-Term Treasuries30.00%16.10%6.38%0.00%
R Squared97.74%99.13%99.45%99.91%
Style analysis is based on monthly returns from April 2005 to December 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard Conservative Growth (VSCGX)

Holdings Based Style Analysis for Vanguard Conservative Growth (VSCGX)
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSCGXVanguard LifeStrategy Cnsrv Gr Inv30% to 50% Equity100.00%1.54%0.12%19.877.28$11,256100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Moderate Growth (VSMGX)

Holdings Based Style Analysis for Vanguard Moderate Growth (VSMGX)
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%1.54%0.13%19.867.27$11,547100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Growth (VASGX)

Holdings Based Style Analysis for Vanguard Growth (VASGX)
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VASGXVanguard LifeStrategy Growth Inv70% to 85% Equity100.00%1.55%0.14%19.857.26$10,681100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/27/2021. (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
MetricVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.40%0.43%0.44%0.47%
Arithmetic Mean (annualized)4.96%5.31%5.42%5.85%
Geometric Mean (monthly)0.38%0.39%0.37%0.38%
Geometric Mean (annualized)4.70%4.79%4.53%4.68%
Volatility (monthly)2.03%2.86%3.76%4.28%
Volatility (annualized)7.03%9.92%13.01%14.83%
Downside Deviation (monthly)1.38%1.99%2.67%3.03%
Max. Drawdown-27.96%-37.84%-47.55%-50.97%
US Market Correlation0.950.980.990.99
Beta(*)0.450.650.861.00
Alpha (annualized)2.29%1.47%0.37%0.00%
R289.65%95.07%96.96%100.00%
Sharpe Ratio0.470.370.290.28
Sortino Ratio0.670.510.400.39
Treynor Ratio (%)7.435.634.374.18
Calmar Ratio1.000.670.491.04
Active Return0.02%0.11%-0.16%N/A
Tracking Error8.49%5.62%3.04%N/A
Information Ratio0.000.02-0.05N/A
Skewness-0.96-0.82-0.76-0.61
Excess Kurtosis3.552.431.921.12
Historical Value-at-Risk (5%)-3.00%-4.69%-6.65%-7.75%
Analytical Value-at-Risk (5%)-2.93%-4.28%-5.74%-6.57%
Conditional Value-at-Risk (5%)-4.75%-6.77%-8.84%-9.72%
Upside Capture Ratio (%)48.5967.3986.93100.00
Downside Capture Ratio (%)40.4763.1886.73100.00
Safe Withdrawal Rate6.83%6.50%5.99%5.19%
Perpetual Withdrawal Rate2.44%2.52%2.28%2.42%
Positive Periods124 out of 197 (62.94%)124 out of 197 (62.94%)122 out of 197 (61.93%)123 out of 197 (62.44%)
Gain/Loss Ratio0.990.880.840.79
* 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 PeriodStartEndVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-27.96%-37.84%-47.55%-50.97%

Drawdowns for Vanguard Conservative Growth (VSCGX)

Drawdowns for Vanguard Conservative Growth (VSCGX) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-27.96%
2Sep 2000Sep 20022 years 1 monthAug 200311 months3 years-12.17%
3May 2011Sep 20115 monthsFeb 20125 months10 months-7.42%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-4.21%
5May 2012May 20121 monthJul 20122 months3 months-2.53%
6May 2013Jun 20132 monthsSep 20133 months5 months-2.46%
7Mar 2004Apr 20042 monthsSep 20045 months7 months-2.29%
8Oct 2016Nov 20162 months-1.97%
9Mar 2005Apr 20052 monthsMay 20051 month3 months-1.64%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.62%
Worst 10 drawdowns included above

Drawdowns for Vanguard Moderate Growth (VSMGX)

Drawdowns for Vanguard Moderate Growth (VSMGX) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-37.84%
2Sep 2000Sep 20022 years 1 monthJan 20041 year 4 months3 years 5 months-24.12%
3May 2011Sep 20115 monthsFeb 20125 months10 months-11.41%
4Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-6.65%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.37%
6Mar 2004Apr 20042 monthsOct 20046 months8 months-2.69%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-2.59%
8Mar 2005Apr 20052 monthsJun 20052 months4 months-2.57%
9May 2006May 20061 monthAug 20063 months4 months-2.17%
10Sep 2014Sep 20141 monthNov 20142 months3 months-2.04%
Worst 10 drawdowns included above

Drawdowns for Vanguard Growth (VASGX)

Drawdowns for Vanguard Growth (VASGX) (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20123 years 10 months5 years 2 months-47.55%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-35.22%
3Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.62%
4Mar 2005Apr 20052 monthsJul 20053 months5 months-3.59%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-3.42%
6May 2006May 20061 monthSep 20064 months5 months-2.90%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-2.57%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.52%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.10%
10Jan 2005Jan 20051 monthFeb 20051 month2 months-2.00%
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%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
6Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
8Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
9Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VSCGXVanguard LifeStrategy Cnsrv Gr Inv4.70%7.03%17.06%-19.52%-27.96%0.470.670.95
VSMGXVanguard LifeStrategy Moderate Gr Inv4.79%9.92%22.40%-26.50%-37.84%0.370.510.98
VASGXVanguard LifeStrategy Growth Inv4.53%13.01%28.52%-34.39%-47.55%0.290.400.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSCGXVSMGXVASGXVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index Investor
VSCGXVanguard LifeStrategy Cnsrv Gr Inv1.000.990.981.000.990.980.95
VSMGXVanguard LifeStrategy Moderate Gr Inv0.991.001.000.991.001.000.98
VASGXVanguard LifeStrategy Growth Inv0.981.001.000.981.001.000.98

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)
VSCGXVanguard LifeStrategy Cnsrv Gr Inv$11,256
VSMGXVanguard LifeStrategy Moderate Gr Inv$11,547
VASGXVanguard LifeStrategy Growth Inv$10,681

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)
VSCGXVanguard LifeStrategy Cnsrv Gr Inv100.00%
VSMGXVanguard LifeStrategy Moderate Gr Inv100.00%
VASGXVanguard LifeStrategy Growth Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Conservative Growth (VSCGX)Vanguard Moderate Growth (VSMGX)Vanguard Growth (VASGX)Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.19%29.92%-24.27%5.72%38.49%-32.27%6.08%48.85%-40.60%6.57%53.61%-43.32%
3 years5.54%15.13%-5.33%6.24%18.78%-8.85%6.63%22.24%-12.88%7.13%25.43%-15.18%
5 years5.41%12.06%-1.00%6.01%15.47%-2.51%6.25%18.78%-4.49%6.60%22.85%-6.73%
7 years5.10%9.04%1.12%5.46%11.09%0.16%5.44%13.01%-1.31%5.56%17.12%-3.94%
10 years5.21%6.58%3.35%5.64%7.70%2.28%5.68%8.45%0.80%5.81%8.42%-1.91%
15 years4.94%5.52%4.46%5.25%6.19%4.42%5.20%6.54%3.99%5.39%7.03%3.64%