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 2015)

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 3
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$200,000$145,436 -2.10% 8.77%7.87%12.78%33.98%-22.96%-35.61%
(-48.00%)
0.610.920.94
Portfolio 2$200,000$91,832 -5.06% 6.82%6.72%5.81%16.02%-9.84%-18.82%
(-57.00%)
0.911.420.74
Portfolio 3$200,000$0.00N/A5.40%N/A8.67%18.75%-20.16%-30.74%
(-100.00%)
0.480.690.98
T. Rowe Price Capital Appreciation$200,000$228,283 0.89% 9.48%9.31%10.79%33.05%-27.17%-36.61%
(-46.90%)
0.761.110.91
* 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 14.79%-0.55%-0.55%15.12%12.68%9.89%8.77%10.23%10.38%
Portfolio 22.58%1.28%1.28%6.12%7.59%6.97%6.82%4.59%4.61%
Portfolio 33.85%0.94%0.94%9.74%8.91%6.66%5.40%6.53%6.91%
T. Rowe Price Capital Appreciation4.54%5.42%5.42%13.15%11.39%8.54%9.48%6.99%8.32%
Trailing return and volatility are as of last full calendar month ending December 2015
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 2Portfolio 3T. Rowe Price Capital AppreciationParnassus Core Equity Investor (PRBLX)Vanguard Wellesley Income Inv (VWINX)Vanguard 500 Index Admiral (VFIAX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20011.55%-$15,4369.97%$204,5007.39%$199,334-3.82%$176,93410.26%$205,0909.97%7.39%-11.98%8.43%
20022.38%-$15,803-3.69%$181,1584.64%$192,786-9.96%$143,5170.54%$190,398-3.69%4.64%-22.10%8.26%
20031.88%-$16,10015.69%$193,4789.66%$195,30018.75%$154,32025.47%$222,78615.69%9.66%28.59%3.97%
20043.26%-$16,6249.30%$194,8427.55%$193,4298.19%$150,33015.29%$240,2339.30%7.55%10.82%4.24%
20053.42%-$17,1922.62%$182,7623.48%$182,9723.88%$138,9716.85%$239,5022.62%3.48%4.87%2.40%
20062.54%-$17,62914.70%$192,00611.28%$185,98111.16%$136,84714.54%$256,70914.70%11.28%15.75%4.27%
20074.08%-$18,34814.13%$200,7885.61%$178,0596.05%$126,7794.56%$250,07414.13%5.61%5.47%6.92%
20080.09%-$18,365-22.96%$136,332-9.84%$142,168-20.16%$82,855-27.17%$163,767-22.96%-9.84%-36.97%5.05%
20092.72%-$18,86528.75%$156,66516.02%$146,08518.35%$79,19133.05%$199,02728.75%16.02%26.62%5.93%
20101.50%-$19,1478.87%$151,41610.65%$142,49211.60%$69,22914.07%$207,8798.87%10.65%15.05%6.42%
20112.96%-$19,7143.13%$136,4489.63%$136,4984.27%$52,4743.19%$194,8023.13%9.63%2.08%7.56%
20121.74%-$20,05715.43%$137,45110.06%$130,16611.20%$38,29314.70%$203,38915.43%10.06%15.96%4.05%
20131.50%-$20,35833.98%$163,7939.19%$121,76818.49%$25,01722.43%$228,64433.98%9.19%32.33%-2.26%
20140.76%-$20,51214.49%$167,0218.07%$111,07610.49%$7,12912.25%$236,14914.49%8.07%13.64%5.76%
20150.73%-$20,662-0.55%$145,4361.28%$91,8320.94%$0.005.42%$228,283-0.55%1.28%1.36%0.30%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3T. Rowe Price Capital AppreciationParnassus Core Equity Investor (PRBLX)Vanguard Wellesley Income Inv (VWINX)Vanguard 500 Index Admiral (VFIAX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
200112.84%$205,6800.25%$200,4922.83%$205,6620.29%$200,5732.84%0.25%3.54%1.76%
20012-2.76%$200,0001.23%$202,950-5.16%$195,0482.86%$206,308-2.76%1.23%-9.14%0.91%
20013-2.73%$194,544-0.07%$202,798-3.44%$188,3300.00%$206,308-2.73%-0.07%-6.34%0.54%
200145.98%$206,1751.88%$206,6104.15%$196,1524.24%$215,0545.98%1.88%7.76%-0.46%
200151.05%$208,3331.02%$208,7160.70%$197,5163.53%$222,6521.05%1.02%0.67%0.73%
200160.36%$209,092-0.18%$208,343-1.20%$195,143-2.00%$218,2080.36%-0.18%-2.45%0.52%
200171.67%$212,5771.80%$212,0960.38%$195,889-0.92%$216,2011.67%1.80%-0.99%2.23%
20018-2.35%$207,5850.67%$213,516-3.06%$189,8931.13%$218,638-2.35%0.67%-6.26%1.11%
20019-4.61%$198,026-0.56%$212,328-4.02%$182,258-4.33%$209,176-4.61%-0.56%-8.09%0.89%
2001104.45%$206,8330.43%$213,2521.88%$185,6931.64%$212,6164.45%0.43%1.91%1.86%
2001114.70%$216,5610.14%$213,5603.38%$191,9631.89%$216,6314.70%0.14%7.66%-1.34%
2001121.56%$204,5000.57%$199,3340.21%$176,9341.80%$205,0901.56%0.57%0.87%-0.58%
200211.20%$206,9540.45%$200,235-0.60%$175,8670.89%$206,9111.20%0.45%-1.46%0.69%
20022-1.89%$203,0461.65%$203,539-0.81%$174,4502.64%$212,374-1.89%1.65%-1.94%0.85%
200232.73%$208,590-0.10%$203,3421.60%$177,2454.02%$220,9202.73%-0.10%3.75%-1.46%
20024-1.71%$205,0170.70%$204,759-2.97%$171,978-0.82%$219,098-1.71%0.70%-6.07%1.69%
20025-0.63%$203,7351.33%$207,492-0.10%$171,8100.83%$220,920-0.63%1.33%-0.74%0.80%
20026-4.55%$194,455-0.93%$205,565-3.99%$164,946-4.57%$210,833-4.55%-0.93%-7.13%0.29%
20027-3.92%$186,838-2.09%$201,265-4.10%$158,185-4.65%$201,027-3.92%-2.09%-7.72%0.48%
200280.15%$187,1130.86%$203,0051.13%$159,9662.44%$205,9300.15%0.86%0.66%1.66%
20029-9.16%$169,980-2.67%$197,578-5.11%$151,798-5.71%$194,163-9.16%-2.67%-10.87%1.53%
20021012.24%$190,7912.31%$202,1354.11%$158,0372.89%$199,76612.24%2.31%8.78%-0.61%
2002119.01%$207,9822.36%$206,8983.10%$162,9414.35%$208,4529.01%2.36%5.89%0.02%
200212-5.30%$181,1580.82%$192,786-2.22%$143,517-1.08%$190,398-5.30%0.82%-5.89%2.07%
20031-0.80%$179,705-1.56%$189,783-1.55%$141,286-0.84%$188,790-0.80%-1.56%-2.62%0.05%
20032-1.38%$177,2270.10%$189,977-0.33%$140,814-1.70%$185,574-1.38%0.10%-1.51%1.38%
200331.38%$179,680-0.11%$189,7770.51%$141,531-0.36%$184,9041.38%-0.11%0.96%-0.13%
200345.41%$189,3993.40%$196,2375.23%$148,9285.36%$194,8195.41%3.40%8.27%0.87%
200352.59%$194,3024.24%$204,5563.91%$154,7485.23%$205,0022.59%4.24%5.26%1.82%
200360.69%$195,6520.18%$204,9270.72%$155,8681.96%$209,0220.69%0.18%1.26%-0.13%
200370.75%$197,124-3.38%$198,010-0.19%$155,5660.13%$209,2900.75%-3.38%1.76%-3.34%
200380.04%$197,2100.40%$198,8011.44%$157,8101.98%$213,4440.04%0.40%1.93%0.61%
200390.24%$197,6781.72%$202,2180.32%$158,316-0.13%$213,1760.24%1.72%-1.07%2.71%
2003101.98%$201,5950.44%$203,1173.16%$163,3144.78%$223,3591.98%0.44%5.64%-0.96%
2003111.08%$203,7710.54%$204,2150.66%$164,3861.92%$227,6461.08%0.54%0.87%0.27%
2003122.85%$193,4783.52%$195,3003.67%$154,3204.94%$222,7862.85%3.52%5.24%0.88%
200411.83%$197,0250.48%$196,2341.44%$156,5391.03%$225,0771.83%0.48%1.82%0.86%
200421.31%$199,6051.38%$198,9431.25%$158,4892.32%$230,2971.31%1.38%1.39%1.03%
20043-0.70%$198,2020.32%$199,588-0.60%$157,541-0.44%$229,279-0.70%0.32%-1.52%0.80%
20044-2.00%$194,238-2.17%$195,255-1.99%$154,408-1.17%$226,605-2.00%-2.17%-1.57%-2.61%
200451.17%$196,503-0.34%$194,5960.65%$155,4120.22%$227,1141.17%-0.34%1.37%-0.43%
200461.26%$198,9701.11%$196,7541.39%$157,5683.14%$234,2431.26%1.11%1.93%0.56%
20047-3.24%$192,5230.34%$197,420-1.63%$154,993-1.09%$231,697-3.24%0.34%-3.31%0.96%
200482.88%$198,0732.07%$201,5111.02%$156,5780.55%$232,9702.88%2.07%0.40%1.94%
200490.77%$199,6070.66%$202,8460.71%$157,6822.30%$238,3170.77%0.66%1.08%0.16%
200410-0.04%$199,5250.66%$204,1911.25%$159,6550.48%$239,463-0.04%0.66%1.52%0.85%
2004112.87%$205,2500.89%$206,0172.09%$162,9955.16%$251,8122.87%0.89%4.05%-0.81%
2004123.03%$194,8421.96%$193,4292.43%$150,3302.00%$240,2333.03%1.96%3.40%0.92%
20051-2.32%$190,322-0.09%$193,250-1.20%$148,526-1.44%$236,782-2.32%-0.09%-2.44%0.65%
200521.47%$193,1281.25%$195,6700.98%$149,9892.45%$242,5751.47%1.25%2.09%-0.63%
20053-0.61%$191,958-1.41%$192,903-1.25%$148,115-1.37%$239,247-0.61%-1.41%-1.76%-0.49%
20054-1.84%$188,4350.94%$194,711-0.59%$147,246-1.55%$235,550-1.84%0.94%-1.90%1.35%
200552.08%$192,3491.07%$196,7922.30%$150,6361.88%$239,9872.08%1.07%3.18%1.05%
200560.40%$193,1190.87%$198,5100.31%$151,0991.08%$242,5750.40%0.87%0.14%0.55%
200573.95%$200,7460.09%$198,6921.79%$153,8113.46%$250,9573.95%0.09%3.72%-0.99%
20058-1.45%$197,8370.78%$200,245-0.01%$153,791-0.05%$250,834-1.45%0.78%-0.91%1.36%
20059-0.50%$196,850-0.25%$199,7440.04%$153,8460.34%$251,697-0.50%-0.25%0.80%-1.10%
200510-1.68%$193,534-1.34%$197,070-1.33%$151,804-1.67%$247,506-1.68%-1.34%-1.67%-0.81%
2005113.44%$200,1971.03%$199,0992.46%$155,5332.94%$254,7783.44%1.03%3.77%0.48%
200512-0.12%$182,7620.53%$182,9720.41%$138,9710.75%$239,502-0.12%0.53%0.03%0.99%
200613.25%$188,6970.85%$184,5351.55%$141,1252.69%$245,9493.25%0.85%2.65%-0.11%
200620.65%$189,9140.80%$186,0120.31%$141,5650.19%$246,4270.65%0.80%0.27%0.37%
200631.26%$192,300-0.66%$184,7780.36%$142,0761.07%$249,0541.26%-0.66%1.24%-1.00%
200641.63%$195,4311.09%$186,7940.74%$143,1271.01%$251,5611.63%1.09%1.34%-0.21%
20065-2.93%$189,703-0.66%$185,567-1.81%$140,532-1.66%$247,382-2.93%-0.66%-2.89%-0.09%
200660.43%$190,5220.58%$186,6450.12%$140,706-0.19%$246,9040.43%0.58%0.14%0.10%
200670.16%$190,8282.14%$190,6310.90%$141,9671.06%$249,5310.16%2.14%0.61%1.35%
200683.45%$197,4161.81%$194,0862.08%$144,9261.82%$254,0683.45%1.81%2.37%1.64%
200692.12%$201,6001.23%$196,4821.89%$147,6591.93%$258,9632.12%1.23%2.58%0.81%
2006103.05%$207,7511.64%$199,7042.27%$151,0112.44%$265,2913.05%1.64%3.25%0.72%
2006111.41%$210,6851.30%$202,3001.60%$153,4212.16%$271,0221.41%1.30%1.90%1.11%
200612-0.50%$192,0060.65%$185,9810.69%$136,8471.22%$256,709-0.50%0.65%1.40%-0.48%
200712.86%$197,4960.32%$186,5780.87%$138,0401.41%$260,3192.86%0.32%1.51%-0.08%
200720.01%$197,5090.91%$188,284-0.59%$137,222-0.67%$258,5760.01%0.91%-1.97%1.50%
200730.60%$198,6850.63%$189,4730.68%$138,1520.77%$260,5680.60%0.63%1.12%0.02%
200744.24%$207,1071.73%$192,7432.85%$142,0863.54%$269,7814.24%1.73%4.42%0.51%
200754.12%$215,6310.45%$193,6031.81%$144,6592.68%$277,0024.12%0.45%3.48%-0.78%
20076-1.38%$212,650-1.19%$191,293-1.18%$142,959-0.45%$275,757-1.38%-1.19%-1.66%-0.39%
20077-3.32%$205,582-0.73%$189,902-1.57%$140,720-3.21%$266,918-3.32%-0.73%-3.08%0.84%
200781.37%$208,3901.42%$192,5981.44%$142,7420.51%$268,2871.37%1.42%1.50%1.34%
200793.05%$214,7461.72%$195,9042.55%$146,3751.67%$272,7693.05%1.72%3.74%0.72%
2007103.81%$222,9360.94%$197,7481.33%$148,3221.37%$276,5043.81%0.94%1.59%0.93%
200711-2.68%$216,965-0.18%$197,397-1.83%$145,613-2.48%$269,657-2.68%-0.18%-4.18%1.91%
2007121.00%$200,788-0.50%$178,059-0.33%$126,779-0.46%$250,0741.00%-0.50%-0.70%0.22%
20081-5.62%$189,494-0.82%$176,590-2.93%$123,065-2.26%$244,419-5.62%-0.82%-6.01%1.69%
20082-0.66%$188,234-1.29%$174,305-1.80%$120,844-1.80%$240,021-0.66%-1.29%-3.24%0.19%
20083-0.12%$188,0150.38%$174,965-0.12%$120,6960.16%$240,398-0.12%0.38%-0.43%0.30%
200845.44%$198,2411.18%$177,0272.65%$123,8953.82%$249,5725.44%1.18%4.87%-0.30%
200852.30%$202,801-0.56%$176,0370.43%$124,4222.11%$254,8492.30%-0.56%1.29%-0.79%
20086-4.93%$192,809-3.41%$170,034-4.96%$118,248-5.23%$241,529-4.93%-3.41%-8.43%-0.01%
200872.11%$196,8740.15%$170,284-0.47%$117,697-0.16%$241,1522.11%0.15%-0.82%0.00%
200882.19%$201,1780.78%$171,6211.12%$119,0172.55%$247,3102.19%0.78%1.45%0.70%
20089-4.88%$191,354-3.47%$165,663-5.52%$112,450-9.15%$224,690-4.88%-3.47%-8.90%-1.10%
200810-15.40%$161,880-7.19%$153,745-10.32%$100,851-17.23%$185,985-15.40%-7.19%-16.78%-2.53%
200811-7.06%$150,4460.33%$154,252-1.83%$99,002-5.41%$175,932-7.06%0.33%-7.16%3.64%
2008122.83%$136,3324.07%$142,1682.24%$82,8553.52%$163,7672.83%4.07%1.06%3.32%
20091-5.41%$128,953-4.62%$135,601-5.33%$78,442-3.01%$158,836-5.41%-4.62%-8.41%-0.70%
20092-10.11%$115,921-4.96%$128,878-6.36%$73,456-7.39%$147,097-10.11%-4.96%-10.64%-0.42%
200934.74%$121,4122.94%$132,6615.52%$77,5147.18%$157,6624.74%2.94%8.78%1.48%
2009410.75%$134,4623.54%$137,3605.61%$81,86310.28%$173,86310.75%3.54%9.56%0.36%
200954.00%$139,8364.39%$143,3903.68%$84,8765.47%$183,3724.00%4.39%5.63%0.85%
200962.17%$142,8631.25%$145,1860.35%$85,1751.92%$186,8942.17%1.25%0.23%0.54%
200976.14%$151,6425.68%$153,4275.13%$89,5485.15%$196,5206.14%5.68%7.58%1.43%
200981.47%$153,8742.32%$156,9942.61%$91,8902.63%$201,6861.47%2.32%3.61%1.01%
200994.17%$160,2951.87%$159,9242.77%$94,4342.91%$207,5554.17%1.87%3.73%1.19%
2009100.33%$160,822-0.05%$159,844-1.01%$93,476-0.85%$205,7940.33%-0.05%-1.86%0.41%
2009115.68%$169,9543.20%$164,9664.25%$97,4513.88%$213,7775.68%3.20%6.00%1.36%
2009123.28%$156,665-0.01%$146,0850.62%$79,1911.92%$199,0273.28%-0.01%1.95%-1.68%
20101-3.50%$151,181-0.29%$145,654-1.53%$77,981-0.83%$197,383-3.50%-0.29%-3.59%1.57%
201022.22%$154,5331.08%$147,2321.90%$79,4602.28%$201,8762.22%1.08%3.09%0.20%
201035.29%$162,7061.99%$150,1603.55%$82,2824.34%$210,6445.29%1.99%6.03%-0.08%
201040.47%$163,4651.49%$152,4031.38%$83,4181.61%$214,0410.47%1.49%1.59%1.06%
20105-7.66%$150,945-2.71%$148,278-4.53%$79,636-5.43%$202,424-7.66%-2.71%-8.00%0.87%
20106-4.11%$144,7410.19%$148,563-2.41%$77,715-3.36%$195,629-4.11%0.19%-5.23%1.61%
201076.17%$153,6783.49%$153,7514.40%$81,1353.98%$203,4116.17%3.49%7.01%0.94%
20108-5.54%$145,1720.86%$155,066-2.03%$79,489-2.75%$197,821-5.54%0.86%-4.52%1.48%
201098.78%$157,9142.70%$159,2615.08%$83,5305.48%$208,6718.78%2.70%8.93%-0.01%
2010102.77%$162,2910.88%$160,6622.40%$85,5323.10%$215,1372.77%0.88%3.81%0.36%
201011-1.08%$160,537-0.92%$159,187-0.22%$85,3420.00%$215,137-1.08%-0.92%0.01%-0.57%
2010126.25%$151,4161.54%$142,4923.55%$69,2295.53%$207,8796.25%1.54%6.68%-1.15%
201113.69%$157,0040.65%$143,4111.45%$70,2351.67%$211,3593.69%0.65%2.37%0.08%
201121.91%$160,0081.88%$146,1032.14%$71,7362.81%$217,2961.91%1.88%3.42%0.16%
20113-0.41%$159,3540.14%$146,3110.02%$71,7470.05%$217,398-0.41%0.14%0.03%-0.01%
201143.60%$165,0892.58%$150,0862.33%$73,4172.54%$222,9253.60%2.58%2.96%1.32%
20115-1.50%$162,6050.84%$151,345-0.20%$73,268-0.05%$222,823-1.50%0.84%-1.14%1.30%
20116-2.73%$158,170-1.06%$149,740-1.17%$72,413-1.33%$219,855-2.73%-1.06%-1.66%-0.39%
20117-0.91%$156,7320.04%$149,807-0.62%$71,962-1.63%$216,272-0.91%0.04%-2.04%1.58%
20118-5.14%$148,675-0.27%$149,406-2.67%$70,042-4.83%$205,832-5.14%-0.27%-5.43%1.46%
20119-5.38%$140,670-1.46%$147,222-3.73%$67,432-5.22%$195,085-5.38%-1.46%-7.04%0.89%
2011108.03%$151,9684.03%$153,1596.22%$71,6258.92%$212,4858.03%4.03%10.93%0.16%
2011111.47%$154,208-0.53%$152,350-0.26%$71,4400.14%$212,7921.47%-0.53%-0.22%-0.30%
2011121.27%$136,4482.53%$136,4981.05%$52,4740.81%$194,8021.27%2.53%1.03%1.08%
201212.25%$139,5201.88%$139,0583.03%$54,0663.88%$202,3602.25%1.88%4.47%0.87%
201223.11%$143,8591.28%$140,8432.61%$55,4783.36%$209,1623.11%1.28%4.32%-0.05%
201232.07%$146,8400.46%$141,4921.81%$56,4831.99%$213,3182.07%0.46%3.29%-0.58%
201240.88%$148,1250.93%$142,8120.03%$56,498-0.62%$211,9960.88%0.93%-0.63%1.14%
20125-4.76%$141,075-1.43%$140,772-3.39%$54,584-3.43%$204,722-4.76%-1.43%-6.01%0.95%
201263.09%$145,4282.00%$143,5822.52%$55,9571.75%$208,3113.09%2.00%4.12%0.04%
201272.86%$149,5922.44%$147,0911.38%$56,7301.41%$211,2402.86%2.44%1.38%1.39%
201281.71%$152,1490.53%$147,8781.40%$57,5242.28%$216,0581.71%0.53%2.25%0.03%
201292.28%$155,6230.86%$149,1471.64%$58,4701.57%$219,4592.28%0.86%2.58%0.11%
201210-1.02%$154,0320.25%$149,513-1.12%$57,816-0.39%$218,609-1.02%0.25%-1.85%0.11%
2012111.24%$155,9440.29%$149,9400.43%$58,0651.21%$221,2541.24%0.29%0.58%0.19%
2012121.00%$137,4510.19%$130,1660.49%$38,2930.99%$203,3891.00%0.19%0.91%-0.20%
201316.22%$146,0061.45%$132,0562.83%$39,3753.78%$211,0676.22%1.45%5.18%-0.71%
201321.92%$148,8131.23%$133,6761.04%$39,7851.21%$213,6271.92%1.23%1.35%0.54%
201334.08%$154,8851.26%$135,3622.34%$40,7152.48%$218,9284.08%1.26%3.75%0.08%
201341.25%$156,8261.97%$138,0261.54%$41,3431.46%$222,1281.25%1.97%1.92%0.91%
201351.57%$159,293-0.87%$136,8300.82%$41,6841.40%$225,2361.57%-0.87%2.33%-1.71%
20136-1.40%$157,059-1.59%$134,649-1.46%$41,076-0.45%$224,230-1.40%-1.59%-1.35%-1.65%
201374.95%$164,8322.04%$137,3893.31%$42,4354.16%$233,5544.95%2.04%5.09%0.20%
20138-2.29%$161,050-1.87%$134,814-2.10%$41,543-1.88%$229,166-2.29%-1.87%-2.90%-0.64%
201394.09%$167,6391.63%$137,0132.35%$42,5212.23%$234,2854.09%1.63%3.13%0.96%
2013105.63%$177,0752.10%$139,8843.25%$43,9022.65%$240,5015.63%2.10%4.59%0.78%
2013111.33%$179,4330.79%$140,9881.87%$44,7241.63%$244,4321.33%0.79%3.04%-0.35%
2013122.63%$163,7930.81%$121,7681.46%$25,0171.87%$228,6442.63%0.81%2.53%-0.65%
20141-3.74%$157,671-0.36%$121,327-1.46%$24,653-0.94%$226,506-3.74%-0.36%-3.46%1.54%
201424.24%$164,3642.06%$123,8262.88%$25,3633.46%$234,3474.24%2.06%4.57%0.48%
201430.45%$165,1080.92%$124,9660.44%$25,4750.34%$235,1490.45%0.92%0.84%-0.15%
201442.99%$170,0461.19%$126,4490.75%$25,6660.68%$236,7532.99%1.19%0.74%0.77%
201452.23%$173,8381.21%$127,9811.82%$26,1332.03%$241,5652.23%1.21%2.34%1.05%
201462.05%$177,3970.78%$128,9751.29%$26,4701.25%$244,5942.05%0.78%2.06%0.11%
20147-2.76%$172,504-1.00%$127,681-0.94%$26,221-1.31%$241,386-2.76%-1.00%-1.38%-0.26%
201483.70%$178,8781.99%$130,2192.86%$26,9722.69%$247,8913.70%1.99%4.00%1.13%
20149-1.37%$176,422-1.25%$128,590-1.14%$26,665-1.22%$244,862-1.37%-1.25%-1.40%-0.72%
2014103.43%$182,4681.17%$130,0941.85%$27,1592.80%$251,7233.43%1.17%2.43%0.94%
2014112.44%$186,9131.31%$131,7991.90%$27,6762.05%$256,8912.44%1.31%2.69%0.65%
2014120.33%$167,021-0.16%$111,076-0.12%$7,129-0.09%$236,1490.33%-0.16%-0.26%0.09%
20151-3.37%$161,3980.55%$111,684-0.88%$7,066-0.69%$234,522-3.37%0.55%-3.00%2.31%
201524.04%$167,9240.82%$112,5972.93%$7,2733.85%$243,5604.04%0.82%5.74%-1.08%
20153-1.31%$165,720-0.10%$112,484-0.79%$7,2150.07%$243,740-1.31%-0.10%-1.59%0.41%
20154-0.47%$164,9390.51%$113,0520.43%$7,246-0.33%$242,927-0.47%0.51%0.95%-0.36%
201551.47%$167,366-0.12%$112,9210.59%$7,2891.93%$247,6271.47%-0.12%1.28%-0.45%
20156-1.39%$165,041-2.06%$110,593-1.56%$7,175-1.09%$244,915-1.39%-2.06%-1.92%-1.01%
201572.50%$169,1651.23%$111,9581.56%$7,2872.44%$250,8802.50%1.23%2.09%0.76%
20158-4.43%$161,674-2.16%$109,536-3.80%$7,010-3.60%$241,843-4.43%-2.16%-6.04%-0.36%
20159-1.96%$158,5110.11%$109,659-1.16%$6,929-1.53%$238,137-1.96%0.11%-2.48%0.76%
2015106.86%$169,3903.40%$113,3874.93%$7,2715.65%$251,6036.86%3.40%8.43%0.01%
2015110.31%$169,9100.00%$113,3870.08%$7,2760.29%$252,3260.31%0.00%0.30%-0.27%
201512-2.24%$145,436-0.79%$91,832-1.11%$0.00-1.34%$228,283-2.24%-0.79%-1.58%-0.38%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3T. Rowe Price Capital Appreciation
Large-cap Value14.91%21.45%26.62%20.39%
Large-cap Growth50.93%9.47%33.33%26.64%
Mid-cap Value14.34%0.00%0.88%9.95%
Mid-cap Growth0.00%0.00%0.00%14.21%
Small-cap Value4.86%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets0.00%4.39%0.00%0.00%
Emerging Markets0.00%0.00%0.73%0.00%
Corporate Bonds0.00%20.07%4.75%14.52%
Long-Term Treasuries0.00%6.55%0.38%0.00%
Intermediate-Term Treasuries0.00%10.14%13.52%0.00%
Short-Term Treasuries14.96%27.94%19.80%14.29%
R Squared92.90%92.81%99.67%94.60%
Style analysis is based on monthly returns from April 2005 to December 2015 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$220,247100.00%

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$166,642100.00%

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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VFIAXVanguard 500 Index AdmiralLarge Blend60.00%1.20%1.24%0.04%0.04%25.16$26,51598.94%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond40.00%1.47%1.79%0.15%0.15%6.84$34,8291.06%
100.00%1.31%1.46%0.08%0.08%25.166.84$61,344100.00%

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 2Portfolio 3T. Rowe Price Capital Appreciation
Arithmetic Mean (monthly)0.77%0.57%0.47%0.81%
Arithmetic Mean (annualized)9.66%7.00%5.80%10.12%
Geometric Mean (monthly)0.70%0.55%0.44%0.76%
Geometric Mean (annualized)8.77%6.82%5.40%9.48%
Standard Deviation (monthly)3.69%1.68%2.50%3.11%
Standard Deviation (annualized)12.78%5.81%8.67%10.79%
Downside Deviation (monthly)2.40%1.04%1.69%2.09%
Max. Drawdown-35.61%-18.82%-30.74%-36.61%
US Market Correlation0.940.740.980.91
Beta(*)1.040.430.731.00
Alpha (annualized)-0.84%2.57%-1.38%-0.00%
R277.51%65.13%81.61%100.00%
Sharpe Ratio0.610.910.480.76
Sortino Ratio0.921.420.691.11
Treynor Ratio (%)7.4712.225.768.21
Calmar Ratio2.401.971.972.59
Active Return-0.71%-2.66%-4.08%N/A
Tracking Error6.08%7.00%4.75%N/A
Information Ratio-0.12-0.38-0.86N/A
Skewness-0.53-0.77-0.71-1.26
Excess Kurtosis2.233.261.596.37
Historical Value-at-Risk (5%)-5.30%-2.16%-4.02%-4.66%
Analytical Value-at-Risk (5%)-5.30%-2.20%-3.79%-4.32%
Conditional Value-at-Risk (5%)-7.93%-3.84%-5.71%-7.29%
Upside Capture Ratio (%)108.6750.1070.59100.00
Downside Capture Ratio (%)118.0933.8884.00100.00
Safe Withdrawal Rate9.57%9.16%7.38%10.76%
Perpetual Withdrawal Rate6.16%4.45%3.16%6.77%
Positive Periods117 out of 180 (65.00%)127 out of 180 (70.56%)114 out of 180 (63.33%)117 out of 180 (65.00%)
Gain/Loss Ratio0.931.020.941.06
* 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 2Portfolio 3T. Rowe Price Capital Appreciation
Subprime CrisisNov 2007Mar 2009-35.61%-18.82%-30.74%-36.49%

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%
3May 2011Sep 20115 monthsMar 20126 months11 months-14.79%
4May 2010Jun 20102 monthsDec 20106 months8 months-11.45%
5Aug 2001Sep 20012 monthsNov 20012 months4 months-6.85%
6Aug 2015Sep 20152 monthsOct 20151 month3 months-6.30%
7Feb 2001Mar 20012 monthsApr 20011 month3 months-5.41%
8May 2012May 20121 monthJul 20122 months3 months-4.76%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-4.66%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.74%
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%
2Jun 2002Sep 20024 monthsDec 20023 months7 months-4.78%
3Jul 2003Jul 20031 monthDec 20035 months6 months-3.38%
4May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
5Jun 2011Sep 20114 monthsOct 20111 month5 months-2.72%
6May 2010May 20101 monthJul 20102 months3 months-2.71%
7Apr 2004May 20042 monthsAug 20043 months5 months-2.50%
8May 2013Jun 20132 monthsOct 20134 months6 months-2.45%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-1.91%
10Sep 2005Oct 20052 monthsJan 20063 months5 months-1.59%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-30.74%
2Feb 2001Sep 20021 year 8 monthsDec 20031 year 3 months2 years 11 months-19.75%
3May 2011Sep 20115 monthsJan 20124 months9 months-8.15%
4Jun 2015Sep 20154 months-4.94%
5May 2012May 20121 monthJul 20122 months3 months-3.39%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-2.72%
7Mar 2004Apr 20042 monthsOct 20046 months8 months-2.57%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.10%
9Jan 2005Apr 20054 monthsMay 20051 month5 months-2.05%
10May 2006May 20061 monthAug 20063 months4 months-1.81%
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%
2May 2011Sep 20115 monthsFeb 20125 months10 months-12.49%
3Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-12.11%
4May 2010Jun 20102 monthsOct 20104 months6 months-8.60%
5Jun 2001Sep 20014 monthsFeb 20025 months9 months-6.05%
6Aug 2015Sep 20152 monthsOct 20151 month3 months-5.08%
7Apr 2012May 20122 monthsAug 20123 months5 months-4.03%
8Mar 2005Apr 20052 monthsJun 20052 months4 months-2.90%
9Aug 2013Aug 20131 monthSep 20131 month2 months-1.88%
10May 2006Jun 20062 monthsAug 20062 months4 months-1.85%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PRBLXParnassus Core Equity Investor8.77%12.78%33.98%-22.96%-35.61%0.610.920.94
VWINXVanguard Wellesley Income Inv6.82%5.81%16.02%-9.84%-18.82%0.911.420.74
VFIAXVanguard 500 Index Admiral4.98%15.01%32.33%-36.97%-50.92%0.300.421.00
VBMFXVanguard Total Bond Market Index Inv4.71%3.51%8.43%-2.26%-3.99%0.911.53-0.11

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Parnassus Core Equity Investor4.79%-0.55%-0.55%15.12%12.68%9.89%0.84%0.84%
Vanguard Wellesley Income Inv2.58%1.28%1.28%6.12%7.59%6.97%0.22%0.22%
Vanguard 500 Index Admiral7.04%1.36%1.36%15.09%12.53%7.30%0.04%0.04%
Vanguard Total Bond Market Index Inv-0.63%0.30%0.30%1.21%3.02%4.36%0.15%0.15%
Trailing returns as of last calendar month ending December 2015

Monthly Correlations

Correlations for the portfolio assets
TickerNamePRBLXVWINXVFIAXVBMFXPortfolio 1Portfolio 2Portfolio 3T. Rowe Price Capital Appreciation
PRBLXParnassus Core Equity Investor1.000.750.94-0.071.000.750.920.88
VWINXVanguard Wellesley Income Inv0.751.000.750.450.751.000.830.81
VFIAXVanguard 500 Index Admiral0.940.751.00-0.100.940.750.980.90
VBMFXVanguard Total Bond Market Index Inv-0.070.45-0.101.00-0.070.450.070.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PRBLXParnassus Core Equity Investor$220,247
VWINXVanguard Wellesley Income Inv$166,642
VFIAXVanguard 500 Index Admiral$26,515
VBMFXVanguard Total Bond Market Index Inv$34,829
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 2Portfolio 3
PRBLXParnassus Core Equity Investor100.00%
VWINXVanguard Wellesley Income Inv100.00%
VFIAXVanguard 500 Index Admiral98.94%
VBMFXVanguard Total Bond Market Index Inv1.06%
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 2Portfolio 3T. Rowe Price Capital Appreciation
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year9.91%50.15%-30.12%7.17%28.99%-16.51%6.54%33.94%-25.74%10.35%50.25%-31.84%
3 years9.59%22.74%-6.20%7.26%17.01%-1.88%6.78%17.98%-6.43%9.90%23.25%-8.68%
5 years8.84%21.42%-1.39%7.10%13.66%0.97%6.31%15.72%-1.80%8.97%20.20%-1.36%
7 years7.88%15.11%1.10%6.62%9.99%2.65%5.47%11.12%0.24%7.80%15.43%2.34%
10 years8.74%10.57%6.18%7.07%7.78%6.14%6.24%7.57%3.55%8.85%10.38%7.37%