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 1993 - Sep 2021)

Portfolio Allocations

Vanguard Total Stock Mkt Idx Inv
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx 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 Total Stock Mkt Idx Inv$10,000$171,077 10.38% 15.01%35.79%-37.04%-50.89% 0.580.851.00
Vanguard Wellesley Income Inv$10,000$96,003 8.18% 6.21%28.91%-9.84%-18.82% 0.931.530.70
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Total Stock Mkt Idx Inv-0.08%15.09%31.95%15.93%16.75%16.47%10.38%19.66%15.81%
Vanguard Wellesley Income Inv0.26%5.33%11.22%8.95%7.24%7.97%8.18%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 Total Stock Mkt Idx InvVanguard Wellesley Income InvVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Wellesley Income Inv (VWINX)
ReturnBalanceReturnBalance
19932.75%10.62%$11,06214.65%$11,46510.62%14.65%
19942.67%-0.17%$11,044-4.44%$10,956-0.17%-4.44%
19952.54%35.79%$14,99628.91%$14,12435.79%28.91%
19963.32%20.96%$18,1399.42%$15,45420.96%9.42%
19971.70%30.99%$23,76120.19%$18,57430.99%20.19%
19981.61%23.26%$29,28911.84%$20,77423.26%11.84%
19992.68%23.81%$36,264-4.14%$19,91523.81%-4.14%
20003.39%-10.57%$32,42916.17%$23,136-10.57%16.17%
20011.55%-10.97%$28,8737.39%$24,844-10.97%7.39%
20022.38%-20.96%$22,8214.64%$25,998-20.96%4.64%
20031.88%31.35%$29,9769.66%$28,50831.35%9.66%
20043.26%12.51%$33,7287.55%$30,66112.51%7.55%
20053.42%5.98%$35,7453.48%$31,7295.98%3.48%
20062.54%15.51%$41,28911.28%$35,30715.51%11.28%
20074.08%5.49%$43,5565.61%$37,2875.49%5.61%
20080.09%-37.04%$27,424-9.84%$33,617-37.04%-9.84%
20092.72%28.70%$35,29416.02%$39,00328.70%16.02%
20101.50%17.09%$41,32710.65%$43,15617.09%10.65%
20112.96%0.96%$41,7249.63%$47,3110.96%9.63%
20121.74%16.25%$48,50610.06%$52,06916.25%10.06%
20131.50%33.35%$64,6829.19%$56,85333.35%9.19%
20140.76%12.43%$72,7218.07%$61,43812.43%8.07%
20150.73%0.29%$72,9351.28%$62,2220.29%1.28%
20162.07%12.53%$82,0768.08%$67,25012.53%8.08%
20172.11%21.05%$99,35510.20%$74,10821.05%10.20%
20181.91%-5.26%$94,132-2.57%$72,202-5.26%-2.57%
20192.29%30.65%$122,98316.39%$84,03730.65%16.39%
20201.36%20.87%$148,6498.45%$91,14220.87%8.45%
20215.31%15.09%$171,0775.33%$96,00315.09%5.33%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Mkt Idx InvVanguard Wellesley Income InvVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Wellesley Income Inv (VWINX)
ReturnBalanceReturnBalance
199311.01%$10,1011.93%$10,1931.01%1.93%
199320.46%$10,1483.35%$10,5340.46%3.35%
199332.46%$10,3981.41%$10,6832.46%1.41%
19934-2.77%$10,1100.10%$10,694-2.77%0.10%
199353.03%$10,4160.52%$10,7503.03%0.52%
199360.55%$10,4732.36%$11,0030.55%2.36%
19937-0.27%$10,4450.98%$11,111-0.27%0.98%
199383.93%$10,8563.42%$11,4913.93%3.42%
199390.01%$10,8560.65%$11,5660.01%0.65%
1993101.64%$11,0350.45%$11,6181.64%0.45%
199311-1.62%$10,856-2.23%$11,359-1.62%-2.23%
1993121.90%$11,0620.93%$11,4651.90%0.93%
199413.08%$11,4031.87%$11,6793.08%1.87%
19942-2.24%$11,148-2.96%$11,334-2.24%-2.96%
19943-4.44%$10,652-3.36%$10,953-4.44%-3.36%
199440.89%$10,7480.06%$10,9590.89%0.06%
199450.97%$10,8520.72%$11,0380.97%0.72%
19946-2.73%$10,556-1.12%$10,914-2.73%-1.12%
199473.08%$10,8812.60%$11,1983.08%2.60%
199484.39%$11,3600.94%$11,3024.39%0.94%
19949-1.85%$11,149-2.72%$10,995-1.85%-2.72%
1994101.55%$11,3220.00%$10,9951.55%0.00%
199411-3.65%$10,909-1.37%$10,844-3.65%-1.37%
1994121.23%$11,0441.03%$10,9561.23%1.03%
199512.20%$11,2872.87%$11,2712.20%2.87%
199524.04%$11,7433.08%$11,6184.04%3.08%
199532.65%$12,0551.06%$11,7422.65%1.06%
199542.51%$12,3571.95%$11,9702.51%1.95%
199553.48%$12,7875.51%$12,6303.48%5.51%
199562.98%$13,1680.87%$12,7402.98%0.87%
199574.02%$13,6970.21%$12,7664.02%0.21%
199581.07%$13,8441.66%$12,9781.07%1.66%
199593.61%$14,3442.31%$13,2783.61%2.31%
199510-1.17%$14,1770.76%$13,379-1.17%0.76%
1995114.17%$14,7682.81%$13,7554.17%2.81%
1995121.54%$14,9962.68%$14,1241.54%2.68%
199612.66%$15,3950.93%$14,2552.66%0.93%
199621.62%$15,644-2.18%$13,9441.62%-2.18%
199631.14%$15,8230.03%$13,9491.14%0.03%
199642.41%$16,204-0.61%$13,8652.41%-0.61%
199652.66%$16,6350.30%$13,9072.66%0.30%
19966-0.84%$16,4951.33%$14,092-0.84%1.33%
19967-5.37%$15,609-0.91%$13,963-5.37%-0.91%
199683.09%$16,0920.92%$14,0923.09%0.92%
199695.38%$16,9582.89%$14,4995.38%2.89%
1996101.43%$17,2014.14%$15,1001.43%4.14%
1996116.81%$18,3723.64%$15,6506.81%3.64%
199612-1.27%$18,139-1.25%$15,454-1.27%-1.25%
199715.46%$19,1291.32%$15,6585.46%1.32%
19972-0.11%$19,1090.67%$15,763-0.11%0.67%
19973-4.45%$18,258-2.55%$15,361-4.45%-2.55%
199744.50%$19,0792.16%$15,6924.50%2.16%
199757.10%$20,4342.65%$16,1077.10%2.65%
199764.37%$21,3262.20%$16,4614.37%2.20%
199777.77%$22,9835.97%$17,4447.77%5.97%
19978-3.72%$22,129-2.28%$17,046-3.72%-2.28%
199795.77%$23,4063.71%$17,6785.77%3.71%
199710-3.40%$22,6110.67%$17,796-3.40%0.67%
1997113.33%$23,3642.40%$18,2233.33%2.40%
1997121.70%$23,7611.93%$18,5741.70%1.93%
199810.44%$23,8660.78%$18,7190.44%0.78%
199827.34%$25,6191.23%$18,9487.34%1.23%
199835.06%$26,9162.56%$19,4335.06%2.56%
199841.10%$27,2110.00%$19,4331.10%0.00%
19985-2.71%$26,4730.81%$19,590-2.71%0.81%
199863.54%$27,4111.11%$19,8083.54%1.11%
19987-2.27%$26,788-1.29%$19,552-2.27%-1.29%
19988-15.65%$22,595-2.39%$19,086-15.65%-2.39%
199896.68%$24,1045.49%$20,1346.68%5.49%
1998107.51%$25,9150.31%$20,1977.51%0.31%
1998116.17%$27,5142.38%$20,6786.17%2.38%
1998126.45%$29,2890.46%$20,7746.45%0.46%
199913.65%$30,357-0.54%$20,6613.65%-0.54%
19992-3.73%$29,225-2.86%$20,070-3.73%-2.86%
199933.93%$30,3750.81%$20,2323.93%0.81%
199944.68%$31,7953.22%$20,8844.68%3.22%
19995-2.00%$31,160-0.69%$20,741-2.00%-0.69%
199965.16%$32,768-0.07%$20,7255.16%-0.07%
19997-3.20%$31,721-1.64%$20,385-3.20%-1.64%
19998-0.92%$31,430-0.95%$20,191-0.92%-0.95%
19999-2.44%$30,663-0.53%$20,084-2.44%-0.53%
1999106.29%$32,5910.88%$20,2616.29%0.88%
1999113.42%$33,706-0.68%$20,1233.42%-0.68%
1999127.59%$36,264-1.04%$19,9157.59%-1.04%
20001-4.18%$34,747-1.01%$19,714-4.18%-1.01%
200022.54%$35,631-3.00%$19,1232.54%-3.00%
200035.69%$37,6575.61%$20,1955.69%5.61%
20004-5.21%$35,6960.16%$20,227-5.21%0.16%
20005-3.41%$34,4801.27%$20,484-3.41%1.27%
200064.42%$36,004-0.63%$20,3544.42%-0.63%
20007-1.95%$35,3011.98%$20,757-1.95%1.98%
200087.28%$37,8712.93%$21,3657.28%2.93%
20009-4.67%$36,1021.80%$21,749-4.67%1.80%
200010-2.04%$35,3641.27%$22,024-2.04%1.27%
200011-9.90%$31,8621.20%$22,289-9.90%1.20%
2000121.78%$32,4293.80%$23,1361.78%3.80%
200113.83%$33,6710.25%$23,1923.83%0.25%
20012-9.41%$30,5011.23%$23,477-9.41%1.23%
20013-6.72%$28,451-0.07%$23,459-6.72%-0.07%
200148.16%$30,7741.88%$23,9008.16%1.88%
200151.01%$31,0851.02%$24,1441.01%1.02%
20016-1.64%$30,577-0.18%$24,101-1.64%-0.18%
20017-1.71%$30,0531.80%$24,535-1.71%1.80%
20018-6.00%$28,2490.67%$24,699-6.00%0.67%
20019-9.00%$25,707-0.56%$24,562-9.00%-0.56%
2001102.52%$26,3550.43%$24,6682.52%0.43%
2001117.63%$28,3670.14%$24,7047.63%0.14%
2001121.78%$28,8730.57%$24,8441.78%0.57%
20021-1.24%$28,5140.45%$24,956-1.24%0.45%
20022-2.05%$27,9311.65%$25,368-2.05%1.65%
200234.38%$29,153-0.10%$25,3444.38%-0.10%
20024-4.90%$27,7250.70%$25,520-4.90%0.70%
20025-1.22%$27,3881.33%$25,861-1.22%1.33%
20026-7.06%$25,453-0.93%$25,621-7.06%-0.93%
20027-8.02%$23,412-2.09%$25,085-8.02%-2.09%
200280.53%$23,5360.86%$25,3020.53%0.86%
20029-10.07%$21,167-2.67%$24,625-10.07%-2.67%
2002107.65%$22,7852.31%$25,1937.65%2.31%
2002116.06%$24,1662.36%$25,7876.06%2.36%
200212-5.57%$22,8210.82%$25,998-5.57%0.82%
20031-2.54%$22,241-1.56%$25,593-2.54%-1.56%
20032-1.69%$21,8660.10%$25,619-1.69%0.10%
200331.09%$22,103-0.11%$25,5921.09%-0.11%
200348.21%$23,9183.40%$26,4638.21%3.40%
200356.11%$25,3784.24%$27,5856.11%4.24%
200361.43%$25,7420.18%$27,6351.43%0.18%
200372.36%$26,349-3.38%$26,7022.36%-3.38%
200382.39%$26,9780.40%$26,8092.39%0.40%
20039-1.15%$26,6691.72%$27,269-1.15%1.72%
2003106.12%$28,3000.44%$27,3916.12%0.44%
2003111.38%$28,6910.54%$27,5391.38%0.54%
2003124.48%$29,9763.52%$28,5084.48%3.52%
200412.23%$30,6450.48%$28,6442.23%0.48%
200421.43%$31,0831.38%$29,0391.43%1.38%
20043-1.07%$30,7500.32%$29,134-1.07%0.32%
20044-2.11%$30,102-2.17%$28,501-2.11%-2.17%
200451.35%$30,507-0.34%$28,4051.35%-0.34%
200462.09%$31,1441.11%$28,7202.09%1.11%
20047-3.80%$29,9600.34%$28,817-3.80%0.34%
200480.31%$30,0532.07%$29,4140.31%2.07%
200491.74%$30,5760.66%$29,6091.74%0.66%
2004101.68%$31,0890.66%$29,8051.68%0.66%
2004114.68%$32,5450.89%$30,0724.68%0.89%
2004123.63%$33,7281.96%$30,6613.63%1.96%
20051-2.68%$32,825-0.09%$30,633-2.68%-0.09%
200522.07%$33,5051.25%$31,0162.07%1.25%
20053-1.75%$32,920-1.41%$30,578-1.75%-1.41%
20054-2.32%$32,1550.94%$30,864-2.32%0.94%
200553.77%$33,3671.07%$31,1943.77%1.07%
200560.81%$33,6380.87%$31,4660.81%0.87%
200574.11%$35,0180.09%$31,4954.11%0.09%
20058-0.94%$34,6880.78%$31,741-0.94%0.78%
200590.86%$34,985-0.25%$31,6620.86%-0.25%
200510-1.86%$34,333-1.34%$31,238-1.86%-1.34%
2005113.97%$35,6961.03%$31,5603.97%1.03%
2005120.14%$35,7450.53%$31,7290.14%0.53%
200613.50%$36,9960.85%$32,0003.50%0.85%
200620.00%$36,9960.80%$32,2560.00%0.80%
200631.80%$37,663-0.66%$32,0421.80%-0.66%
200641.11%$38,0811.09%$32,3911.11%1.09%
20065-3.23%$36,849-0.66%$32,179-3.23%-0.66%
200660.17%$36,9130.58%$32,3650.17%0.58%
20067-0.13%$36,8642.14%$33,057-0.13%2.14%
200682.31%$37,7171.81%$33,6562.31%1.81%
200692.27%$38,5721.23%$34,0712.27%1.23%
2006103.53%$39,9341.64%$34,6303.53%1.64%
2006112.23%$40,8261.30%$35,0802.23%1.30%
2006121.13%$41,2890.65%$35,3071.13%0.65%
200711.88%$42,0640.32%$35,4211.88%0.32%
20072-1.61%$41,3860.91%$35,744-1.61%0.91%
200731.11%$41,8440.63%$35,9701.11%0.63%
200744.01%$43,5231.73%$36,5914.01%1.73%
200753.69%$45,1280.45%$36,7543.69%0.45%
20076-1.67%$44,374-1.19%$36,316-1.67%-1.19%
20077-3.41%$42,861-0.73%$36,052-3.41%-0.73%
200781.45%$43,4831.42%$36,5631.45%1.42%
200793.59%$45,0451.72%$37,1913.59%1.72%
2007101.85%$45,8790.94%$37,5411.85%0.94%
200711-4.49%$43,820-0.18%$37,475-4.49%-0.18%
200712-0.60%$43,556-0.50%$37,287-0.60%-0.50%
20081-6.08%$40,907-0.82%$36,979-6.08%-0.82%
20082-3.07%$39,651-1.29%$36,500-3.07%-1.29%
20083-0.58%$39,4200.38%$36,639-0.58%0.38%
200845.02%$41,3991.18%$37,0715.02%1.18%
200852.09%$42,266-0.56%$36,8632.09%-0.56%
20086-8.19%$38,803-3.41%$35,606-8.19%-3.41%
20087-0.77%$38,5050.15%$35,659-0.77%0.15%
200881.58%$39,1140.78%$35,9381.58%0.78%
20089-9.26%$35,491-3.47%$34,691-9.26%-3.47%
200810-17.63%$29,234-7.19%$32,195-17.63%-7.19%
200811-7.90%$26,9240.33%$32,301-7.90%0.33%
2008121.86%$27,4244.07%$33,6171.86%4.07%
20091-8.26%$25,159-4.62%$32,064-8.26%-4.62%
20092-10.45%$22,530-4.96%$30,474-10.45%-4.96%
200938.65%$24,4802.94%$31,3698.65%2.94%
2009410.61%$27,0763.54%$32,48010.61%3.54%
200955.38%$28,5324.39%$33,9065.38%4.39%
200960.34%$28,6301.25%$34,3300.34%1.25%
200977.82%$30,8705.68%$36,2797.82%5.68%
200983.63%$31,9902.32%$37,1223.63%2.32%
200994.23%$33,3421.87%$37,8154.23%1.87%
200910-2.57%$32,485-0.05%$37,796-2.57%-0.05%
2009115.63%$34,3133.20%$39,0075.63%3.20%
2009122.86%$35,294-0.01%$39,0032.86%-0.01%
20101-3.50%$34,059-0.29%$38,888-3.50%-0.29%
201023.36%$35,2041.08%$39,3103.36%1.08%
201036.27%$37,4111.99%$40,0916.27%1.99%
201042.17%$38,2241.49%$40,6902.17%1.49%
20105-8.00%$35,166-2.71%$39,589-8.00%-2.71%
20106-5.66%$33,1750.19%$39,665-5.66%0.19%
201076.99%$35,4953.49%$41,0506.99%3.49%
20108-4.75%$33,8100.86%$41,401-4.75%0.86%
201099.47%$37,0112.70%$42,5219.47%2.70%
2010103.94%$38,4700.88%$42,8953.94%0.88%
2010110.58%$38,692-0.92%$42,5020.58%-0.92%
2010126.81%$41,3271.54%$43,1566.81%1.54%
201112.19%$42,2300.65%$43,4342.19%0.65%
201123.60%$43,7491.88%$44,2503.60%1.88%
201130.45%$43,9460.14%$44,3130.45%0.14%
201142.99%$45,2602.58%$45,4562.99%2.58%
20115-1.16%$44,7340.84%$45,837-1.16%0.84%
20116-1.79%$43,935-1.06%$45,351-1.79%-1.06%
20117-2.28%$42,9320.04%$45,372-2.28%0.04%
20118-5.99%$40,358-0.27%$45,250-5.99%-0.27%
20119-7.75%$37,229-1.46%$44,589-7.75%-1.46%
20111011.51%$41,5134.03%$46,38711.51%4.03%
201111-0.29%$41,394-0.53%$46,142-0.29%-0.53%
2011120.80%$41,7242.53%$47,3110.80%2.53%
201215.08%$43,8441.88%$48,1995.08%1.88%
201224.26%$45,7111.28%$48,8184.26%1.28%
201233.07%$47,1130.46%$49,0423.07%0.46%
20124-0.65%$46,8050.93%$49,500-0.65%0.93%
20125-6.24%$43,886-1.43%$48,793-6.24%-1.43%
201263.91%$45,6022.00%$49,7673.91%2.00%
201271.03%$46,0732.44%$50,9831.03%2.44%
201282.48%$47,2160.53%$51,2562.48%0.53%
201292.58%$48,4330.86%$51,6962.58%0.86%
201210-1.76%$47,5820.25%$51,822-1.76%0.25%
2012110.74%$47,9330.29%$51,9700.74%0.29%
2012121.19%$48,5060.19%$52,0691.19%0.19%
201315.50%$51,1731.45%$52,8255.50%1.45%
201321.28%$51,8261.23%$53,4721.28%1.23%
201333.88%$53,8391.26%$54,1473.88%1.26%
201341.70%$54,7541.97%$55,2131.70%1.97%
201352.32%$56,025-0.87%$54,7342.32%-0.87%
20136-1.27%$55,312-1.59%$53,862-1.27%-1.59%
201375.49%$58,3462.04%$54,9585.49%2.04%
20138-2.82%$56,698-1.87%$53,928-2.82%-1.87%
201393.66%$58,7761.63%$54,8083.66%1.63%
2013104.22%$61,2592.10%$55,9564.22%2.10%
2013112.88%$63,0240.79%$56,3972.88%0.79%
2013122.63%$64,6820.81%$56,8532.63%0.81%
20141-3.11%$62,672-0.36%$56,647-3.11%-0.36%
201424.73%$65,6382.06%$57,8144.73%2.06%
201430.51%$65,9760.92%$58,3460.51%0.92%
201440.06%$66,0171.19%$59,0380.06%1.19%
201452.17%$67,4511.21%$59,7542.17%1.21%
201462.54%$69,1620.78%$60,2182.54%0.78%
20147-1.98%$67,793-1.00%$59,614-1.98%-1.00%
201484.18%$70,6291.99%$60,7994.18%1.99%
20149-2.14%$69,120-1.25%$60,038-2.14%-1.25%
2014102.74%$71,0141.17%$60,7402.74%1.17%
2014112.41%$72,7251.31%$61,5362.41%1.31%
201412-0.01%$72,721-0.16%$61,438-0.01%-0.16%
20151-2.77%$70,7050.55%$61,775-2.77%0.55%
201525.76%$74,7800.82%$62,2795.76%0.82%
20153-1.04%$74,004-0.10%$62,216-1.04%-0.10%
201540.42%$74,3160.51%$62,5310.42%0.51%
201551.39%$75,349-0.12%$62,4581.39%-0.12%
20156-1.71%$74,061-2.06%$61,171-1.71%-2.06%
201571.63%$75,2691.23%$61,9261.63%1.23%
20158-6.03%$70,734-2.16%$60,586-6.03%-2.16%
20159-2.93%$68,6590.11%$60,654-2.93%0.11%
2015107.84%$74,0453.40%$62,7167.84%3.40%
2015110.54%$74,4450.00%$62,7160.54%0.00%
201512-2.03%$72,935-0.79%$62,222-2.03%-0.79%
20161-5.67%$68,799-0.20%$62,095-5.67%-0.20%
20162-0.04%$68,7700.45%$62,374-0.04%0.45%
201637.01%$73,5913.52%$64,5677.01%3.52%
201640.63%$74,0530.91%$65,1540.63%0.91%
201651.79%$75,3800.59%$65,5371.79%0.59%
201660.23%$75,5502.18%$66,9660.23%2.18%
201673.95%$78,5351.38%$67,8923.95%1.38%
201680.26%$78,7380.00%$67,8920.26%0.00%
201690.15%$78,856-0.32%$67,6780.15%-0.32%
201610-2.21%$77,109-1.22%$66,849-2.21%-1.22%
2016114.44%$80,530-0.74%$66,3574.44%-0.74%
2016121.92%$82,0761.35%$67,2501.92%1.35%
201711.91%$83,6430.27%$67,4351.91%0.27%
201723.71%$86,7471.96%$68,7553.71%1.96%
201730.07%$86,804-0.04%$68,7280.07%-0.04%
201741.05%$87,7160.70%$69,2071.05%0.70%
201751.01%$88,5981.15%$70,0041.01%1.15%
201760.92%$89,4140.41%$70,2940.92%0.41%
201771.87%$91,0830.88%$70,9101.87%0.88%
201780.15%$91,2160.53%$71,2850.15%0.53%
201792.45%$93,4540.84%$71,8862.45%0.84%
2017102.16%$95,4700.90%$72,5332.16%0.90%
2017113.04%$98,3761.08%$73,3153.04%1.08%
2017120.99%$99,3551.08%$74,1080.99%1.08%
201815.31%$104,6280.56%$74,5205.31%0.56%
20182-3.72%$100,740-2.73%$72,486-3.72%-2.73%
20183-1.99%$98,731-0.27%$72,288-1.99%-0.27%
201840.38%$99,105-0.50%$71,9280.38%-0.50%
201852.79%$101,8710.65%$72,3992.79%0.65%
201860.68%$102,5630.16%$72,5160.68%0.16%
201873.34%$105,9852.04%$73,9943.34%2.04%
201883.44%$109,6330.57%$74,4123.44%0.57%
201890.16%$109,808-0.23%$74,2420.16%-0.23%
201810-7.40%$101,680-2.27%$72,556-7.40%-2.27%
2018112.06%$103,7761.63%$73,7362.06%1.63%
201812-9.29%$94,132-2.08%$72,202-9.29%-2.08%
201918.59%$102,2143.23%$74,5378.59%3.23%
201923.50%$105,7931.51%$75,6603.50%1.51%
201931.44%$107,3121.88%$77,0791.44%1.88%
201943.98%$111,5791.08%$77,9133.98%1.08%
20195-6.45%$104,385-0.65%$77,407-6.45%-0.65%
201966.97%$111,6603.14%$79,8416.97%3.14%
201971.44%$113,2660.49%$80,2311.44%0.49%
20198-2.03%$110,9721.68%$81,580-2.03%1.68%
201991.70%$112,8620.59%$82,0631.70%0.59%
2019102.10%$115,2280.63%$82,5772.10%0.63%
2019113.77%$119,5750.62%$83,0903.77%0.62%
2019122.85%$122,9831.14%$84,0372.85%1.14%
20201-0.08%$122,8901.28%$85,113-0.08%1.28%
20202-8.18%$112,840-2.46%$83,022-8.18%-2.46%
20203-13.78%$97,293-6.28%$77,804-13.78%-6.28%
2020413.25%$110,1825.70%$82,23913.25%5.70%
202055.38%$116,1072.11%$83,9755.38%2.11%
202062.28%$118,7530.47%$84,3712.28%0.47%
202075.64%$125,4512.81%$86,7445.64%2.81%
202087.18%$134,4540.22%$86,9327.18%0.22%
20209-3.57%$129,651-0.70%$86,322-3.57%-0.70%
202010-2.16%$126,853-1.27%$85,221-2.16%-1.27%
20201112.19%$142,3165.72%$90,09412.19%5.72%
2020124.45%$148,6491.16%$91,1424.45%1.16%
20211-0.34%$148,147-1.27%$89,984-0.34%-1.27%
202123.19%$152,8710.64%$90,5633.19%0.64%
202133.47%$158,1711.69%$92,0953.47%1.69%
202145.14%$166,2952.00%$93,9415.14%2.00%
202150.43%$167,0031.41%$95,2680.43%1.41%
202162.53%$171,2230.51%$95,7572.53%0.51%
202171.71%$174,1431.29%$96,9941.71%1.29%
202182.86%$179,1160.94%$97,9062.86%0.94%
20219-4.49%$171,077-1.94%$96,003-4.49%-1.94%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Total Stock Mkt Idx InvVanguard Wellesley Income Inv
Large-cap Value35.05%24.95%
Large-cap Growth46.87%6.66%
Mid-cap Value2.92%0.00%
Mid-cap Growth6.88%0.00%
Small-cap Value3.97%0.00%
Small-cap Growth3.25%0.00%
Global ex-US Developed Markets0.57%3.68%
Emerging Markets0.49%0.00%
Corporate Bonds0.00%22.49%
Long-Term Treasuries0.00%6.53%
Intermediate-Term Treasuries0.00%9.85%
Short-Term Treasuries0.00%25.84%
R Squared99.82%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 Total Stock Mkt Idx Inv

Holdings Based Style Analysis for Vanguard Total Stock Mkt Idx Inv
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.18%0.14%24.25$161,077100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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$86,003100.00%

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 Total Stock Mkt Idx InvVanguard Wellesley Income Inv
Arithmetic Mean (monthly)0.92%0.67%
Arithmetic Mean (annualized)11.64%8.39%
Geometric Mean (monthly)0.83%0.66%
Geometric Mean (annualized)10.38%8.18%
Volatility (monthly)4.33%1.79%
Volatility (annualized)15.01%6.21%
Downside Deviation (monthly)2.90%1.01%
Max. Drawdown-50.89%-18.82%
US Market Correlation1.000.70
Beta(*)1.000.29
Alpha (annualized)0.00%4.88%
R2100.00%49.16%
Sharpe Ratio0.580.93
Sortino Ratio0.851.53
Treynor Ratio (%)8.7719.98
Calmar Ratio0.761.04
Active Return-0.00%-2.20%
Tracking Error0.00%11.54%
Information Ratio-0.01-0.19
Skewness-0.71-0.32
Excess Kurtosis1.592.14
Historical Value-at-Risk (5%)-7.33%-2.37%
Analytical Value-at-Risk (5%)-6.21%-2.27%
Conditional Value-at-Risk (5%)-9.90%-3.54%
Upside Capture Ratio (%)100.0038.45
Downside Capture Ratio (%)100.0019.14
Safe Withdrawal Rate8.85%7.95%
Perpetual Withdrawal Rate7.49%5.56%
Positive Periods229 out of 345 (66.38%)245 out of 345 (71.01%)
Gain/Loss Ratio0.871.07
* 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 Total Stock Mkt Idx InvVanguard Wellesley Income Inv
Asian CrisisJul 1997Jan 1998-3.72%-2.28%
Russian Debt DefaultJul 1998Oct 1998-17.57%-3.64%
Dotcom CrashMar 2000Oct 2002-44.11%-4.78%
Subprime CrisisNov 2007Mar 2009-50.89%-18.82%
COVID-19 StartJan 2020Mar 2020-20.89%-8.59%

Drawdowns for Vanguard Total Stock Mkt Idx Inv

Drawdowns for Vanguard Total Stock Mkt Idx Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-20.89%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
10May 2019May 20191 monthJun 20191 month2 months-6.45%
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%
4Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-7.15%
5Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
6Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
7Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
8Jan 1999Feb 19992 monthsApr 19992 months4 months-3.39%
9Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
10May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
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 Inv10.38%15.01%35.79%-37.04%-50.89%0.580.851.00
VWINXVanguard Wellesley Income Inv8.18%6.21%28.91%-9.84%-18.82%0.931.530.70

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVWINXVanguard Total Stock Mkt Idx InvVanguard Wellesley Income Inv
VTSMXVanguard Total Stock Mkt Idx Inv1.000.701.000.70
VWINXVanguard Wellesley Income Inv0.701.000.701.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameVanguard Total Stock Mkt Idx InvVanguard Wellesley Income Inv
VTSMXVanguard Total Stock Mkt Idx Inv$161,077
VWINXVanguard Wellesley Income Inv$86,003

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameVanguard Total Stock Mkt Idx InvVanguard Wellesley Income Inv
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VWINXVanguard Wellesley Income Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodVanguard Total Stock Mkt Idx InvVanguard Wellesley Income Inv
AverageHighLowAverageHighLow
1 year11.68%62.57%-43.18%8.24%28.99%-16.51%
3 years10.25%30.70%-16.27%8.08%19.24%-1.88%
5 years9.46%26.84%-6.23%7.92%13.77%0.97%
7 years8.56%20.21%-3.02%7.73%12.48%2.65%
10 years7.88%16.73%-2.57%7.64%10.84%4.27%
15 years7.33%10.94%4.25%7.42%9.17%6.39%