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 1987 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 40.00%
VBMFX Vanguard Total Bond Market Index Inv 60.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$177,341 8.63% 6.41%28.91%-9.84%-18.82% 0.861.410.70
Portfolio 2$10,000$151,586 8.14% 6.63%25.89%-11.78%-19.40% 0.771.180.92
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.26%5.33%11.22%8.95%7.24%7.97%8.63%7.67%6.34%
Portfolio 20.29%5.33%10.80%9.67%8.47%8.36%8.14%7.82%6.39%
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
YearInflationPortfolio 1Portfolio 2Vanguard Wellesley Income Inv (VWINX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
19874.43%-1.92%$9,8082.80%$10,280-1.92%4.71%1.54%
19884.42%13.61%$11,14310.90%$11,40113.61%16.22%7.35%
19894.65%20.93%$13,47620.73%$13,76520.93%31.36%13.64%
19906.11%3.76%$13,9823.86%$14,2963.76%-3.32%8.65%
19913.06%21.57%$16,99821.24%$17,33221.57%30.22%15.25%
19922.90%8.67%$18,4727.25%$18,5898.67%7.42%7.14%
19932.75%14.65%$21,1799.77%$20,40514.65%9.89%9.68%
19942.67%-4.44%$20,239-1.12%$20,175-4.44%1.18%-2.66%
19952.54%28.91%$26,09025.89%$25,39828.91%37.45%18.18%
19963.32%9.42%$28,54811.30%$28,2689.42%22.88%3.58%
19971.70%20.19%$34,31218.94%$33,62320.19%33.19%9.44%
19981.61%11.84%$38,37516.60%$39,20311.84%28.62%8.58%
19992.68%-4.14%$36,7887.97%$42,328-4.14%21.07%-0.76%
20003.39%16.17%$42,7373.21%$43,68816.17%-9.06%11.39%
20011.55%7.39%$45,8930.25%$43,7967.39%-12.02%8.43%
20022.38%4.64%$48,024-3.90%$42,0864.64%-22.15%8.26%
20031.88%9.66%$52,66113.78%$47,8889.66%28.50%3.97%
20043.26%7.55%$56,6396.84%$51,1637.55%10.74%4.24%
20053.42%3.48%$58,6113.35%$52,8753.48%4.77%2.40%
20062.54%11.28%$65,2218.82%$57,53811.28%15.64%4.27%
20074.08%5.61%$68,8776.31%$61,1675.61%5.39%6.92%
20080.09%-9.84%$62,098-11.78%$53,963-9.84%-37.02%5.05%
20092.72%16.02%$72,04914.15%$61,60216.02%26.49%5.93%
20101.50%10.65%$79,7209.82%$67,65010.65%14.91%6.42%
20112.96%9.63%$87,3965.32%$71,2509.63%1.97%7.56%
20121.74%10.06%$96,1848.76%$77,49010.06%15.82%4.05%
20131.50%9.19%$105,02111.51%$86,4129.19%32.18%-2.26%
20140.76%8.07%$113,4918.86%$94,0668.07%13.51%5.76%
20150.73%1.28%$114,9400.68%$94,7041.28%1.25%0.30%
20162.07%8.08%$124,2276.23%$100,6008.08%11.82%2.50%
20172.11%10.20%$136,89510.74%$111,40810.20%21.67%3.46%
20181.91%-2.57%$133,374-1.89%$109,307-2.57%-4.52%-0.13%
20192.29%16.39%$155,23717.69%$128,64816.39%31.33%8.61%
20201.36%8.45%$168,36211.87%$143,9148.45%18.25%7.61%
20215.31%5.33%$177,3415.33%$151,5865.33%15.81%-1.66%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Vanguard Wellesley Income Inv (VWINX)Vanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalance
198714.61%$10,4616.08%$10,6084.61%13.27%1.29%
198720.12%$10,4732.01%$10,8210.12%3.97%0.54%
19873-0.90%$10,3790.90%$10,918-0.90%2.89%-0.64%
19874-4.27%$9,935-2.23%$10,674-4.27%-1.03%-3.20%
19875-0.69%$9,8660.25%$10,701-0.69%1.04%-0.39%
198762.58%$10,1213.05%$11,0272.58%5.02%1.42%
19877-0.19%$10,1022.21%$11,271-0.19%4.91%-0.11%
198781.13%$10,2171.41%$11,4301.13%3.84%-0.77%
19879-2.43%$9,968-2.27%$11,171-2.43%-2.29%-2.25%
198710-2.60%$9,709-8.74%$10,195-2.60%-21.73%3.50%
198711-0.80%$9,631-3.00%$9,889-0.80%-8.19%0.69%
1987121.84%$9,8083.96%$10,2801.84%7.55%1.62%
198816.31%$10,4273.52%$10,6426.31%4.17%3.09%
198821.44%$10,5772.56%$10,9151.44%4.59%1.19%
19883-2.19%$10,345-1.93%$10,705-2.19%-3.04%-1.15%
19884-0.54%$10,2890.08%$10,713-0.54%1.01%-0.56%
198850.61%$10,352-0.24%$10,6880.61%0.81%-0.96%
198863.36%$10,7003.46%$11,0583.36%4.56%2.68%
19887-0.20%$10,679-0.43%$11,010-0.20%-0.37%-0.48%
198880.00%$10,679-1.32%$10,8650.00%-3.40%0.18%
198893.00%$11,0003.04%$11,1953.00%4.26%2.19%
1988101.90%$11,2091.99%$11,4171.90%2.73%1.46%
198811-0.84%$11,115-1.09%$11,293-0.84%-1.40%-0.86%
1988120.26%$11,1430.95%$11,4010.26%1.66%0.45%
198913.15%$11,4943.45%$11,7943.15%7.32%0.87%
19892-1.21%$11,355-1.39%$11,631-1.21%-2.47%-0.62%
198931.48%$11,5241.08%$11,7561.48%2.26%0.26%
198942.77%$11,8443.31%$12,1452.77%5.18%1.98%
198953.26%$12,2303.17%$12,5313.26%4.04%2.54%
198962.49%$12,5341.43%$12,7102.49%-0.59%2.93%
198973.68%$12,9955.03%$13,3503.68%9.01%2.19%
19898-0.52%$12,927-0.10%$13,337-0.52%1.86%-1.60%
198990.35%$12,9730.09%$13,3480.35%-0.40%0.47%
1989101.07%$13,1110.35%$13,3951.07%-2.34%2.46%
1989111.35%$13,2881.30%$13,5691.35%2.04%0.75%
1989121.42%$13,4761.44%$13,7651.42%2.38%0.74%
19901-3.09%$13,060-3.82%$13,239-3.09%-6.72%-1.89%
199020.86%$13,1720.95%$13,3650.86%1.27%0.75%
199030.23%$13,2021.06%$13,5070.23%2.61%0.08%
19904-2.48%$12,875-1.54%$13,299-2.48%-2.50%-0.90%
199054.77%$13,4895.54%$14,0354.77%9.69%2.86%
199060.62%$13,5720.68%$14,1310.62%-0.66%1.60%
199070.61%$13,6550.62%$14,2180.61%-0.35%1.27%
19908-3.97%$13,114-4.32%$13,604-3.97%-9.03%-1.21%
19909-0.43%$13,057-1.40%$13,413-0.43%-4.89%0.72%
1990101.36%$13,2350.80%$13,5201.36%-0.41%1.49%
1990113.46%$13,6933.74%$14,0273.46%6.44%2.23%
1990122.11%$13,9821.92%$14,2962.11%2.72%1.45%
199111.25%$14,1572.40%$14,6391.25%4.32%1.12%
199122.53%$14,5153.37%$15,1332.53%7.15%0.78%
199131.39%$14,7161.41%$15,3471.39%2.41%0.69%
199141.09%$14,8760.65%$15,4471.09%0.20%0.99%
199151.31%$15,0712.20%$15,7871.31%4.27%0.68%
19916-1.35%$14,868-2.01%$15,470-1.35%-4.56%-0.06%
199172.49%$15,2382.71%$15,8902.49%4.63%1.32%
199182.37%$15,5992.17%$16,2352.37%2.33%2.05%
199191.92%$15,8980.43%$16,3041.92%-1.67%2.01%
1991101.62%$16,1551.11%$16,4851.62%1.33%0.96%
199111-0.28%$16,109-1.26%$16,277-0.28%-4.01%0.74%
1991125.52%$16,9986.48%$17,3325.52%11.41%3.04%
19921-2.82%$16,519-1.58%$17,057-2.82%-1.88%-1.39%
19922-0.06%$16,5090.87%$17,205-0.06%1.24%0.62%
19923-0.57%$16,416-1.07%$17,021-0.57%-1.93%-0.50%
199242.04%$16,7501.58%$17,2912.04%2.91%0.71%
199252.11%$17,1041.30%$17,5152.11%0.48%1.84%
199261.07%$17,2870.19%$17,5491.07%-1.49%1.31%
199273.99%$17,9772.75%$18,0313.99%4.04%1.91%
199280.49%$18,064-0.23%$17,9900.49%-2.07%0.98%
199291.03%$18,2511.23%$18,2111.03%1.17%1.26%
199210-1.51%$17,974-0.62%$18,098-1.51%0.33%-1.22%
1992110.66%$18,0931.32%$18,3380.66%3.40%-0.02%
1992122.10%$18,4721.37%$18,5892.10%1.21%1.48%
199311.93%$18,8291.39%$18,8481.93%0.81%1.79%
199323.35%$19,4591.72%$19,1733.35%1.36%1.96%
199331.41%$19,7341.06%$19,3761.41%2.11%0.37%
199340.10%$19,755-0.52%$19,2740.10%-2.42%0.74%
199350.52%$19,8581.13%$19,4910.52%2.65%0.14%
199362.36%$20,3261.19%$19,7232.36%0.27%1.80%
199370.98%$20,5250.20%$19,7620.98%-0.42%0.61%
199383.42%$21,2272.51%$20,2593.42%3.79%1.69%
199390.65%$21,365-0.07%$20,2440.65%-0.79%0.40%
1993100.45%$21,4611.00%$20,4470.45%2.08%0.30%
199311-2.23%$20,983-0.98%$20,247-2.23%-1.00%-0.97%
1993120.93%$21,1790.78%$20,4050.93%1.22%0.48%
199411.87%$21,5752.18%$20,8501.87%3.38%1.39%
19942-2.96%$20,936-2.16%$20,400-2.96%-2.71%-1.78%
19943-3.36%$20,232-3.14%$19,760-3.36%-4.39%-2.30%
199440.06%$20,2440.01%$19,7620.06%1.29%-0.83%
199450.72%$20,3890.66%$19,8920.72%1.63%0.00%
19946-1.12%$20,161-1.11%$19,671-1.12%-2.47%-0.18%
199472.60%$20,6852.42%$20,1462.60%3.28%1.84%
199480.94%$20,8781.73%$20,4950.94%4.08%0.14%
19949-2.72%$20,310-1.86%$20,114-2.72%-2.45%-1.44%
1994100.00%$20,3100.88%$20,2920.00%2.25%-0.07%
199411-1.37%$20,032-1.63%$19,961-1.37%-3.65%-0.18%
1994121.03%$20,2391.07%$20,1751.03%1.46%0.80%
199512.87%$20,8212.17%$20,6142.87%2.58%1.90%
199523.08%$21,4622.86%$21,2033.08%3.88%2.17%
199531.06%$21,6901.60%$21,5421.06%2.95%0.67%
199541.95%$22,1121.98%$21,9691.95%2.94%1.31%
199555.51%$23,3303.95%$22,8375.51%3.95%3.95%
199560.87%$23,5341.34%$23,1440.87%2.31%0.66%
199570.21%$23,5831.24%$23,4300.21%3.30%-0.25%
199581.66%$23,9740.78%$23,6121.66%0.25%1.18%
199592.31%$24,5272.35%$24,1662.31%4.23%0.95%
1995100.76%$24,7130.67%$24,3280.76%-0.36%1.47%
1995112.81%$25,4082.70%$24,9852.81%4.38%1.44%
1995122.68%$26,0901.65%$25,3982.68%1.93%1.44%
199610.93%$26,3331.73%$25,8380.93%3.39%0.63%
19962-2.18%$25,758-0.67%$25,665-2.18%0.92%-1.76%
199630.03%$25,767-0.05%$25,6520.03%0.98%-0.77%
19964-0.61%$25,6110.32%$25,735-0.61%1.46%-0.49%
199650.30%$25,6890.97%$25,9860.30%2.54%-0.17%
199661.33%$26,0310.89%$26,2171.33%0.38%1.27%
19967-0.91%$25,794-1.74%$25,761-0.91%-4.42%0.25%
199680.92%$26,0310.77%$25,9600.92%2.10%-0.16%
199692.89%$26,7843.34%$26,8282.89%5.61%1.70%
1996104.14%$27,8932.44%$27,4834.14%2.76%2.21%
1996113.64%$28,9104.26%$28,6543.64%7.56%1.76%
199612-1.25%$28,548-1.35%$28,268-1.25%-1.96%-0.85%
199711.32%$28,9242.63%$29,0131.32%6.22%0.25%
199720.67%$29,1190.39%$29,1270.67%0.79%0.11%
19973-2.55%$28,375-2.29%$28,461-2.55%-4.14%-0.97%
199742.16%$28,9863.31%$29,4032.16%5.96%1.49%
199752.65%$29,7543.05%$30,3002.65%6.09%0.87%
199762.20%$30,4082.58%$31,0822.20%4.45%1.16%
199775.97%$32,2245.07%$32,6575.97%7.97%2.80%
19978-2.28%$31,489-3.00%$31,678-2.28%-5.61%-0.85%
199793.71%$32,6553.21%$32,6963.71%5.47%1.45%
1997100.67%$32,874-0.70%$32,4660.67%-3.35%1.45%
1997112.40%$33,6622.19%$33,1772.40%4.60%0.33%
1997121.93%$34,3121.34%$33,6231.93%1.72%1.04%
199810.78%$34,5781.24%$34,0380.78%1.11%1.32%
199821.23%$35,0022.82%$34,9971.23%7.19%-0.10%
199832.56%$35,8982.32%$35,8082.56%5.10%0.33%
199840.00%$35,8980.72%$36,0670.00%1.01%0.51%
199850.81%$36,187-0.17%$36,0070.81%-1.74%1.02%
199861.11%$36,5902.19%$36,7941.11%4.07%0.81%
19987-1.29%$36,118-0.33%$36,674-1.29%-1.05%0.23%
19988-2.39%$35,256-5.09%$34,807-2.39%-14.47%1.90%
199895.49%$37,1933.67%$36,0865.49%6.41%1.96%
1998100.31%$37,3082.89%$37,1280.31%8.16%-0.55%
1998112.38%$38,1972.80%$38,1702.38%6.07%0.49%
1998120.46%$38,3752.71%$39,2030.46%5.81%0.38%
19991-0.54%$38,1672.16%$40,048-0.54%4.20%0.79%
19992-2.86%$37,074-2.32%$39,119-2.86%-3.12%-1.77%
199930.81%$37,3741.95%$39,8820.81%4.00%0.56%
199943.22%$38,5791.83%$40,6103.22%3.85%0.40%
19995-0.69%$38,313-1.52%$39,995-0.69%-2.39%-0.88%
19996-0.07%$38,2852.03%$40,806-0.07%5.56%-0.50%
19997-1.64%$37,657-1.57%$40,165-1.64%-3.13%-0.39%
19998-0.95%$37,297-0.26%$40,062-0.95%-0.50%-0.08%
19999-0.53%$37,100-0.44%$39,887-0.53%-2.74%1.26%
1999100.88%$37,4272.81%$41,0100.88%6.33%0.33%
199911-0.68%$37,1730.88%$41,370-0.68%2.02%0.02%
199912-1.04%$36,7882.32%$42,328-1.04%5.98%-0.48%
20001-1.01%$36,417-2.12%$41,432-1.01%-5.03%-0.17%
20002-3.00%$35,324-0.02%$41,424-3.00%-1.91%1.18%
200035.61%$37,3054.58%$43,3225.61%9.75%1.40%
200040.16%$37,364-1.49%$42,6750.16%-3.00%-0.49%
200051.27%$37,840-0.90%$42,2911.27%-2.04%-0.16%
20006-0.63%$37,6002.28%$43,256-0.63%2.49%2.15%
200071.98%$38,342-0.05%$43,2361.98%-1.50%0.88%
200082.93%$39,4673.24%$44,6362.93%6.19%1.40%
200091.80%$40,176-1.63%$43,9091.80%-5.29%0.76%
2000101.27%$40,6840.19%$43,9911.27%-0.43%0.57%
2000111.20%$41,173-2.00%$43,1131.20%-7.89%1.58%
2000123.80%$42,7371.33%$43,6883.80%0.51%1.79%
200110.25%$42,8422.47%$44,7690.25%3.55%1.76%
200121.23%$43,367-3.15%$43,3581.23%-9.14%0.91%
20013-0.07%$43,335-2.08%$42,457-0.07%-6.36%0.54%
200141.88%$44,1492.52%$43,5281.88%7.77%-0.46%
200151.02%$44,6000.70%$43,8341.02%0.65%0.73%
20016-0.18%$44,520-0.61%$43,568-0.18%-2.45%0.52%
200171.80%$45,3221.02%$44,0121.80%-1.00%2.23%
200180.67%$45,625-1.60%$43,3100.67%-6.27%1.11%
20019-0.56%$45,371-2.24%$42,339-0.56%-8.09%0.89%
2001100.43%$45,5691.87%$43,1320.43%1.90%1.86%
2001110.14%$45,6351.61%$43,8280.14%7.65%-1.34%
2001120.57%$45,893-0.07%$43,7960.57%0.87%-0.58%
200210.45%$46,101-0.18%$43,7190.45%-1.47%0.69%
200221.65%$46,861-0.25%$43,6101.65%-1.94%0.85%
20023-0.10%$46,8160.56%$43,854-0.10%3.74%-1.46%
200240.70%$47,142-1.42%$43,2320.70%-6.07%1.69%
200251.33%$47,7710.21%$43,3211.33%-0.75%0.80%
20026-0.93%$47,328-2.52%$42,232-0.93%-7.13%0.29%
20027-2.09%$46,338-2.47%$41,189-2.09%-7.72%0.48%
200280.86%$46,7381.32%$41,7320.86%0.65%1.66%
20029-2.67%$45,489-2.67%$40,619-2.67%-10.87%1.53%
2002102.31%$46,5382.30%$41,5522.31%8.78%-0.61%
2002112.36%$47,6351.95%$42,3632.36%5.88%0.02%
2002120.82%$48,024-0.65%$42,0860.82%-5.89%2.07%
20031-1.56%$47,276-1.02%$41,657-1.56%-2.62%0.05%
200320.10%$47,3240.24%$41,7560.10%-1.52%1.38%
20033-0.11%$47,2740.29%$41,878-0.11%0.96%-0.13%
200343.40%$48,8833.74%$43,4453.40%8.25%0.87%
200354.24%$50,9563.22%$44,8444.24%5.26%1.82%
200360.18%$51,0480.44%$45,0430.18%1.26%-0.13%
20037-3.38%$49,325-1.22%$44,495-3.38%1.74%-3.34%
200380.40%$49,5221.18%$45,0200.40%1.93%0.61%
200391.72%$50,3731.07%$45,5021.72%-1.07%2.71%
2003100.44%$50,5971.84%$46,3390.44%5.64%-0.96%
2003110.54%$50,8710.53%$46,5850.54%0.86%0.27%
2003123.52%$52,6612.80%$47,8883.52%5.22%0.88%
200410.48%$52,9131.25%$48,4850.48%1.82%0.86%
200421.38%$53,6431.17%$49,0521.38%1.38%1.03%
200430.32%$53,817-0.13%$48,9860.32%-1.51%0.80%
20044-2.17%$52,649-2.20%$47,908-2.17%-1.58%-2.61%
20045-0.34%$52,4710.29%$48,045-0.34%1.36%-0.43%
200461.11%$53,0531.11%$48,5801.11%1.93%0.56%
200470.34%$53,232-0.78%$48,2010.34%-3.31%0.96%
200482.07%$54,3351.32%$48,8392.07%0.38%1.94%
200490.66%$54,6950.52%$49,0920.66%1.07%0.16%
2004100.66%$55,0581.11%$49,6370.66%1.51%0.85%
2004110.89%$55,5501.12%$50,1940.89%4.05%-0.81%
2004121.96%$56,6391.93%$51,1631.96%3.39%0.92%
20051-0.09%$56,586-0.59%$50,861-0.09%-2.45%0.65%
200521.25%$57,2950.44%$51,0861.25%2.09%-0.63%
20053-1.41%$56,485-1.00%$50,576-1.41%-1.76%-0.49%
200540.94%$57,0140.06%$50,6070.94%-1.91%1.35%
200551.07%$57,6231.87%$51,5551.07%3.17%1.05%
200560.87%$58,1260.39%$51,7540.87%0.13%0.55%
200570.09%$58,1800.85%$52,1930.09%3.71%-0.99%
200580.78%$58,6340.44%$52,4230.78%-0.91%1.36%
20059-0.25%$58,488-0.35%$52,242-0.25%0.79%-1.10%
200510-1.34%$57,705-1.16%$51,636-1.34%-1.68%-0.81%
2005111.03%$58,2991.79%$52,5621.03%3.76%0.48%
2005120.53%$58,6110.60%$52,8750.53%0.02%0.99%
200610.85%$59,1110.99%$53,4010.85%2.65%-0.11%
200620.80%$59,5840.33%$53,5760.80%0.26%0.37%
20063-0.66%$59,189-0.09%$53,527-0.66%1.23%-1.00%
200641.09%$59,8350.43%$53,7551.09%1.33%-0.21%
20065-0.66%$59,442-1.26%$53,079-0.66%-2.90%-0.09%
200660.58%$59,7870.11%$53,1390.58%0.13%0.10%
200672.14%$61,0641.04%$53,6942.14%0.61%1.35%
200681.81%$62,1711.94%$54,7331.81%2.36%1.64%
200691.23%$62,9381.53%$55,5691.23%2.56%0.81%
2006101.64%$63,9701.76%$56,5491.64%3.25%0.72%
2006111.30%$64,8021.44%$57,3601.30%1.89%1.11%
2006120.65%$65,2210.31%$57,5380.65%1.39%-0.48%
200710.32%$65,4310.55%$57,8530.32%1.49%-0.08%
200720.91%$66,0290.10%$57,9120.91%-1.97%1.50%
200730.63%$66,4460.45%$58,1740.63%1.11%0.02%
200741.73%$67,5932.07%$59,3761.73%4.42%0.51%
200750.45%$67,8940.96%$59,9430.45%3.48%-0.78%
20076-1.19%$67,084-0.93%$59,389-1.19%-1.68%-0.39%
20077-0.73%$66,596-0.79%$58,922-0.73%-3.08%0.84%
200781.42%$67,5421.41%$59,7501.42%1.50%1.34%
200791.72%$68,7011.94%$60,9071.72%3.72%0.72%
2007100.94%$69,3481.20%$61,6350.94%1.58%0.93%
200711-0.18%$69,225-0.61%$61,258-0.18%-4.19%1.91%
200712-0.50%$68,877-0.15%$61,167-0.50%-0.70%0.22%
20081-0.82%$68,309-1.39%$60,315-0.82%-6.02%1.69%
20082-1.29%$67,425-1.12%$59,638-1.29%-3.25%0.19%
200830.38%$67,6810.02%$59,6510.38%-0.44%0.30%
200841.18%$68,4781.61%$60,6131.18%4.85%-0.30%
20085-0.56%$68,0960.01%$60,619-0.56%1.29%-0.79%
20086-3.41%$65,773-3.28%$58,632-3.41%-8.44%-0.01%
200870.15%$65,870-0.31%$58,4530.15%-0.83%0.00%
200880.78%$66,3870.97%$59,0210.78%1.45%0.70%
20089-3.47%$64,083-3.97%$56,679-3.47%-8.91%-1.10%
200810-7.19%$59,473-7.50%$52,428-7.19%-16.79%-2.53%
2008110.33%$59,6690.25%$52,5610.33%-7.17%3.64%
2008124.07%$62,0982.67%$53,9634.07%1.07%3.32%
20091-4.62%$59,229-3.78%$51,922-4.62%-8.41%-0.70%
20092-4.96%$56,293-4.32%$49,679-4.96%-10.66%-0.42%
200932.94%$57,9464.07%$51,7002.94%8.76%1.48%
200943.54%$59,9983.78%$53,6523.54%9.56%0.36%
200954.39%$62,6322.72%$55,1124.39%5.62%0.85%
200961.25%$63,4160.41%$55,3381.25%0.22%0.54%
200975.68%$67,0163.90%$57,4985.68%7.58%1.43%
200982.32%$68,5742.09%$58,7002.32%3.60%1.01%
200991.87%$69,8542.26%$60,0261.87%3.72%1.19%
200910-0.05%$69,819-0.57%$59,686-0.05%-1.87%0.41%
2009113.20%$72,0563.32%$61,6653.20%5.98%1.36%
200912-0.01%$72,049-0.10%$61,602-0.01%1.95%-1.68%
20101-0.29%$71,837-0.50%$61,294-0.29%-3.60%1.57%
201021.08%$72,6151.32%$62,1021.08%3.09%0.20%
201031.99%$74,0582.32%$63,5451.99%6.01%-0.08%
201041.49%$75,1651.27%$64,3531.49%1.58%1.06%
20105-2.71%$73,130-2.77%$62,574-2.71%-8.01%0.87%
201060.19%$73,271-1.05%$61,9200.19%-5.24%1.61%
201073.49%$75,8303.19%$63,8923.49%7.00%0.94%
201080.86%$76,478-0.83%$63,3600.86%-4.53%1.48%
201092.70%$78,5473.30%$65,4502.70%8.92%-0.01%
2010100.88%$79,2381.70%$66,5620.88%3.79%0.36%
201011-0.92%$78,511-0.34%$66,335-0.92%0.00%-0.57%
2010121.54%$79,7201.98%$67,6501.54%6.67%-1.15%
201110.65%$80,2340.99%$68,3210.65%2.36%0.08%
201121.88%$81,7401.48%$69,3341.88%3.42%0.16%
201130.14%$81,8570.01%$69,3390.14%0.03%-0.01%
201142.58%$83,9691.99%$70,7192.58%2.95%1.32%
201150.84%$84,6730.28%$70,9190.84%-1.15%1.30%
20116-1.06%$83,775-0.92%$70,270-1.06%-1.67%-0.39%
201170.04%$83,8130.10%$70,3380.04%-2.05%1.58%
20118-0.27%$83,588-1.30%$69,427-0.27%-5.45%1.46%
20119-1.46%$82,366-2.14%$67,940-1.46%-7.04%0.89%
2011104.03%$85,6884.07%$70,7034.03%10.91%0.16%
201111-0.53%$85,235-0.28%$70,507-0.53%-0.23%-0.30%
2011122.53%$87,3961.05%$71,2502.53%1.02%1.08%
201211.88%$89,0352.31%$72,8951.88%4.46%0.87%
201221.28%$90,1781.73%$74,1581.28%4.31%-0.05%
201230.46%$90,5931.04%$74,9250.46%3.28%-0.58%
201240.93%$91,4380.38%$75,2080.93%-0.64%1.14%
20125-1.43%$90,132-2.00%$73,702-1.43%-6.02%0.95%
201262.00%$91,9321.69%$74,9482.00%4.11%0.04%
201272.44%$94,1781.38%$75,9822.44%1.37%1.39%
201280.53%$94,6820.95%$76,7030.53%2.24%0.03%
201290.86%$95,4951.15%$77,5840.86%2.58%0.11%
2012100.25%$95,729-0.73%$77,0170.25%-1.86%0.11%
2012110.29%$96,0020.35%$77,2850.29%0.56%0.19%
2012120.19%$96,1840.27%$77,4900.19%0.90%-0.20%
201311.45%$97,5801.64%$78,7631.45%5.18%-0.71%
201321.23%$98,7770.87%$79,4501.23%1.34%0.54%
201331.26%$100,0231.60%$80,7241.26%3.74%0.08%
201341.97%$101,9911.34%$81,8021.97%1.91%0.91%
20135-0.87%$101,1080.01%$81,814-0.87%2.33%-1.71%
20136-1.59%$99,496-1.52%$80,569-1.59%-1.35%-1.65%
201372.04%$101,5212.33%$82,4472.04%5.07%0.20%
20138-1.87%$99,618-1.66%$81,077-1.87%-2.91%-0.64%
201391.63%$101,2431.92%$82,6331.63%3.12%0.96%
2013102.10%$103,3642.49%$84,6882.10%4.59%0.78%
2013110.79%$104,1801.20%$85,7030.79%3.03%-0.35%
2013120.81%$105,0210.83%$86,4120.81%2.51%-0.65%
20141-0.36%$104,641-0.46%$86,013-0.36%-3.47%1.54%
201422.06%$106,7962.06%$87,7872.06%4.56%0.48%
201430.92%$107,7800.24%$87,9950.92%0.82%-0.15%
201441.19%$109,0590.75%$88,6571.19%0.72%0.77%
201451.21%$110,3801.56%$90,0421.21%2.33%1.05%
201460.78%$111,2370.89%$90,8450.78%2.05%0.11%
20147-1.00%$110,121-0.72%$90,193-1.00%-1.39%-0.26%
201481.99%$112,3112.28%$92,2531.99%3.98%1.13%
20149-1.25%$110,905-1.01%$91,324-1.25%-1.41%-0.72%
2014101.17%$112,2031.55%$92,7381.17%2.42%0.94%
2014111.31%$113,6731.49%$94,1211.31%2.68%0.65%
201412-0.16%$113,491-0.06%$94,066-0.16%-0.26%0.09%
201510.55%$114,1130.18%$94,2350.55%-3.02%2.31%
201520.82%$115,0451.56%$95,7040.82%5.74%-1.08%
20153-0.10%$114,929-0.40%$95,322-0.10%-1.59%0.41%
201540.51%$115,5100.16%$95,4750.51%0.95%-0.36%
20155-0.12%$115,3760.24%$95,706-0.12%1.27%-0.45%
20156-2.06%$112,998-1.38%$94,382-2.06%-1.93%-1.01%
201571.23%$114,3931.29%$95,6021.23%2.08%0.76%
20158-2.16%$111,918-2.67%$93,051-2.16%-6.05%-0.36%
201590.11%$112,044-0.52%$92,5720.11%-2.48%0.76%
2015103.40%$115,8533.25%$95,5783.40%8.42%0.01%
2015110.00%$115,853-0.04%$95,5360.00%0.29%-0.27%
201512-0.79%$114,940-0.87%$94,704-0.79%-1.59%-0.38%
20161-0.20%$114,705-1.13%$93,631-0.20%-4.98%1.43%
201620.45%$115,2210.35%$93,9590.45%-0.15%0.66%
201633.52%$119,2713.17%$96,9423.52%6.78%0.94%
201640.91%$120,3560.38%$97,3070.91%0.37%0.38%
201650.59%$121,0640.71%$98,0020.59%1.78%0.01%
201662.18%$123,7031.26%$99,2392.18%0.25%1.94%
201671.38%$125,4141.84%$101,0691.38%3.68%0.64%
201680.00%$125,414-0.05%$101,0200.00%0.13%-0.17%
20169-0.32%$125,018-0.05%$100,972-0.32%0.01%-0.09%
201610-1.22%$123,487-1.22%$99,738-1.22%-1.83%-0.81%
201611-0.74%$122,578-0.10%$99,642-0.74%3.70%-2.64%
2016121.35%$124,2270.96%$100,6001.35%1.96%0.24%
201710.27%$124,5690.93%$101,5360.27%1.88%0.29%
201721.96%$127,0071.99%$103,5601.96%3.96%0.66%
20173-0.04%$126,958-0.00%$103,559-0.04%0.10%-0.07%
201740.70%$127,8420.87%$104,4570.70%1.02%0.76%
201751.15%$129,3150.97%$105,4691.15%1.39%0.67%
201760.41%$129,8510.26%$105,7450.41%0.61%0.01%
201770.88%$130,9881.08%$106,8830.88%2.04%0.39%
201780.53%$131,6810.62%$107,5440.53%0.29%0.85%
201790.84%$132,7910.55%$108,1340.84%2.06%-0.54%
2017100.90%$133,9861.05%$109,2680.90%2.32%0.11%
2017111.08%$135,4301.22%$110,5981.08%3.06%-0.17%
2017121.08%$136,8950.73%$111,4081.08%1.10%0.44%
201810.56%$137,6571.63%$113,2220.56%5.71%-1.09%
20182-2.73%$133,899-2.14%$110,803-2.73%-3.69%-1.03%
20183-0.27%$133,534-0.68%$110,053-0.27%-2.56%0.63%
20184-0.50%$132,869-0.35%$109,671-0.50%0.37%-0.83%
201850.65%$133,7381.33%$111,1310.65%2.39%0.61%
201860.16%$133,9550.26%$111,4250.16%0.61%0.03%
201872.04%$136,6841.54%$113,1432.04%3.71%0.03%
201880.57%$137,4571.66%$115,0210.57%3.25%0.52%
20189-0.23%$137,143-0.08%$114,934-0.23%0.55%-0.54%
201810-2.27%$134,030-3.35%$111,083-2.27%-6.85%-0.73%
2018111.63%$136,2091.15%$112,3561.63%2.03%0.53%
201812-2.08%$133,374-2.71%$109,307-2.08%-9.04%1.80%
201913.23%$137,6873.80%$113,4663.23%8.00%1.01%
201921.51%$139,7621.30%$114,9361.51%3.20%-0.06%
201931.88%$142,3851.95%$117,1751.88%1.94%1.96%
201941.08%$143,9251.74%$119,2121.08%4.04%0.04%
20195-0.65%$142,990-1.72%$117,158-0.65%-6.36%1.83%
201963.14%$147,4863.58%$121,3553.14%7.03%1.15%
201970.49%$148,2060.74%$122,2510.49%1.43%0.23%
201981.68%$150,6980.90%$123,3551.68%-1.59%2.78%
201990.59%$151,5920.43%$123,8880.59%1.86%-0.60%
2019100.63%$152,5401.04%$125,1750.63%2.15%0.21%
2019110.62%$153,4881.52%$127,0770.62%3.62%-0.06%
2019121.14%$155,2371.24%$128,6481.14%3.01%-0.15%
202011.28%$157,2261.25%$130,2541.28%-0.05%2.11%
20202-2.46%$153,362-2.22%$127,361-2.46%-8.24%1.71%
20203-6.28%$143,724-4.95%$121,052-6.28%-12.37%-0.59%
202045.70%$151,9155.49%$127,7025.70%12.81%1.69%
202052.11%$155,1232.08%$130,3552.11%4.76%0.54%
202060.47%$155,8551.18%$131,8900.47%1.98%0.70%
202072.81%$160,2383.09%$135,9692.81%5.63%1.55%
202080.22%$160,5852.15%$138,8940.22%7.18%-1.02%
20209-0.70%$159,457-1.50%$136,807-0.70%-3.81%0.08%
202010-1.27%$157,425-1.43%$134,853-1.27%-2.67%-0.61%
2020115.72%$166,4264.96%$141,5415.72%10.94%1.11%
2020121.16%$168,3621.68%$143,9141.16%3.84%0.15%
20211-1.27%$166,222-0.89%$142,640-1.27%-1.02%-0.80%
202120.64%$167,2920.19%$142,9160.64%2.75%-1.51%
202131.69%$170,1220.98%$144,3141.69%4.37%-1.38%
202142.00%$173,5322.80%$148,3612.00%5.32%0.95%
202151.41%$175,9840.43%$149,0011.41%0.69%0.24%
202160.51%$176,8881.44%$151,1450.51%2.31%0.77%
202171.29%$179,1721.72%$153,7471.29%2.38%1.21%
202180.94%$180,8561.22%$155,6290.94%3.03%-0.20%
20219-1.94%$177,341-2.60%$151,586-1.94%-4.66%-0.91%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value24.95%16.17%
Large-cap Growth6.66%23.70%
Mid-cap Value0.00%1.16%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets3.68%0.00%
Emerging Markets0.00%1.10%
Corporate Bonds22.49%9.16%
Long-Term Treasuries6.53%2.00%
Intermediate-Term Treasuries9.85%16.48%
Short-Term Treasuries25.84%30.24%
R Squared93.70%99.08%
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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%2.40%0.22%21.407.88$167,341100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend40.00%1.24%0.14%25.31$90,15185.64%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond60.00%1.82%0.15%6.84$51,43514.36%
100.00%1.59%0.15%25.316.84$141,586100.00%

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
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.71%0.67%
Arithmetic Mean (annualized)8.85%8.37%
Geometric Mean (monthly)0.69%0.65%
Geometric Mean (annualized)8.63%8.14%
Volatility (monthly)1.85%1.91%
Volatility (annualized)6.41%6.63%
Downside Deviation (monthly)1.03%1.13%
Max. Drawdown-18.82%-19.40%
US Market Correlation0.700.92
Beta(*)0.290.40
Alpha (annualized)5.12%3.47%
R249.30%84.90%
Sharpe Ratio0.860.77
Sortino Ratio1.411.18
Treynor Ratio (%)18.8312.78
Calmar Ratio1.041.37
Active Return-2.22%-2.71%
Tracking Error11.73%9.56%
Information Ratio-0.19-0.28
Skewness-0.24-0.57
Excess Kurtosis1.662.08
Historical Value-at-Risk (5%)-2.50%-2.48%
Analytical Value-at-Risk (5%)-2.34%-2.47%
Conditional Value-at-Risk (5%)-3.60%-3.87%
Upside Capture Ratio (%)39.7146.12
Downside Capture Ratio (%)19.7033.75
Safe Withdrawal Rate7.18%6.87%
Perpetual Withdrawal Rate5.62%5.18%
Positive Periods293 out of 417 (70.26%)286 out of 417 (68.59%)
Gain/Loss Ratio1.121.13
* 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
Black Monday PeriodSep 1987Nov 1987-5.73%-13.48%
Asian CrisisJul 1997Jan 1998-2.28%-3.00%
Russian Debt DefaultJul 1998Oct 1998-3.64%-5.40%
Dotcom CrashMar 2000Oct 2002-4.78%-9.27%
Subprime CrisisNov 2007Mar 2009-18.82%-19.40%
COVID-19 StartJan 2020Mar 2020-8.59%-7.06%

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%
3May 1999Feb 200010 monthsAug 20006 months1 year 4 months-8.44%
4Mar 1987Nov 19879 monthsFeb 19883 months1 year-8.04%
5Feb 1994Nov 199410 monthsMar 19954 months1 year 2 months-7.15%
6Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
7Jan 1990Apr 19904 monthsMay 19901 month5 months-4.46%
8Aug 1990Sep 19902 monthsNov 19902 months4 months-4.38%
9Jul 1998Aug 19982 monthsSep 19981 month3 months-3.64%
10Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-19.40%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-13.48%
3Feb 2001Sep 20021 year 8 monthsMay 20038 months2 years 4 months-9.27%
4Feb 2020Mar 20202 monthsMay 20202 months4 months-7.06%
5Aug 1990Sep 19902 monthsDec 19903 months5 months-5.66%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.66%
7Jul 1998Aug 19982 monthsOct 19982 months4 months-5.40%
8Sep 2018Dec 20184 monthsMar 20193 months7 months-4.97%
9Jun 2011Sep 20114 monthsDec 20113 months7 months-4.20%
10Jan 1990Jan 19901 monthMay 19904 months5 months-3.82%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWINXVanguard Wellesley Income Inv8.63%6.41%28.91%-9.84%-18.82%0.861.410.70
VFINXVanguard 500 Index Investor10.91%15.06%37.45%-37.02%-50.97%0.570.820.99
VBMFXVanguard Total Bond Market Index Inv5.73%3.80%18.18%-2.66%-5.86%0.721.150.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWINXVFINXVBMFXPortfolio 1Portfolio 2
VWINXVanguard Wellesley Income Inv1.000.730.601.000.87
VFINXVanguard 500 Index Investor0.731.000.080.730.94
VBMFXVanguard Total Bond Market Index Inv0.600.081.000.600.42

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VWINXVanguard Wellesley Income Inv$167,341
VFINXVanguard 500 Index Investor$90,151
VBMFXVanguard Total Bond Market Index Inv$51,435

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VWINXVanguard Wellesley Income Inv100.00%
VFINXVanguard 500 Index Investor85.64%
VBMFXVanguard Total Bond Market Index Inv14.36%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.98%28.99%-16.51%8.27%26.77%-16.70%
3 years8.76%19.24%-1.88%8.05%18.56%-2.49%
5 years8.72%14.73%0.97%7.94%15.97%0.25%
7 years8.63%13.99%2.65%7.82%13.57%1.88%
10 years8.60%13.34%4.27%7.71%13.15%2.42%
15 years8.27%11.25%6.39%7.21%10.35%5.02%