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 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 RatioUS Mkt 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, 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.
  • 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • 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%0.78%0.84%0.84%30.70$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%2.03%2.40%0.22%0.22%21.407.88$189,620100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/19/2022. (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%
Max. Drawdown-35.61%-18.82%-36.61%
US 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 RatioUS Mkt 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%0.84%0.84%
Vanguard Wellesley Income Inv3.01%8.50%8.50%11.05%8.02%7.65%0.22%0.22%
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 holdings.

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 holdings.

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%