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 5
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Portfolio Analysis Results (Jan 2001 - Dec 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PRBLX Parnassus Core Equity Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Portfolio 1$200,000$152,027 -1.30% 11.12%8.72%12.88%33.98%-22.96%-35.61%
(-50.47%)
0.781.210.94
Portfolio 2$200,000$0.00N/A7.16%N/A5.88%16.39%-9.84%-18.82%
(-100.00%)
0.981.560.78
T. Rowe Price Capital Appreciation$200,000$298,895 1.93% 10.75%9.88%10.52%33.05%-27.17%-36.61%
(-46.90%)
0.901.370.92
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 110.74%27.55%27.55%26.41%18.64%16.41%11.12%15.34%13.71%
Portfolio 23.01%8.50%8.50%11.05%8.02%7.65%7.16%7.41%6.36%
T. Rowe Price Capital Appreciation6.01%18.53%18.53%20.40%15.17%13.80%10.75%12.13%10.40%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • Drawdown analysis is calculated based on monthly returns excluding cashflows.
  • The results assume annual rebalancing of portfolio assets to match the specified allocation.
  • Inflation adjusted annual withdrawal of $15,200 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 2T. Rowe Price Capital AppreciationParnassus Core Equity Investor (PRBLX)Vanguard Wellesley Income Inv (VWINX)
ReturnBalanceReturnBalanceReturnBalance
20011.55%-$15,4369.97%$204,5007.39%$199,33410.26%$205,0909.97%7.39%
20022.38%-$15,803-3.69%$181,1584.64%$192,7860.54%$190,398-3.69%4.64%
20031.88%-$16,10015.69%$193,4789.66%$195,30025.47%$222,78615.69%9.66%
20043.26%-$16,6249.30%$194,8427.55%$193,42915.29%$240,2339.30%7.55%
20053.42%-$17,1922.62%$182,7623.48%$182,9726.85%$239,5022.62%3.48%
20062.54%-$17,62914.70%$192,00611.28%$185,98114.54%$256,70914.70%11.28%
20074.08%-$18,34814.13%$200,7885.61%$178,0594.56%$250,07414.13%5.61%
20080.09%-$18,365-22.96%$136,332-9.84%$142,168-27.17%$163,767-22.96%-9.84%
20092.72%-$18,86528.75%$156,66516.02%$146,08533.05%$199,02728.75%16.02%
20101.50%-$19,1478.87%$151,41610.65%$142,49214.07%$207,8798.87%10.65%
20112.96%-$19,7143.13%$136,4489.63%$136,4983.19%$194,8023.13%9.63%
20121.74%-$20,05715.43%$137,45110.06%$130,16614.70%$203,38915.43%10.06%
20131.50%-$20,35833.98%$163,7939.19%$121,76822.43%$228,64433.98%9.19%
20140.76%-$20,51214.49%$167,0218.07%$111,07612.25%$236,14914.49%8.07%
20150.73%-$20,662-0.55%$145,4361.28%$91,8325.42%$228,283-0.55%1.28%
20162.07%-$21,09110.41%$139,4798.08%$78,1618.22%$225,95910.41%8.08%
20172.11%-$21,53516.58%$141,06410.20%$64,59615.38%$239,16616.58%10.20%
20181.91%-$21,947-0.18%$118,859-2.57%$40,9880.62%$218,692-0.18%-2.57%
20192.29%-$22,44830.69%$132,88316.39%$25,25924.61%$250,06230.69%16.39%
20201.36%-$22,75421.19%$138,2888.45%$4,64018.16%$272,71321.19%8.45%
20217.04%-$24,35527.55%$152,0278.50%$0.0018.53%$298,89527.55%8.50%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2T. Rowe Price Capital AppreciationParnassus Core Equity Investor (PRBLX)Vanguard Wellesley Income Inv (VWINX)
ReturnBalanceReturnBalanceReturnBalance
200112.84%$205,6800.25%$200,4920.29%$200,5732.84%0.25%
20012-2.76%$200,0001.23%$202,9502.86%$206,308-2.76%1.23%
20013-2.73%$194,544-0.07%$202,7980.00%$206,308-2.73%-0.07%
200145.98%$206,1751.88%$206,6104.24%$215,0545.98%1.88%
200151.05%$208,3331.02%$208,7163.53%$222,6521.05%1.02%
200160.36%$209,092-0.18%$208,343-2.00%$218,2080.36%-0.18%
200171.67%$212,5771.80%$212,096-0.92%$216,2011.67%1.80%
20018-2.35%$207,5850.67%$213,5161.13%$218,638-2.35%0.67%
20019-4.61%$198,026-0.56%$212,328-4.33%$209,176-4.61%-0.56%
2001104.45%$206,8330.43%$213,2521.64%$212,6164.45%0.43%
2001114.70%$216,5610.14%$213,5601.89%$216,6314.70%0.14%
2001121.56%$204,5000.57%$199,3341.80%$205,0901.56%0.57%
200211.20%$206,9540.45%$200,2350.89%$206,9111.20%0.45%
20022-1.89%$203,0461.65%$203,5392.64%$212,374-1.89%1.65%
200232.73%$208,590-0.10%$203,3424.02%$220,9202.73%-0.10%
20024-1.71%$205,0170.70%$204,759-0.82%$219,098-1.71%0.70%
20025-0.63%$203,7351.33%$207,4920.83%$220,920-0.63%1.33%
20026-4.55%$194,455-0.93%$205,565-4.57%$210,833-4.55%-0.93%
20027-3.92%$186,838-2.09%$201,265-4.65%$201,027-3.92%-2.09%
200280.15%$187,1130.86%$203,0052.44%$205,9300.15%0.86%
20029-9.16%$169,980-2.67%$197,578-5.71%$194,163-9.16%-2.67%
20021012.24%$190,7912.31%$202,1352.89%$199,76612.24%2.31%
2002119.01%$207,9822.36%$206,8984.35%$208,4529.01%2.36%
200212-5.30%$181,1580.82%$192,786-1.08%$190,398-5.30%0.82%
20031-0.80%$179,705-1.56%$189,783-0.84%$188,790-0.80%-1.56%
20032-1.38%$177,2270.10%$189,977-1.70%$185,574-1.38%0.10%
200331.38%$179,680-0.11%$189,777-0.36%$184,9041.38%-0.11%
200345.41%$189,3993.40%$196,2375.36%$194,8195.41%3.40%
200352.59%$194,3024.24%$204,5565.23%$205,0022.59%4.24%
200360.69%$195,6520.18%$204,9271.96%$209,0220.69%0.18%
200370.75%$197,124-3.38%$198,0100.13%$209,2900.75%-3.38%
200380.04%$197,2100.40%$198,8011.98%$213,4440.04%0.40%
200390.24%$197,6781.72%$202,218-0.13%$213,1760.24%1.72%
2003101.98%$201,5950.44%$203,1174.78%$223,3591.98%0.44%
2003111.08%$203,7710.54%$204,2151.92%$227,6461.08%0.54%
2003122.85%$193,4783.52%$195,3004.94%$222,7862.85%3.52%
200411.83%$197,0250.48%$196,2341.03%$225,0771.83%0.48%
200421.31%$199,6051.38%$198,9432.32%$230,2971.31%1.38%
20043-0.70%$198,2020.32%$199,588-0.44%$229,279-0.70%0.32%
20044-2.00%$194,238-2.17%$195,255-1.17%$226,605-2.00%-2.17%
200451.17%$196,503-0.34%$194,5960.22%$227,1141.17%-0.34%
200461.26%$198,9701.11%$196,7543.14%$234,2431.26%1.11%
20047-3.24%$192,5230.34%$197,420-1.09%$231,697-3.24%0.34%
200482.88%$198,0732.07%$201,5110.55%$232,9702.88%2.07%
200490.77%$199,6070.66%$202,8462.30%$238,3170.77%0.66%
200410-0.04%$199,5250.66%$204,1910.48%$239,463-0.04%0.66%
2004112.87%$205,2500.89%$206,0175.16%$251,8122.87%0.89%
2004123.03%$194,8421.96%$193,4292.00%$240,2333.03%1.96%
20051-2.32%$190,322-0.09%$193,250-1.44%$236,782-2.32%-0.09%
200521.47%$193,1281.25%$195,6702.45%$242,5751.47%1.25%
20053-0.61%$191,958-1.41%$192,903-1.37%$239,247-0.61%-1.41%
20054-1.84%$188,4350.94%$194,711-1.55%$235,550-1.84%0.94%
200552.08%$192,3491.07%$196,7921.88%$239,9872.08%1.07%
200560.40%$193,1190.87%$198,5101.08%$242,5750.40%0.87%
200573.95%$200,7460.09%$198,6923.46%$250,9573.95%0.09%
20058-1.45%$197,8370.78%$200,245-0.05%$250,834-1.45%0.78%
20059-0.50%$196,850-0.25%$199,7440.34%$251,697-0.50%-0.25%
200510-1.68%$193,534-1.34%$197,070-1.67%$247,506-1.68%-1.34%
2005113.44%$200,1971.03%$199,0992.94%$254,7783.44%1.03%
200512-0.12%$182,7620.53%$182,9720.75%$239,502-0.12%0.53%
200613.25%$188,6970.85%$184,5352.69%$245,9493.25%0.85%
200620.65%$189,9140.80%$186,0120.19%$246,4270.65%0.80%
200631.26%$192,300-0.66%$184,7781.07%$249,0541.26%-0.66%
200641.63%$195,4311.09%$186,7941.01%$251,5611.63%1.09%
20065-2.93%$189,703-0.66%$185,567-1.66%$247,382-2.93%-0.66%
200660.43%$190,5220.58%$186,645-0.19%$246,9040.43%0.58%
200670.16%$190,8282.14%$190,6311.06%$249,5310.16%2.14%
200683.45%$197,4161.81%$194,0861.82%$254,0683.45%1.81%
200692.12%$201,6001.23%$196,4821.93%$258,9632.12%1.23%
2006103.05%$207,7511.64%$199,7042.44%$265,2913.05%1.64%
2006111.41%$210,6851.30%$202,3002.16%$271,0221.41%1.30%
200612-0.50%$192,0060.65%$185,9811.22%$256,709-0.50%0.65%
200712.86%$197,4960.32%$186,5781.41%$260,3192.86%0.32%
200720.01%$197,5090.91%$188,284-0.67%$258,5760.01%0.91%
200730.60%$198,6850.63%$189,4730.77%$260,5680.60%0.63%
200744.24%$207,1071.73%$192,7433.54%$269,7814.24%1.73%
200754.12%$215,6310.45%$193,6032.68%$277,0024.12%0.45%
20076-1.38%$212,650-1.19%$191,293-0.45%$275,757-1.38%-1.19%
20077-3.32%$205,582-0.73%$189,902-3.21%$266,918-3.32%-0.73%
200781.37%$208,3901.42%$192,5980.51%$268,2871.37%1.42%
200793.05%$214,7461.72%$195,9041.67%$272,7693.05%1.72%
2007103.81%$222,9360.94%$197,7481.37%$276,5043.81%0.94%
200711-2.68%$216,965-0.18%$197,397-2.48%$269,657-2.68%-0.18%
2007121.00%$200,788-0.50%$178,059-0.46%$250,0741.00%-0.50%
20081-5.62%$189,494-0.82%$176,590-2.26%$244,419-5.62%-0.82%
20082-0.66%$188,234-1.29%$174,305-1.80%$240,021-0.66%-1.29%
20083-0.12%$188,0150.38%$174,9650.16%$240,398-0.12%0.38%
200845.44%$198,2411.18%$177,0273.82%$249,5725.44%1.18%
200852.30%$202,801-0.56%$176,0372.11%$254,8492.30%-0.56%
20086-4.93%$192,809-3.41%$170,034-5.23%$241,529-4.93%-3.41%
200872.11%$196,8740.15%$170,284-0.16%$241,1522.11%0.15%
200882.19%$201,1780.78%$171,6212.55%$247,3102.19%0.78%
20089-4.88%$191,354-3.47%$165,663-9.15%$224,690-4.88%-3.47%
200810-15.40%$161,880-7.19%$153,745-17.23%$185,985-15.40%-7.19%
200811-7.06%$150,4460.33%$154,252-5.41%$175,932-7.06%0.33%
2008122.83%$136,3324.07%$142,1683.52%$163,7672.83%4.07%
20091-5.41%$128,953-4.62%$135,601-3.01%$158,836-5.41%-4.62%
20092-10.11%$115,921-4.96%$128,878-7.39%$147,097-10.11%-4.96%
200934.74%$121,4122.94%$132,6617.18%$157,6624.74%2.94%
2009410.75%$134,4623.54%$137,36010.28%$173,86310.75%3.54%
200954.00%$139,8364.39%$143,3905.47%$183,3724.00%4.39%
200962.17%$142,8631.25%$145,1861.92%$186,8942.17%1.25%
200976.14%$151,6425.68%$153,4275.15%$196,5206.14%5.68%
200981.47%$153,8742.32%$156,9942.63%$201,6861.47%2.32%
200994.17%$160,2951.87%$159,9242.91%$207,5554.17%1.87%
2009100.33%$160,822-0.05%$159,844-0.85%$205,7940.33%-0.05%
2009115.68%$169,9543.20%$164,9663.88%$213,7775.68%3.20%
2009123.28%$156,665-0.01%$146,0851.92%$199,0273.28%-0.01%
20101-3.50%$151,181-0.29%$145,654-0.83%$197,383-3.50%-0.29%
201022.22%$154,5331.08%$147,2322.28%$201,8762.22%1.08%
201035.29%$162,7061.99%$150,1604.34%$210,6445.29%1.99%
201040.47%$163,4651.49%$152,4031.61%$214,0410.47%1.49%
20105-7.66%$150,945-2.71%$148,278-5.43%$202,424-7.66%-2.71%
20106-4.11%$144,7410.19%$148,563-3.36%$195,629-4.11%0.19%
201076.17%$153,6783.49%$153,7513.98%$203,4116.17%3.49%
20108-5.54%$145,1720.86%$155,066-2.75%$197,821-5.54%0.86%
201098.78%$157,9142.70%$159,2615.48%$208,6718.78%2.70%
2010102.77%$162,2910.88%$160,6623.10%$215,1372.77%0.88%
201011-1.08%$160,537-0.92%$159,1870.00%$215,137-1.08%-0.92%
2010126.25%$151,4161.54%$142,4925.53%$207,8796.25%1.54%
201113.69%$157,0040.65%$143,4111.67%$211,3593.69%0.65%
201121.91%$160,0081.88%$146,1032.81%$217,2961.91%1.88%
20113-0.41%$159,3540.14%$146,3110.05%$217,398-0.41%0.14%
201143.60%$165,0892.58%$150,0862.54%$222,9253.60%2.58%
20115-1.50%$162,6050.84%$151,345-0.05%$222,823-1.50%0.84%
20116-2.73%$158,170-1.06%$149,740-1.33%$219,855-2.73%-1.06%
20117-0.91%$156,7320.04%$149,807-1.63%$216,272-0.91%0.04%
20118-5.14%$148,675-0.27%$149,406-4.83%$205,832-5.14%-0.27%
20119-5.38%$140,670-1.46%$147,222-5.22%$195,085-5.38%-1.46%
2011108.03%$151,9684.03%$153,1598.92%$212,4858.03%4.03%
2011111.47%$154,208-0.53%$152,3500.14%$212,7921.47%-0.53%
2011121.27%$136,4482.53%$136,4980.81%$194,8021.27%2.53%
201212.25%$139,5201.88%$139,0583.88%$202,3602.25%1.88%
201223.11%$143,8591.28%$140,8433.36%$209,1623.11%1.28%
201232.07%$146,8400.46%$141,4921.99%$213,3182.07%0.46%
201240.88%$148,1250.93%$142,812-0.62%$211,9960.88%0.93%
20125-4.76%$141,075-1.43%$140,772-3.43%$204,722-4.76%-1.43%
201263.09%$145,4282.00%$143,5821.75%$208,3113.09%2.00%
201272.86%$149,5922.44%$147,0911.41%$211,2402.86%2.44%
201281.71%$152,1490.53%$147,8782.28%$216,0581.71%0.53%
201292.28%$155,6230.86%$149,1471.57%$219,4592.28%0.86%
201210-1.02%$154,0320.25%$149,513-0.39%$218,609-1.02%0.25%
2012111.24%$155,9440.29%$149,9401.21%$221,2541.24%0.29%
2012121.00%$137,4510.19%$130,1660.99%$203,3891.00%0.19%
201316.22%$146,0061.45%$132,0563.78%$211,0676.22%1.45%
201321.92%$148,8131.23%$133,6761.21%$213,6271.92%1.23%
201334.08%$154,8851.26%$135,3622.48%$218,9284.08%1.26%
201341.25%$156,8261.97%$138,0261.46%$222,1281.25%1.97%
201351.57%$159,293-0.87%$136,8301.40%$225,2361.57%-0.87%
20136-1.40%$157,059-1.59%$134,649-0.45%$224,230-1.40%-1.59%
201374.95%$164,8322.04%$137,3894.16%$233,5544.95%2.04%
20138-2.29%$161,050-1.87%$134,814-1.88%$229,166-2.29%-1.87%
201394.09%$167,6391.63%$137,0132.23%$234,2854.09%1.63%
2013105.63%$177,0752.10%$139,8842.65%$240,5015.63%2.10%
2013111.33%$179,4330.79%$140,9881.63%$244,4321.33%0.79%
2013122.63%$163,7930.81%$121,7681.87%$228,6442.63%0.81%
20141-3.74%$157,671-0.36%$121,327-0.94%$226,506-3.74%-0.36%
201424.24%$164,3642.06%$123,8263.46%$234,3474.24%2.06%
201430.45%$165,1080.92%$124,9660.34%$235,1490.45%0.92%
201442.99%$170,0461.19%$126,4490.68%$236,7532.99%1.19%
201452.23%$173,8381.21%$127,9812.03%$241,5652.23%1.21%
201462.05%$177,3970.78%$128,9751.25%$244,5942.05%0.78%
20147-2.76%$172,504-1.00%$127,681-1.31%$241,386-2.76%-1.00%
201483.70%$178,8781.99%$130,2192.69%$247,8913.70%1.99%
20149-1.37%$176,422-1.25%$128,590-1.22%$244,862-1.37%-1.25%
2014103.43%$182,4681.17%$130,0942.80%$251,7233.43%1.17%
2014112.44%$186,9131.31%$131,7992.05%$256,8912.44%1.31%
2014120.33%$167,021-0.16%$111,076-0.09%$236,1490.33%-0.16%
20151-3.37%$161,3980.55%$111,684-0.69%$234,522-3.37%0.55%
201524.04%$167,9240.82%$112,5973.85%$243,5604.04%0.82%
20153-1.31%$165,720-0.10%$112,4840.07%$243,740-1.31%-0.10%
20154-0.47%$164,9390.51%$113,052-0.33%$242,927-0.47%0.51%
201551.47%$167,366-0.12%$112,9211.93%$247,6271.47%-0.12%
20156-1.39%$165,041-2.06%$110,593-1.09%$244,915-1.39%-2.06%
201572.50%$169,1651.23%$111,9582.44%$250,8802.50%1.23%
20158-4.43%$161,674-2.16%$109,536-3.60%$241,843-4.43%-2.16%
20159-1.96%$158,5110.11%$109,659-1.53%$238,137-1.96%0.11%
2015106.86%$169,3903.40%$113,3875.65%$251,6036.86%3.40%
2015110.31%$169,9100.00%$113,3870.29%$252,3260.31%0.00%
201512-2.24%$145,436-0.79%$91,832-1.34%$228,283-2.24%-0.79%
20161-4.33%$139,146-0.20%$91,644-2.83%$221,813-4.33%-0.20%
201621.32%$140,9770.45%$92,0560.29%$222,4511.32%0.45%
201635.84%$149,2033.52%$95,2924.71%$232,9315.84%3.52%
20164-1.15%$147,4910.91%$96,1591.13%$235,574-1.15%0.91%
201652.30%$150,8840.59%$96,7252.01%$240,3122.30%0.59%
20166-0.39%$150,2912.18%$98,833-0.08%$240,130-0.39%2.18%
201672.85%$154,5671.38%$100,2002.31%$245,6892.85%1.38%
201681.81%$157,3680.00%$100,2000.11%$245,9631.81%0.00%
20169-0.16%$157,109-0.32%$99,8830.30%$246,692-0.16%-0.32%
201610-2.91%$152,530-1.22%$98,660-1.40%$243,229-2.91%-1.22%
2016113.24%$157,466-0.74%$97,9340.71%$244,9603.24%-0.74%
2016121.97%$139,4791.35%$78,1610.85%$225,9591.97%1.35%
201711.99%$142,2480.27%$78,3761.79%$230,0141.99%0.27%
201721.92%$144,9811.96%$79,9112.74%$236,3121.92%1.96%
201730.42%$145,586-0.04%$79,8800.73%$238,0380.42%-0.04%
201740.86%$146,8320.70%$80,4361.45%$241,4890.86%0.70%
201750.80%$148,0071.15%$81,3631.64%$245,4580.80%1.15%
201760.75%$149,1130.41%$81,7000.49%$246,6660.75%0.41%
201771.44%$151,2540.88%$82,4150.70%$248,3911.44%0.88%
201780.07%$151,3610.53%$82,8510.94%$250,7210.07%0.53%
201791.81%$154,0960.84%$83,5491.00%$253,2231.81%0.84%
2017101.90%$157,0310.90%$84,3011.02%$255,8111.90%0.90%
2017113.41%$162,3861.08%$85,2101.85%$260,5563.41%1.08%
2017120.13%$141,0641.08%$64,5960.06%$239,1660.13%1.08%
201814.85%$147,9070.56%$64,9563.64%$247,8774.85%0.56%
20182-4.20%$141,692-2.73%$63,183-2.76%$241,027-4.20%-2.73%
20183-0.71%$140,690-0.27%$63,010-0.35%$240,181-0.71%-0.27%
201841.01%$142,117-0.50%$62,6970.32%$240,9421.01%-0.50%
201850.56%$142,9140.65%$63,1070.81%$242,8870.56%0.65%
201861.04%$144,4020.16%$63,2090.97%$245,2551.04%0.16%
201875.02%$151,6502.04%$64,4972.34%$251,0065.02%2.04%
201882.63%$155,6400.57%$64,8612.39%$257,0112.63%0.57%
201890.09%$155,775-0.23%$64,713-0.07%$256,8410.09%-0.23%
201810-5.35%$147,443-2.27%$63,244-3.98%$246,608-5.35%-2.27%
2018114.15%$153,5641.63%$64,2732.26%$252,1904.15%1.63%
201812-8.31%$118,859-2.08%$40,988-4.58%$218,692-8.31%-2.08%
201916.36%$126,4193.23%$42,3147.09%$234,1896.36%3.23%
201924.15%$131,6621.51%$42,9512.46%$239,9604.15%1.51%
201932.30%$134,6891.88%$43,7571.99%$244,7412.30%1.88%
201943.92%$139,9731.08%$44,2312.43%$250,6763.92%1.08%
20195-4.47%$133,711-0.65%$43,943-2.14%$245,318-4.47%-0.65%
201966.85%$142,8753.14%$45,3254.67%$256,7766.85%3.14%
201971.88%$145,5680.49%$45,5460.61%$258,3421.88%0.49%
20198-0.08%$145,4451.68%$46,312-0.35%$257,435-0.08%1.68%
201990.50%$146,1770.59%$46,5870.32%$258,2600.50%0.59%
2019100.31%$146,6360.63%$46,8781.15%$261,2270.31%0.63%
2019113.81%$152,2250.62%$47,1702.43%$267,5743.81%0.62%
2019122.04%$132,8831.14%$25,2591.84%$250,0622.04%1.14%
202010.11%$133,0251.28%$25,5822.02%$255,1090.11%1.28%
20202-7.73%$122,740-2.46%$24,954-4.90%$242,613-7.73%-2.46%
20203-10.04%$110,419-6.28%$23,385-9.28%$220,106-10.04%-6.28%
2020410.16%$121,6365.70%$24,7189.68%$241,41210.16%5.70%
202054.56%$127,1882.11%$25,2403.62%$250,1434.56%2.11%
202062.32%$130,1430.47%$25,3590.10%$250,3832.32%0.47%
202076.80%$138,9962.81%$26,0725.12%$263,1986.80%2.81%
202086.16%$147,5640.22%$26,1292.10%$268,7256.16%0.22%
20209-1.75%$144,982-0.70%$25,945-1.34%$265,121-1.75%-0.70%
202010-2.53%$141,318-1.27%$25,6150.51%$266,482-2.53%-1.27%
20201110.36%$155,9585.72%$27,0798.27%$288,50910.36%5.72%
2020123.26%$138,2881.16%$4,6402.41%$272,7133.26%1.16%
20211-1.64%$136,020-1.27%$4,581-1.93%$267,436-1.64%-1.27%
202123.98%$141,4330.64%$4,6112.27%$273,5123.98%0.64%
202134.74%$148,1431.69%$4,6893.77%$283,8264.74%1.69%
202144.60%$154,9532.00%$4,7834.59%$296,8584.60%2.00%
202150.67%$155,9851.41%$4,8500.19%$297,4170.67%1.41%
202161.99%$159,0850.51%$4,8750.81%$299,8161.99%0.51%
202173.26%$164,2751.29%$4,9382.21%$306,4523.26%1.29%
202182.81%$168,8970.94%$4,9851.85%$312,1282.81%0.94%
20219-5.69%$159,283-1.94%$4,888-2.31%$304,933-5.69%-1.94%
2021105.86%$168,6131.94%$4,9834.67%$319,1645.86%1.94%
2021110.24%$169,022-1.17%$4,924-1.68%$313,8070.24%-1.17%
2021124.35%$152,0272.24%$0.003.01%$298,8954.35%2.24%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2T. Rowe Price Capital Appreciation
Large-cap Value27.07%25.37%24.64%
Large-cap Growth48.26%6.17%23.64%
Mid-cap Value8.37%0.00%0.00%
Mid-cap Growth0.00%0.00%18.53%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth2.57%0.00%0.00%
Global ex-US Developed Markets0.00%3.78%0.64%
Emerging Markets0.00%0.00%0.46%
Corporate Bonds0.00%22.45%15.64%
Long-Term Treasuries1.35%6.37%0.00%
Intermediate-Term Treasuries0.00%10.27%0.00%
Short-Term Treasuries12.38%25.59%16.44%
R Squared93.01%93.71%93.67%
Style analysis is based on monthly returns from April 2005 to December 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
TickerNameCategoryWeightTTM YieldExpense RatioP/EContribution
NetGrossReturnRisk
PRBLXParnassus Core Equity InvestorLarge Blend100.00%0.91%0.82%0.82%26.01$360,968100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%3.06%2.79%0.23%0.23%17.897.63$189,620100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 07/06/2022. (c) 2022 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 2T. Rowe Price Capital Appreciation
Arithmetic Mean (monthly)0.95%0.59%0.90%
Arithmetic Mean (annualized)12.04%7.35%11.36%
Geometric Mean (monthly)0.88%0.58%0.85%
Geometric Mean (annualized)11.12%7.16%10.75%
Standard Deviation (monthly)3.72%1.70%3.04%
Standard Deviation (annualized)12.88%5.88%10.52%
Downside Deviation (monthly)2.37%1.03%1.96%
Maximum Drawdown-35.61%-18.82%-36.61%
Stock Market Correlation0.940.780.92
Beta(*)1.100.471.00
Alpha (annualized)-0.43%2.06%-0.00%
R280.16%69.82%100.00%
Sharpe Ratio0.780.980.90
Sortino Ratio1.211.561.37
Treynor Ratio (%)9.2212.419.49
Calmar Ratio1.551.291.49
Active Return0.38%-3.58%N/A
Tracking Error5.83%6.47%N/A
Information Ratio0.06-0.55N/A
Skewness-0.53-0.66-1.05
Excess Kurtosis1.853.365.68
Historical Value-at-Risk (5%)-5.36%-2.17%-4.57%
Analytical Value-at-Risk (5%)-5.17%-2.20%-4.10%
Conditional Value-at-Risk (5%)-7.93%-3.72%-6.85%
Upside Capture Ratio (%)115.8850.99100.00
Downside Capture Ratio (%)123.3937.37100.00
Safe Withdrawal Rate8.29%7.43%9.21%
Perpetual Withdrawal Rate7.97%4.56%7.65%
Positive Periods172 out of 252 (68.25%)179 out of 252 (71.03%)173 out of 252 (68.65%)
Gain/Loss Ratio0.911.021.00
* T. Rowe Price Capital Appreciation 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 2T. Rowe Price Capital Appreciation
Subprime CrisisNov 2007Mar 2009-35.61%-18.82%-36.49%
COVID-19 StartJan 2020Mar 2020-16.99%-8.59%-13.72%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-35.61%
2Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-18.51%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-16.99%
4May 2011Sep 20115 monthsMar 20126 months11 months-14.79%
5May 2010Jun 20102 monthsDec 20106 months8 months-11.45%
6Oct 2018Dec 20183 monthsFeb 20192 months5 months-9.61%
7Aug 2001Sep 20012 monthsNov 20012 months4 months-6.85%
8Dec 2015Jan 20162 monthsMar 20162 months4 months-6.47%
9Aug 2015Sep 20152 monthsOct 20151 month3 months-6.30%
10Sep 2021Sep 20211 monthNov 20212 months3 months-5.69%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
4Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
5Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
6May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
7Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
8May 2010May 20101 monthJul 20102 months3 months-2.71%
9Apr 2004May 20042 monthsAug 20043 months5 months-2.50%
10May 2013Jun 20132 monthsOct 20134 months6 months-2.45%
Worst 10 drawdowns included above

Drawdowns for T. Rowe Price Capital Appreciation

Drawdowns for T. Rowe Price Capital Appreciation (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20101 year 2 months2 years 11 months-36.61%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-13.72%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.49%
4Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-12.11%
5May 2010Jun 20102 monthsOct 20104 months6 months-8.60%
6Sep 2018Dec 20184 monthsJan 20191 month5 months-6.37%
7Jun 2001Sep 20014 monthsFeb 20025 months9 months-6.05%
8Aug 2015Sep 20152 monthsOct 20151 month3 months-5.08%
9Dec 2015Jan 20162 monthsMar 20162 months4 months-4.14%
10Apr 2012May 20122 monthsAug 20123 months5 months-4.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
PRBLXParnassus Core Equity Investor11.12%12.88%33.98%-22.96%-35.61%0.781.210.94
VWINXVanguard Wellesley Income Inv7.16%5.88%16.39%-9.84%-18.82%0.981.560.78

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Parnassus Core Equity Investor10.74%27.55%27.55%26.41%18.64%16.41%0.82%0.82%
Vanguard Wellesley Income Inv3.01%8.50%8.50%11.05%8.02%7.65%0.23%0.23%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNamePRBLXVWINXPortfolio 1Portfolio 2T. Rowe Price Capital Appreciation
PRBLXParnassus Core Equity Investor1.000.781.000.780.90
VWINXVanguard Wellesley Income Inv0.781.000.781.000.84

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
PRBLXParnassus Core Equity Investor$360,968
VWINXVanguard Wellesley Income Inv$189,620
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
PRBLXParnassus Core Equity Investor100.00%
VWINXVanguard Wellesley Income Inv100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2T. Rowe Price Capital Appreciation
AverageHighLowAverageHighLowAverageHighLow
1 year11.65%56.24%-30.12%7.27%28.99%-16.51%11.17%50.25%-31.84%
3 years10.61%26.41%-6.20%7.06%17.01%-1.88%10.41%23.25%-8.68%
5 years10.38%21.42%-1.39%7.00%13.66%0.97%9.96%20.20%-1.36%
7 years10.19%16.61%1.10%6.98%10.86%2.65%9.61%15.98%2.34%
10 years10.51%16.48%6.18%7.33%9.52%6.14%9.90%14.85%7.37%
15 years10.20%12.62%8.25%6.99%7.50%6.39%9.70%10.68%8.41%