Backtest Portfolio Asset Allocation

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

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

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1993 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 35.00%
VBMFX Vanguard Total Bond Market Index Inv 65.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$64,900 7.17% 5.49%24.34%-9.68%-16.38% 0.851.320.90
Portfolio 2$10,000$84,037 8.20% 6.00%28.91%-9.84%-18.82% 0.951.560.67
   
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.
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Wellesley Income Inv (VWINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19932.75%10.01%14.65%$11,001$11,46510.62%9.68%14.65%
19942.67%-1.79%-4.44%$10,805$10,956-0.17%-2.66%-4.44%
19952.54%24.34%28.91%$13,435$14,12435.79%18.18%28.91%
19963.32%9.67%9.42%$14,733$15,45420.96%3.58%9.42%
19971.70%16.99%20.19%$17,236$18,57430.99%9.44%20.19%
19981.61%13.72%11.84%$19,601$20,77423.26%8.58%11.84%
19992.68%7.84%-4.14%$21,138$19,91523.81%-0.76%-4.14%
20003.39%3.70%16.17%$21,921$23,136-10.57%11.39%16.17%
20011.55%1.64%7.39%$22,280$24,844-10.97%8.43%7.39%
20022.38%-1.97%4.64%$21,842$25,998-20.96%8.26%4.64%
20031.88%13.56%9.66%$24,803$28,50831.35%3.97%9.66%
20043.26%7.13%7.55%$26,572$30,66112.51%4.24%7.55%
20053.42%3.65%3.48%$27,542$31,7295.98%2.40%3.48%
20062.54%8.20%11.28%$29,801$35,30715.51%4.27%11.28%
20074.08%6.42%5.61%$31,715$37,2875.49%6.92%5.61%
20080.09%-9.68%-9.84%$28,645$33,617-37.04%5.05%-9.84%
20092.72%13.90%16.02%$32,627$39,00328.70%5.93%16.02%
20101.50%10.16%10.65%$35,941$43,15617.09%6.42%10.65%
20112.96%5.25%9.63%$37,828$47,3110.96%7.56%9.63%
20121.74%8.32%10.06%$40,975$52,06916.25%4.05%10.06%
20131.50%10.20%9.19%$45,155$56,85333.35%-2.26%9.19%
20140.76%8.09%8.07%$48,809$61,43812.43%5.76%8.07%
20150.73%0.30%1.28%$48,954$62,2220.29%0.30%1.28%
20162.07%6.01%8.08%$51,896$67,25012.53%2.50%8.08%
20172.11%9.62%10.20%$56,888$74,10821.05%3.46%10.20%
20181.91%-1.92%-2.57%$55,794$72,202-5.26%-0.13%-2.57%
20192.29%16.32%16.39%$64,900$84,03730.65%8.61%16.39%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Wellesley Income Inv (VWINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199311.52%1.93%$10,152$10,1931.01%1.79%1.93%
199321.44%3.35%$10,298$10,5340.46%1.96%3.35%
199331.09%1.41%$10,410$10,6832.46%0.37%1.41%
19934-0.48%0.10%$10,360$10,694-2.77%0.74%0.10%
199351.13%0.52%$10,476$10,7503.03%0.14%0.52%
199361.36%2.36%$10,619$11,0030.55%1.80%2.36%
199370.31%0.98%$10,652$11,111-0.27%0.61%0.98%
199382.46%3.42%$10,914$11,4913.93%1.69%3.42%
199390.26%0.65%$10,942$11,5660.01%0.40%0.65%
1993100.77%0.45%$11,027$11,6181.64%0.30%0.45%
199311-1.19%-2.23%$10,895$11,359-1.62%-0.97%-2.23%
1993120.98%0.93%$11,001$11,4651.90%0.48%0.93%
199411.98%1.87%$11,219$11,6793.08%1.39%1.87%
19942-1.95%-2.96%$11,001$11,334-2.24%-1.78%-2.96%
19943-3.05%-3.36%$10,665$10,953-4.44%-2.30%-3.36%
19944-0.23%0.06%$10,640$10,9590.89%-0.83%0.06%
199450.34%0.72%$10,677$11,0380.97%0.00%0.72%
19946-1.08%-1.12%$10,561$10,914-2.73%-0.18%-1.12%
199472.27%2.60%$10,802$11,1983.08%1.84%2.60%
199481.63%0.94%$10,978$11,3024.39%0.14%0.94%
19949-1.59%-2.72%$10,803$10,995-1.85%-1.44%-2.72%
1994100.51%0.00%$10,859$10,9951.55%-0.07%0.00%
199411-1.44%-1.37%$10,702$10,844-3.65%-0.18%-1.37%
1994120.96%1.03%$10,805$10,9561.23%0.80%1.03%
199512.00%2.87%$11,021$11,2712.20%1.90%2.87%
199522.83%3.08%$11,333$11,6184.04%2.17%3.08%
199531.38%1.06%$11,489$11,7422.65%0.67%1.06%
199541.74%1.95%$11,689$11,9702.51%1.31%1.95%
199553.78%5.51%$12,131$12,6303.48%3.95%5.51%
199561.49%0.87%$12,312$12,7402.98%0.66%0.87%
199571.31%0.21%$12,474$12,7664.02%-0.25%0.21%
199581.14%1.66%$12,615$12,9781.07%1.18%1.66%
199591.95%2.31%$12,862$13,2783.61%0.95%2.31%
1995100.46%0.76%$12,921$13,379-1.17%1.47%0.76%
1995112.46%2.81%$13,239$13,7554.17%1.44%2.81%
1995121.48%2.68%$13,435$14,1241.54%1.44%2.68%
199611.34%0.93%$13,615$14,2552.66%0.63%0.93%
19962-0.56%-2.18%$13,538$13,9441.62%-1.76%-2.18%
19963-0.08%0.03%$13,528$13,9491.14%-0.77%0.03%
199640.57%-0.61%$13,605$13,8652.41%-0.49%-0.61%
199650.89%0.30%$13,726$13,9072.66%-0.17%0.30%
199660.47%1.33%$13,790$14,092-0.84%1.27%1.33%
19967-1.86%-0.91%$13,534$13,963-5.37%0.25%-0.91%
199681.01%0.92%$13,671$14,0923.09%-0.16%0.92%
199693.06%2.89%$14,090$14,4995.38%1.70%2.89%
1996101.91%4.14%$14,359$15,1001.43%2.21%4.14%
1996113.66%3.64%$14,885$15,6506.81%1.76%3.64%
199612-1.01%-1.25%$14,733$15,454-1.27%-0.85%-1.25%
199712.07%1.32%$15,039$15,6585.46%0.25%1.32%
199720.03%0.67%$15,044$15,763-0.11%0.11%0.67%
19973-2.23%-2.55%$14,708$15,361-4.45%-0.97%-2.55%
199742.55%2.16%$15,083$15,6924.50%1.49%2.16%
199753.11%2.65%$15,552$16,1077.10%0.87%2.65%
199762.36%2.20%$15,920$16,4614.37%1.16%2.20%
199774.69%5.97%$16,667$17,4447.77%2.80%5.97%
19978-1.98%-2.28%$16,338$17,046-3.72%-0.85%-2.28%
199793.11%3.71%$16,846$17,6785.77%1.45%3.71%
199710-0.47%0.67%$16,768$17,796-3.40%1.45%0.67%
1997111.48%2.40%$17,016$18,2233.33%0.33%2.40%
1997121.30%1.93%$17,236$18,5741.70%1.04%1.93%
199811.01%0.78%$17,411$18,7190.44%1.32%0.78%
199822.49%1.23%$17,845$18,9487.34%-0.10%1.23%
199832.05%2.56%$18,211$19,4335.06%0.33%2.56%
199840.73%0.00%$18,344$19,4331.10%0.51%0.00%
19985-0.39%0.81%$18,273$19,590-2.71%1.02%0.81%
199861.81%1.11%$18,605$19,8083.54%0.81%1.11%
19987-0.71%-1.29%$18,473$19,552-2.27%0.23%-1.29%
19988-4.56%-2.39%$17,630$19,086-15.65%1.90%-2.39%
199893.50%5.49%$18,246$20,1346.68%1.96%5.49%
1998102.15%0.31%$18,639$20,1977.51%-0.55%0.31%
1998112.49%2.38%$19,104$20,6786.17%0.49%2.38%
1998122.60%0.46%$19,601$20,7746.45%0.38%0.46%
199911.79%-0.54%$19,952$20,6613.65%0.79%-0.54%
19992-2.47%-2.86%$19,460$20,070-3.73%-1.77%-2.86%
199931.75%0.81%$19,800$20,2323.93%0.56%0.81%
199941.94%3.22%$20,184$20,8844.68%0.40%3.22%
19995-1.29%-0.69%$19,923$20,741-2.00%-0.88%-0.69%
199961.58%-0.07%$20,237$20,7255.16%-0.50%-0.07%
19997-1.45%-1.64%$19,943$20,385-3.20%-0.39%-1.64%
19998-0.39%-0.95%$19,865$20,191-0.92%-0.08%-0.95%
19999-0.11%-0.53%$19,842$20,084-2.44%1.26%-0.53%
1999102.49%0.88%$20,336$20,2616.29%0.33%0.88%
1999111.30%-0.68%$20,600$20,1233.42%0.02%-0.68%
1999122.61%-1.04%$21,138$19,9157.59%-0.48%-1.04%
20001-1.58%-1.01%$20,805$19,714-4.18%-0.17%-1.01%
200021.64%-3.00%$21,146$19,1232.54%1.18%-3.00%
200032.88%5.61%$21,754$20,1955.69%1.40%5.61%
20004-2.16%0.16%$21,285$20,227-5.21%-0.49%0.16%
20005-1.27%1.27%$21,014$20,484-3.41%-0.16%1.27%
200062.91%-0.63%$21,626$20,3544.42%2.15%-0.63%
20007-0.08%1.98%$21,608$20,757-1.95%0.88%1.98%
200083.36%2.93%$22,334$21,3657.28%1.40%2.93%
20009-1.12%1.80%$22,084$21,749-4.67%0.76%1.80%
200010-0.30%1.27%$22,017$22,024-2.04%0.57%1.27%
200011-2.18%1.20%$21,536$22,289-9.90%1.58%1.20%
2000121.78%3.80%$21,921$23,1361.78%1.79%3.80%
200112.48%0.25%$22,465$23,1923.83%1.76%0.25%
20012-2.75%1.23%$21,847$23,477-9.41%0.91%1.23%
20013-1.86%-0.07%$21,441$23,459-6.72%0.54%-0.07%
200142.24%1.88%$21,922$23,9008.16%-0.46%1.88%
200150.83%1.02%$22,103$24,1441.01%0.73%1.02%
20016-0.19%-0.18%$22,060$24,101-1.64%0.52%-0.18%
200170.94%1.80%$22,267$24,535-1.71%2.23%1.80%
20018-1.16%0.67%$22,008$24,699-6.00%1.11%0.67%
20019-2.11%-0.56%$21,544$24,562-9.00%0.89%-0.56%
2001102.05%0.43%$21,985$24,6682.52%1.86%0.43%
2001111.21%0.14%$22,250$24,7047.63%-1.34%0.14%
2001120.13%0.57%$22,280$24,8441.78%-0.58%0.57%
200210.01%0.45%$22,283$24,956-1.24%0.69%0.45%
20022-0.15%1.65%$22,250$25,368-2.05%0.85%1.65%
200230.52%-0.10%$22,365$25,3444.38%-1.46%-0.10%
20024-0.63%0.70%$22,225$25,520-4.90%1.69%0.70%
200250.12%1.33%$22,251$25,861-1.22%0.80%1.33%
20026-2.15%-0.93%$21,772$25,621-7.06%0.29%-0.93%
20027-2.20%-2.09%$21,293$25,085-8.02%0.48%-2.09%
200281.33%0.86%$21,575$25,3020.53%1.66%0.86%
20029-1.89%-2.67%$21,168$24,625-10.07%1.53%-2.67%
2002101.62%2.31%$21,510$25,1937.65%-0.61%2.31%
2002111.75%2.36%$21,887$25,7876.06%0.02%2.36%
200212-0.21%0.82%$21,842$25,998-5.57%2.07%0.82%
20031-0.86%-1.56%$21,655$25,593-2.54%0.05%-1.56%
200320.32%0.10%$21,724$25,619-1.69%1.38%0.10%
200330.28%-0.11%$21,786$25,5921.09%-0.13%-0.11%
200343.36%3.40%$22,518$26,4638.21%0.87%3.40%
200353.35%4.24%$23,272$27,5856.11%1.82%4.24%
200360.44%0.18%$23,374$27,6351.43%-0.13%0.18%
20037-1.24%-3.38%$23,085$26,7022.36%-3.34%-3.38%
200381.29%0.40%$23,383$26,8092.39%0.61%0.40%
200391.22%1.72%$23,668$27,269-1.15%2.71%1.72%
2003101.71%0.44%$24,073$27,3916.12%-0.96%0.44%
2003110.71%0.54%$24,243$27,5391.38%0.27%0.54%
2003122.31%3.52%$24,803$28,5084.48%0.88%3.52%
200411.34%0.48%$25,135$28,6442.23%0.86%0.48%
200421.17%1.38%$25,430$29,0391.43%1.03%1.38%
200430.14%0.32%$25,464$29,134-1.07%0.80%0.32%
20044-2.44%-2.17%$24,844$28,501-2.11%-2.61%-2.17%
200450.19%-0.34%$24,892$28,4051.35%-0.43%-0.34%
200461.10%1.11%$25,167$28,7202.09%0.56%1.11%
20047-0.74%0.34%$24,979$28,817-3.80%0.96%0.34%
200481.38%2.07%$25,323$29,4140.31%1.94%2.07%
200490.70%0.66%$25,501$29,6091.74%0.16%0.66%
2004101.14%0.66%$25,790$29,8051.68%0.85%0.66%
2004111.11%0.89%$26,077$30,0724.68%-0.81%0.89%
2004121.90%1.96%$26,572$30,6613.63%0.92%1.96%
20051-0.51%-0.09%$26,436$30,633-2.68%0.65%-0.09%
200520.30%1.25%$26,515$31,0162.07%-0.63%1.25%
20053-0.93%-1.41%$26,268$30,578-1.75%-0.49%-1.41%
200540.08%0.94%$26,290$30,864-2.32%1.35%0.94%
200551.97%1.07%$26,808$31,1943.77%1.05%1.07%
200560.64%0.87%$26,980$31,4660.81%0.55%0.87%
200570.76%0.09%$27,185$31,4954.11%-0.99%0.09%
200580.54%0.78%$27,331$31,741-0.94%1.36%0.78%
20059-0.42%-0.25%$27,218$31,6620.86%-1.10%-0.25%
200510-1.18%-1.34%$26,896$31,238-1.86%-0.81%-1.34%
2005111.71%1.03%$27,355$31,5603.97%0.48%1.03%
2005120.68%0.53%$27,542$31,7290.14%0.99%0.53%
200611.16%0.85%$27,860$32,0003.50%-0.11%0.85%
200620.24%0.80%$27,927$32,2560.00%0.37%0.80%
200630.00%-0.66%$27,928$32,0421.80%-1.00%-0.66%
200640.27%1.09%$28,004$32,3911.11%-0.21%1.09%
20065-1.25%-0.66%$27,655$32,179-3.23%-0.09%-0.66%
200660.13%0.58%$27,690$32,3650.17%0.10%0.58%
200670.82%2.14%$27,916$33,057-0.13%1.35%2.14%
200681.88%1.81%$28,441$33,6562.31%1.64%1.81%
200691.33%1.23%$28,820$34,0712.27%0.81%1.23%
2006101.73%1.64%$29,320$34,6303.53%0.72%1.64%
2006111.52%1.30%$29,766$35,0802.23%1.11%1.30%
2006120.12%0.65%$29,801$35,3071.13%-0.48%0.65%
200710.60%0.32%$29,981$35,4211.88%-0.08%0.32%
200720.40%0.91%$30,101$35,744-1.61%1.50%0.91%
200730.40%0.63%$30,221$35,9701.11%0.02%0.63%
200741.74%1.73%$30,746$36,5914.01%0.51%1.73%
200750.82%0.45%$30,998$36,7543.69%-0.78%0.45%
20076-0.86%-1.19%$30,732$36,316-1.67%-0.39%-1.19%
20077-0.71%-0.73%$30,513$36,052-3.41%0.84%-0.73%
200781.38%1.42%$30,934$36,5631.45%1.34%1.42%
200791.74%1.72%$31,473$37,1913.59%0.72%1.72%
2007101.26%0.94%$31,869$37,5411.85%0.93%0.94%
200711-0.42%-0.18%$31,737$37,475-4.49%1.91%-0.18%
200712-0.07%-0.50%$31,715$37,287-0.60%0.22%-0.50%
20081-1.03%-0.82%$31,388$36,979-6.08%1.69%-0.82%
20082-0.89%-1.29%$31,107$36,500-3.07%0.19%-1.29%
200830.01%0.38%$31,111$36,639-0.58%0.30%0.38%
200841.42%1.18%$31,552$37,0715.02%-0.30%1.18%
200850.18%-0.56%$31,607$36,8632.09%-0.79%-0.56%
20086-2.80%-3.41%$30,724$35,606-8.19%-0.01%-3.41%
20087-0.25%0.15%$30,648$35,659-0.77%0.00%0.15%
200880.98%0.78%$30,949$35,9381.58%0.70%0.78%
20089-3.73%-3.47%$29,794$34,691-9.26%-1.10%-3.47%
200810-7.12%-7.19%$27,674$32,195-17.63%-2.53%-7.19%
2008110.53%0.33%$27,821$32,301-7.90%3.64%0.33%
2008122.96%4.07%$28,645$33,6171.86%3.32%4.07%
20091-3.34%-4.62%$27,687$32,064-8.26%-0.70%-4.62%
20092-3.75%-4.96%$26,648$30,474-10.45%-0.42%-4.96%
200933.70%2.94%$27,633$31,3698.65%1.48%2.94%
200943.68%3.54%$28,649$32,48010.61%0.36%3.54%
200952.41%4.39%$29,341$33,9065.38%0.85%4.39%
200960.47%1.25%$29,479$34,3300.34%0.54%1.25%
200973.70%5.68%$30,569$36,2797.82%1.43%5.68%
200981.98%2.32%$31,174$37,1223.63%1.01%2.32%
200992.33%1.87%$31,899$37,8154.23%1.19%1.87%
200910-0.73%-0.05%$31,668$37,796-2.57%0.41%-0.05%
2009112.96%3.20%$32,605$39,0075.63%1.36%3.20%
2009120.07%-0.01%$32,627$39,0032.86%-1.68%-0.01%
20101-0.20%-0.29%$32,561$38,888-3.50%1.57%-0.29%
201021.27%1.08%$32,973$39,3103.36%0.20%1.08%
201032.11%1.99%$33,671$40,0916.27%-0.08%1.99%
201041.46%1.49%$34,162$40,6902.17%1.06%1.49%
20105-2.34%-2.71%$33,363$39,589-8.00%0.87%-2.71%
20106-0.87%0.19%$33,073$39,665-5.66%1.61%0.19%
201072.90%3.49%$34,033$41,0506.99%0.94%3.49%
20108-0.62%0.86%$33,821$41,401-4.75%1.48%0.86%
201093.05%2.70%$34,854$42,5219.47%-0.01%2.70%
2010101.59%0.88%$35,409$42,8953.94%0.36%0.88%
201011-0.17%-0.92%$35,350$42,5020.58%-0.57%-0.92%
2010121.67%1.54%$35,941$43,1566.81%-1.15%1.54%
201110.82%0.65%$36,235$43,4342.19%0.08%0.65%
201121.38%1.88%$36,736$44,2503.60%0.16%1.88%
201130.16%0.14%$36,794$44,3130.45%-0.01%0.14%
201141.93%2.58%$37,503$45,4562.99%1.32%2.58%
201150.40%0.84%$37,652$45,837-1.16%1.30%0.84%
20116-0.89%-1.06%$37,316$45,351-1.79%-0.39%-1.06%
201170.19%0.04%$37,388$45,372-2.28%1.58%0.04%
20118-1.14%-0.27%$36,960$45,250-5.99%1.46%-0.27%
20119-1.98%-1.46%$36,228$44,589-7.75%0.89%-1.46%
2011103.71%4.03%$37,572$46,38711.51%0.16%4.03%
201111-0.30%-0.53%$37,460$46,142-0.29%-0.30%-0.53%
2011120.98%2.53%$37,828$47,3110.80%1.08%2.53%
201212.35%1.88%$38,715$48,1995.08%0.87%1.88%
201221.50%1.28%$39,296$48,8184.26%-0.05%1.28%
201230.76%0.46%$39,596$49,0423.07%-0.58%0.46%
201240.46%0.93%$39,779$49,500-0.65%1.14%0.93%
20125-1.73%-1.43%$39,090$48,793-6.24%0.95%-1.43%
201261.42%2.00%$39,643$49,7673.91%0.04%2.00%
201271.26%2.44%$40,142$50,9831.03%1.39%2.44%
201280.92%0.53%$40,512$51,2562.48%0.03%0.53%
201291.02%0.86%$40,926$51,6962.58%0.11%0.86%
201210-0.59%0.25%$40,684$51,822-1.76%0.11%0.25%
2012110.39%0.29%$40,845$51,9700.74%0.19%0.29%
2012120.32%0.19%$40,975$52,0691.19%-0.20%0.19%
201311.46%1.45%$41,574$52,8255.50%-0.71%1.45%
201320.81%1.23%$41,910$53,4721.28%0.54%1.23%
201331.47%1.26%$42,527$54,1473.88%0.08%1.26%
201341.21%1.97%$43,041$55,2131.70%0.91%1.97%
20135-0.19%-0.87%$42,958$54,7342.32%-1.71%-0.87%
20136-1.51%-1.59%$42,310$53,862-1.27%-1.65%-1.59%
201372.24%2.04%$43,259$54,9585.49%0.20%2.04%
20138-1.51%-1.87%$42,605$53,928-2.82%-0.64%-1.87%
201392.02%1.63%$43,468$54,8083.66%0.96%1.63%
2013102.15%2.10%$44,404$55,9564.22%0.78%2.10%
2013110.97%0.79%$44,834$56,3972.88%-0.35%0.79%
2013120.72%0.81%$45,155$56,8532.63%-0.65%0.81%
20141-0.08%-0.36%$45,117$56,647-3.11%1.54%-0.36%
201421.92%2.06%$45,984$57,8144.73%0.48%2.06%
201430.08%0.92%$46,022$58,3460.51%-0.15%0.92%
201440.52%1.19%$46,263$59,0380.06%0.77%1.19%
201451.44%1.21%$46,929$59,7542.17%1.05%1.21%
201460.96%0.78%$47,381$60,2182.54%0.11%0.78%
20147-0.87%-1.00%$46,968$59,614-1.98%-0.26%-1.00%
201482.21%1.99%$48,005$60,7994.18%1.13%1.99%
20149-1.23%-1.25%$47,413$60,038-2.14%-0.72%-1.25%
2014101.58%1.17%$48,163$60,7402.74%0.94%1.17%
2014111.29%1.31%$48,783$61,5362.41%0.65%1.31%
2014120.05%-0.16%$48,809$61,438-0.01%0.09%-0.16%
201510.53%0.55%$49,069$61,775-2.77%2.31%0.55%
201521.23%0.82%$49,675$62,2795.76%-1.08%0.82%
20153-0.10%-0.10%$49,624$62,216-1.04%0.41%-0.10%
20154-0.09%0.51%$49,580$62,5310.42%-0.36%0.51%
201550.20%-0.12%$49,678$62,4581.39%-0.45%-0.12%
20156-1.26%-2.06%$49,053$61,171-1.71%-1.01%-2.06%
201571.07%1.23%$49,578$61,9261.63%0.76%1.23%
20158-2.38%-2.16%$48,399$60,586-6.03%-0.36%-2.16%
20159-0.51%0.11%$48,152$60,654-2.93%0.76%0.11%
2015102.64%3.40%$49,422$62,7167.84%0.01%3.40%
2015110.02%0.00%$49,430$62,7160.54%-0.27%0.00%
201512-0.96%-0.79%$48,954$62,222-2.03%-0.38%-0.79%
20161-1.06%-0.20%$48,437$62,095-5.67%1.43%-0.20%
201620.43%0.45%$48,644$62,374-0.04%0.66%0.45%
201632.96%3.52%$50,083$64,5677.01%0.94%3.52%
201640.46%0.91%$50,315$65,1540.63%0.38%0.91%
201650.63%0.59%$50,632$65,5371.79%0.01%0.59%
201661.34%2.18%$51,310$66,9660.23%1.94%2.18%
201671.79%1.38%$52,226$67,8923.95%0.64%1.38%
20168-0.02%0.00%$52,217$67,8920.26%-0.17%0.00%
20169-0.00%-0.32%$52,216$67,6780.15%-0.09%-0.32%
201610-1.31%-1.22%$51,533$66,849-2.21%-0.81%-1.22%
201611-0.16%-0.74%$51,453$66,3574.44%-2.64%-0.74%
2016120.86%1.35%$51,896$67,2501.92%0.24%1.35%
201710.86%0.27%$52,343$67,4351.91%0.29%0.27%
201721.74%1.96%$53,253$68,7553.71%0.66%1.96%
20173-0.02%-0.04%$53,241$68,7280.07%-0.07%-0.04%
201740.87%0.70%$53,702$69,2071.05%0.76%0.70%
201750.79%1.15%$54,127$70,0041.01%0.67%1.15%
201760.34%0.41%$54,313$70,2940.92%0.01%0.41%
201770.93%0.88%$54,816$70,9101.87%0.39%0.88%
201780.59%0.53%$55,141$71,2850.15%0.85%0.53%
201790.56%0.84%$55,448$71,8862.45%-0.54%0.84%
2017100.88%0.90%$55,934$72,5332.16%0.11%0.90%
2017111.04%1.08%$56,517$73,3153.04%-0.17%1.08%
2017120.66%1.08%$56,888$74,1080.99%0.44%1.08%
201811.15%0.56%$57,540$74,5205.31%-1.09%0.56%
20182-2.01%-2.73%$56,385$72,486-3.72%-1.03%-2.73%
20183-0.31%-0.27%$56,209$72,288-1.99%0.63%-0.27%
20184-0.40%-0.50%$55,982$71,9280.38%-0.83%-0.50%
201851.38%0.65%$56,756$72,3992.79%0.61%0.65%
201860.26%0.16%$56,905$72,5160.68%0.03%0.16%
201871.23%2.04%$57,603$73,9943.34%0.03%2.04%
201881.59%0.57%$58,522$74,4123.44%0.52%0.57%
20189-0.28%-0.23%$58,358$74,2420.16%-0.54%-0.23%
201810-3.25%-2.27%$56,464$72,556-7.40%-0.73%-2.27%
2018111.08%1.63%$57,075$73,7362.06%0.53%1.63%
201812-2.24%-2.08%$55,794$72,202-9.29%1.80%-2.08%
201913.66%3.23%$57,836$74,5378.59%1.01%3.23%
201921.24%1.51%$58,556$75,6603.50%-0.06%1.51%
201931.76%1.88%$59,587$77,0791.44%1.96%1.88%
201941.51%1.08%$60,488$77,9133.98%0.04%1.08%
20195-1.34%-0.65%$59,679$77,407-6.45%1.83%-0.65%
201963.26%3.14%$61,627$79,8416.97%1.15%3.14%
201970.68%0.49%$62,047$80,2311.44%0.23%0.49%
201980.96%1.68%$62,644$81,580-2.03%2.78%1.68%
201990.25%0.59%$62,800$82,0631.70%-0.60%0.59%
2019100.91%0.63%$63,374$82,5772.10%0.21%0.63%
2019111.38%0.62%$64,251$83,0903.77%-0.06%0.62%
2019121.01%1.14%$64,900$84,0372.85%-0.15%1.14%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value9.64%21.20%
Large-cap Growth19.15%8.43%
Mid-cap Value4.67%0.00%
Mid-cap Growth1.87%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%4.37%
Emerging Markets1.39%0.00%
REITs0.71%0.89%
Corporate Bonds8.92%19.89%
Long-Term Treasuries1.89%6.17%
Intermediate-Term Treasuries17.13%11.43%
Short-Term Treasuries34.64%27.63%
R Squared98.66%92.88%
Style analysis is based on monthly returns from Apr 2005 to Dec 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend0.14%35.00%$30,88782.68%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond6.260.15%65.00%$24,01417.32%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity7.450.23%100.00%$74,037100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/04/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.59%0.67%
Arithmetic Mean (annualized)7.33%8.40%
Geometric Mean (monthly)0.58%0.66%
Geometric Mean (annualized)7.17%8.20%
Volatility (monthly)1.59%1.73%
Volatility (annualized)5.49%6.00%
Downside Deviation (monthly)0.93%0.97%
Max. Drawdown-16.38%-18.82%
US Market Correlation0.900.67
Beta(*)0.340.28
Alpha (annualized)3.55%5.21%
R281.44%44.86%
Sharpe Ratio0.850.95
Sortino Ratio1.321.56
Treynor Ratio (%)13.7120.51
Calmar Ratio1.662.22
Active Return-2.57%-1.54%
Tracking Error9.86%11.42%
Information Ratio-0.26-0.13
Skewness-0.66-0.30
Excess Kurtosis1.561.95
Historical Value-at-Risk (5%)-2.20%-2.36%
Analytical Value-at-Risk (5%)-2.06%-2.17%
Conditional Value-at-Risk (5%)-3.17%-3.44%
Upside Capture Ratio (%)41.4038.79
Downside Capture Ratio (%)28.1317.42
Safe Withdrawal Rate7.16%8.08%
Perpetual Withdrawal Rate4.62%5.53%
Positive Periods225 out of 324 (69.44%)230 out of 324 (70.99%)
Gain/Loss Ratio1.121.10
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-1.98%-2.28%
Russian Debt DefaultJul 1998Oct 1998-5.24%-3.64%
Dotcom CrashMar 2000Oct 2002-5.78%-4.78%
Subprime CrisisNov 2007Mar 2009-16.38%-18.82%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-16.38%
2Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.86%
3Feb 2001Sep 20021 year 8 monthsApr 20037 months2 years 3 months-5.78%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-5.24%
5Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.66%
6Jun 2011Sep 20114 monthsDec 20113 months7 months-3.78%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-3.57%
8Apr 2000May 20002 monthsAug 20003 months5 months-3.40%
9May 2010Jun 20102 monthsSep 20103 months5 months-3.19%
10Jun 2015Sep 20154 monthsMar 20166 months10 months-3.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-18.82%
2May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
3Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-7.15%
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

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv9.74%14.53%35.79%-37.04%-50.89%0.550.791.00
VBMFXVanguard Total Bond Market Index Inv5.21%3.54%18.18%-2.66%-5.01%0.781.28-0.01
VWINXVanguard Wellesley Income Inv8.20%6.00%28.91%-9.84%-18.82%0.951.560.67

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVBMFXVWINXPortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv1.00-0.010.670.900.67
VBMFXVanguard Total Bond Market Index Inv-0.011.000.560.420.56
VWINXVanguard Wellesley Income Inv0.670.561.000.841.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv$30,887
VBMFXVanguard Total Bond Market Index Inv$24,014
VWINXVanguard Wellesley Income Inv$74,037

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSMXVanguard Total Stock Mkt Idx Inv82.68%
VBMFXVanguard Total Bond Market Index Inv17.32%
VWINXVanguard Wellesley Income Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.40%24.34%-9.68%8.49%28.91%-9.84%
3 years7.18%16.84%1.10%8.21%19.24%1.95%
5 years6.97%14.36%2.92%8.01%13.18%3.35%
7 years6.75%11.29%3.65%7.81%12.41%4.41%
10 years6.47%9.42%3.87%7.66%10.84%4.93%
15 years6.34%8.00%5.50%7.46%9.17%6.39%
Result statistics are based on annualized rolling returns over full calendar year periods