Fund Performance Analysis

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Fund Information (Jun 2001 - Jul 2020)

Fund information
TickerVWIAXVSMGX
NameVanguard Wellesley Income AdmiralVanguard LifeStrategy Moderate Gr Inv
Asset ClassAllocationAllocation
Category30% to 50% Equity50% to 70% Equity
Fund BenchmarkFTSE High Dividend Yield TR USD (35%)
BBgBarc US Credit A+ TR USD (65%)
BBgBarc US Agg Bond TR USD
Price/Earnings (TTM)14.6018.74
Effective Duration7.006.79
Yield (SEC)2.10%2.00%
Yield (TTM)2.90%2.21%
Assets60.33 B17.79 B
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 LifeStrategy Moderate Gr Inv$10,000$29,896 5.88% 9.71%22.40%-26.50%-37.84% 0.500.710.97
Vanguard Wellesley Income Admiral$10,000$36,477 6.98% 5.91%16.47%-9.79%-18.72% 0.941.470.79
   
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 08/12/2020. (c) 2020 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 LifeStrategy Moderate Gr InvVanguard Wellesley Income Admiral
Large-cap Value18.66%23.03%
Large-cap Growth21.33%8.90%
Mid-cap Value4.19%0.00%
Mid-cap Growth3.70%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets11.19%3.49%
Emerging Markets4.87%0.00%
Corporate Bonds5.65%22.44%
Long-Term Treasuries1.01%6.14%
Intermediate-Term Treasuries11.17%10.64%
Short-Term Treasuries18.23%25.36%
R Squared99.09%93.49%
Style analysis is based on monthly returns from Apr 2005 to Jul 2020 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 LifeStrategy Moderate Gr Inv

Holdings Based Style Analysis for Vanguard LifeStrategy Moderate Gr Inv
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VSMGXVanguard LifeStrategy Moderate Gr Inv50% to 70% Equity100.00%0.13%18.746.79$19,896100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Vanguard Wellesley Income Admiral

Holdings Based Style Analysis for Vanguard Wellesley Income Admiral
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWIAXVanguard Wellesley Income Admiral30% to 50% Equity100.00%0.16%14.607.00$26,477100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Portfolio return and risk metrics
MetricVanguard LifeStrategy Moderate Gr InvVanguard Wellesley Income Admiral
Arithmetic Mean (monthly)0.52%0.58%
Arithmetic Mean (annualized)6.38%7.17%
Geometric Mean (monthly)0.48%0.56%
Geometric Mean (annualized)5.88%6.98%
Volatility (monthly)2.80%1.71%
Volatility (annualized)9.71%5.91%
Downside Deviation (monthly)1.95%1.06%
Max. Drawdown-37.84%-18.72%
US Market Correlation0.970.79
Beta(*)0.620.31
Alpha (annualized)0.92%4.34%
R295.01%62.00%
Sharpe Ratio0.500.94
Sortino Ratio0.711.47
Treynor Ratio (%)7.7918.26
Calmar Ratio0.530.82
Active Return-1.67%-0.57%
Tracking Error6.09%11.11%
Information Ratio-0.27-0.05
Skewness-0.93-0.77
Excess Kurtosis2.963.39
Historical Value-at-Risk (5%)-4.74%-2.36%
Analytical Value-at-Risk (5%)-4.09%-2.23%
Conditional Value-at-Risk (5%)-6.94%-3.98%
Upside Capture Ratio (%)61.7937.62
Downside Capture Ratio (%)60.5419.20
Safe Withdrawal Rate6.66%7.76%
Perpetual Withdrawal Rate3.73%4.74%
Positive Periods152 out of 230 (66.09%)163 out of 230 (70.87%)
Gain/Loss Ratio0.841.02
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

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%2.15%

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%3.26%
Rolling returns summary
Roll PeriodVanguard LifeStrategy Moderate Gr InvVanguard Wellesley Income Admiral
AverageHighLowAverageHighLow
1 year7.02%22.40%-26.50%7.27%16.47%-9.79%
3 years6.57%12.67%-3.66%7.00%12.16%2.05%
5 years6.19%11.94%0.88%6.98%11.16%3.45%
7 years5.92%9.37%1.98%7.03%9.28%4.52%
10 years6.15%8.17%4.60%7.29%8.05%6.74%
15 years6.27%7.48%5.68%6.95%7.32%6.48%
Result statistics are based on annualized rolling returns over full calendar year periods