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 2004 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWIAX Vanguard Wellesley Income Admiral 50.00%
VWENX Vanguard Wellington Admiral 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 50.00%
AGG iShares Core US Aggregate Bond ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$33,270 7.80% 7.02%19.54%-16.01%-25.69% 0.921.410.92
Portfolio 2$10,000$29,927 7.09% 7.12%19.63%-14.54%-24.78% 0.811.230.96
   
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 Wellesley Income Admiral (VWIAX)Vanguard Wellington Admiral (VWENX)Vanguard Total Stock Mkt Idx Adm (VTSAX)iShares Core US Aggregate Bond ETF (AGG)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20043.26%9.50%8.20%$10,950$10,8207.68%11.32%12.61%3.78%
20053.42%5.27%4.17%$11,527$11,2713.56%6.99%6.09%2.26%
20062.54%13.23%9.76%$13,052$12,37211.39%15.07%15.63%3.90%
20074.08%7.12%6.08%$13,981$13,1245.76%8.48%5.57%6.59%
20080.09%-16.01%-14.54%$11,742$11,216-9.79%-22.23%-36.99%7.90%
20092.72%19.24%15.90%$14,002$12,99916.14%22.34%28.83%2.98%
20101.50%10.87%11.81%$15,524$14,53410.71%11.04%17.26%6.37%
20112.96%6.85%4.39%$16,587$15,1729.74%3.95%1.08%7.69%
20121.74%11.38%10.07%$18,475$16,70010.10%12.67%16.38%3.76%
20131.50%14.51%15.77%$21,156$19,3349.27%19.76%33.52%-1.98%
20140.76%9.02%9.28%$23,065$21,1288.15%9.90%12.56%6.00%
20150.73%0.75%0.43%$23,237$21,2191.35%0.14%0.39%0.48%
20162.07%9.62%7.54%$25,474$22,8198.16%11.09%12.66%2.42%
20172.11%12.54%12.34%$28,668$25,63610.26%14.82%21.17%3.52%
20181.91%-2.92%-2.42%$27,832$25,016-2.49%-3.35%-5.17%0.33%
20192.29%19.54%19.63%$33,270$29,92716.47%22.61%30.80%8.45%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellesley Income Admiral (VWIAX)Vanguard Wellington Admiral (VWENX)Vanguard Total Stock Mkt Idx Adm (VTSAX)iShares Core US Aggregate Bond ETF (AGG)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200410.60%1.34%$10,060$10,1340.45%0.74%2.23%0.44%
200421.75%1.31%$10,235$10,2661.41%2.07%1.47%1.14%
20043-0.13%-0.21%$10,222$10,2440.32%-0.57%-1.09%0.68%
20044-1.94%-2.46%$10,024$9,993-2.14%-1.74%-2.11%-2.81%
20045-0.15%0.51%$10,009$10,043-0.34%0.04%1.38%-0.38%
200461.64%1.41%$10,173$10,1851.10%2.17%2.07%0.73%
20047-0.47%-1.49%$10,125$10,0330.38%-1.31%-3.80%0.92%
200481.77%0.97%$10,304$10,1302.07%1.47%0.31%1.62%
200491.11%1.13%$10,418$10,2450.69%1.53%1.76%0.52%
2004100.87%1.29%$10,509$10,3770.66%1.08%1.71%0.87%
2004111.76%1.97%$10,694$10,5820.87%2.65%4.68%-0.74%
2004122.39%2.25%$10,950$10,8202.01%2.77%3.62%0.80%
20051-0.67%-1.09%$10,877$10,701-0.11%-1.23%-2.68%0.49%
200521.77%0.85%$11,070$10,7921.24%2.31%2.11%-0.37%
20053-1.46%-1.37%$10,908$10,645-1.39%-1.53%-1.76%-0.97%
200540.17%-0.29%$10,927$10,6140.97%-0.62%-2.32%1.72%
200551.36%2.26%$11,076$10,8541.07%1.66%3.77%0.83%
200560.79%0.86%$11,163$10,9470.88%0.69%0.84%0.87%
200571.17%1.52%$11,294$11,1130.11%2.25%4.14%-1.03%
200580.85%0.11%$11,390$11,1250.80%0.90%-0.94%1.18%
200590.40%-0.04%$11,436$11,120-0.28%1.08%0.85%-0.94%
200510-1.56%-1.43%$11,257$10,961-1.32%-1.80%-1.86%-0.99%
2005111.70%2.20%$11,448$11,2021.04%2.34%4.01%0.37%
2005120.69%0.62%$11,527$11,2710.53%0.84%0.13%1.14%
200611.73%1.72%$11,726$11,4650.88%2.57%3.50%-0.06%
200620.29%0.10%$11,761$11,4760.78%-0.19%0.03%0.16%
20063-0.01%0.48%$11,760$11,532-0.63%0.61%1.79%-0.87%
200641.52%0.50%$11,939$11,5901.10%1.94%1.11%-0.15%
20065-1.02%-1.77%$11,817$11,384-0.66%-1.37%-3.23%-0.20%
200660.38%0.02%$11,862$11,3870.59%0.18%0.20%-0.16%
200671.90%0.63%$12,087$11,4592.16%1.64%-0.10%1.39%
200681.89%1.96%$12,316$11,6831.84%1.95%2.31%1.59%
200691.32%1.65%$12,479$11,8751.23%1.42%2.26%1.01%
2006102.14%2.16%$12,746$12,1321.64%2.63%3.56%0.69%
2006111.53%1.67%$12,941$12,3351.31%1.74%2.23%1.06%
2006120.86%0.30%$13,052$12,3720.64%1.07%1.13%-0.60%
200710.53%0.90%$13,121$12,4840.36%0.70%1.88%-0.07%
200720.21%-0.01%$13,149$12,4820.91%-0.48%-1.61%1.63%
200730.81%0.46%$13,255$12,5400.66%0.96%1.13%-0.20%
200742.58%2.31%$13,598$12,8301.71%3.46%4.04%0.59%
200751.39%1.42%$13,786$13,0130.46%2.30%3.69%-0.92%
20076-1.01%-1.05%$13,647$12,876-1.18%-0.83%-1.68%-0.38%
20077-1.10%-1.23%$13,497$12,718-0.71%-1.48%-3.38%1.07%
200781.41%1.37%$13,687$12,8921.44%1.39%1.45%1.28%
200792.43%2.14%$14,019$13,1671.70%3.14%3.61%0.63%
2007100.98%1.43%$14,157$13,3550.94%1.02%1.82%1.01%
200711-0.75%-1.42%$14,051$13,165-0.17%-1.31%-4.46%1.80%
200712-0.50%-0.31%$13,981$13,124-0.45%-0.54%-0.61%-0.01%
20081-1.85%-1.88%$13,723$12,877-0.85%-2.84%-6.08%2.31%
20082-1.03%-1.54%$13,582$12,679-1.30%-0.75%-3.04%-0.16%
200830.03%-0.21%$13,586$12,6520.39%-0.34%-0.59%0.13%
200841.90%2.53%$13,844$12,9721.21%2.61%5.02%0.33%
200850.17%0.36%$13,868$13,020-0.58%0.93%2.12%-1.26%
20086-4.20%-4.11%$13,285$12,485-3.40%-5.01%-8.20%-0.19%
20087-0.57%-0.15%$13,209$12,4660.14%-1.30%-0.77%0.40%
200880.77%1.15%$13,311$12,6090.81%0.74%1.61%0.74%
20089-5.40%-5.28%$12,591$11,944-3.47%-7.39%-9.28%-1.76%
200810-9.60%-9.15%$11,383$10,851-7.18%-12.18%-17.63%-2.28%
200811-0.76%-1.39%$11,296$10,7000.36%-2.03%-7.86%3.03%
2008123.95%4.82%$11,742$11,2164.04%3.84%1.83%6.65%
20091-5.01%-5.12%$11,154$10,641-4.60%-5.43%-8.26%-1.99%
20092-5.69%-5.60%$10,519$10,045-4.96%-6.42%-10.45%-1.05%
200934.01%4.60%$10,941$10,5082.99%5.05%8.73%1.10%
200944.70%5.32%$11,455$11,0673.51%5.89%10.60%0.52%
200955.34%3.02%$12,067$11,4024.40%6.27%5.33%0.71%
200960.91%0.39%$12,177$11,4471.29%0.54%0.37%0.42%
200975.71%4.65%$12,872$11,9785.70%5.72%7.87%1.27%
200982.51%2.49%$13,195$12,2762.30%2.72%3.63%1.22%
200992.23%2.82%$13,489$12,6231.89%2.56%4.25%1.19%
200910-0.25%-1.31%$13,455$12,458-0.04%-0.46%-2.61%0.22%
2009113.87%3.62%$13,975$12,9093.18%4.53%5.66%1.29%
2009120.19%0.69%$14,002$12,999-0.00%0.37%2.85%-1.88%
20101-0.96%-1.02%$13,866$12,866-0.24%-1.69%-3.46%1.41%
201021.29%1.74%$14,046$13,0901.08%1.51%3.36%0.20%
201032.95%3.10%$14,460$13,4951.96%3.95%6.26%-0.01%
201041.14%1.60%$14,626$13,7121.55%0.74%2.21%0.97%
20105-4.06%-3.58%$14,032$13,221-2.72%-5.39%-8.00%1.08%
20106-0.98%-1.88%$13,895$12,9720.18%-2.17%-5.67%1.77%
201074.46%3.77%$14,515$13,4613.51%5.46%7.03%0.85%
20108-0.67%-1.65%$14,417$13,2390.82%-2.22%-4.75%1.29%
201093.96%4.47%$14,988$13,8322.75%5.25%9.50%0.01%
2010101.50%2.02%$15,213$14,1110.88%2.15%3.94%0.15%
201011-0.99%-0.13%$15,063$14,094-0.95%-1.03%0.58%-0.83%
2010123.06%3.13%$15,524$14,5341.54%4.62%6.83%-0.67%
201111.35%1.05%$15,733$14,6870.68%2.01%2.19%-0.09%
201122.10%1.98%$16,063$14,9771.87%2.32%3.63%0.29%
20113-0.02%0.12%$16,060$14,9960.15%-0.19%0.45%-0.22%
201142.70%2.30%$16,494$15,3412.58%2.82%2.99%1.57%
201150.15%-0.01%$16,519$15,3400.84%-0.52%-1.16%1.24%
20116-1.19%-1.13%$16,323$15,166-1.04%-1.33%-1.79%-0.45%
20117-0.61%-0.31%$16,223$15,1190.06%-1.28%-2.22%1.69%
20118-1.89%-2.25%$15,916$14,779-0.29%-3.51%-6.02%1.52%
20119-2.76%-3.32%$15,477$14,288-1.44%-4.14%-7.75%0.77%
2011105.56%5.36%$16,337$15,0544.07%7.16%11.54%0.13%
201111-0.59%-0.31%$16,242$15,007-0.53%-0.65%-0.29%-0.33%
2011122.12%1.10%$16,587$15,1722.54%1.69%0.82%1.36%
201212.57%2.90%$17,013$15,6121.85%3.29%5.08%0.73%
201221.96%2.17%$17,346$15,9511.31%2.59%4.26%-0.01%
201231.00%1.32%$17,518$16,1620.45%1.52%3.07%-0.57%
201240.41%0.09%$17,590$16,1770.95%-0.10%-0.63%0.91%
20125-2.71%-2.77%$17,114$15,729-1.42%-3.96%-6.23%1.08%
201262.62%1.99%$17,562$16,0422.02%3.21%3.94%-0.02%
201271.96%1.19%$17,906$16,2332.43%1.50%1.03%1.36%
201280.87%1.30%$18,062$16,4440.53%1.21%2.51%0.00%
201291.42%1.47%$18,319$16,6860.89%1.95%2.58%0.27%
2012100.12%-0.95%$18,341$16,5270.24%0.00%-1.76%-0.05%
2012110.24%0.52%$18,386$16,6120.29%0.20%0.74%0.27%
2012120.49%0.53%$18,475$16,7000.18%0.78%1.22%-0.25%
201312.48%2.44%$18,933$17,1071.47%3.49%5.50%-0.62%
201321.05%0.94%$19,133$17,2681.21%0.89%1.28%0.59%
201331.91%2.07%$19,498$17,6251.28%2.53%3.91%0.10%
201342.13%1.35%$19,913$17,8641.97%2.28%1.70%0.97%
20135-0.08%0.29%$19,897$17,916-0.86%0.68%2.35%-2.00%
20136-1.47%-1.39%$19,604$17,667-1.58%-1.36%-1.24%-1.57%
201372.83%3.07%$20,159$18,2092.05%3.57%5.46%0.27%
20138-2.07%-1.91%$19,742$17,860-1.89%-2.23%-2.80%-0.83%
201391.97%2.51%$20,131$18,3091.64%2.28%3.67%1.12%
2013102.47%2.72%$20,629$18,8082.13%2.79%4.25%0.83%
2013111.37%1.51%$20,911$19,0910.77%1.93%2.88%-0.25%
2013121.17%1.27%$21,156$19,3340.82%1.50%2.66%-0.56%
20141-0.94%-0.78%$20,958$19,183-0.35%-1.53%-3.11%1.54%
201422.53%2.51%$21,488$19,6652.07%2.99%4.75%0.38%
201430.93%0.19%$21,688$19,7010.93%0.94%0.52%-0.15%
201441.14%0.44%$21,936$19,7881.19%1.10%0.06%0.82%
201451.34%1.67%$22,230$20,1201.23%1.45%2.17%1.18%
201461.09%1.26%$22,472$20,3730.78%1.40%2.57%-0.06%
20147-1.01%-1.13%$22,245$20,143-1.02%-1.00%-1.98%-0.25%
201482.24%2.68%$22,743$20,6822.01%2.46%4.18%1.15%
20149-1.30%-1.38%$22,447$20,397-1.24%-1.37%-2.11%-0.61%
2014101.36%1.91%$22,752$20,7871.16%1.56%2.74%1.06%
2014111.57%1.56%$23,109$21,1121.30%1.83%2.43%0.66%
201412-0.19%0.07%$23,065$21,128-0.14%-0.24%0.00%0.15%
20151-0.42%-0.36%$22,968$21,0520.53%-1.38%-2.77%2.05%
201522.05%2.35%$23,439$21,5470.84%3.28%5.76%-0.89%
20153-0.55%-0.32%$23,310$21,477-0.11%-0.99%-1.01%0.38%
201540.82%0.05%$23,501$21,4880.53%1.11%0.42%-0.32%
201550.11%0.48%$23,527$21,591-0.13%0.35%1.39%-0.44%
20156-1.99%-1.39%$23,060$21,291-2.03%-1.94%-1.70%-1.08%
201571.51%1.26%$23,407$21,5591.23%1.78%1.65%0.86%
20158-3.34%-3.21%$22,625$20,866-2.18%-4.49%-6.00%-0.34%
20159-0.58%-1.04%$22,494$20,6500.16%-1.34%-2.94%0.81%
2015104.39%3.84%$23,482$21,4423.39%5.42%7.86%0.07%
2015110.04%0.09%$23,492$21,4600.00%0.09%0.56%-0.39%
201512-1.08%-1.12%$23,237$21,219-0.79%-1.38%-2.04%-0.19%
20161-1.48%-2.21%$22,894$20,751-0.19%-2.77%-5.65%1.24%
201620.09%0.44%$22,916$20,8430.42%-0.24%-0.04%0.89%
201634.30%3.83%$23,902$21,6413.55%5.08%7.03%0.88%
201641.18%0.45%$24,183$21,7380.91%1.45%0.65%0.26%
201650.69%0.89%$24,350$21,9310.57%0.81%1.77%0.01%
201661.49%1.09%$24,713$22,1702.19%0.79%0.25%1.94%
201671.89%2.23%$25,181$22,6651.41%2.38%3.95%0.54%
201680.10%0.03%$25,207$22,673-0.02%0.22%0.28%-0.21%
20169-0.21%0.10%$25,154$22,696-0.29%-0.13%0.15%0.05%
201610-1.19%-1.52%$24,854$22,350-1.22%-1.16%-2.21%-0.82%
2016110.73%0.96%$25,035$22,565-0.75%2.22%4.45%-2.57%
2016121.75%1.13%$25,474$22,8191.37%2.13%1.93%0.25%
201710.61%1.07%$25,630$23,0630.29%0.93%1.93%0.21%
201722.31%2.19%$26,221$23,5691.94%2.67%3.71%0.65%
20173-0.10%0.01%$26,195$23,572-0.03%-0.18%0.08%-0.05%
201740.73%0.98%$26,387$23,8030.70%0.76%1.05%0.91%
201751.18%0.86%$26,698$24,0071.17%1.19%1.02%0.69%
201760.54%0.47%$26,842$24,1190.39%0.69%0.93%-0.02%
201771.05%1.12%$27,124$24,3900.88%1.22%1.87%0.33%
201780.34%0.54%$27,216$24,5210.55%0.14%0.16%0.94%
201791.44%1.00%$27,610$24,7660.84%2.04%2.46%-0.57%
2017101.16%1.19%$27,929$25,0600.93%1.38%2.17%0.10%
2017111.46%1.54%$28,336$25,4471.07%1.83%3.04%-0.15%
2017121.17%0.74%$28,668$25,6361.08%1.26%1.01%0.44%
201811.72%2.10%$29,162$26,1740.57%2.88%5.32%-1.13%
20182-3.15%-2.40%$28,244$25,545-2.73%-3.56%-3.71%-1.01%
20183-0.69%-0.68%$28,048$25,371-0.27%-1.11%-1.98%0.67%
20184-0.10%-0.28%$28,022$25,301-0.49%0.30%0.38%-0.94%
201850.64%1.75%$28,200$25,7440.67%0.61%2.82%0.66%
201860.01%0.39%$28,203$25,8460.16%-0.13%0.67%0.10%
201872.73%1.70%$28,973$26,2862.06%3.39%3.35%-0.03%
201880.84%2.07%$29,217$26,8300.56%1.12%3.45%0.57%
201890.04%-0.21%$29,228$26,774-0.21%0.28%0.16%-0.62%
201810-3.11%-4.22%$28,318$25,644-2.28%-3.92%-7.40%-0.64%
2018111.83%1.32%$28,838$25,9821.65%2.02%2.08%0.52%
201812-3.49%-3.72%$27,832$25,016-2.08%-4.87%-9.30%2.22%
201913.83%4.76%$28,897$26,2063.23%4.43%8.60%0.91%
201921.99%1.77%$29,472$26,6691.52%2.45%3.51%-0.11%
201931.72%1.77%$29,978$27,1401.87%1.56%1.45%2.12%
201941.78%2.00%$30,510$27,6811.10%2.44%3.98%-0.20%
20195-1.74%-2.56%$29,979$26,973-0.63%-2.82%-6.43%1.91%
201963.77%4.13%$31,108$28,0873.15%4.38%6.99%1.10%
201970.81%0.85%$31,360$28,3240.46%1.15%1.44%0.18%
201981.02%0.23%$31,680$28,3901.68%0.37%-2.01%2.78%
201991.14%0.59%$32,041$28,5580.63%1.64%1.70%-0.61%
2019101.04%1.21%$32,375$28,9030.64%1.43%2.11%0.21%
2019111.15%1.99%$32,748$29,4780.60%1.68%3.78%-0.03%
2019121.60%1.52%$33,270$29,9271.15%2.02%2.86%-0.05%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value24.87%17.36%
Large-cap Growth15.92%22.89%
Mid-cap Value0.00%4.12%
Mid-cap Growth0.00%2.38%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%2.11%
Global ex-US Developed Markets7.18%0.88%
Emerging Markets0.44%0.84%
REITs0.00%0.85%
Corporate Bonds17.38%11.88%
Long-Term Treasuries3.39%2.60%
Intermediate-Term Treasuries7.40%9.44%
Short-Term Treasuries23.42%24.65%
R Squared96.58%99.55%
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
VWIAXVanguard Wellesley Income Admiral30% to 50% Equity7.450.16%50.00%$10,28138.07%
VWENXVanguard Wellington Admiral50% to 70% Equity7.440.17%50.00%$12,98961.93%

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
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend0.04%50.00%$14,82193.34%
AGGiShares Core US Aggregate Bond ETFIntermediate Core Bond5.650.05%50.00%$5,1066.66%

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)0.65%0.59%
Arithmetic Mean (annualized)8.07%7.36%
Geometric Mean (monthly)0.63%0.57%
Geometric Mean (annualized)7.80%7.09%
Volatility (monthly)2.03%2.06%
Volatility (annualized)7.02%7.12%
Downside Deviation (monthly)1.29%1.33%
Max. Drawdown-25.69%-24.78%
US Market Correlation0.920.96
Beta(*)0.460.49
Alpha (annualized)3.21%2.29%
R285.34%92.77%
Sharpe Ratio0.920.81
Sortino Ratio1.411.23
Treynor Ratio (%)13.9411.84
Calmar Ratio1.951.40
Active Return-1.42%-2.13%
Tracking Error7.94%7.34%
Information Ratio-0.18-0.29
Skewness-0.98-0.89
Excess Kurtosis3.802.77
Historical Value-at-Risk (5%)-3.13%-3.25%
Analytical Value-at-Risk (5%)-2.68%-2.84%
Conditional Value-at-Risk (5%)-4.88%-4.90%
Upside Capture Ratio (%)53.0253.64
Downside Capture Ratio (%)39.8245.38
Safe Withdrawal Rate9.01%8.40%
Perpetual Withdrawal Rate5.29%4.66%
Positive Periods134 out of 192 (69.79%)134 out of 192 (69.79%)
Gain/Loss Ratio1.010.92
* 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
Subprime CrisisNov 2007Mar 2009-25.69%-24.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-25.69%
2Jun 2011Sep 20114 monthsDec 20113 months7 months-6.30%
3May 2010Jun 20102 monthsSep 20103 months5 months-5.00%
4Oct 2018Dec 20183 monthsFeb 20192 months5 months-4.78%
5Jun 2015Sep 20154 monthsMar 20166 months10 months-4.39%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-3.91%
7May 2012May 20121 monthJul 20122 months3 months-2.71%
8Mar 2004May 20043 monthsAug 20043 months6 months-2.21%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-2.10%
10Aug 2013Aug 20131 monthOct 20132 months3 months-2.07%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-24.78%
2May 2011Sep 20115 monthsJan 20124 months9 months-6.86%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-6.76%
4May 2010Jun 20102 monthsSep 20103 months5 months-5.39%
5Jun 2015Sep 20154 monthsMar 20166 months10 months-4.36%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.34%
7May 2012May 20121 monthJul 20122 months3 months-2.77%
8Mar 2004Apr 20042 monthsOct 20046 months8 months-2.66%
9May 2019May 20191 monthJun 20191 month2 months-2.56%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-2.27%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWIAXVanguard Wellesley Income Admiral7.08%5.56%16.47%-9.79%-18.72%1.021.610.81
VWENXVanguard Wellington Admiral8.46%8.84%22.61%-22.23%-32.44%0.821.220.96
VTSAXVanguard Total Stock Mkt Idx Adm9.34%13.96%33.52%-36.99%-50.84%0.620.891.00
AGGiShares Core US Aggregate Bond ETF3.99%3.67%8.45%-1.98%-4.31%0.731.28-0.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWIAXVWENXVTSAXAGGPortfolio 1Portfolio 2
VWIAXVanguard Wellesley Income Admiral1.000.900.810.490.960.91
VWENXVanguard Wellington Admiral0.901.000.960.160.990.97
VTSAXVanguard Total Stock Mkt Idx Adm0.810.961.00-0.000.920.96
AGGiShares Core US Aggregate Bond ETF0.490.16-0.001.000.300.26

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWIAXVanguard Wellesley Income Admiral$10,281
VWENXVanguard Wellington Admiral$12,989
VTSAXVanguard Total Stock Mkt Idx Adm$14,821
AGGiShares Core US Aggregate Bond ETF$5,106

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWIAXVanguard Wellesley Income Admiral38.07%
VWENXVanguard Wellington Admiral61.93%
VTSAXVanguard Total Stock Mkt Idx Adm93.34%
AGGiShares Core US Aggregate Bond ETF6.66%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.16%19.54%-16.01%7.40%19.63%-14.54%
3 years7.57%12.20%0.62%6.83%11.67%-0.17%
5 years7.32%12.50%3.26%6.66%11.51%2.32%
7 years7.89%10.24%6.11%7.23%9.54%4.95%
10 years7.88%9.04%6.92%7.22%8.70%6.31%
15 years7.38%7.69%7.06%6.66%7.02%6.30%
Result statistics are based on annualized rolling returns over full calendar year periods