Fund Performance Analysis

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Fund Information (Jun 2001 - Nov 2021)

Fund information
NameVanguard Wellesley Income Admiral (VWIAX)Vanguard LifeStrategy Moderate Gr Inv (VSMGX)
Asset ClassAllocationAllocation
Category30% to 50% Equity50% to 70% Equity
Fund BenchmarkFTSE High Dividend Yield TR USD (35%)
Bloomberg US Credit A+ TR USD (65%)
Bloomberg US Agg Bond TR USD
Price/Earnings (TTM)21.4019.23
Price/Book (TTM)2.862.70
Effective Duration7.887.26
Yield (SEC)1.98%1.54%
Yield (TTM)2.45%1.56%
Assets68.05 B22.29 B
Equity Holdings620
Bond Holdings12730
Total Holdings13796
Turnover39%21%
Expense Ratio0.16%0.13%
Inception Date05/14/200109/30/1994

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Vanguard Wellesley Income Admiral$10,000$40,710 7.09% 5.93%16.47%-9.79%-18.72% 0.971.550.79
Vanguard LifeStrategy Moderate Gr Inv$10,000$35,828 6.42% 9.65%22.40%-26.50%-37.84% 0.560.810.97
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Vanguard Wellesley Income Admiral0.27%5.37%11.29%9.02%7.31%8.05%7.11%7.68%6.34%
Vanguard LifeStrategy Moderate Gr Inv-0.71%6.15%16.25%10.04%9.47%9.39%6.40%11.44%9.18%
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.
  • 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.
  • Displayed expense ratio is the prospectus net expense ratio
  • 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
  • Drawdowns are calculated based on monthly returns

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard Wellesley Income AdmiralVanguard LifeStrategy Moderate Gr Inv
Large-cap Value25.07%19.63%
Large-cap Growth6.45%19.35%
Mid-cap Value0.00%1.86%
Mid-cap Growth0.00%4.80%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%1.22%
Global ex-US Developed Markets3.82%11.35%
Emerging Markets0.00%5.19%
Corporate Bonds22.43%6.26%
Long-Term Treasuries6.29%0.26%
Intermediate-Term Treasuries10.45%12.59%
Short-Term Treasuries25.49%17.47%
R Squared93.63%99.05%
Style analysis is based on monthly returns from April 2005 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 Vanguard Wellesley Income Admiral

Holdings Based Style Analysis for Vanguard Wellesley Income Admiral
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VWIAXVanguard Wellesley Income Admiral30% to 50% Equity100.00%1.98%2.45%0.16%0.16%21.407.88$30,710100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard LifeStrategy Moderate Gr Inv

Holdings Based Style Analysis for Vanguard LifeStrategy Moderate Gr Inv
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%1.54%1.56%0.13%0.13%19.237.26$25,828100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetricVanguard Wellesley Income AdmiralVanguard LifeStrategy Moderate Gr Inv
Arithmetic Mean (monthly)0.59%0.56%
Arithmetic Mean (annualized)7.28%6.92%
Geometric Mean (monthly)0.57%0.52%
Geometric Mean (annualized)7.09%6.42%
Standard Deviation (monthly)1.71%2.79%
Standard Deviation (annualized)5.93%9.65%
Downside Deviation (monthly)1.04%1.90%
Max. Drawdown-18.72%-37.84%
US Market Correlation0.790.97
Beta(*)0.310.62
Alpha (annualized)4.03%0.67%
R262.51%94.89%
Sharpe Ratio0.970.56
Sortino Ratio1.550.81
Treynor Ratio (%)18.748.81
Calmar Ratio1.110.93
Active Return-1.85%-2.52%
Tracking Error11.10%6.18%
Information Ratio-0.17-0.41
Skewness-0.64-0.85
Excess Kurtosis3.282.96
Historical Value-at-Risk (5%)-2.17%-4.23%
Analytical Value-at-Risk (5%)-2.23%-4.02%
Conditional Value-at-Risk (5%)-3.71%-6.56%
Upside Capture Ratio (%)37.1160.62
Downside Capture Ratio (%)20.4860.65
Safe Withdrawal Rate7.53%6.47%
Perpetual Withdrawal Rate4.69%4.08%
Positive Periods174 out of 246 (70.73%)163 out of 246 (66.26%)
Gain/Loss Ratio1.030.87
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Vanguard Wellesley Income Admiral Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2001-0.18%1.81%0.65%-0.53%0.42%0.18%0.55%2.91%
20020.44%1.69%-0.14%0.72%1.37%-0.94%-2.06%0.84%-2.68%2.36%2.33%0.84%4.72%
2003-1.53%0.08%-0.07%3.38%4.28%0.16%-3.36%0.39%1.75%0.43%0.59%3.51%9.78%
20040.45%1.41%0.32%-2.14%-0.34%1.10%0.38%2.07%0.69%0.66%0.87%2.01%7.68%
2005-0.11%1.24%-1.39%0.97%1.07%0.88%0.11%0.80%-0.28%-1.32%1.04%0.53%3.56%
20060.88%0.78%-0.63%1.10%-0.66%0.59%2.16%1.84%1.23%1.64%1.31%0.64%11.39%
20070.36%0.91%0.66%1.71%0.46%-1.18%-0.71%1.44%1.70%0.94%-0.17%-0.45%5.76%
2008-0.85%-1.30%0.39%1.21%-0.58%-3.40%0.14%0.81%-3.47%-7.18%0.36%4.04%-9.79%
2009-4.60%-4.96%2.99%3.51%4.40%1.29%5.70%2.30%1.89%-0.04%3.18%-0.00%16.14%
2010-0.24%1.08%1.96%1.55%-2.72%0.18%3.51%0.82%2.75%0.88%-0.95%1.54%10.71%
20110.68%1.87%0.15%2.58%0.84%-1.04%0.06%-0.29%-1.44%4.07%-0.53%2.54%9.74%
20121.85%1.31%0.45%0.95%-1.42%2.02%2.43%0.53%0.89%0.24%0.29%0.18%10.10%
20131.47%1.21%1.28%1.97%-0.86%-1.58%2.05%-1.89%1.64%2.13%0.77%0.82%9.27%
2014-0.35%2.07%0.93%1.19%1.23%0.78%-1.02%2.01%-1.24%1.16%1.30%-0.14%8.15%
20150.53%0.84%-0.11%0.53%-0.13%-2.03%1.23%-2.18%0.16%3.39%0.00%-0.79%1.35%
2016-0.19%0.42%3.55%0.91%0.57%2.19%1.41%-0.02%-0.29%-1.22%-0.75%1.37%8.16%
20170.29%1.94%-0.03%0.70%1.17%0.39%0.88%0.55%0.84%0.93%1.07%1.08%10.26%
20180.57%-2.73%-0.27%-0.49%0.67%0.16%2.06%0.56%-0.21%-2.28%1.65%-2.08%-2.49%
20193.23%1.52%1.87%1.10%-0.63%3.15%0.46%1.68%0.63%0.64%0.60%1.15%16.47%
20201.28%-2.45%-6.29%5.71%2.13%0.47%2.81%0.21%-0.68%-1.28%5.73%1.19%8.54%
2021-1.28%0.66%1.68%2.03%1.42%0.50%1.31%0.93%-1.93%1.94%-1.16%6.17%

Vanguard LifeStrategy Moderate Gr Inv Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
2001-1.07%0.06%-2.92%-5.20%2.51%3.80%0.55%-2.52%
2002-0.75%-0.63%2.04%-2.00%-0.13%-4.08%-4.98%0.92%-6.95%5.36%4.01%-2.92%-10.32%
2003-1.87%-0.81%0.44%6.12%4.66%1.05%0.40%1.72%0.71%3.61%1.00%3.65%22.40%
20041.69%1.42%-0.29%-2.40%0.60%1.55%-1.96%1.09%1.26%1.54%2.97%2.77%10.56%
2005-1.40%1.53%-1.51%-1.08%2.40%0.62%2.41%0.16%0.60%-1.63%2.71%0.86%5.69%
20062.54%0.11%0.95%1.15%-2.17%0.13%0.59%2.18%1.66%2.66%1.94%0.92%13.31%
20071.13%-0.58%0.98%2.95%2.11%-0.96%-1.65%1.20%2.88%1.97%-2.25%-0.49%7.36%
2008-3.91%-1.82%-0.30%3.46%0.97%-5.92%-0.83%0.63%-7.15%-13.22%-3.73%2.71%-26.50%
2009-6.30%-7.22%6.64%7.01%4.48%0.25%5.81%2.75%3.21%-1.27%4.02%0.50%20.33%
2010-1.70%1.78%3.79%1.36%-4.62%-2.42%5.18%-2.10%5.99%2.45%-0.52%3.99%13.31%
20111.12%2.27%0.15%2.86%-0.62%-1.22%-0.84%-3.92%-5.27%6.66%-0.72%0.31%0.26%
20123.81%2.66%0.88%-0.10%-4.28%2.69%1.10%1.58%1.80%-0.62%0.72%1.16%11.76%
20132.68%0.52%1.84%1.71%-0.27%-1.78%3.19%-1.73%3.19%2.69%1.14%1.08%15.04%
2014-1.56%3.12%0.30%0.55%1.65%1.44%-1.12%2.39%-2.04%1.54%1.32%-0.59%7.07%
2015-0.25%2.96%-0.49%0.89%0.20%-1.61%0.87%-4.01%-1.70%4.38%-0.17%-1.37%-0.57%
2016-2.78%-0.22%4.83%0.90%0.46%0.64%2.79%0.25%0.37%-1.59%0.21%1.26%7.13%
20171.61%2.00%0.68%1.19%1.29%0.44%1.63%0.54%1.14%1.32%1.26%1.00%15.04%
20182.87%-2.79%-0.59%0.11%0.74%-0.18%1.82%0.84%-0.04%-4.89%1.26%-3.87%-4.91%
20195.28%1.69%1.47%2.12%-3.05%4.39%0.33%-0.25%1.05%1.54%1.59%1.93%19.37%
20200.03%-4.02%-9.27%7.32%3.26%2.16%3.58%3.21%-1.62%-1.41%7.76%3.09%13.59%
2021-0.44%1.08%1.29%2.73%1.03%1.07%0.83%1.33%-2.82%2.94%-1.37%7.77%
Rolling returns summary
Roll PeriodVanguard Wellesley Income AdmiralVanguard LifeStrategy Moderate Gr Inv
AverageHighLowAverageHighLow
1 year7.34%29.16%-16.43%7.38%38.49%-32.27%
3 years7.13%17.10%-1.78%6.86%18.78%-8.85%
5 years7.09%13.75%1.07%6.59%15.47%-2.51%
7 years7.08%10.94%2.75%6.24%11.09%0.16%
10 years7.44%9.60%6.24%6.56%10.45%4.60%
15 years7.08%7.59%6.48%6.45%7.82%5.26%