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 (Jan 1995 - Sep 2021)

Portfolio Allocations

Vanguard LifeStrategy Cnsrv Gr Inv
Ticker Name Allocation
VSCGX Vanguard LifeStrategy Cnsrv Gr Inv 100.00%
Save portfolio »
Vanguard Wellesley Income Inv
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
Vanguard LifeStrategy Cnsrv Gr Inv$10,000$62,743 7.11% 6.85%24.35%-19.52%-27.96% 0.721.060.94
Vanguard Wellesley Income Inv$10,000$87,623 8.45% 6.19%28.91%-9.84%-18.82% 0.991.660.70
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard LifeStrategy Cnsrv Gr Inv-0.46%3.51%10.28%8.47%7.31%7.33%7.11%7.95%6.42%
Vanguard Wellesley Income Inv0.26%5.33%11.22%8.95%7.24%7.97%8.45%7.67%6.34%
Trailing annualized return and volatility are for full months ending in September 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to September
  • 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
YearInflationVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income InvVanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard Wellesley Income Inv (VWINX)
ReturnBalanceReturnBalance
19952.54%24.35%$12,43528.91%$12,89124.35%28.91%
19963.32%10.36%$13,7229.42%$14,10510.36%9.42%
19971.70%16.81%$16,02920.19%$16,95316.81%20.19%
19981.61%15.88%$18,57411.84%$18,96115.88%11.84%
19992.68%7.86%$20,034-4.14%$18,1777.86%-4.14%
20003.39%3.12%$20,65816.17%$21,1163.12%16.17%
20011.55%-0.08%$20,6417.39%$22,676-0.08%7.39%
20022.38%-5.36%$19,5344.64%$23,728-5.36%4.64%
20031.88%16.57%$22,7719.66%$26,01916.57%9.66%
20043.26%8.01%$24,5967.55%$27,9858.01%7.55%
20053.42%4.45%$25,6923.48%$28,9594.45%3.48%
20062.54%10.62%$28,42111.28%$32,22510.62%11.28%
20074.08%6.99%$30,4075.61%$34,0326.99%5.61%
20080.09%-19.52%$24,472-9.84%$30,682-19.52%-9.84%
20092.72%17.06%$28,64616.02%$35,59917.06%16.02%
20101.50%11.14%$31,83710.65%$39,38911.14%10.65%
20112.96%1.76%$32,3979.63%$43,1821.76%9.63%
20121.74%9.19%$35,37410.06%$47,5249.19%10.06%
20131.50%9.08%$38,5859.19%$51,8909.08%9.19%
20140.76%6.95%$41,2688.07%$56,0756.95%8.07%
20150.73%-0.17%$41,1971.28%$56,791-0.17%1.28%
20162.07%5.96%$43,6548.08%$61,3805.96%8.08%
20172.11%10.92%$48,42110.20%$67,63910.92%10.20%
20181.91%-2.95%$46,991-2.57%$65,899-2.95%-2.57%
20192.29%15.68%$54,36116.39%$76,70115.68%16.39%
20201.36%11.51%$60,6188.45%$83,18611.51%8.45%
20215.31%3.51%$62,7435.33%$87,6233.51%5.33%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income InvVanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard Wellesley Income Inv (VWINX)
ReturnBalanceReturnBalance
199511.72%$10,1722.87%$10,2871.72%2.87%
199522.58%$10,4353.08%$10,6042.58%3.08%
199531.65%$10,6071.06%$10,7171.65%1.06%
199542.01%$10,8211.95%$10,9262.01%1.95%
199553.67%$11,2175.51%$11,5273.67%5.51%
199561.27%$11,3590.87%$11,6281.27%0.87%
199571.72%$11,5550.21%$11,6521.72%0.21%
199580.80%$11,6481.66%$11,8460.80%1.66%
199592.04%$11,8852.31%$12,1192.04%2.31%
1995100.44%$11,9370.76%$12,2110.44%0.76%
1995112.60%$12,2472.81%$12,5542.60%2.81%
1995121.53%$12,4352.68%$12,8911.53%2.68%
199611.63%$12,6370.93%$13,0111.63%0.93%
19962-0.42%$12,584-2.18%$12,727-0.42%-2.18%
199630.17%$12,6050.03%$12,7310.17%0.03%
199640.43%$12,658-0.61%$12,6540.43%-0.61%
199650.76%$12,7550.30%$12,6930.76%0.30%
199660.68%$12,8421.33%$12,8620.68%1.33%
19967-1.77%$12,614-0.91%$12,745-1.77%-0.91%
199680.86%$12,7220.92%$12,8620.86%0.92%
199693.16%$13,1242.89%$13,2343.16%2.89%
1996102.00%$13,3874.14%$13,7822.00%4.14%
1996113.68%$13,8793.64%$14,2843.68%3.64%
199612-1.13%$13,722-1.25%$14,105-1.13%-1.25%
199712.06%$14,0051.32%$14,2912.06%1.32%
199720.24%$14,0390.67%$14,3870.24%0.67%
19973-2.03%$13,754-2.55%$14,020-2.03%-2.55%
199742.65%$14,1192.16%$14,3222.65%2.16%
199753.15%$14,5632.65%$14,7013.15%2.65%
199762.50%$14,9282.20%$15,0242.50%2.20%
199774.48%$15,5965.97%$15,9214.48%5.97%
19978-2.51%$15,204-2.28%$15,558-2.51%-2.28%
199793.03%$15,6653.71%$16,1353.03%3.71%
199710-0.52%$15,5840.67%$16,243-0.52%0.67%
1997111.49%$15,8162.40%$16,6321.49%2.40%
1997121.34%$16,0291.93%$16,9531.34%1.93%
199811.34%$16,2440.78%$17,0851.34%0.78%
199822.87%$16,7101.23%$17,2942.87%1.23%
199832.22%$17,0812.56%$17,7372.22%2.56%
199840.78%$17,2140.00%$17,7370.78%0.00%
19985-0.21%$17,1780.81%$17,880-0.21%0.81%
199861.83%$17,4921.11%$18,0791.83%1.11%
19987-0.42%$17,419-1.29%$17,846-0.42%-1.29%
19988-5.24%$16,506-2.39%$17,420-5.24%-2.39%
199893.39%$17,0655.49%$18,3773.39%5.49%
1998103.24%$17,6170.31%$18,4343.24%0.31%
1998112.86%$18,1202.38%$18,8732.86%2.38%
1998122.51%$18,5740.46%$18,9612.51%0.46%
199911.77%$18,902-0.54%$18,8581.77%-0.54%
19992-2.47%$18,435-2.86%$18,318-2.47%-2.86%
199931.99%$18,8010.81%$18,4661.99%0.81%
199942.03%$19,1823.22%$19,0622.03%3.22%
19995-1.46%$18,903-0.69%$18,930-1.46%-0.69%
199961.64%$19,213-0.07%$18,9161.64%-0.07%
19997-1.07%$19,007-1.64%$18,606-1.07%-1.64%
19998-0.27%$18,955-0.95%$18,428-0.27%-0.95%
19999-0.14%$18,929-0.53%$18,331-0.14%-0.53%
1999102.40%$19,3830.88%$18,4932.40%0.88%
1999111.07%$19,591-0.68%$18,3671.07%-0.68%
1999122.26%$20,034-1.04%$18,1772.26%-1.04%
20001-1.52%$19,729-1.01%$17,993-1.52%-1.01%
200021.34%$19,994-3.00%$17,4531.34%-3.00%
200033.38%$20,6705.61%$18,4323.38%5.61%
20004-1.95%$20,2660.16%$18,461-1.95%0.16%
20005-1.13%$20,0381.27%$18,696-1.13%1.27%
200062.63%$20,565-0.63%$18,5782.63%-0.63%
20007-0.13%$20,5371.98%$18,945-0.13%1.98%
200083.12%$21,1782.93%$19,5003.12%2.93%
20009-1.61%$20,8371.80%$19,851-1.61%1.80%
200010-0.20%$20,7961.27%$20,102-0.20%1.27%
200011-2.25%$20,3281.20%$20,343-2.25%1.20%
2000121.62%$20,6583.80%$21,1161.62%3.80%
200112.24%$21,1220.25%$21,1682.24%0.25%
20012-3.52%$20,3771.23%$21,428-3.52%1.23%
20013-2.54%$19,859-0.07%$21,412-2.54%-0.07%
200143.36%$20,5271.88%$21,8143.36%1.88%
200150.55%$20,6411.02%$22,0360.55%1.02%
20016-0.49%$20,541-0.18%$21,997-0.49%-0.18%
200170.77%$20,6991.80%$22,3930.77%1.80%
20018-1.80%$20,3250.67%$22,543-1.80%0.67%
20019-3.08%$19,699-0.56%$22,418-3.08%-0.56%
2001102.13%$20,1200.43%$22,5152.13%0.43%
2001112.38%$20,5980.14%$22,5482.38%0.14%
2001120.21%$20,6410.57%$22,6760.21%0.57%
20021-0.21%$20,5970.45%$22,778-0.21%0.45%
20022-0.29%$20,5391.65%$23,154-0.29%1.65%
200230.93%$20,730-0.10%$23,1310.93%-0.10%
20024-1.14%$20,4930.70%$23,293-1.14%0.70%
200250.14%$20,5231.33%$23,6040.14%1.33%
20026-2.81%$19,946-0.93%$23,384-2.81%-0.93%
20027-3.14%$19,319-2.09%$22,895-3.14%-2.09%
200281.00%$19,5130.86%$23,0931.00%0.86%
20029-4.67%$18,601-2.67%$22,476-4.67%-2.67%
2002103.72%$19,2942.31%$22,9943.72%2.31%
2002112.97%$19,8662.36%$23,5362.97%2.36%
200212-1.67%$19,5340.82%$23,728-1.67%0.82%
20031-1.25%$19,290-1.56%$23,359-1.25%-1.56%
20032-0.24%$19,2440.10%$23,382-0.24%0.10%
200330.47%$19,335-0.11%$23,3580.47%-0.11%
200344.44%$20,1933.40%$24,1534.44%3.40%
200353.64%$20,9294.24%$25,1773.64%4.24%
200360.72%$21,0800.18%$25,2230.72%0.18%
20037-0.22%$21,034-3.38%$24,371-0.22%-3.38%
200381.17%$21,2810.40%$24,4691.17%0.40%
200391.02%$21,4971.72%$24,8891.02%1.72%
2003102.31%$21,9930.44%$25,0002.31%0.44%
2003110.71%$22,1490.54%$25,1350.71%0.54%
2003122.81%$22,7713.52%$26,0192.81%3.52%
200411.31%$23,0690.48%$26,1441.31%0.48%
200421.22%$23,3511.38%$26,5051.22%1.38%
20043-0.07%$23,3360.32%$26,591-0.07%0.32%
20044-2.23%$22,816-2.17%$26,013-2.23%-2.17%
200450.34%$22,895-0.34%$25,9250.34%-0.34%
200461.17%$23,1621.11%$26,2131.17%1.11%
20047-1.10%$22,9080.34%$26,302-1.10%0.34%
200481.18%$23,1782.07%$26,8471.18%2.07%
200490.82%$23,3690.66%$27,0250.82%0.66%
2004101.16%$23,6400.66%$27,2041.16%0.66%
2004111.89%$24,0860.89%$27,4471.89%0.89%
2004122.12%$24,5961.96%$27,9852.12%1.96%
20051-0.92%$24,371-0.09%$27,959-0.92%-0.09%
200520.93%$24,5961.25%$28,3090.93%1.25%
20053-1.11%$24,323-1.41%$27,909-1.11%-1.41%
20054-0.53%$24,1940.94%$28,170-0.53%0.94%
200551.94%$24,6631.07%$28,4711.94%1.07%
200560.53%$24,7930.87%$28,7200.53%0.87%
200571.58%$25,1840.09%$28,7461.58%0.09%
200580.26%$25,2500.78%$28,9710.26%0.78%
200590.20%$25,299-0.25%$28,8980.20%-0.25%
200510-1.17%$25,004-1.34%$28,512-1.17%-1.34%
2005112.03%$25,5121.03%$28,8052.03%1.03%
2005120.70%$25,6920.53%$28,9590.70%0.53%
200611.74%$26,1400.85%$29,2071.74%0.85%
200620.13%$26,1730.80%$29,4400.13%0.80%
200630.57%$26,322-0.66%$29,2450.57%-0.66%
200640.82%$26,5391.09%$29,5640.82%1.09%
20065-1.45%$26,155-0.66%$29,370-1.45%-0.66%
200660.14%$26,1920.58%$29,5400.14%0.58%
200670.71%$26,3772.14%$30,1710.71%2.14%
200681.85%$26,8651.81%$30,7181.85%1.81%
200691.51%$27,2701.23%$31,0971.51%1.23%
2006101.99%$27,8121.64%$31,6071.99%1.64%
2006111.58%$28,2521.30%$32,0181.58%1.30%
2006120.60%$28,4210.65%$32,2250.60%0.65%
200710.84%$28,6610.32%$32,3290.84%0.32%
20072-0.12%$28,6260.91%$32,624-0.12%0.91%
200730.72%$28,8310.63%$32,8300.72%0.63%
200742.21%$29,4681.73%$33,3972.21%1.73%
200751.40%$29,8820.45%$33,5461.40%0.45%
20076-0.69%$29,676-1.19%$33,146-0.69%-1.19%
20077-0.94%$29,398-0.73%$32,905-0.94%-0.73%
200781.06%$29,7111.42%$33,3721.06%1.42%
200792.17%$30,3541.72%$33,9452.17%1.72%
2007101.56%$30,8270.94%$34,2641.56%0.94%
200711-1.14%$30,477-0.18%$34,203-1.14%-0.18%
200712-0.23%$30,407-0.50%$34,032-0.23%-0.50%
20081-2.28%$29,716-0.82%$33,751-2.28%-0.82%
20082-1.31%$29,325-1.29%$33,314-1.31%-1.29%
20083-0.30%$29,2370.38%$33,441-0.30%0.38%
200842.32%$29,9151.18%$33,8352.32%1.18%
200850.66%$30,112-0.56%$33,6460.66%-0.56%
20086-4.25%$28,831-3.41%$32,498-4.25%-3.41%
20087-0.56%$28,6690.15%$32,546-0.56%0.15%
200880.63%$28,8490.78%$32,8010.63%0.78%
20089-5.77%$27,184-3.47%$31,663-5.77%-3.47%
200810-10.09%$24,442-7.19%$29,385-10.09%-7.19%
200811-2.08%$23,9340.33%$29,482-2.08%0.33%
2008122.25%$24,4724.07%$30,6822.25%4.07%
20091-4.14%$23,460-4.62%$29,265-4.14%-4.62%
20092-5.33%$22,209-4.96%$27,814-5.33%-4.96%
200934.99%$23,3172.94%$28,6314.99%2.94%
200945.24%$24,5393.54%$29,6455.24%3.54%
200953.55%$25,4104.39%$30,9463.55%4.39%
200960.43%$25,5191.25%$31,3330.43%1.25%
200974.54%$26,6765.68%$33,1124.54%5.68%
200982.31%$27,2922.32%$33,8822.31%2.32%
200992.46%$27,9641.87%$34,5142.46%1.87%
200910-0.60%$27,795-0.05%$34,497-0.60%-0.05%
2009113.11%$28,6583.20%$35,6023.11%3.20%
200912-0.04%$28,646-0.01%$35,599-0.04%-0.01%
20101-0.66%$28,456-0.29%$35,494-0.66%-0.29%
201021.40%$28,8541.08%$35,8781.40%1.08%
201032.58%$29,5991.99%$36,5922.58%1.99%
201041.22%$29,9611.49%$37,1381.22%1.49%
20105-2.99%$29,066-2.71%$36,133-2.99%-2.71%
20106-1.31%$28,6850.19%$36,203-1.31%0.19%
201073.80%$29,7753.49%$37,4673.80%3.49%
20108-1.09%$29,4500.86%$37,787-1.09%0.86%
201094.09%$30,6562.70%$38,8104.09%2.70%
2010101.82%$31,2140.88%$39,1511.82%0.88%
201011-0.49%$31,060-0.92%$38,792-0.49%-0.92%
2010122.50%$31,8371.54%$39,3892.50%1.54%
201110.92%$32,1290.65%$39,6430.92%0.65%
201121.57%$32,6351.88%$40,3871.57%1.88%
201130.12%$32,6760.14%$40,4450.12%0.14%
201142.27%$33,4192.58%$41,4882.27%2.58%
20115-0.18%$33,3600.84%$41,836-0.18%0.84%
20116-0.96%$33,038-1.06%$41,393-0.96%-1.06%
20117-0.30%$32,9400.04%$41,411-0.30%0.04%
20118-2.63%$32,075-0.27%$41,300-2.63%-0.27%
20119-3.54%$30,940-1.46%$40,697-3.54%-1.46%
2011104.66%$32,3814.03%$42,3384.66%4.03%
201111-0.55%$32,204-0.53%$42,114-0.55%-0.53%
2011120.60%$32,3972.53%$43,1820.60%2.53%
201212.77%$33,2961.88%$43,9912.77%1.88%
201221.80%$33,8951.28%$44,5561.80%1.28%
201230.41%$34,0330.46%$44,7610.41%0.46%
201240.29%$34,1330.93%$45,1790.29%0.93%
20125-2.53%$33,270-1.43%$44,534-2.53%-1.43%
201261.77%$33,8582.00%$45,4231.77%2.00%
201271.19%$34,2612.44%$46,5331.19%2.44%
201281.12%$34,6450.53%$46,7821.12%0.53%
201291.18%$35,0530.86%$47,1831.18%0.86%
201210-0.35%$34,9320.25%$47,299-0.35%0.25%
2012110.58%$35,1340.29%$47,4340.58%0.29%
2012120.68%$35,3740.19%$47,5240.68%0.19%
201311.53%$35,9161.45%$48,2141.53%1.45%
201320.52%$36,1041.23%$48,8050.52%1.23%
201331.28%$36,5671.26%$49,4211.28%1.26%
201341.43%$37,0901.97%$50,3931.43%1.97%
20135-0.73%$36,818-0.87%$49,956-0.73%-0.87%
20136-1.74%$36,177-1.59%$49,160-1.74%-1.59%
201372.21%$36,9772.04%$50,1612.21%2.04%
20138-1.37%$36,472-1.87%$49,220-1.37%-1.87%
201392.49%$37,3791.63%$50,0232.49%1.63%
2013102.04%$38,1402.10%$51,0722.04%2.10%
2013110.67%$38,3940.79%$51,4750.67%0.79%
2013120.50%$38,5850.81%$51,8900.50%0.81%
20141-0.50%$38,392-0.36%$51,702-0.50%-0.36%
201422.23%$39,2472.06%$52,7672.23%2.06%
201430.18%$39,3190.92%$53,2530.18%0.92%
201440.60%$39,5551.19%$53,8850.60%1.19%
201451.47%$40,1351.21%$54,5381.47%1.21%
201461.02%$40,5440.78%$54,9611.02%0.78%
20147-0.75%$40,242-1.00%$54,410-0.75%-1.00%
201481.99%$41,0411.99%$55,4921.99%1.99%
20149-1.57%$40,397-1.25%$54,798-1.57%-1.25%
2014101.34%$40,9391.17%$55,4381.34%1.17%
2014111.11%$41,3951.31%$56,1651.11%1.31%
201412-0.31%$41,268-0.16%$56,075-0.31%-0.16%
201510.54%$41,4920.55%$56,3820.54%0.55%
201521.67%$42,1860.82%$56,8431.67%0.82%
20153-0.15%$42,121-0.10%$56,786-0.15%-0.10%
201540.43%$42,3010.51%$57,0730.43%0.51%
201550.00%$42,301-0.12%$57,0070.00%-0.12%
20156-1.49%$41,673-2.06%$55,831-1.49%-2.06%
201570.87%$42,0341.23%$56,5210.87%1.23%
20158-2.80%$40,859-2.16%$55,298-2.80%-2.16%
20159-0.83%$40,5200.11%$55,360-0.83%0.11%
2015102.91%$41,7013.40%$57,2422.91%3.40%
201511-0.11%$41,6560.00%$57,242-0.11%0.00%
201512-1.10%$41,197-0.79%$56,791-1.10%-0.79%
20161-1.35%$40,643-0.20%$56,675-1.35%-0.20%
201620.17%$40,7120.45%$56,9300.17%0.45%
201633.48%$42,1293.52%$58,9313.48%3.52%
201640.72%$42,4300.91%$59,4670.72%0.91%
201650.33%$42,5690.59%$59,8170.33%0.59%
201661.08%$43,0272.18%$61,1211.08%2.18%
201672.11%$43,9371.38%$61,9662.11%1.38%
201680.11%$43,9840.00%$61,9660.11%0.00%
201690.26%$44,100-0.32%$61,7700.26%-0.32%
201610-1.43%$43,467-1.22%$61,014-1.43%-1.22%
201611-0.54%$43,233-0.74%$60,565-0.54%-0.74%
2016120.97%$43,6541.35%$61,3800.97%1.35%
201711.03%$44,1040.27%$61,5481.03%0.27%
201721.56%$44,7901.96%$62,7531.56%1.96%
201730.45%$44,994-0.04%$62,7290.45%-0.04%
201741.00%$45,4450.70%$63,1661.00%0.70%
201751.10%$45,9441.15%$63,8941.10%1.15%
201760.20%$46,0360.41%$64,1590.20%0.41%
201771.25%$46,6090.88%$64,7201.25%0.88%
201780.67%$46,9200.53%$65,0630.67%0.53%
201790.58%$47,1900.84%$65,6110.58%0.84%
2017100.97%$47,6460.90%$66,2010.97%0.90%
2017110.86%$48,0541.08%$66,9150.86%1.08%
2017120.76%$48,4211.08%$67,6390.76%1.08%
201811.60%$49,1980.56%$68,0151.60%0.56%
20182-2.02%$48,203-2.73%$66,159-2.02%-2.73%
20183-0.20%$48,104-0.27%$65,978-0.20%-0.27%
20184-0.10%$48,056-0.50%$65,650-0.10%-0.50%
201850.66%$48,3720.65%$66,0790.66%0.65%
20186-0.05%$48,3480.16%$66,186-0.05%0.16%
201871.22%$48,9362.04%$67,5351.22%2.04%
201880.65%$49,2540.57%$67,9160.65%0.57%
20189-0.18%$49,165-0.23%$67,761-0.18%-0.23%
201810-3.41%$47,491-2.27%$66,223-3.41%-2.27%
2018110.98%$47,9591.63%$67,3000.98%1.63%
201812-2.02%$46,991-2.08%$65,899-2.02%-2.08%
201913.86%$48,8033.23%$68,0303.86%3.23%
201921.08%$49,3321.51%$69,0551.08%1.51%
201931.69%$50,1641.88%$70,3511.69%1.88%
201941.36%$50,8471.08%$71,1121.36%1.08%
20195-1.49%$50,089-0.65%$70,650-1.49%-0.65%
201963.36%$51,7703.14%$72,8723.36%3.14%
201970.39%$51,9740.49%$73,2280.39%0.49%
201980.73%$52,3561.68%$74,4590.73%1.68%
201990.51%$52,6240.59%$74,9000.51%0.59%
2019101.02%$53,1610.63%$75,3691.02%0.63%
2019111.01%$53,6980.62%$75,8371.01%0.62%
2019121.23%$54,3611.14%$76,7011.23%1.14%
202010.71%$54,7481.28%$77,6840.71%1.28%
20202-2.22%$53,533-2.46%$75,775-2.22%-2.46%
20203-6.58%$50,012-6.28%$71,013-6.58%-6.28%
202045.40%$52,7125.70%$75,0605.40%5.70%
202052.32%$53,9332.11%$76,6452.32%2.11%
202061.70%$54,8520.47%$77,0071.70%0.47%
202072.85%$56,4172.81%$79,1732.85%2.81%
202081.80%$57,4340.22%$79,3441.80%0.22%
20209-0.94%$56,894-0.70%$78,787-0.94%-0.70%
202010-1.06%$56,292-1.27%$77,783-1.06%-1.27%
2020115.44%$59,3565.72%$82,2305.44%5.72%
2020122.13%$60,6181.16%$83,1862.13%1.16%
20211-0.53%$60,297-1.27%$82,129-0.53%-1.27%
202120.18%$60,4040.64%$82,6580.18%0.64%
202130.56%$60,7451.69%$84,0560.56%1.69%
202142.03%$61,9782.00%$85,7412.03%2.00%
202150.74%$62,4341.41%$86,9520.74%1.41%
202160.96%$63,0320.51%$87,3990.96%0.51%
202170.98%$63,6511.29%$88,5280.98%1.29%
202180.85%$64,1900.94%$89,3600.85%0.94%
20219-2.25%$62,743-1.94%$87,623-2.25%-1.94%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
Large-cap Value13.87%24.95%
Large-cap Growth14.10%6.66%
Mid-cap Value0.00%0.00%
Mid-cap Growth5.90%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets6.10%3.68%
Emerging Markets4.50%0.00%
Corporate Bonds10.18%22.49%
Long-Term Treasuries0.70%6.53%
Intermediate-Term Treasuries13.15%9.85%
Short-Term Treasuries31.51%25.84%
R Squared97.65%93.70%
Style analysis is based on monthly returns from April 2005 to September 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Vanguard LifeStrategy Cnsrv Gr Inv

Holdings Based Style Analysis for Vanguard LifeStrategy Cnsrv Gr Inv
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VSCGXVanguard LifeStrategy Cnsrv Gr Inv30% to 50% Equity100.00%1.54%0.12%20.057.29$52,743100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Wellesley Income Inv

Holdings Based Style Analysis for Vanguard Wellesley Income Inv
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%2.40%0.22%21.407.88$77,623100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (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 LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
Arithmetic Mean (monthly)0.59%0.69%
Arithmetic Mean (annualized)7.36%8.66%
Geometric Mean (monthly)0.57%0.68%
Geometric Mean (annualized)7.11%8.45%
Volatility (monthly)1.98%1.79%
Volatility (annualized)6.85%6.19%
Downside Deviation (monthly)1.26%1.00%
Max. Drawdown-27.96%-18.82%
US Market Correlation0.940.70
Beta(*)0.420.28
Alpha (annualized)2.30%5.08%
R289.09%49.69%
Sharpe Ratio0.720.99
Sortino Ratio1.061.66
Treynor Ratio (%)11.7221.65
Calmar Ratio0.981.04
Active Return-3.68%-2.33%
Tracking Error9.21%11.87%
Information Ratio-0.40-0.20
Skewness-0.91-0.31
Excess Kurtosis3.122.36
Historical Value-at-Risk (5%)-2.63%-2.27%
Analytical Value-at-Risk (5%)-2.66%-2.24%
Conditional Value-at-Risk (5%)-4.46%-3.56%
Upside Capture Ratio (%)44.3437.04
Downside Capture Ratio (%)37.3516.92
Safe Withdrawal Rate7.72%8.99%
Perpetual Withdrawal Rate4.62%5.84%
Positive Periods216 out of 321 (67.29%)228 out of 321 (71.03%)
Gain/Loss Ratio1.051.12
* 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 PeriodStartEndVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
Asian CrisisJul 1997Jan 1998-2.51%-2.28%
Russian Debt DefaultJul 1998Oct 1998-5.64%-3.64%
Dotcom CrashMar 2000Oct 2002-12.17%-4.78%
Subprime CrisisNov 2007Mar 2009-27.96%-18.82%
COVID-19 StartJan 2020Mar 2020-8.65%-8.59%

Drawdowns for Vanguard LifeStrategy Cnsrv Gr Inv

Drawdowns for Vanguard LifeStrategy Cnsrv Gr Inv (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%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-8.65%
4May 2011Sep 20115 monthsFeb 20125 months10 months-7.42%
5Jul 1998Aug 19982 monthsOct 19982 months4 months-5.64%
6Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.59%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-4.21%
8Apr 2000May 20002 monthsAug 20003 months5 months-3.06%
9May 2012May 20121 monthJul 20122 months3 months-2.53%
10Aug 1997Aug 19971 monthSep 19971 month2 months-2.51%
Worst 10 drawdowns included above

Drawdowns for Vanguard Wellesley Income Inv

Drawdowns for Vanguard Wellesley Income Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-18.82%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-8.59%
3May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
4Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
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
VSCGXVanguard LifeStrategy Cnsrv Gr Inv7.11%6.85%24.35%-19.52%-27.96%0.721.060.94
VWINXVanguard Wellesley Income Inv8.45%6.19%28.91%-9.84%-18.82%0.991.660.70

Monthly Correlations

Correlations for the portfolio assets
TickerNameVSCGXVWINXVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
VSCGXVanguard LifeStrategy Cnsrv Gr Inv1.000.831.000.83
VWINXVanguard Wellesley Income Inv0.831.000.831.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
VSCGXVanguard LifeStrategy Cnsrv Gr Inv$52,743
VWINXVanguard Wellesley Income Inv$77,623

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
VSCGXVanguard LifeStrategy Cnsrv Gr Inv100.00%
VWINXVanguard Wellesley Income Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard LifeStrategy Cnsrv Gr InvVanguard Wellesley Income Inv
AverageHighLowAverageHighLow
1 year7.13%29.92%-24.27%8.33%28.99%-16.51%
3 years6.38%17.21%-5.33%7.78%19.24%-1.88%
5 years5.96%14.91%-1.00%7.49%13.66%0.97%
7 years5.73%10.91%1.12%7.44%12.41%2.65%
10 years5.71%9.42%1.88%7.40%10.84%4.27%
15 years5.61%7.27%4.46%7.32%8.83%6.39%