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 2000 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
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Portfolio 2
Ticker Name Allocation
VSCGX Vanguard LifeStrategy Cnsrv Gr Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VITSX Vanguard Total Stock Market Idx I 40.00%
VBTIX Vanguard Total Bond Market Index I 60.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,766 7.51% 6.04%16.39%-9.84%-18.82% 0.971.550.73
Portfolio 2$10,000$30,258 5.41% 6.99%17.06%-19.52%-27.96% 0.560.810.95
Portfolio 3$10,000$36,250 6.32% 6.25%17.56%-11.66%-19.23% 0.751.150.94
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 15.58%8.45%7.14%7.93%7.76%7.51%7.72%6.32%
Portfolio 26.55%11.51%7.78%8.03%6.65%5.41%7.92%6.47%
Portfolio 36.23%13.04%9.18%8.95%7.96%6.32%8.04%6.53%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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 2Portfolio 3Vanguard Wellesley Income Inv (VWINX)Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard Total Stock Market Idx I (VITSX)Vanguard Total Bond Market Index I (VBTIX)
ReturnBalanceReturnBalanceReturnBalance
20003.39%16.17%$11,6173.12%$10,3122.72%$10,27216.17%3.12%-10.49%11.52%
20011.55%7.39%$12,475-0.08%$10,3030.80%$10,3557.39%-0.08%-10.82%8.55%
20022.38%4.64%$13,054-5.36%$9,750-3.33%$10,0104.64%-5.36%-20.90%8.39%
20031.88%9.66%$14,31516.57%$11,36615.08%$11,5209.66%16.57%31.55%4.10%
20043.26%7.55%$15,3968.01%$12,2777.65%$12,4017.55%8.01%12.60%4.36%
20053.42%3.48%$15,9324.45%$12,8243.96%$12,8933.48%4.45%6.12%2.53%
20062.54%11.28%$17,72910.62%$14,1868.92%$14,04311.28%10.62%15.69%4.40%
20074.08%5.61%$18,7236.99%$15,1786.46%$14,9495.61%6.99%5.56%7.05%
20080.09%-9.84%$16,880-19.52%$12,215-11.66%$13,206-9.84%-19.52%-36.94%5.19%
20092.72%16.02%$19,58517.06%$14,29915.19%$15,21116.02%17.06%28.83%6.09%
20101.50%10.65%$21,67011.14%$15,89210.84%$16,86010.65%11.14%17.23%6.58%
20112.96%9.63%$23,7571.76%$16,1715.07%$17,7149.63%1.76%1.09%7.72%
20121.74%10.06%$26,1469.19%$17,6579.08%$19,32210.06%9.19%16.42%4.18%
20131.50%9.19%$28,5489.08%$19,26012.12%$21,6639.19%9.08%33.49%-2.14%
20140.76%8.07%$30,8506.95%$20,5998.57%$23,5208.07%6.95%12.56%5.91%
20150.73%1.28%$31,244-0.17%$20,5640.41%$23,6171.28%-0.17%0.42%0.41%
20162.07%8.08%$33,7695.96%$21,7906.63%$25,1838.08%5.96%12.67%2.61%
20172.11%10.20%$37,21210.92%$24,17010.61%$27,85510.20%10.92%21.17%3.57%
20181.91%-2.57%$36,255-2.95%$23,456-2.07%$27,277-2.57%-2.95%-5.16%-0.01%
20192.29%16.39%$42,19815.68%$27,13417.56%$32,06816.39%15.68%30.81%8.73%
20201.36%8.45%$45,76611.51%$30,25813.04%$36,2508.45%11.51%21.00%7.74%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income Inv (VWINX)Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)Vanguard Total Stock Market Idx I (VITSX)Vanguard Total Bond Market Index I (VBTIX)
ReturnBalanceReturnBalanceReturnBalance
20001-1.01%$9,899-1.52%$9,848-1.77%$9,823-1.01%-1.52%-4.18%-0.16%
20002-3.00%$9,6021.34%$9,9801.72%$9,991-3.00%1.34%2.54%1.19%
200035.61%$10,1413.38%$10,3173.10%$10,3015.61%3.38%5.71%1.41%
200040.16%$10,157-1.95%$10,116-2.37%$10,0570.16%-1.95%-5.18%-0.48%
200051.27%$10,286-1.13%$10,002-1.43%$9,9131.27%-1.13%-3.41%-0.15%
20006-0.63%$10,2212.63%$10,2653.04%$10,214-0.63%2.63%4.44%2.16%
200071.98%$10,423-0.13%$10,251-0.23%$10,1911.98%-0.13%-1.98%0.89%
200082.93%$10,7283.12%$10,5713.65%$10,5632.93%3.12%7.28%1.41%
200091.80%$10,921-1.61%$10,401-1.37%$10,4181.80%-1.61%-4.65%0.77%
2000101.27%$11,059-0.20%$10,380-0.41%$10,3751.27%-0.20%-2.01%0.58%
2000111.20%$11,192-2.25%$10,147-2.74%$10,0901.20%-2.25%-9.93%1.59%
2000123.80%$11,6171.62%$10,3121.80%$10,2723.80%1.62%1.81%1.80%
200110.25%$11,6462.24%$10,5432.61%$10,5400.25%2.24%3.86%1.77%
200121.23%$11,789-3.52%$10,171-3.26%$10,1961.23%-3.52%-9.41%0.92%
20013-0.07%$11,780-2.54%$9,913-2.21%$9,970-0.07%-2.54%-6.72%0.55%
200141.88%$12,0013.36%$10,2462.68%$10,2371.88%3.36%8.20%-0.45%
200151.02%$12,1230.55%$10,3030.83%$10,3221.02%0.55%0.97%0.74%
20016-0.18%$12,102-0.49%$10,253-0.28%$10,293-0.18%-0.49%-1.60%0.53%
200171.80%$12,3200.77%$10,3320.76%$10,3721.80%0.77%-1.68%2.24%
200180.67%$12,402-1.80%$10,145-1.51%$10,2150.67%-1.80%-6.04%1.12%
20019-0.56%$12,333-3.08%$9,833-2.56%$9,954-0.56%-3.08%-8.97%0.90%
2001100.43%$12,3872.13%$10,0432.08%$10,1620.43%2.13%2.52%1.87%
2001110.14%$12,4052.38%$10,2821.63%$10,3280.14%2.38%7.68%-1.33%
2001120.57%$12,4750.21%$10,3030.26%$10,3550.57%0.21%1.81%-0.57%
200210.45%$12,532-0.21%$10,281-0.09%$10,3450.45%-0.21%-1.28%0.70%
200221.65%$12,738-0.29%$10,252-0.29%$10,3151.65%-0.29%-2.05%0.86%
20023-0.10%$12,7260.93%$10,3470.82%$10,400-0.10%0.93%4.41%-1.45%
200240.70%$12,815-1.14%$10,229-0.95%$10,3010.70%-1.14%-4.90%1.70%
200251.33%$12,9860.14%$10,2440.04%$10,3051.33%0.14%-1.18%0.81%
20026-0.93%$12,865-2.81%$9,956-2.51%$10,047-0.93%-2.81%-7.07%0.30%
20027-2.09%$12,596-3.14%$9,643-2.60%$9,785-2.09%-3.14%-8.02%0.49%
200280.86%$12,7051.00%$9,7401.30%$9,9120.86%1.00%0.58%1.67%
20029-2.67%$12,365-4.67%$9,285-2.42%$9,672-2.67%-4.67%-10.08%1.54%
2002102.31%$12,6503.72%$9,6312.01%$9,8662.31%3.72%7.70%-0.60%
2002112.36%$12,9482.97%$9,9162.02%$10,0652.36%2.97%6.01%0.03%
2002120.82%$13,054-1.67%$9,750-0.55%$10,0100.82%-1.67%-5.54%2.08%
20031-1.56%$12,851-1.25%$9,629-0.98%$9,912-1.56%-1.25%-2.54%0.06%
200320.10%$12,864-0.24%$9,6060.18%$9,9290.10%-0.24%-1.69%1.38%
20033-0.11%$12,8510.47%$9,6510.36%$9,965-0.11%0.47%1.12%-0.12%
200343.40%$13,2884.44%$10,0793.73%$10,3373.40%4.44%8.21%0.88%
200354.24%$13,8513.64%$10,4473.57%$10,7064.24%3.64%6.11%1.83%
200360.18%$13,8760.72%$10,5220.53%$10,7630.18%0.72%1.46%-0.12%
20037-3.38%$13,408-0.22%$10,499-0.94%$10,662-3.38%-0.22%2.36%-3.33%
200380.40%$13,4621.17%$10,6221.41%$10,8120.40%1.17%2.43%0.62%
200391.72%$13,6931.02%$10,7301.02%$10,9221.72%1.02%-1.16%2.72%
2003100.44%$13,7542.31%$10,9782.08%$11,1490.44%2.31%6.12%-0.95%
2003110.54%$13,8280.71%$11,0560.79%$11,2370.54%0.71%1.42%0.28%
2003123.52%$14,3152.81%$11,3662.51%$11,5203.52%2.81%4.50%0.89%
200410.48%$14,3831.31%$11,5151.40%$11,6810.48%1.31%2.19%0.87%
200421.38%$14,5821.22%$11,6561.21%$11,8231.38%1.22%1.47%1.04%
200430.32%$14,629-0.07%$11,6480.06%$11,8300.32%-0.07%-1.04%0.81%
20044-2.17%$14,311-2.23%$11,389-2.42%$11,544-2.17%-2.23%-2.14%-2.60%
20045-0.34%$14,2630.34%$11,4280.30%$11,579-0.34%0.34%1.38%-0.42%
200461.11%$14,4211.17%$11,5621.20%$11,7171.11%1.17%2.12%0.57%
200470.34%$14,470-1.10%$11,435-0.98%$11,6030.34%-1.10%-3.80%0.97%
200482.07%$14,7701.18%$11,5691.30%$11,7532.07%1.18%0.31%1.95%
200490.66%$14,8680.82%$11,6650.78%$11,8450.66%0.82%1.73%0.17%
2004100.66%$14,9661.16%$11,8001.20%$11,9870.66%1.16%1.71%0.86%
2004110.89%$15,1001.89%$12,0231.39%$12,1540.89%1.89%4.68%-0.80%
2004121.96%$15,3962.12%$12,2772.04%$12,4011.96%2.12%3.62%0.93%
20051-0.09%$15,382-0.92%$12,165-0.66%$12,320-0.09%-0.92%-2.64%0.66%
200521.25%$15,5740.93%$12,2770.44%$12,3741.25%0.93%2.07%-0.62%
20053-1.41%$15,354-1.11%$12,141-0.99%$12,251-1.41%-1.11%-1.75%-0.48%
200540.94%$15,498-0.53%$12,076-0.08%$12,2420.94%-0.53%-2.29%1.37%
200551.07%$15,6641.94%$12,3112.11%$12,5001.07%1.94%3.77%1.06%
200560.87%$15,8000.53%$12,3750.66%$12,5820.87%0.53%0.81%0.56%
200570.09%$15,8151.58%$12,5711.03%$12,7120.09%1.58%4.14%-0.98%
200580.78%$15,9390.26%$12,6030.44%$12,7690.78%0.26%-0.91%1.37%
20059-0.25%$15,8990.20%$12,628-0.31%$12,729-0.25%0.20%0.86%-1.09%
200510-1.34%$15,686-1.17%$12,481-1.23%$12,573-1.34%-1.17%-1.86%-0.80%
2005111.03%$15,8472.03%$12,7351.90%$12,8121.03%2.03%4.00%0.49%
2005120.53%$15,9320.70%$12,8240.63%$12,8930.53%0.70%0.10%1.00%
200610.85%$16,0681.74%$13,0481.36%$13,0680.85%1.74%3.53%-0.10%
200620.80%$16,1970.13%$13,0640.23%$13,0970.80%0.13%0.00%0.38%
20063-0.66%$16,0890.57%$13,1390.15%$13,117-0.66%0.57%1.80%-0.99%
200641.09%$16,2650.82%$13,2470.36%$13,1641.09%0.82%1.14%-0.20%
20065-0.66%$16,158-1.45%$13,055-1.40%$12,980-0.66%-1.45%-3.23%-0.08%
200660.58%$16,2520.14%$13,0740.14%$12,9980.58%0.14%0.18%0.11%
200672.14%$16,5990.71%$13,1660.76%$13,0972.14%0.71%-0.10%1.36%
200681.81%$16,9001.85%$13,4101.93%$13,3501.81%1.85%2.34%1.65%
200691.23%$17,1081.51%$13,6121.40%$13,5371.23%1.51%2.23%0.82%
2006101.64%$17,3891.99%$13,8831.89%$13,7931.64%1.99%3.56%0.73%
2006111.30%$17,6151.58%$14,1021.60%$14,0131.30%1.58%2.26%1.12%
2006120.65%$17,7290.60%$14,1860.21%$14,0430.65%0.60%1.14%-0.47%
200710.32%$17,7860.84%$14,3060.71%$14,1420.32%0.84%1.88%-0.07%
200720.91%$17,949-0.12%$14,2890.25%$14,1770.91%-0.12%-1.61%1.51%
200730.63%$18,0620.72%$14,3910.47%$14,2440.63%0.72%1.13%0.03%
200741.73%$18,3742.21%$14,7091.92%$14,5171.73%2.21%4.01%0.52%
200750.45%$18,4561.40%$14,9161.05%$14,6700.45%1.40%3.69%-0.77%
20076-1.19%$18,235-0.69%$14,813-0.91%$14,536-1.19%-0.69%-1.64%-0.38%
20077-0.73%$18,103-0.94%$14,674-0.92%$14,403-0.73%-0.94%-3.41%0.85%
200781.42%$18,3601.06%$14,8301.39%$14,6031.42%1.06%1.45%1.35%
200791.72%$18,6752.17%$15,1521.90%$14,8811.72%2.17%3.61%0.73%
2007100.94%$18,8511.56%$15,3881.31%$15,0760.94%1.56%1.85%0.94%
200711-0.18%$18,817-1.14%$15,213-0.72%$14,967-0.18%-1.14%-4.46%1.92%
200712-0.50%$18,723-0.23%$15,178-0.12%$14,949-0.50%-0.23%-0.64%0.23%
20081-0.82%$18,568-2.28%$14,833-1.40%$14,740-0.82%-2.28%-6.05%1.70%
20082-1.29%$18,328-1.31%$14,638-1.04%$14,587-1.29%-1.31%-3.04%0.20%
200830.38%$18,398-0.30%$14,594-0.03%$14,5830.38%-0.30%-0.59%0.31%
200841.18%$18,6142.32%$14,9321.68%$14,8281.18%2.32%5.02%-0.29%
20085-0.56%$18,5100.66%$15,0300.32%$14,876-0.56%0.66%2.09%-0.78%
20086-3.41%$17,879-4.25%$14,391-3.19%$14,402-3.41%-4.25%-8.17%0.00%
200870.15%$17,905-0.56%$14,310-0.28%$14,3620.15%-0.56%-0.77%0.01%
200880.78%$18,0460.63%$14,4001.03%$14,5100.78%0.63%1.58%0.71%
20089-3.47%$17,420-5.77%$13,569-4.11%$13,914-3.47%-5.77%-9.24%-1.09%
200810-7.19%$16,166-10.09%$12,200-7.82%$12,826-7.19%-10.09%-17.62%-2.52%
2008110.33%$16,220-2.08%$11,9470.04%$12,8310.33%-2.08%-7.90%3.66%
2008124.07%$16,8802.25%$12,2152.92%$13,2064.07%2.25%1.89%3.34%
20091-4.62%$16,100-4.14%$11,710-3.73%$12,713-4.62%-4.14%-8.30%-0.69%
20092-4.96%$15,302-5.33%$11,085-4.22%$12,177-4.96%-5.33%-10.40%-0.41%
200932.94%$15,7514.99%$11,6394.05%$12,6702.94%4.99%8.68%1.49%
200943.54%$16,3095.24%$12,2494.18%$13,2003.54%5.24%10.60%0.37%
200954.39%$17,0253.55%$12,6832.65%$13,5494.39%3.55%5.38%0.86%
200961.25%$17,2380.43%$12,7380.48%$13,6141.25%0.43%0.37%0.55%
200975.68%$18,2174.54%$13,3164.03%$14,1625.68%4.54%7.82%1.44%
200982.32%$18,6402.31%$13,6232.14%$14,4652.32%2.31%3.67%1.03%
200991.87%$18,9882.46%$13,9582.49%$14,8241.87%2.46%4.22%1.20%
200910-0.05%$18,979-0.60%$13,874-0.87%$14,695-0.05%-0.60%-2.57%0.43%
2009113.20%$19,5873.11%$14,3053.18%$15,1633.20%3.11%5.62%1.37%
200912-0.01%$19,585-0.04%$14,2990.32%$15,211-0.01%-0.04%2.88%-1.66%
20101-0.29%$19,527-0.66%$14,204-0.45%$15,143-0.29%-0.66%-3.50%1.58%
201021.08%$19,7391.40%$14,4031.43%$15,3601.08%1.40%3.36%0.21%
201031.99%$20,1312.58%$14,7742.45%$15,7361.99%2.58%6.30%-0.07%
201041.49%$20,4321.22%$14,9551.52%$15,9761.49%1.22%2.17%1.07%
20105-2.71%$19,879-2.99%$14,508-2.78%$15,531-2.71%-2.99%-8.00%0.89%
201060.19%$19,917-1.31%$14,318-1.21%$15,3430.19%-1.31%-5.63%1.62%
201073.49%$20,6133.80%$14,8623.20%$15,8353.49%3.80%6.99%0.95%
201080.86%$20,789-1.09%$14,700-0.92%$15,6890.86%-1.09%-4.75%1.49%
201092.70%$21,3514.09%$15,3023.53%$16,2432.70%4.09%9.50%0.00%
2010100.88%$21,5391.82%$15,5811.79%$16,5340.88%1.82%3.98%0.37%
201011-0.92%$21,342-0.49%$15,504-0.11%$16,515-0.92%-0.49%0.54%-0.56%
2010121.54%$21,6702.50%$15,8922.09%$16,8601.54%2.50%6.84%-1.13%
201110.65%$21,8100.92%$16,0370.94%$17,0190.65%0.92%2.22%0.10%
201121.88%$22,2191.57%$16,2901.56%$17,2851.88%1.57%3.59%0.17%
201130.14%$22,2510.12%$16,3100.19%$17,3180.14%0.12%0.45%0.01%
201142.58%$22,8252.27%$16,6812.02%$17,6672.58%2.27%2.99%1.33%
201150.84%$23,017-0.18%$16,6520.29%$17,7190.84%-0.18%-1.13%1.32%
20116-1.06%$22,773-0.96%$16,491-0.96%$17,549-1.06%-0.96%-1.79%-0.38%
201170.04%$22,783-0.30%$16,4420.02%$17,5520.04%-0.30%-2.25%1.59%
20118-0.27%$22,722-2.63%$16,011-1.51%$17,288-0.27%-2.63%-5.99%1.48%
20119-1.46%$22,390-3.54%$15,444-2.39%$16,874-1.46%-3.54%-7.75%0.90%
2011104.03%$23,2934.66%$16,1634.27%$17,5944.03%4.66%11.54%0.17%
201111-0.53%$23,169-0.55%$16,075-0.30%$17,541-0.53%-0.55%-0.32%-0.29%
2011122.53%$23,7570.60%$16,1710.99%$17,7142.53%0.60%0.83%1.09%
201211.88%$24,2022.77%$16,6202.56%$18,1691.88%2.77%5.08%0.89%
201221.28%$24,5131.80%$16,9191.74%$18,4841.28%1.80%4.29%-0.03%
201230.46%$24,6260.41%$16,9880.96%$18,6610.46%0.41%3.07%-0.57%
201240.93%$24,8560.29%$17,0380.39%$18,7330.93%0.29%-0.63%1.15%
20125-1.43%$24,501-2.53%$16,607-2.09%$18,341-1.43%-2.53%-6.23%0.96%
201262.00%$24,9901.77%$16,9001.62%$18,6382.00%1.77%3.91%0.05%
201272.44%$25,6001.19%$17,1021.25%$18,8702.44%1.19%1.03%1.40%
201280.53%$25,7371.12%$17,2931.07%$19,0710.53%1.12%2.51%0.04%
201290.86%$25,9581.18%$17,4971.15%$19,2910.86%1.18%2.58%0.12%
2012100.25%$26,022-0.35%$17,436-0.68%$19,1600.25%-0.35%-1.76%0.12%
2012110.29%$26,0960.58%$17,5380.44%$19,2440.29%0.58%0.77%0.20%
2012120.19%$26,1460.68%$17,6570.41%$19,3220.19%0.68%1.22%-0.19%
201311.45%$26,5251.53%$17,9281.78%$19,6661.45%1.53%5.50%-0.70%
201321.23%$26,8500.52%$18,0210.85%$19,8331.23%0.52%1.28%0.55%
201331.26%$27,1891.28%$18,2531.68%$20,1671.26%1.28%3.91%0.09%
201341.97%$27,7241.43%$18,5141.25%$20,4201.97%1.43%1.70%0.92%
20135-0.87%$27,484-0.73%$18,3780.02%$20,424-0.87%-0.73%2.32%-1.70%
20136-1.59%$27,046-1.74%$18,058-1.47%$20,125-1.59%-1.74%-1.24%-1.64%
201372.04%$27,5962.21%$18,4572.52%$20,6322.04%2.21%5.48%0.21%
20138-1.87%$27,079-1.37%$18,205-1.62%$20,298-1.87%-1.37%-2.82%-0.63%
201391.63%$27,5212.49%$18,6582.18%$20,7411.63%2.49%3.69%0.97%
2013102.10%$28,0972.04%$19,0382.35%$21,2282.10%2.04%4.24%0.79%
2013110.79%$28,3190.67%$19,1641.14%$21,4710.79%0.67%2.88%-0.34%
2013120.81%$28,5480.50%$19,2600.90%$21,6630.81%0.50%2.64%-0.64%
20141-0.36%$28,444-0.50%$19,164-0.30%$21,598-0.36%-0.50%-3.08%1.56%
201422.06%$29,0302.23%$19,5912.14%$22,0602.06%2.23%4.73%0.49%
201430.92%$29,2980.18%$19,6260.13%$22,0880.92%0.18%0.52%-0.14%
201441.19%$29,6450.60%$19,7440.50%$22,1971.19%0.60%0.06%0.78%
201451.21%$30,0051.47%$20,0341.51%$22,5331.21%1.47%2.19%1.06%
201460.78%$30,2381.02%$20,2381.09%$22,7790.78%1.02%2.55%0.12%
20147-1.00%$29,934-0.75%$20,087-0.94%$22,565-1.00%-0.75%-1.96%-0.25%
201481.99%$30,5291.99%$20,4862.37%$23,0991.99%1.99%4.18%1.14%
20149-1.25%$30,147-1.57%$20,164-1.28%$22,802-1.25%-1.57%-2.10%-0.71%
2014101.17%$30,5001.34%$20,4351.68%$23,1851.17%1.34%2.74%0.95%
2014111.31%$30,9001.11%$20,6631.39%$23,5071.31%1.11%2.43%0.66%
201412-0.16%$30,850-0.31%$20,5990.05%$23,520-0.16%-0.31%-0.01%0.10%
201510.55%$31,0190.54%$20,7110.29%$23,5870.55%0.54%-2.77%2.32%
201520.82%$31,2731.67%$21,0571.59%$23,9610.82%1.67%5.78%-1.07%
20153-0.10%$31,241-0.15%$21,025-0.16%$23,923-0.10%-0.15%-1.01%0.42%
201540.51%$31,3990.43%$21,115-0.04%$23,9130.51%0.43%0.42%-0.35%
20155-0.12%$31,3630.00%$21,1150.30%$23,984-0.12%0.00%1.39%-0.44%
20156-2.06%$30,716-1.49%$20,801-1.28%$23,676-2.06%-1.49%-1.70%-1.00%
201571.23%$31,0950.87%$20,9821.12%$23,9421.23%0.87%1.65%0.77%
20158-2.16%$30,423-2.80%$20,395-2.65%$23,307-2.16%-2.80%-6.00%-0.35%
201590.11%$30,457-0.83%$20,226-0.69%$23,1460.11%-0.83%-2.94%0.76%
2015103.40%$31,4922.91%$20,8153.03%$23,8483.40%2.91%7.86%0.02%
2015110.00%$31,492-0.11%$20,7930.07%$23,8650.00%-0.11%0.56%-0.26%
201512-0.79%$31,244-1.10%$20,564-1.04%$23,617-0.79%-1.10%-2.03%-0.37%
20161-0.20%$31,180-1.35%$20,287-1.40%$23,285-0.20%-1.35%-5.67%1.44%
201620.45%$31,3200.17%$20,3220.40%$23,3790.45%0.17%-0.02%0.67%
201633.52%$32,4213.48%$21,0293.27%$24,1443.52%3.48%7.03%0.95%
201640.91%$32,7160.72%$21,1790.48%$24,2600.91%0.72%0.63%0.39%
201650.59%$32,9090.33%$21,2490.72%$24,4360.59%0.33%1.79%0.02%
201662.18%$33,6261.08%$21,4771.26%$24,7442.18%1.08%0.23%1.95%
201671.38%$34,0912.11%$21,9311.96%$25,2291.38%2.11%3.97%0.65%
201680.00%$34,0910.11%$21,9550.02%$25,2330.00%0.11%0.28%-0.16%
20169-0.32%$33,9830.26%$22,0130.02%$25,237-0.32%0.26%0.16%-0.08%
201610-1.22%$33,567-1.43%$21,697-1.37%$24,891-1.22%-1.43%-2.21%-0.80%
201611-0.74%$33,320-0.54%$21,5800.21%$24,944-0.74%-0.54%4.45%-2.63%
2016121.35%$33,7690.97%$21,7900.96%$25,1831.35%0.97%1.94%0.25%
201710.27%$33,8611.03%$22,0150.95%$25,4210.27%1.03%1.91%0.30%
201721.96%$34,5241.56%$22,3571.90%$25,9051.96%1.56%3.73%0.67%
20173-0.04%$34,5110.45%$22,459-0.00%$25,904-0.04%0.45%0.08%-0.06%
201740.70%$34,7511.00%$22,6840.89%$26,1330.70%1.00%1.05%0.77%
201751.15%$35,1521.10%$22,9330.82%$26,3481.15%1.10%1.02%0.68%
201760.41%$35,2970.20%$22,9790.40%$26,4520.41%0.20%0.93%0.02%
201770.88%$35,6071.25%$23,2651.01%$26,7190.88%1.25%1.87%0.40%
201780.53%$35,7950.67%$23,4200.58%$26,8730.53%0.67%0.18%0.86%
201790.84%$36,0960.58%$23,5550.71%$27,0640.84%0.58%2.45%-0.53%
2017100.90%$36,4210.97%$23,7830.99%$27,3320.90%0.97%2.17%0.12%
2017111.08%$36,8140.86%$23,9871.21%$27,6641.08%0.86%3.04%-0.16%
2017121.08%$37,2120.76%$24,1700.69%$27,8551.08%0.76%1.00%0.45%
201810.56%$37,4191.60%$24,5571.48%$28,2660.56%1.60%5.32%-1.09%
20182-2.73%$36,398-2.02%$24,061-2.14%$27,662-2.73%-2.02%-3.71%-1.02%
20183-0.27%$36,298-0.20%$24,012-0.43%$27,542-0.27%-0.20%-1.98%0.63%
20184-0.50%$36,118-0.10%$23,987-0.34%$27,448-0.50%-0.10%0.38%-0.82%
201850.65%$36,3540.66%$24,1451.51%$27,8630.65%0.66%2.82%0.62%
201860.16%$36,413-0.05%$24,1330.30%$27,9460.16%-0.05%0.68%0.04%
201872.04%$37,1551.22%$24,4261.41%$28,3392.04%1.22%3.35%0.04%
201880.57%$37,3650.65%$24,5851.75%$28,8370.57%0.65%3.45%0.53%
20189-0.23%$37,280-0.18%$24,541-0.24%$28,768-0.23%-0.18%0.16%-0.53%
201810-2.27%$36,433-3.41%$23,705-3.58%$27,740-2.27%-3.41%-7.39%-0.72%
2018111.63%$37,0260.98%$23,9391.16%$28,0631.63%0.98%2.06%0.54%
201812-2.08%$36,255-2.02%$23,456-2.80%$27,277-2.08%-2.02%-9.29%1.81%
201913.23%$37,4283.86%$24,3604.06%$28,3843.23%3.86%8.62%1.02%
201921.51%$37,9911.08%$24,6241.43%$28,7901.51%1.08%3.50%-0.05%
201931.88%$38,7041.69%$25,0401.74%$29,2921.88%1.69%1.45%1.97%
201941.08%$39,1231.36%$25,3811.73%$29,7971.08%1.36%3.99%0.05%
20195-0.65%$38,869-1.49%$25,002-1.76%$29,274-0.65%-1.49%-6.44%1.84%
201963.14%$40,0913.36%$25,8413.57%$30,3203.14%3.36%6.99%1.16%
201970.49%$40,2870.39%$25,9430.76%$30,5490.49%0.39%1.45%0.24%
201981.68%$40,9640.73%$26,1340.72%$30,7691.68%0.73%-2.02%2.79%
201990.59%$41,2070.51%$26,2680.37%$30,8830.59%0.51%1.70%-0.59%
2019100.63%$41,4651.02%$26,5361.03%$31,2010.63%1.02%2.12%0.22%
2019110.62%$41,7231.01%$26,8041.58%$31,6950.62%1.01%3.77%-0.05%
2019121.14%$42,1981.23%$27,1341.18%$32,0681.14%1.23%2.87%-0.14%
202011.28%$42,7390.71%$27,3281.25%$32,4691.28%0.71%-0.06%2.12%
20202-2.46%$41,688-2.22%$26,721-2.19%$31,758-2.46%-2.22%-8.17%1.72%
20203-6.28%$39,068-6.58%$24,964-5.46%$30,023-6.28%-6.58%-13.77%-0.58%
202045.70%$41,2955.40%$26,3125.61%$31,7075.70%5.40%13.26%1.70%
202052.11%$42,1672.32%$26,9212.30%$32,4372.11%2.32%5.39%0.55%
202060.47%$42,3661.70%$27,3791.30%$32,8580.47%1.70%2.29%0.71%
202072.81%$43,5582.85%$28,1613.10%$33,8772.81%2.85%5.64%1.56%
202080.22%$43,6521.80%$28,6682.15%$34,6060.22%1.80%7.19%-1.01%
20209-0.70%$43,345-0.94%$28,399-1.39%$34,124-0.70%-0.94%-3.57%0.09%
202010-1.27%$42,793-1.06%$28,098-1.21%$33,710-1.27%-1.06%-2.15%-0.60%
2020115.72%$45,2395.44%$29,6285.48%$35,5565.72%5.44%12.21%1.12%
2020121.16%$45,7662.13%$30,2581.95%$36,2501.16%2.13%4.45%0.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value23.90%13.86%11.63%
Large-cap Growth7.61%14.28%21.60%
Mid-cap Value0.00%0.68%5.68%
Mid-cap Growth0.00%5.36%1.89%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.44%
Global ex-US Developed Markets3.66%5.96%0.00%
Emerging Markets0.00%4.46%1.28%
Corporate Bonds22.86%9.88%9.35%
Long-Term Treasuries6.83%0.76%2.43%
Intermediate-Term Treasuries9.18%13.00%14.88%
Short-Term Treasuries25.95%31.76%30.82%
R Squared93.77%97.70%99.12%
Style analysis is based on monthly returns from April 2005 to December 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%1.85%0.22%22.167.77$35,766100.00%

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
VSCGXVanguard LifeStrategy Cnsrv Gr Inv30% to 50% Equity100.00%1.59%0.12%22.147.10$20,258100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
VITSXVanguard Total Stock Market Idx ILarge Blend40.00%1.23%0.03%25.23$15,66591.41%
VBTIXVanguard Total Bond Market Index IIntermediate Core Bond60.00%1.34%0.04%6.63$10,5868.59%
100.00%1.30%0.03%25.236.63$26,250100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (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 2Portfolio 3
Arithmetic Mean (monthly)0.62%0.46%0.53%
Arithmetic Mean (annualized)7.71%5.67%6.53%
Geometric Mean (monthly)0.61%0.44%0.51%
Geometric Mean (annualized)7.51%5.41%6.32%
Volatility (monthly)1.74%2.02%1.81%
Volatility (annualized)6.04%6.99%6.25%
Downside Deviation (monthly)1.04%1.34%1.12%
Max. Drawdown-18.82%-27.96%-19.23%
US Market Correlation0.730.950.94
Beta(*)0.280.420.38
Alpha (annualized)5.20%2.16%3.35%
R253.19%89.68%88.47%
Sharpe Ratio0.970.560.75
Sortino Ratio1.550.811.15
Treynor Ratio (%)20.829.3212.66
Calmar Ratio0.830.901.22
Active Return0.56%-1.53%-0.62%
Tracking Error12.00%9.33%10.02%
Information Ratio0.05-0.16-0.06
Skewness-0.55-0.88-0.61
Excess Kurtosis3.123.381.94
Historical Value-at-Risk (5%)-2.22%-2.89%-2.58%
Analytical Value-at-Risk (5%)-2.25%-2.86%-2.55%
Conditional Value-at-Risk (5%)-3.78%-4.65%-3.76%
Upside Capture Ratio (%)36.5344.2243.33
Downside Capture Ratio (%)15.0437.6431.42
Safe Withdrawal Rate7.98%5.89%6.27%
Perpetual Withdrawal Rate5.03%3.14%3.97%
Positive Periods179 out of 252 (71.03%)163 out of 252 (64.68%)173 out of 252 (68.65%)
Gain/Loss Ratio1.050.990.97
* 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
Dotcom CrashMar 2000Oct 2002-4.78%-12.17%-8.44%
Subprime CrisisNov 2007Mar 2009-18.82%-27.96%-19.23%

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%
3Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
4Jan 2000Feb 20002 monthsMar 20001 month3 months-3.98%
5Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
6Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
7May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
8Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
9May 2010May 20101 monthJul 20102 months3 months-2.71%
10Apr 2004May 20042 monthsAug 20043 months5 months-2.50%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
5Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.59%
6Jun 2015Sep 20154 monthsApr 20167 months11 months-4.21%
7Apr 2000May 20002 monthsAug 20003 months5 months-3.06%
8May 2012May 20121 monthJul 20122 months3 months-2.53%
9May 2013Jun 20132 monthsSep 20133 months5 months-2.46%
10Feb 2018Apr 20183 monthsAug 20184 months7 months-2.32%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-19.23%
2Sep 2000Sep 20022 years 1 monthMay 20038 months2 years 9 months-8.44%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-7.53%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-5.41%
5Jun 2011Sep 20114 monthsJan 20124 months8 months-4.77%
6May 2010Jun 20102 monthsSep 20103 months5 months-3.96%
7Apr 2000May 20002 monthsAug 20003 months5 months-3.77%
8Jun 2015Sep 20154 monthsMar 20166 months10 months-3.49%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-2.89%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-2.59%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWINXVanguard Wellesley Income Inv7.51%6.04%16.39%-9.84%-18.82%0.971.550.73
VSCGXVanguard LifeStrategy Cnsrv Gr Inv5.41%6.99%17.06%-19.52%-27.96%0.560.810.95
VITSXVanguard Total Stock Market Idx I7.07%15.68%33.49%-36.94%-50.81%0.410.591.00
VBTIXVanguard Total Bond Market Index I5.07%3.44%11.52%-2.14%-3.93%1.001.73-0.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWINXVSCGXVITSXVBTIXPortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv1.000.840.730.431.000.840.85
VSCGXVanguard LifeStrategy Cnsrv Gr Inv0.841.000.950.210.841.000.98
VITSXVanguard Total Stock Market Idx I0.730.951.00-0.070.730.950.94
VBTIXVanguard Total Bond Market Index I0.430.21-0.071.000.430.210.27

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv$35,766
VSCGXVanguard LifeStrategy Cnsrv Gr Inv$20,258
VITSXVanguard Total Stock Market Idx I$15,665
VBTIXVanguard Total Bond Market Index I$10,586

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv100.00%
VSCGXVanguard LifeStrategy Cnsrv Gr Inv100.00%
VITSXVanguard Total Stock Market Idx I91.41%
VBTIXVanguard Total Bond Market Index I8.59%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.50%28.99%-16.51%5.40%29.92%-24.27%6.28%26.14%-16.52%
3 years7.04%17.01%-1.88%5.37%15.13%-5.33%6.28%14.93%-2.40%
5 years7.05%13.66%0.97%5.42%12.06%-1.00%6.37%12.62%0.59%
7 years7.09%10.86%2.65%5.38%9.04%1.12%6.42%9.77%2.40%
10 years7.27%9.52%6.14%5.40%8.31%3.35%6.52%8.99%4.04%
15 years7.04%8.19%6.39%5.39%6.44%4.46%6.38%7.24%5.42%