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 
Asset 1
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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 2007 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VBILX Vanguard Interm-Term Bond Index Adm 65.00%
VIG Vanguard Dividend Appreciation ETF 35.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 35.00%
VBILX Vanguard Interm-Term Bond Index Adm 65.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$24,137 6.58% 6.34%16.39%-9.84%-18.82% 0.891.370.85
Portfolio 2$10,000$24,826 6.79% 5.82%16.99%-6.08%-13.90% 1.011.550.78
Portfolio 3$10,000$25,234 6.92% 6.38%17.35%-9.71%-16.97% 0.941.430.86
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 1-1.76%1.41%3.20%5.52%6.32%7.11%6.58%
Portfolio 20.17%6.22%7.78%7.98%7.40%7.11%6.79%
Portfolio 3-0.33%6.51%8.87%7.54%7.18%7.39%6.92%
Trailing returns are for full months ending in October 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to October
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Wellesley Income Inv (VWINX)Vanguard Interm-Term Bond Index Adm (VBILX)Vanguard Dividend Appreciation ETF (VIG)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20074.08%5.61%6.97%6.93%$10,561$10,697$10,6935.61%7.70%5.63%5.49%
20080.09%-9.84%-6.08%-9.71%$9,521$10,047$9,655-9.84%5.01%-26.69%-37.04%
20092.72%16.02%11.33%14.53%$11,047$11,185$11,05716.02%6.89%19.57%28.70%
20101.50%10.65%11.33%12.15%$12,223$12,452$12,40110.65%9.49%14.74%17.09%
20112.96%9.63%9.14%7.32%$13,400$13,590$13,3089.63%10.74%6.16%0.96%
20121.74%10.06%8.64%10.25%$14,747$14,764$14,67210.06%7.02%11.65%16.25%
20131.50%9.19%7.86%9.43%$16,102$15,925$16,0569.19%-3.45%28.87%33.35%
20140.76%8.07%8.05%8.87%$17,401$17,207$17,4818.07%6.96%10.08%12.43%
20150.73%1.28%0.15%0.93%$17,623$17,232$17,6431.28%1.27%-1.95%0.29%
20162.07%8.08%6.03%6.23%$19,047$18,271$18,7428.08%2.83%11.97%12.53%
20172.11%10.20%10.28%9.87%$20,989$20,149$20,59210.20%3.85%22.22%21.05%
20181.91%-2.57%-0.84%-1.95%$20,449$19,979$20,189-2.57%-0.17%-2.08%-5.26%
20192.29%16.39%16.99%17.35%$23,801$23,373$23,69116.39%10.18%29.62%30.65%
20201.29%1.41%6.22%6.51%$24,137$24,826$25,2341.41%8.33%2.30%3.15%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Wellesley Income Inv (VWINX)Vanguard Interm-Term Bond Index Adm (VBILX)Vanguard Dividend Appreciation ETF (VIG)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200710.32%0.38%0.49%$10,032$10,038$10,0490.32%-0.26%1.56%1.88%
200720.91%0.71%0.76%$10,124$10,109$10,1250.91%2.06%-1.74%-1.61%
200730.63%-0.07%0.22%$10,188$10,103$10,1470.63%-0.25%0.28%1.11%
200741.73%1.93%1.80%$10,364$10,298$10,3291.73%0.61%4.44%4.01%
200750.45%0.15%0.59%$10,410$10,314$10,3900.45%-1.13%2.48%3.69%
20076-1.19%-0.88%-0.91%$10,286$10,223$10,296-1.19%-0.47%-1.60%-1.67%
20077-0.73%-0.25%-0.59%$10,211$10,197$10,235-0.73%1.03%-2.52%-3.41%
200781.42%1.92%1.62%$10,356$10,393$10,4011.42%1.72%2.30%1.45%
200791.72%1.61%1.67%$10,534$10,561$10,5741.72%0.61%3.43%3.59%
2007100.94%0.53%1.31%$10,633$10,616$10,7130.94%1.01%-0.33%1.85%
200711-0.18%0.85%-0.07%$10,614$10,706$10,706-0.18%2.45%-2.03%-4.49%
200712-0.50%-0.08%-0.12%$10,561$10,697$10,693-0.50%0.13%-0.49%-0.60%
20081-0.82%-0.21%-0.50%$10,473$10,675$10,640-0.82%2.51%-5.27%-6.08%
20082-1.29%-0.07%-0.57%$10,338$10,667$10,578-1.29%0.66%-1.55%-3.07%
200830.38%0.68%-0.17%$10,377$10,740$10,5610.38%0.03%2.03%-0.58%
200841.18%0.30%1.05%$10,499$10,772$10,6721.18%-0.83%2.57%5.02%
20085-0.56%-0.74%-0.17%$10,441$10,691$10,654-0.56%-1.30%0.33%2.09%
20086-3.41%-2.74%-2.84%$10,085$10,398$10,351-3.41%-0.08%-7.86%-8.19%
200870.15%0.37%-0.23%$10,099$10,436$10,3270.15%0.03%1.06%-0.77%
200880.78%1.16%0.99%$10,179$10,557$10,4290.78%0.71%2.08%1.58%
20089-3.47%-4.47%-5.27%$9,825$10,084$9,880-3.47%-3.37%-6.72%-9.26%
200810-7.19%-7.46%-8.41%$9,119$9,332$9,049-7.19%-4.30%-14.11%-17.63%
2008110.33%3.31%2.00%$9,149$9,641$9,2300.33%5.81%-2.55%-7.90%
2008124.07%4.21%4.60%$9,521$10,047$9,6554.07%5.52%0.88%1.86%
20091-4.62%-3.52%-3.75%$9,081$9,693$9,293-4.62%-1.32%-7.62%-8.26%
20092-4.96%-4.31%-4.28%$8,631$9,275$8,896-4.96%-1.19%-10.52%-10.45%
200932.94%3.43%3.93%$8,884$9,593$9,2452.94%1.79%7.03%8.65%
200943.54%2.50%3.59%$9,199$9,832$9,5773.54%0.19%7.29%10.61%
200954.39%2.26%2.45%$9,603$10,055$9,8124.39%0.88%4.95%5.38%
200961.25%0.87%0.81%$9,723$10,142$9,8911.25%1.07%0.49%0.34%
200975.68%3.98%4.47%$10,275$10,545$10,3335.68%2.61%6.56%7.82%
200982.32%1.71%2.17%$10,514$10,726$10,5582.32%1.33%2.41%3.63%
200991.87%2.02%2.45%$10,710$10,943$10,8161.87%1.39%3.15%4.23%
200910-0.05%0.20%-0.63%$10,705$10,965$10,749-0.05%0.56%-0.43%-2.57%
2009113.20%3.38%3.36%$11,048$11,336$11,1103.20%2.02%5.79%5.63%
200912-0.01%-1.33%-0.48%$11,047$11,185$11,057-0.01%-2.53%0.73%2.86%
20101-0.29%0.53%0.11%$11,014$11,245$11,070-0.29%2.06%-2.30%-3.50%
201021.08%1.05%1.36%$11,134$11,362$11,2201.08%0.34%2.42%3.36%
201031.99%1.48%2.04%$11,355$11,530$11,4491.99%-0.18%4.62%6.27%
201041.49%1.78%1.78%$11,525$11,735$11,6521.49%1.56%2.17%2.17%
20105-2.71%-1.82%-2.12%$11,213$11,521$11,405-2.71%1.19%-7.24%-8.00%
201060.19%0.21%-0.25%$11,234$11,545$11,3770.19%2.52%-4.34%-5.66%
201073.49%3.13%3.31%$11,627$11,906$11,7543.49%1.58%6.38%6.99%
201080.86%0.54%0.11%$11,726$11,970$11,7670.86%2.52%-3.44%-4.75%
201092.70%3.04%3.37%$12,043$12,334$12,1642.70%0.57%8.31%9.47%
2010100.88%1.28%1.64%$12,149$12,491$12,3640.88%0.49%2.83%3.94%
201011-0.92%-0.59%-0.50%$12,038$12,417$12,303-0.92%-1.05%0.30%0.58%
2010121.54%0.28%0.79%$12,223$12,452$12,4011.54%-2.37%5.34%6.81%
201110.65%0.72%0.98%$12,302$12,541$12,5230.65%0.34%1.43%2.19%
201121.88%1.23%1.30%$12,533$12,695$12,6851.88%0.04%3.41%3.60%
201130.14%0.31%0.09%$12,551$12,735$12,6970.14%-0.11%1.06%0.45%
201142.58%2.46%2.27%$12,874$13,047$12,9862.58%1.86%3.49%2.99%
201150.84%0.76%0.80%$12,982$13,147$13,0900.84%1.94%-1.27%-1.16%
20116-1.06%-0.58%-0.94%$12,845$13,071$12,967-1.06%-0.47%-0.77%-1.79%
201170.04%0.50%0.93%$12,850$13,136$13,0870.04%2.71%-3.46%-2.28%
20118-0.27%0.24%-0.73%$12,816$13,166$12,992-0.27%2.04%-3.20%-5.99%
20119-1.46%-1.82%-2.27%$12,629$12,927$12,697-1.46%0.39%-6.26%-7.75%
2011104.03%3.31%3.81%$13,138$13,355$13,1814.03%0.39%9.60%11.51%
201111-0.53%0.21%-0.52%$13,069$13,383$13,113-0.53%-0.64%1.87%-0.29%
2011122.53%1.55%1.49%$13,400$13,590$13,3082.53%1.83%1.00%0.80%
201211.88%1.98%2.85%$13,651$13,859$13,6881.88%1.65%2.60%5.08%
201221.28%0.93%1.48%$13,826$13,988$13,8901.28%-0.07%2.76%4.26%
201230.46%0.15%0.54%$13,890$14,009$13,9650.46%-0.93%2.09%3.07%
201240.93%1.03%0.88%$14,020$14,153$14,0880.93%1.81%-0.34%-0.65%
20125-1.43%-0.70%-1.45%$13,819$14,054$13,884-1.43%1.37%-4.37%-6.24%
201262.00%0.82%1.44%$14,095$14,169$14,0842.00%0.10%2.18%3.91%
201272.44%1.83%1.50%$14,440$14,429$14,2962.44%1.77%1.96%1.03%
201280.53%0.84%1.06%$14,517$14,550$14,4470.53%0.26%1.90%2.48%
201290.86%0.93%1.20%$14,642$14,686$14,6210.86%0.41%1.87%2.58%
2012100.25%-0.29%-0.49%$14,678$14,643$14,5490.25%0.25%-1.26%-1.76%
2012110.29%0.88%0.63%$14,719$14,772$14,6410.29%0.57%1.44%0.74%
2012120.19%-0.06%0.21%$14,747$14,764$14,6720.19%-0.35%0.47%1.19%
201311.45%1.47%1.32%$14,961$14,981$14,8661.45%-0.93%5.93%5.50%
201321.23%1.05%1.09%$15,145$15,138$15,0281.23%0.99%1.16%1.28%
201331.26%1.42%1.60%$15,336$15,353$15,2691.26%0.29%3.38%3.88%
201341.97%1.46%1.47%$15,638$15,577$15,4931.97%1.33%1.67%1.70%
20135-0.87%-1.09%-0.65%$15,502$15,407$15,393-0.87%-2.43%1.15%2.32%
20136-1.59%-2.34%-2.24%$15,255$15,047$15,048-1.59%-2.85%-1.51%-1.27%
201372.04%2.35%2.40%$15,566$15,401$15,4082.04%0.43%5.41%5.49%
20138-1.87%-2.17%-1.88%$15,274$15,067$15,119-1.87%-1.25%-3.57%-2.82%
201391.63%2.52%2.41%$15,523$15,447$15,4841.63%1.59%3.97%3.66%
2013102.10%2.29%2.33%$15,848$15,800$15,8442.10%1.05%4.17%4.22%
2013110.79%0.72%0.96%$15,973$15,913$15,9960.79%-0.37%2.32%2.88%
2013120.81%0.07%0.37%$16,102$15,925$16,0560.81%-1.24%1.96%2.63%
20141-0.36%-0.29%0.37%$16,044$15,878$16,116-0.36%2.25%-5.01%-3.11%
201422.06%2.02%1.98%$16,374$16,198$16,4352.06%0.58%4.90%4.73%
201430.92%0.06%-0.03%$16,525$16,208$16,4300.92%-0.32%0.79%0.51%
201441.19%0.91%0.58%$16,721$16,356$16,5261.19%0.86%1.01%0.06%
201451.21%1.58%1.78%$16,924$16,615$16,8201.21%1.57%1.61%2.17%
201460.78%0.50%0.87%$17,055$16,697$16,9660.78%-0.03%1.49%2.54%
20147-1.00%-1.34%-0.88%$16,884$16,474$16,816-1.00%-0.28%-3.31%-1.98%
201481.99%2.15%2.36%$17,220$16,829$17,2131.99%1.38%3.65%4.18%
20149-1.25%-1.05%-1.45%$17,004$16,652$16,963-1.25%-1.07%-1.00%-2.14%
2014101.17%1.71%1.75%$17,203$16,937$17,2591.17%1.20%2.65%2.74%
2014111.31%1.73%1.46%$17,429$17,229$17,5111.31%0.92%3.22%2.41%
201412-0.16%-0.13%-0.17%$17,401$17,207$17,481-0.16%-0.26%0.11%-0.01%
201510.55%0.96%1.17%$17,496$17,371$17,6850.55%3.29%-3.38%-2.77%
201520.82%0.88%0.95%$17,639$17,524$17,8530.82%-1.49%5.59%5.76%
20153-0.10%-0.35%0.08%$17,621$17,463$17,868-0.10%0.69%-2.27%-1.04%
201540.51%-0.21%0.01%$17,710$17,427$17,8690.51%-0.21%-0.21%0.42%
20155-0.12%0.08%0.24%$17,690$17,441$17,913-0.12%-0.38%0.96%1.39%
20156-2.06%-1.75%-1.47%$17,325$17,135$17,649-2.06%-1.34%-2.54%-1.71%
201571.23%1.36%1.18%$17,539$17,368$17,8581.23%0.94%2.16%1.63%
20158-2.16%-2.28%-2.38%$17,160$16,971$17,432-2.16%-0.38%-5.87%-6.03%
201590.11%0.18%-0.22%$17,179$17,002$17,3940.11%1.19%-1.84%-2.93%
2015103.40%2.18%2.58%$17,763$17,372$17,8433.40%-0.04%6.74%7.84%
2015110.00%-0.11%-0.01%$17,763$17,353$17,8410.00%-0.31%0.27%0.54%
201512-0.79%-0.70%-1.11%$17,623$17,232$17,643-0.79%-0.61%-0.87%-2.03%
20161-0.20%0.45%-0.74%$17,587$17,308$17,513-0.20%1.92%-2.29%-5.67%
201620.45%1.04%0.65%$17,666$17,489$17,6270.45%1.00%1.13%-0.04%
201633.52%2.86%3.04%$18,287$17,989$18,1643.52%1.09%6.28%7.01%
201640.91%0.19%0.52%$18,453$18,022$18,2590.91%0.47%-0.33%0.63%
201650.59%0.20%0.48%$18,562$18,057$18,3460.59%-0.21%0.95%1.79%
201662.18%2.42%1.68%$18,967$18,495$18,6542.18%2.45%2.37%0.23%
201671.38%1.27%1.83%$19,229$18,731$18,9941.38%0.72%2.29%3.95%
201680.00%-0.35%-0.26%$19,229$18,666$18,9440.00%-0.54%0.01%0.26%
20169-0.32%-0.22%0.18%$19,168$18,625$18,979-0.32%0.20%-0.97%0.15%
201610-1.22%-1.26%-1.36%$18,933$18,391$18,722-1.22%-0.89%-1.93%-2.21%
201611-0.74%-1.14%-0.65%$18,794$18,181$18,600-0.74%-3.38%2.98%4.44%
2016121.35%0.49%0.76%$19,047$18,271$18,7421.35%0.10%1.17%1.92%
201710.27%0.88%0.93%$19,099$18,431$18,9160.27%0.40%1.76%1.91%
201721.96%2.06%1.84%$19,473$18,811$19,2651.96%0.82%4.33%3.71%
20173-0.04%0.00%0.05%$19,466$18,811$19,275-0.04%0.05%-0.07%0.07%
201740.70%1.33%1.08%$19,601$19,061$19,4840.70%1.10%1.72%1.05%
201751.15%1.10%0.90%$19,827$19,271$19,6591.15%0.84%1.57%1.01%
201760.41%-0.10%0.13%$19,909$19,252$19,6850.41%-0.31%0.28%0.92%
201770.88%0.69%1.10%$20,084$19,384$19,9010.88%0.66%0.73%1.87%
201780.53%0.51%0.69%$20,190$19,483$20,0390.53%1.01%-0.36%0.15%
201790.84%0.34%0.37%$20,360$19,548$20,1120.84%-0.82%2.38%2.45%
2017100.90%0.86%0.89%$20,543$19,716$20,2910.90%0.14%2.10%2.16%
2017111.08%1.43%0.90%$20,765$19,998$20,4731.08%-0.40%4.48%3.04%
2017121.08%0.75%0.58%$20,989$20,149$20,5921.08%0.32%1.44%0.99%
201810.56%0.76%0.86%$21,106$20,301$20,7680.56%-1.54%5.02%5.31%
20182-2.73%-2.08%-1.97%$20,530$19,879$20,360-2.73%-0.96%-4.03%-3.72%
20183-0.27%-0.15%-0.39%$20,474$19,849$20,281-0.27%0.51%-1.35%-1.99%
20184-0.50%-0.94%-0.48%$20,372$19,663$20,185-0.50%-0.94%-0.93%0.38%
201850.65%1.08%1.45%$20,505$19,874$20,4760.65%0.70%1.77%2.79%
201860.16%0.08%0.22%$20,538$19,891$20,5220.16%-0.04%0.30%0.68%
201872.04%1.71%1.25%$20,957$20,231$20,7782.04%0.06%4.68%3.34%
201880.57%1.53%1.77%$21,075$20,541$21,1470.57%0.79%2.80%3.44%
20189-0.23%0.20%-0.36%$21,027$20,582$21,071-0.23%-0.67%1.68%0.16%
201810-2.27%-2.70%-3.10%$20,550$20,027$20,418-2.27%-0.48%-6.36%-7.40%
2018111.63%1.89%1.14%$20,884$20,406$20,6501.63%0.62%4.14%2.06%
201812-2.08%-2.09%-2.23%$20,449$19,979$20,189-2.08%1.82%-8.73%-9.29%
201913.23%3.20%3.99%$21,111$20,619$20,9963.23%1.52%6.32%8.59%
201921.51%1.62%1.25%$21,429$20,953$21,2591.51%-0.04%4.58%3.50%
201931.88%1.88%1.99%$21,831$21,347$21,6811.88%2.32%1.14%1.44%
201941.08%1.41%1.52%$22,067$21,648$22,0101.08%0.06%3.72%3.98%
20195-0.65%-0.44%-1.15%$21,924$21,553$21,756-0.65%2.10%-4.63%-6.45%
201963.14%3.37%3.49%$22,613$22,280$22,5153.14%1.53%6.63%6.97%
201970.49%0.98%0.68%$22,724$22,497$22,6680.49%0.23%2.23%1.44%
201981.68%2.02%1.04%$23,106$22,951$22,9051.68%2.88%0.59%-2.03%
201990.59%0.10%0.18%$23,243$22,974$22,9450.59%-0.70%1.45%1.70%
2019100.63%0.26%1.02%$23,388$23,033$23,1790.63%0.39%0.03%2.10%
2019110.62%0.74%1.23%$23,533$23,204$23,4640.62%-0.29%2.45%3.77%
2019121.14%0.73%0.97%$23,801$23,373$23,6911.14%-0.20%2.22%2.85%
202011.28%1.89%1.66%$24,106$23,813$24,0851.28%2.59%0.57%-0.08%
20202-2.46%-1.61%-1.54%$23,514$23,429$23,713-2.46%1.94%-8.34%-8.18%
20203-6.28%-4.06%-5.38%$22,036$22,478$22,436-6.28%-1.42%-9.62%-13.78%
202045.70%4.52%5.42%$23,292$23,494$23,6525.70%2.18%9.88%13.25%
202052.11%2.00%2.55%$23,784$23,964$24,2552.11%1.26%3.60%5.38%
202060.47%0.81%1.52%$23,896$24,157$24,6230.47%1.15%0.08%2.28%
202072.81%2.59%2.82%$24,568$24,783$25,3172.81%1.46%4.98%5.64%
202080.22%1.67%2.05%$24,621$25,197$25,8350.22%-0.53%6.16%7.18%
20209-0.70%-0.30%-1.19%$24,449$25,122$25,527-0.70%0.09%-1.05%-3.57%
202010-1.27%-1.18%-1.15%$24,137$24,826$25,234-1.27%-0.62%-2.27%-2.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value23.62%12.73%6.82%
Large-cap Growth8.53%17.71%20.14%
Mid-cap Value0.00%3.05%8.19%
Mid-cap Growth0.00%0.00%0.61%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets2.90%0.00%0.52%
Emerging Markets0.40%0.76%1.96%
Corporate Bonds22.24%12.72%16.39%
Long-Term Treasuries7.02%0.00%0.00%
Intermediate-Term Treasuries9.00%44.34%34.22%
Short-Term Treasuries26.29%8.69%11.15%
R Squared94.04%95.29%98.51%
Style analysis is based on monthly returns from Jan 2007 to Oct 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%0.23%17.938.18$14,137100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VBILXVanguard Interm-Term Bond Index AdmIntermediate Core Bond65.00%0.07%6.52$7,34833.35%
VIGVanguard Dividend Appreciation ETFLarge Blend35.00%0.06%25.81$7,47766.65%
100.00%0.07%25.816.52$14,826100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend35.00%0.14%25.00$7,86873.99%
VBILXVanguard Interm-Term Bond Index AdmIntermediate Core Bond65.00%0.07%6.52$7,36726.01%
100.00%0.09%25.006.52$15,234100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.55%0.56%0.58%
Arithmetic Mean (annualized)6.79%6.97%7.14%
Geometric Mean (monthly)0.53%0.55%0.56%
Geometric Mean (annualized)6.58%6.79%6.92%
Volatility (monthly)1.83%1.68%1.84%
Volatility (annualized)6.34%5.82%6.38%
Downside Deviation (monthly)1.17%1.07%1.19%
Max. Drawdown-18.82%-13.90%-16.97%
US Market Correlation0.850.780.86
Beta(*)0.340.280.35
Alpha (annualized)3.40%4.08%3.65%
R271.92%60.62%74.75%
Sharpe Ratio0.891.010.94
Sortino Ratio1.371.551.43
Treynor Ratio (%)16.9020.6817.43
Calmar Ratio0.641.421.10
Active Return-1.87%-1.66%-1.53%
Tracking Error11.07%11.97%10.89%
Information Ratio-0.17-0.14-0.14
Skewness-0.80-1.01-1.04
Excess Kurtosis3.203.283.92
Historical Value-at-Risk (5%)-2.62%-2.32%-2.34%
Analytical Value-at-Risk (5%)-2.46%-2.23%-2.52%
Conditional Value-at-Risk (5%)-4.42%-3.95%-4.43%
Upside Capture Ratio (%)38.9834.7840.18
Downside Capture Ratio (%)26.6418.7526.58
Safe Withdrawal Rate10.05%10.06%10.06%
Perpetual Withdrawal Rate4.71%4.91%5.03%
Positive Periods114 out of 166 (68.67%)118 out of 166 (71.08%)114 out of 166 (68.67%)
Gain/Loss Ratio0.991.001.06
* 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 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-18.82%-13.90%-16.97%

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-18.82%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-8.59%
3Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
4May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
5Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
6May 2010May 20101 monthJul 20102 months3 months-2.71%
7May 2013Jun 20132 monthsOct 20134 months6 months-2.45%
8Sep 2016Nov 20163 monthsFeb 20173 months6 months-2.26%
9Sep 2020Oct 20202 months-1.97%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-1.91%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Feb 200910 monthsSep 20097 months1 year 5 months-13.90%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-5.61%
3May 2013Jun 20132 monthsOct 20134 months6 months-3.40%
4Mar 2015Aug 20156 monthsMar 20167 months1 year 1 month-3.16%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-3.15%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.93%
7Oct 2018Dec 20183 monthsJan 20191 month4 months-2.93%
8Sep 2011Sep 20111 monthOct 20111 month2 months-1.82%
9May 2010May 20101 monthJul 20102 months3 months-1.82%
10Sep 2020Oct 20202 months-1.48%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-16.97%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-6.84%
3Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.53%
4Jun 2011Sep 20114 monthsOct 20111 month5 months-3.00%
5Jun 2015Sep 20154 monthsMar 20166 months10 months-2.89%
6May 2013Jun 20132 monthsOct 20134 months6 months-2.88%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-2.81%
8May 2010Jun 20102 monthsJul 20101 month3 months-2.36%
9Sep 2020Oct 20202 months-2.32%
10Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWINXVanguard Wellesley Income Inv6.58%6.34%16.39%-9.84%-18.82%0.891.370.85
VBILXVanguard Interm-Term Bond Index Adm5.46%4.88%10.74%-3.45%-8.88%0.941.660.04
VIGVanguard Dividend Appreciation ETF8.55%13.36%29.62%-26.69%-41.11%0.620.890.96
VTSMXVanguard Total Stock Mkt Idx Inv8.45%15.93%33.35%-37.04%-50.89%0.540.771.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWINXVBILXVIGVTSMXPortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv1.000.470.870.851.000.940.95
VBILXVanguard Interm-Term Bond Index Adm0.471.000.090.040.470.620.53
VIGVanguard Dividend Appreciation ETF0.870.091.000.960.870.840.86
VTSMXVanguard Total Stock Mkt Idx Inv0.850.040.961.000.850.780.86

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv$14,137
VBILXVanguard Interm-Term Bond Index Adm$7,348$7,367
VIGVanguard Dividend Appreciation ETF$7,477
VTSMXVanguard Total Stock Mkt Idx Inv$7,868

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv100.00%
VBILXVanguard Interm-Term Bond Index Adm33.35%26.01%
VIGVanguard Dividend Appreciation ETF66.65%
VTSMXVanguard Total Stock Mkt Idx Inv73.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.13%16.39%-9.84%6.91%16.99%-6.08%7.09%17.35%-9.71%
3 years7.31%12.07%3.37%6.82%10.59%3.80%7.10%11.29%3.41%
5 years7.45%11.08%4.90%6.87%9.65%4.64%7.23%10.71%4.69%
7 years7.58%9.19%6.22%6.96%8.01%5.66%7.40%8.99%6.14%
10 years7.42%7.98%6.66%6.88%7.65%6.21%7.21%7.92%6.48%
Result statistics are based on annualized rolling returns over full calendar year periods