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 2009 - Nov 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWINX Vanguard Wellesley Income Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFICX Vanguard Interm-Term Invmt-Grade Inv 59.00%
CASHX Cash 2.00%
VIGRX Vanguard Growth Index Investor 39.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VFICX Vanguard Interm-Term Invmt-Grade Inv 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$28,772 8.53% 6.08%16.39%-2.57%-9.35% 1.302.250.85
Portfolio 2$10,000$38,189 10.93% 7.09%24.62%-1.65%-7.87% 1.432.770.90
Portfolio 3$10,000$42,577 11.87% 9.53%24.31%-3.38%-13.40% 1.181.990.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.26%5.33%11.22%8.95%7.24%7.97%8.58%7.67%6.34%
Portfolio 20.60%5.30%11.51%13.11%11.04%10.14%10.80%9.79%7.99%
Portfolio 3-0.03%8.72%19.00%12.43%11.69%11.68%11.77%12.59%10.10%
Trailing return and volatility are as of last full calendar quarter ending September 2021
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to November
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income Inv (VWINX)Vanguard Interm-Term Invmt-Grade Inv (VFICX)Cash (CASHX)Vanguard Growth Index Investor (VIGRX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
ReturnBalanceReturnBalanceReturnBalance
20092.72%16.02%$11,60224.62%$12,46224.31%$12,43116.02%17.73%0.16%36.29%28.70%
20101.50%10.65%$12,83812.79%$14,05614.44%$14,22610.65%10.47%0.14%16.96%17.09%
20112.96%9.63%$14,0745.10%$14,7733.58%$14,7369.63%7.52%0.07%1.71%0.96%
20121.74%10.06%$15,48911.98%$16,54313.41%$16,71210.06%9.14%0.08%16.89%16.25%
20131.50%9.19%$16,91211.74%$18,48419.46%$19,9659.19%-1.37%0.05%32.16%33.35%
20140.76%8.07%$18,2768.68%$20,0889.78%$21,9178.07%5.81%0.03%13.47%12.43%
20150.73%1.28%$18,5092.14%$20,5180.79%$22,0901.28%1.53%0.05%3.17%0.29%
20162.07%8.08%$20,0054.60%$21,4639.05%$24,0898.08%3.83%0.30%5.99%12.53%
20172.11%10.20%$22,04513.25%$24,30714.29%$27,53210.20%4.15%0.88%27.65%21.05%
20181.91%-2.57%$21,478-1.65%$23,906-3.38%$26,601-2.57%-0.57%1.90%-3.46%-5.26%
20192.29%16.39%$24,99920.63%$28,83722.54%$32,59716.39%10.38%2.13%37.08%30.65%
20201.36%8.45%$27,11221.69%$35,09316.64%$38,0238.45%10.31%0.44%40.01%20.87%
20216.19%6.12%$28,7728.82%$38,18911.98%$42,5776.12%-1.53%0.04%24.92%20.98%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income Inv (VWINX)Vanguard Interm-Term Invmt-Grade Inv (VFICX)Cash (CASHX)Vanguard Growth Index Investor (VIGRX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
ReturnBalanceReturnBalanceReturnBalance
20091-4.62%$9,538-1.58%$9,842-4.81%$9,519-4.62%0.35%0.01%-4.58%-8.26%
20092-4.96%$9,065-3.70%$9,477-6.70%$8,881-4.96%-1.55%0.02%-7.33%-10.45%
200932.94%$9,3313.64%$9,8225.25%$9,3472.94%1.00%0.02%8.30%8.65%
200943.54%$9,6624.97%$10,3107.13%$10,0143.54%2.46%0.02%9.19%10.61%
200954.39%$10,0863.69%$10,6904.55%$10,4694.39%3.36%0.01%4.35%5.38%
200961.25%$10,2121.82%$10,8851.07%$10,5811.25%2.13%0.01%1.44%0.34%
200975.68%$10,7925.08%$11,4376.21%$11,2395.68%3.88%0.02%7.08%7.82%
200982.32%$11,0431.86%$11,6502.91%$11,5662.32%1.84%0.02%1.97%3.63%
200991.87%$11,2492.81%$11,9783.23%$11,9391.87%1.69%0.01%4.53%4.23%
200910-0.05%$11,2430.04%$11,982-1.16%$11,801-0.05%1.06%0.01%-1.38%-2.57%
2009113.20%$11,6043.37%$12,3864.08%$12,2823.20%1.73%0.00%5.83%5.63%
200912-0.01%$11,6020.61%$12,4621.21%$12,431-0.01%-1.38%0.01%3.37%2.86%
20101-0.29%$11,568-0.38%$12,414-1.15%$12,288-0.29%2.37%0.01%-4.58%-3.50%
201021.08%$11,6941.64%$12,6172.13%$12,5501.08%0.38%0.01%3.76%3.36%
201031.99%$11,9262.60%$12,9453.96%$13,0461.99%0.59%0.01%5.90%6.27%
201041.49%$12,1041.62%$13,1552.00%$13,3071.49%1.73%0.01%1.54%2.17%
20105-2.71%$11,777-3.37%$12,712-4.93%$12,651-2.71%-0.19%0.01%-8.27%-8.00%
201060.19%$11,799-0.90%$12,598-2.49%$12,3350.19%2.02%0.01%-5.70%-5.66%
201073.49%$12,2113.89%$13,0884.84%$12,9323.49%2.00%0.02%7.43%6.99%
201080.86%$12,316-0.53%$13,019-1.93%$12,6830.86%1.97%0.01%-4.72%-4.75%
201092.70%$12,6494.33%$13,5835.71%$13,4072.70%0.86%0.01%10.76%9.47%
2010100.88%$12,7602.38%$13,9072.62%$13,7590.88%0.77%0.01%5.13%3.94%
201011-0.92%$12,643-0.23%$13,875-0.06%$13,750-0.92%-0.98%0.01%0.94%0.58%
2010121.54%$12,8381.30%$14,0563.46%$14,2261.54%-1.45%0.01%5.57%6.81%
201110.65%$12,9211.13%$14,2151.59%$14,4520.65%0.68%0.01%1.87%2.19%
201121.88%$13,1631.28%$14,3962.31%$14,7851.88%0.34%0.01%2.73%3.60%
201130.14%$13,1820.07%$14,4060.24%$14,8220.14%-0.08%0.01%0.29%0.45%
201142.58%$13,5222.32%$14,7412.57%$15,2022.58%1.90%0.01%3.05%2.99%
201150.84%$13,6350.46%$14,808-0.22%$15,1680.84%1.28%0.00%-0.70%-1.16%
20116-1.06%$13,491-1.04%$14,654-1.42%$14,953-1.06%-0.84%0.01%-1.39%-1.79%
201170.04%$13,4971.06%$14,809-0.49%$14,8800.04%2.28%0.00%-0.69%-2.28%
20118-0.27%$13,461-2.04%$14,507-3.47%$14,364-0.27%0.26%0.01%-5.62%-5.99%
20119-1.46%$13,264-3.06%$14,063-4.64%$13,697-1.46%-0.35%0.00%-7.60%-7.75%
2011104.03%$13,7995.12%$14,7837.10%$14,6694.03%1.45%0.00%11.79%11.51%
201111-0.53%$13,726-0.98%$14,638-0.80%$14,551-0.53%-1.53%0.00%-0.16%-0.29%
2011122.53%$14,0740.92%$14,7731.27%$14,7362.53%1.95%0.00%-0.64%0.80%
201211.88%$14,3383.77%$15,3293.95%$15,3181.88%2.25%0.00%6.26%5.08%
201221.28%$14,5222.30%$15,6822.82%$15,7501.28%0.60%0.01%4.88%4.26%
201230.46%$14,5891.13%$15,8591.71%$16,0200.46%-0.45%0.01%3.38%3.07%
201240.93%$14,7250.55%$15,9470.05%$16,0270.93%1.21%0.01%-0.30%-0.65%
20125-1.43%$14,514-2.36%$15,570-3.66%$15,440-1.43%0.51%0.01%-6.40%-6.24%
201262.00%$14,8041.46%$15,7982.55%$15,8342.00%0.49%0.01%2.95%3.91%
201272.44%$15,1661.71%$16,0681.43%$16,0612.44%2.06%0.01%1.29%1.03%
201280.53%$15,2471.56%$16,3191.66%$16,3280.53%0.38%0.01%3.33%2.48%
201290.86%$15,3781.32%$16,5331.91%$16,6390.86%0.85%0.01%2.03%2.58%
2012100.25%$15,416-0.84%$16,395-0.80%$16,5070.25%0.75%0.01%-3.09%-1.76%
2012110.29%$15,4600.89%$16,5400.52%$16,5920.29%0.17%0.01%1.97%0.74%
2012120.19%$15,4890.01%$16,5430.72%$16,7120.19%-0.03%0.01%0.07%1.19%
201311.45%$15,7141.40%$16,7743.10%$17,2291.45%-0.51%0.00%4.37%5.50%
201321.23%$15,9070.82%$16,9121.07%$17,4131.23%0.73%0.01%0.99%1.28%
201331.26%$16,1071.53%$17,1712.43%$17,8371.26%0.12%0.01%3.64%3.88%
201341.97%$16,4241.33%$17,4001.53%$18,1091.97%1.23%0.01%1.53%1.70%
20135-0.87%$16,282-0.38%$17,3330.75%$18,244-0.87%-1.88%0.00%1.68%2.32%
20136-1.59%$16,022-2.31%$16,933-1.77%$17,921-1.59%-2.63%0.00%-1.99%-1.27%
201372.04%$16,3492.67%$17,3853.78%$18,5992.04%0.78%0.00%5.31%5.49%
20138-1.87%$16,042-1.26%$17,166-2.16%$18,197-1.87%-0.95%0.00%-1.72%-2.82%
201391.63%$16,3042.76%$17,6402.82%$18,7101.63%1.30%0.00%4.76%3.66%
2013102.10%$16,6452.46%$18,0733.13%$19,2952.10%1.09%0.00%4.25%4.22%
2013110.79%$16,7771.04%$18,2611.88%$19,6580.79%-0.04%0.00%2.38%2.88%
2013120.81%$16,9121.22%$18,4841.56%$19,9650.81%-0.54%0.01%3.34%2.63%
20141-0.36%$16,851-0.14%$18,458-1.17%$19,731-0.36%1.73%0.01%-2.99%-3.11%
201422.06%$17,1982.49%$18,9183.06%$20,3332.06%0.66%0.00%5.53%4.73%
201430.92%$17,356-0.65%$18,7960.29%$20,3920.92%-0.05%0.00%-1.58%0.51%
201441.19%$17,5620.55%$18,9000.39%$20,4711.19%0.88%0.00%0.08%0.06%
201451.21%$17,7752.06%$19,2891.77%$20,8341.21%1.18%0.00%3.53%2.17%
201460.78%$17,9130.97%$19,4771.54%$21,1560.78%0.05%0.00%2.42%2.54%
20147-1.00%$17,733-0.74%$19,334-1.26%$20,890-1.00%-0.14%0.00%-1.65%-1.98%
201481.99%$18,0862.48%$19,8132.94%$21,5041.99%1.07%0.00%4.71%4.18%
20149-1.25%$17,860-1.32%$19,551-1.67%$21,145-1.25%-0.95%0.00%-1.91%-2.14%
2014101.17%$18,0691.72%$19,8872.00%$21,5681.17%0.87%0.00%3.04%2.74%
2014111.31%$18,3051.57%$20,2001.72%$21,9391.31%0.65%0.00%2.97%2.41%
201412-0.16%$18,276-0.55%$20,088-0.10%$21,917-0.16%-0.25%0.00%-0.99%-0.01%
201510.55%$18,3760.95%$20,279-0.63%$21,7800.55%2.60%0.00%-1.49%-2.77%
201520.82%$18,5261.93%$20,6713.06%$22,4480.82%-0.77%0.00%6.29%5.76%
20153-0.10%$18,508-0.23%$20,623-0.45%$22,347-0.10%0.45%0.00%-1.25%-1.04%
201540.51%$18,601-0.06%$20,6100.23%$22,3980.51%-0.06%0.00%-0.07%0.42%
20155-0.12%$18,5800.36%$20,6840.69%$22,554-0.12%-0.35%0.00%1.45%1.39%
20156-2.06%$18,197-1.32%$20,411-1.50%$22,216-2.06%-1.17%0.00%-1.60%-1.71%
201571.23%$18,4211.59%$20,7351.21%$22,4841.23%0.56%0.00%3.17%1.63%
20158-2.16%$18,023-2.78%$20,159-3.83%$21,624-2.16%-0.45%0.01%-6.26%-6.03%
201590.11%$18,043-0.53%$20,053-1.33%$21,3360.11%0.98%0.01%-2.86%-2.93%
2015103.40%$18,6563.60%$20,7744.72%$22,3423.40%0.37%0.00%8.93%7.84%
2015110.00%$18,6560.03%$20,7800.30%$22,4100.00%-0.05%0.01%0.14%0.54%
201512-0.79%$18,509-1.26%$20,518-1.43%$22,090-0.79%-0.52%0.02%-2.40%-2.03%
20161-0.20%$18,472-1.68%$20,174-2.97%$21,433-0.20%1.08%0.01%-5.93%-5.67%
201620.45%$18,5550.22%$20,2190.24%$21,4860.45%0.64%0.03%-0.45%-0.04%
201633.52%$19,2073.72%$20,9724.82%$22,5223.52%1.78%0.03%7.11%7.01%
201640.91%$19,3820.15%$21,0030.67%$22,6740.91%0.74%0.02%-0.77%0.63%
201650.59%$19,4960.83%$21,1781.00%$22,9010.59%-0.16%0.02%2.45%1.79%
201662.18%$19,9210.84%$21,3570.88%$23,1022.18%1.85%0.03%-0.67%0.23%
201671.38%$20,1962.32%$21,8532.69%$23,7221.38%0.84%0.02%4.78%3.95%
201680.00%$20,196-0.17%$21,8160.13%$23,7540.00%-0.06%0.02%-0.35%0.26%
20169-0.32%$20,1320.33%$21,8880.14%$23,787-0.32%0.12%0.03%0.66%0.15%
201610-1.22%$19,886-1.37%$21,588-1.56%$23,416-1.22%-0.57%0.02%-2.66%-2.21%
201611-0.74%$19,739-1.08%$21,3541.62%$23,795-0.74%-2.58%0.03%1.19%4.44%
2016121.35%$20,0050.51%$21,4631.24%$24,0891.35%0.15%0.04%1.07%1.92%
201710.27%$20,0601.68%$21,8221.32%$24,4070.27%0.43%0.04%3.65%1.91%
201721.96%$20,4532.21%$22,3052.57%$25,0341.96%0.83%0.04%4.34%3.71%
20173-0.04%$20,4450.55%$22,4290.06%$25,048-0.04%0.04%0.04%1.30%0.07%
201740.70%$20,5871.49%$22,7631.01%$25,3020.70%0.96%0.06%2.30%1.05%
201751.15%$20,8241.59%$23,1240.91%$25,5311.15%0.75%0.07%2.81%1.01%
201760.41%$20,911-0.30%$23,0550.50%$25,6580.41%-0.17%0.08%-0.48%0.92%
201770.88%$21,0941.53%$23,4081.47%$26,0360.88%0.85%0.08%2.52%1.87%
201780.53%$21,2050.92%$23,6230.37%$26,1330.53%0.74%0.09%1.19%0.15%
201790.84%$21,3840.16%$23,6611.32%$26,4770.84%-0.50%0.08%1.04%2.45%
2017100.90%$21,5761.34%$23,9781.43%$26,8540.90%0.22%0.09%2.85%2.16%
2017111.08%$21,8090.87%$24,1871.76%$27,3281.08%-0.38%0.09%2.50%3.04%
2017121.08%$22,0450.50%$24,3070.75%$27,5321.08%0.32%0.10%0.73%0.99%
201810.56%$22,1681.97%$24,7862.71%$28,2780.56%-1.19%0.11%6.85%5.31%
20182-2.73%$21,563-1.71%$24,362-2.64%$27,532-2.73%-0.92%0.12%-2.91%-3.72%
20183-0.27%$21,504-0.86%$24,153-1.11%$27,226-0.27%0.26%0.14%-2.51%-1.99%
20184-0.50%$21,397-0.35%$24,067-0.09%$27,202-0.50%-0.80%0.14%0.27%0.38%
201850.65%$21,5372.08%$24,5681.92%$27,7240.65%0.58%0.15%4.36%2.79%
201860.16%$21,5710.39%$24,6630.35%$27,8210.16%-0.17%0.16%1.18%0.68%
201872.04%$22,0111.24%$24,9702.19%$28,4312.04%0.38%0.16%2.49%3.34%
201880.57%$22,1352.35%$25,5572.40%$29,1120.57%0.70%0.17%4.69%3.44%
20189-0.23%$22,085-0.08%$25,536-0.08%$29,089-0.23%-0.48%0.17%0.43%0.16%
201810-2.27%$21,584-4.18%$24,469-4.86%$27,676-2.27%-0.57%0.18%-9.03%-7.40%
2018111.63%$21,9350.37%$24,5601.33%$28,0451.63%0.18%0.19%0.65%2.06%
201812-2.08%$21,478-2.66%$23,906-5.15%$26,601-2.08%1.49%0.19%-8.62%-9.29%
201913.23%$22,1734.62%$25,0105.82%$28,1493.23%1.67%0.20%9.31%8.59%
201921.51%$22,5071.63%$25,4182.25%$28,7831.51%0.26%0.20%3.64%3.50%
201931.88%$22,9292.42%$26,0341.63%$29,2541.88%1.96%0.20%3.15%1.44%
201941.08%$23,1772.18%$26,6032.62%$30,0191.08%0.38%0.20%4.71%3.98%
20195-0.65%$23,026-1.88%$26,103-3.50%$28,967-0.65%1.51%0.20%-6.34%-6.45%
201963.14%$23,7513.74%$27,0804.92%$30,3913.14%1.69%0.19%6.78%6.97%
201970.49%$23,8661.04%$27,3630.96%$30,6820.49%0.16%0.17%2.26%1.44%
201981.68%$24,2681.05%$27,650-0.42%$30,5531.68%2.27%0.17%-0.50%-2.03%
201990.59%$24,412-0.21%$27,5920.84%$30,8090.59%-0.55%0.16%0.22%1.70%
2019100.63%$24,5641.36%$27,9661.51%$31,2740.63%0.54%0.15%2.49%2.10%
2019110.62%$24,7171.66%$28,4302.33%$32,0030.62%-0.06%0.13%3.98%3.77%
2019121.14%$24,9991.43%$28,8371.86%$32,5971.14%0.14%0.13%3.10%2.85%
202011.28%$25,3192.40%$29,5280.76%$32,8461.28%2.02%0.13%3.08%-0.08%
20202-2.46%$24,697-1.73%$29,016-4.31%$31,432-2.46%1.38%0.13%-6.49%-8.18%
20203-6.28%$23,145-6.24%$27,205-9.50%$28,446-6.28%-3.81%0.10%-10.53%-13.78%
202045.70%$24,4647.54%$29,2578.79%$30,9465.70%3.47%0.01%15.10%13.25%
202052.11%$24,9803.91%$30,4023.95%$32,1692.11%2.09%0.01%6.97%5.38%
202060.47%$25,0982.79%$31,2511.97%$32,8030.47%1.56%0.01%4.77%2.28%
202072.81%$25,8044.11%$32,5354.02%$34,1232.81%1.83%0.01%7.61%5.64%
202080.22%$25,8604.03%$33,8484.08%$35,5160.22%-0.27%0.01%10.12%7.18%
20209-0.70%$25,678-2.10%$33,137-2.19%$34,739-0.70%-0.09%0.01%-4.68%-3.57%
202010-1.27%$25,351-1.50%$32,640-1.36%$34,267-1.27%-0.19%0.01%-3.27%-2.16%
2020115.72%$26,8005.21%$34,3427.76%$36,9275.72%1.42%0.01%10.53%12.19%
2020121.16%$27,1122.19%$35,0932.97%$38,0231.16%0.62%0.01%4.21%4.45%
20211-1.27%$26,768-0.71%$34,844-0.44%$37,857-1.27%-0.59%0.01%-0.93%-0.34%
202120.64%$26,940-0.56%$34,6501.33%$38,3620.64%-1.45%0.01%0.77%3.19%
202131.69%$27,396-0.26%$34,5611.52%$38,9461.69%-1.54%0.00%1.64%3.47%
202142.00%$27,9453.47%$35,7613.65%$40,3672.00%1.19%0.00%6.93%5.14%
202151.41%$28,340-0.23%$35,6800.52%$40,5771.41%0.68%0.00%-1.47%0.43%
202160.51%$28,4852.95%$36,7321.92%$41,3540.51%0.87%0.00%5.98%2.53%
202171.29%$28,8532.09%$37,4981.54%$41,9931.29%1.26%0.00%3.27%1.71%
202180.94%$29,1241.38%$38,0161.71%$42,7100.94%-0.30%0.01%3.62%2.86%
20219-1.94%$28,558-2.80%$36,952-3.21%$41,341-1.94%-0.89%0.00%-5.30%-4.49%
2021101.94%$29,1143.19%$38,1304.04%$43,0111.94%-0.60%0.00%8.28%6.71%
202111-1.17%$28,7720.15%$38,189-1.01%$42,577-1.17%-0.11%0.00%0.48%-1.49%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value23.51%0.00%17.08%
Large-cap Growth5.92%35.75%29.71%
Mid-cap Value0.00%0.00%4.73%
Mid-cap Growth0.00%4.21%5.23%
Small-cap Value0.00%0.00%0.32%
Small-cap Growth0.00%0.00%1.80%
Global ex-US Developed Markets3.01%0.00%0.86%
Emerging Markets0.00%2.27%1.47%
Corporate Bonds35.68%30.83%21.99%
Long-Term Treasuries4.29%0.00%0.00%
Intermediate-Term Treasuries6.26%6.12%1.97%
Short-Term Treasuries21.33%20.83%14.85%
R Squared94.78%96.98%99.44%
Style analysis is based on monthly returns from January 2009 to November 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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VWINXVanguard Wellesley Income Inv30% to 50% Equity100.00%1.91%2.38%0.22%0.22%21.407.88$18,772100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond59.00%2.02%2.20%0.20%0.20%16.866.46$7,72620.17%
CASHXCashCash2.00%0.05%0.00$28.82-0.00%
VIGRXVanguard Growth Index InvestorLarge Growth39.00%0.27%0.37%0.17%0.17%36.72$20,43479.84%
100.00%1.30%1.44%0.19%0.19%24.776.25$28,189100.00%

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
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend60.00%1.05%1.12%0.14%0.14%23.81$26,98392.89%
VFICXVanguard Interm-Term Invmt-Grade InvCorporate Bond40.00%2.02%2.20%0.20%0.20%16.866.46$5,5947.11%
100.00%1.44%1.55%0.16%0.16%21.036.46$32,577100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.70%0.89%0.98%
Arithmetic Mean (annualized)8.72%11.20%12.37%
Geometric Mean (monthly)0.68%0.87%0.94%
Geometric Mean (annualized)8.53%10.93%11.87%
Standard Deviation (monthly)1.76%2.05%2.75%
Standard Deviation (annualized)6.08%7.09%9.53%
Downside Deviation (monthly)0.99%1.04%1.61%
Max. Drawdown-9.35%-7.87%-13.40%
US Market Correlation0.850.900.99
Beta(*)0.340.420.62
Alpha (annualized)2.99%3.97%1.88%
R272.10%81.77%97.47%
Sharpe Ratio1.301.431.18
Sortino Ratio2.252.771.99
Treynor Ratio (%)23.1223.9918.03
Calmar Ratio1.102.011.11
Active Return-7.15%-4.74%-3.80%
Tracking Error10.44%9.20%5.89%
Information Ratio-0.68-0.52-0.65
Skewness-0.40-0.12-0.41
Excess Kurtosis2.500.881.48
Historical Value-at-Risk (5%)-2.11%-2.45%-3.97%
Analytical Value-at-Risk (5%)-2.19%-2.46%-3.58%
Conditional Value-at-Risk (5%)-3.52%-3.60%-5.61%
Upside Capture Ratio (%)38.3248.6164.14
Downside Capture Ratio (%)27.7633.4158.66
Safe Withdrawal Rate13.08%14.38%15.23%
Perpetual Withdrawal Rate6.31%8.50%9.32%
Positive Periods110 out of 155 (70.97%)106 out of 155 (68.39%)110 out of 155 (70.97%)
Gain/Loss Ratio1.131.411.03
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
COVID-19 StartJan 2020Mar 2020-8.59%-7.87%-13.40%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsMay 20093 months5 months-9.35%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-8.59%
3Feb 2018Apr 20183 monthsJan 20199 months1 year-3.48%
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%
7May 2013Jun 20132 monthsOct 20134 months6 months-2.45%
8Sep 2016Nov 20163 monthsFeb 20173 months6 months-2.26%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-1.97%
10Sep 2021Sep 20211 month-1.94%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-7.87%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.46%
3Jan 2009Feb 20092 monthsApr 20092 months4 months-5.23%
4Aug 2011Sep 20112 monthsJan 20124 months6 months-5.03%
5May 2010Jun 20102 monthsSep 20103 months5 months-4.23%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.57%
7Aug 2015Sep 20152 monthsOct 20151 month3 months-3.29%
8Dec 2015Jan 20162 monthsMar 20162 months4 months-2.92%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-2.90%
10Sep 2021Sep 20211 monthOct 20211 month2 months-2.80%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-13.40%
2Jan 2009Feb 20092 monthsApr 20092 months4 months-11.19%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.90%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-8.63%
5May 2010Jun 20102 monthsSep 20103 months5 months-7.30%
6Jun 2015Sep 20154 monthsApr 20167 months11 months-5.40%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.81%
8May 2012May 20121 monthJul 20122 months3 months-3.66%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-3.51%
10May 2019May 20191 monthJun 20191 month2 months-3.50%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWINXVanguard Wellesley Income Inv8.53%6.08%16.39%-2.57%-9.35%1.302.250.85
VFICXVanguard Interm-Term Invmt-Grade Inv5.85%4.08%17.73%-1.53%-4.62%1.302.440.27
CASHXCash0.48%0.21%2.13%0.03%0.00%N/AN/A-0.10
VIGRXVanguard Growth Index Investor18.73%15.24%40.01%-3.46%-16.34%1.182.110.96
VTSMXVanguard Total Stock Mkt Idx Inv15.67%15.09%33.35%-5.26%-20.89%1.011.651.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
Vanguard Wellesley Income Inv0.26%5.33%11.22%8.95%7.24%7.97%0.22%0.22%
Vanguard Interm-Term Invmt-Grade Inv0.06%-0.82%1.03%6.87%3.94%4.34%0.20%0.20%
Cash0.01%0.03%0.06%1.05%1.09%0.59%
Vanguard Growth Index Investor1.35%14.82%27.93%22.62%22.01%19.16%0.17%0.17%
Vanguard Total Stock Mkt Idx Inv-0.08%15.09%31.95%15.93%16.75%16.47%0.14%0.14%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWINXVFICXCASHXVIGRXVTSMXPortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv1.000.63-0.070.800.851.000.880.90
VFICXVanguard Interm-Term Invmt-Grade Inv0.631.00-0.010.310.270.630.590.42
CASHXCash-0.07-0.011.00-0.07-0.10-0.07-0.07-0.09
VIGRXVanguard Growth Index Investor0.800.31-0.071.000.960.800.950.96
VTSMXVanguard Total Stock Mkt Idx Inv0.850.27-0.100.961.000.850.900.99

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv$18,772
VFICXVanguard Interm-Term Invmt-Grade Inv$7,726$5,594
CASHXCash$28.82
VIGRXVanguard Growth Index Investor$20,434
VTSMXVanguard Total Stock Mkt Idx Inv$26,983

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWINXVanguard Wellesley Income Inv100.00%
VFICXVanguard Interm-Term Invmt-Grade Inv20.17%7.11%
CASHXCash-0.00%
VIGRXVanguard Growth Index Investor79.84%
VTSMXVanguard Total Stock Mkt Idx Inv92.89%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.85%28.99%-2.57%10.78%33.13%-2.19%12.11%41.30%-4.29%
3 years7.99%17.01%4.22%9.38%18.28%5.11%10.52%21.04%4.33%
5 years7.63%13.66%4.57%8.90%14.83%5.28%10.26%18.02%4.94%
7 years7.50%10.86%5.31%8.69%11.45%6.79%9.98%13.45%6.89%
10 years7.96%9.52%6.86%9.35%10.37%7.71%10.48%12.48%8.11%