Test Tactical Allocation Models

Tactical Allocation Overview

This tool allows you to test different tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

  • Shiller PE Ratio Market Valuation
  • Seasonal Model
  • Moving Averages - Single Asset
  • Moving Averages - Portfolio Assets
  • Momentum - Relative Strength
  • Momentum - Dual Momentum
  • Momentum - Adaptive Allocation
  • Target Volatility

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the documentation section.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based tactical asset allocation model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average tactical asset allocation model is either invested in a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single lookback period, or multiple weighted lookback periods. Additionally, the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.

Risk Managed Allocation

The risk managed portfolio allocation model adjusts the risky asset exposure in the portfolio based the defined signal in order to protect against large drawdowns.

Model Configuration

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Risk Adjustment Levels
Trade Rule Z-Score Change
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Lookback Periods
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Lookback Period #1
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Lookback Period #2
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Lookback Period #3
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Lookback Period #4
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Lookback Period #5
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Volatility Period
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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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Model Simulation Results (Jan 1998 - Dec 2018) Save

Tactical asset allocation model results from Jan 1998 to Dec 2018 are based on relative strength model holding the best performing asset. The model uses multiple weighted performance windows to rank the assets by weighted average of asset performance. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for Vanguard International Explorer Inv (VINEX) [Dec 1996 - Aug 2023].

Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Momentum Model$10,000$92,02011.15%20.84%90.29%-48.53%-60.22% 0.520.780.75
Equal Weight Portfolio$10,000$55,0038.46%19.95%76.06%-49.74%-61.11% 0.410.590.82
Vanguard International Explorer Inv$10,000$70,0159.71%18.91%90.29%-46.62%-59.56% 0.490.710.77

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Momentum Model-10.57%-15.60%-15.60%3.49%2.64%8.90%11.15%13.22%12.26%
Equal Weight Portfolio-12.83%-18.86%-18.86%4.74%1.76%8.50%8.46%13.16%12.60%
Vanguard International Explorer Inv-19.03%-23.02%-23.02%1.62%2.05%9.42%9.71%14.05%12.49%
Trailing return and volatility are as of last calendar month ending December 2018
Notes and Disclosures
  • 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, commissions, 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 simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The selected portfolio allocation for comparison assumes monthly rebalancing.
  • An equal-weight allocation is used for the assets held by the momentum model.
  • The results for the tactical asset allocation model assume monthly rebalancing trades.
  • The relative strength signal is based on total return including dividends.

Active Returns Chart

Annualized Active Return

Rolling Active Return

Up vs. Down Market Performance

Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market1183515377%0.89%-2.03%0.23%
Down Market66339967%0.92%-1.80%0.01%
Total1846825273%0.90%-1.92%0.14%

Active Return Confidence

Annual Returns

YearInflationMomentum ModelEqual Weight PortfolioVanguard International Explorer InvVanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard International Explorer Inv (VINEX)
ReturnBalanceReturnBalanceReturnBalance
19981.61%25.98%$12,5983.34%$10,33425.98%$12,598-18.12%25.98%
19992.68%90.29%$23,97376.06%$18,19590.29%$23,97361.57%90.29%
20003.39%-2.68%$23,331-15.49%$15,375-2.68%$23,331-27.56%-2.68%
20011.55%-14.85%$19,866-13.02%$13,373-22.52%$18,078-2.88%-22.52%
20022.38%-8.01%$18,275-10.61%$11,955-13.88%$15,569-7.43%-13.88%
20031.88%52.47%$27,86557.66%$18,84857.37%$24,50157.65%57.37%
20043.26%30.20%$36,28029.05%$24,32431.77%$32,28626.12%31.77%
20053.42%29.33%$46,92226.32%$30,72520.49%$38,90332.05%20.49%
20062.54%20.45%$56,51930.02%$39,94830.34%$50,70829.39%30.34%
20074.08%34.82%$76,19921.14%$48,3935.15%$53,32038.90%5.15%
20080.09%-48.53%$39,216-49.74%$24,322-46.62%$28,463-52.81%-46.62%
20092.72%60.14%$62,80161.23%$39,21547.12%$41,87575.98%47.12%
20101.50%18.86%$74,64620.75%$47,35322.55%$51,31718.86%22.55%
20112.96%-22.33%$57,980-19.16%$38,280-19.74%$41,188-18.78%-19.74%
20121.74%11.61%$64,71418.33%$45,29817.93%$48,57218.64%17.93%
20131.50%24.83%$80,78311.27%$50,40530.24%$63,258-5.19%30.24%
20140.76%-3.13%$78,253-1.10%$49,851-2.88%$61,4380.42%-2.88%
20150.73%6.10%$83,030-3.99%$47,8638.60%$66,723-15.47%8.60%
20162.07%-2.12%$81,2724.91%$50,212-1.77%$65,54511.50%-1.77%
20172.11%34.15%$109,03135.01%$67,79138.77%$90,95531.15%38.77%
20181.91%-15.60%$92,020-18.86%$55,003-23.02%$70,015-14.71%-23.02%

Monthly Returns

YearMonthMomentum ModelEqual Weight PortfolioVanguard International Explorer InvVanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard International Explorer Inv (VINEX)
ReturnBalanceReturnBalanceReturnBalance
199817.75%$10,775-0.13%$9,9877.75%$10,775-8.02%7.75%
199825.57%$11,3758.72%$10,8585.57%$11,37511.87%5.57%
199835.71%$12,0254.66%$11,3635.71%$12,0253.60%5.71%
199845.09%$12,6372.03%$11,5945.09%$12,637-1.03%5.09%
199855.04%$13,275-3.75%$11,1605.04%$13,275-12.54%5.04%
19986-0.38%$13,225-4.86%$10,618-0.38%$13,225-9.34%-0.38%
199872.36%$13,5372.08%$10,8392.36%$13,5371.80%2.36%
19988-12.74%$11,812-19.43%$8,733-12.74%$11,812-26.12%-12.74%
19989-5.29%$11,1872.05%$8,912-5.29%$11,1879.39%-5.29%
1998104.47%$11,6879.95%$9,7994.47%$11,68715.43%4.47%
1998113.42%$12,0884.86%$10,2753.42%$12,0886.31%3.42%
1998124.22%$12,5980.58%$10,3344.22%$12,598-3.07%4.22%
199911.82%$12,828-0.54%$10,2781.82%$12,828-2.91%1.82%
199925.06%$13,4763.64%$10,6525.06%$13,4762.21%5.06%
199935.22%$14,1798.47%$11,5545.22%$14,17911.72%5.22%
199948.29%$15,35511.84%$12,9228.29%$15,35515.39%8.29%
19995-0.88%$15,220-2.52%$12,597-0.88%$15,220-4.15%-0.88%
1999612.43%$17,11310.19%$13,88112.43%$17,1137.94%12.43%
199979.00%$18,6532.78%$14,2679.00%$18,653-3.44%9.00%
199983.19%$19,2481.10%$14,4243.19%$19,248-0.99%3.19%
19999-1.40%$18,978-0.95%$14,286-1.40%$18,978-0.50%-1.40%
1999101.85%$19,3292.83%$14,6911.85%$19,3293.82%1.85%
19991111.96%$21,64110.04%$16,16611.96%$21,6418.12%11.96%
19991210.78%$23,97312.55%$18,19510.78%$23,97314.31%10.78%
2000111.64%$26,7643.38%$18,81011.64%$26,764-4.88%11.64%
2000217.38%$31,41510.46%$20,77617.38%$31,4153.53%17.38%
20003-3.93%$30,180-2.41%$20,275-3.93%$30,180-0.90%-3.93%
20004-11.47%$26,718-9.47%$18,355-11.47%$26,718-7.47%-11.47%
20005-6.68%$24,934-6.00%$17,254-6.68%$24,934-5.32%-6.68%
200065.99%$26,4286.13%$18,3125.99%$26,4286.27%5.99%
20007-2.65%$25,727-3.93%$17,593-2.65%$25,727-5.20%-2.65%
200083.50%$26,6262.49%$18,0323.50%$26,6261.49%3.50%
20009-2.69%$25,910-4.41%$17,236-2.69%$25,910-6.14%-2.69%
200010-8.77%$23,637-8.19%$15,824-8.77%$23,637-7.61%-8.77%
200011-4.32%$22,616-7.07%$14,705-4.32%$22,616-9.82%-4.32%
2000123.16%$23,3314.56%$15,3753.16%$23,3315.95%3.16%
200111.67%$23,7216.72%$16,4081.67%$23,72111.76%1.67%
20012-8.70%$21,656-6.74%$15,302-4.78%$22,587-8.70%-4.78%
20013-10.42%$19,399-9.37%$13,869-8.31%$20,709-10.42%-8.31%
200149.29%$21,2027.56%$14,9185.83%$21,9189.29%5.83%
20015-2.21%$20,734-0.37%$14,863-2.21%$21,4341.47%-2.21%
20016-2.12%$20,294-3.23%$14,383-4.34%$20,505-2.12%-4.34%
20017-6.74%$18,927-5.68%$13,566-4.62%$19,557-6.74%-4.62%
20018-0.98%$18,742-1.44%$13,371-1.90%$19,185-0.98%-1.90%
20019-15.57%$15,823-15.20%$11,338-14.83%$16,341-15.57%-14.83%
2001106.59%$16,8664.89%$11,8933.19%$16,8616.59%3.19%
2001119.34%$18,4417.65%$12,8025.95%$17,8659.34%5.95%
2001127.73%$19,8664.46%$13,3731.19%$18,0787.73%1.19%
200212.87%$20,4360.65%$13,460-1.57%$17,7952.87%-1.57%
200222.67%$20,9820.91%$13,583-0.85%$17,6442.67%-0.85%
200234.52%$21,9315.58%$14,3406.63%$18,8144.52%6.63%
200240.32%$22,0021.62%$14,5722.91%$19,3610.32%2.91%
20025-0.43%$21,9070.42%$14,6331.27%$19,606-0.43%1.27%
20026-8.23%$20,103-6.38%$13,699-4.52%$18,719-8.23%-4.52%
20027-9.07%$18,279-8.79%$12,496-9.07%$17,021-8.50%-9.07%
200281.42%$18,539-0.01%$12,494-1.44%$16,7761.42%-1.44%
20029-10.69%$16,558-10.69%$11,159-10.69%$14,983-10.69%-10.69%
2002106.55%$17,6434.35%$11,6442.14%$15,3046.55%2.14%
2002117.09%$18,8935.70%$12,3084.32%$15,9647.09%4.32%
200212-3.27%$18,275-2.87%$11,955-2.47%$15,569-3.27%-2.47%
200310.13%$18,299-0.97%$11,838-2.08%$15,2460.13%-2.08%
20032-3.80%$17,604-3.21%$11,459-2.62%$14,847-3.80%-2.62%
20033-2.04%$17,245-1.72%$11,261-1.41%$14,638-2.04%-1.41%
200348.75%$18,7549.70%$12,35310.65%$16,1968.75%10.65%
2003511.15%$20,8458.77%$13,43611.15%$18,0026.39%11.15%
200363.80%$21,6384.84%$14,0873.80%$18,6875.88%3.80%
200374.78%$22,6725.91%$14,9194.78%$19,5807.03%4.78%
200386.36%$24,1135.22%$15,6974.08%$20,3796.36%4.08%
200390.80%$24,3053.10%$16,1845.41%$21,4810.80%5.41%
2003105.22%$25,5747.16%$17,3435.22%$22,6039.09%5.22%
2003111.09%$25,8521.64%$17,6262.19%$23,0971.09%2.19%
2003127.78%$27,8656.93%$18,8486.08%$24,5017.78%6.08%
200413.12%$28,7353.67%$19,5394.21%$25,5333.12%4.21%
200423.52%$29,7463.85%$20,2913.52%$26,4314.17%3.52%
200432.31%$30,4341.35%$20,5652.31%$27,0430.39%2.31%
20044-1.98%$29,832-4.94%$19,549-1.98%$26,508-7.90%-1.98%
20045-1.15%$29,487-1.00%$19,353-1.15%$26,202-0.85%-1.15%
200463.21%$30,4341.56%$19,6563.21%$27,043-0.09%3.21%
20047-2.76%$29,595-2.28%$19,208-2.76%$26,298-1.80%-2.76%
200480.87%$29,8532.49%$19,6860.87%$26,5274.10%0.87%
200492.38%$30,5634.00%$20,4732.38%$27,1585.62%2.38%
2004102.30%$31,2672.66%$21,0193.03%$27,9792.30%3.03%
20041110.17%$34,4478.94%$22,8997.72%$30,13910.17%7.72%
2004125.32%$36,2806.22%$24,3247.12%$32,2865.32%7.12%
20051-0.14%$36,2310.39%$24,4190.92%$32,582-0.14%0.92%
200528.87%$39,4436.59%$26,0274.31%$33,9858.87%4.31%
20053-6.70%$36,799-4.46%$24,867-2.21%$33,234-6.70%-2.21%
20054-2.02%$36,055-2.45%$24,257-2.02%$32,562-2.89%-2.02%
200550.36%$36,1861.88%$24,7120.36%$32,6813.39%0.36%
200563.28%$37,3733.00%$25,4532.72%$33,5703.28%2.72%
200576.87%$39,9385.70%$26,9034.53%$35,0926.87%4.53%
200580.97%$40,3261.50%$27,3072.03%$35,8030.97%2.03%
200598.64%$43,8116.09%$28,9693.53%$37,0678.64%3.53%
200510-6.57%$40,931-5.34%$27,422-4.10%$35,546-6.57%-4.10%
2005117.98%$44,1985.33%$28,8832.67%$36,4947.98%2.67%
2005126.16%$46,9226.38%$30,7256.60%$38,9036.16%6.60%
2006111.48%$52,3109.43%$33,6217.37%$41,76811.48%7.37%
20062-1.46%$51,548-0.42%$33,4810.62%$42,029-1.46%0.62%
200631.24%$52,1873.25%$34,5715.27%$44,2431.24%5.27%
200647.12%$55,9036.31%$36,7515.50%$46,6747.12%5.50%
20065-10.74%$49,899-7.83%$33,872-4.93%$44,373-10.74%-4.93%
20066-2.15%$48,825-1.17%$33,474-2.15%$43,418-0.20%-2.15%
20067-0.50%$48,5810.34%$33,589-0.50%$43,2011.19%-0.50%
200682.36%$49,7282.21%$34,3302.36%$44,2212.05%2.36%
200690.72%$50,0851.27%$34,7651.82%$45,0250.72%1.82%
2006103.66%$51,9204.21%$36,2273.66%$46,6744.75%3.66%
2006114.51%$54,2635.97%$38,3924.51%$48,7807.44%4.51%
2006124.16%$56,5194.05%$39,9483.95%$50,7084.16%3.95%
20071-0.58%$56,1931.18%$40,4202.94%$52,198-0.58%2.94%
200720.32%$56,374-0.48%$40,2260.32%$52,366-1.28%0.32%
200733.21%$58,1853.66%$41,6993.21%$54,0484.11%3.21%
200743.87%$60,4364.05%$43,3883.87%$56,1394.23%3.87%
200752.44%$61,9114.20%$45,2102.44%$57,5095.96%2.44%
200764.49%$64,6911.68%$45,970-1.13%$56,8604.49%-1.13%
200774.30%$67,4711.92%$46,851-0.46%$56,5954.30%-0.46%
20078-0.94%$66,838-1.96%$45,935-2.97%$54,913-0.94%-2.97%
2007910.75%$74,0266.38%$48,8682.01%$56,01910.75%2.01%
20071012.31%$83,1359.13%$53,3315.96%$59,35912.31%5.96%
200711-7.99%$76,490-8.03%$49,051-8.06%$54,577-7.99%-8.06%
200712-0.38%$76,199-1.34%$48,393-2.30%$53,320-0.38%-2.30%
20081-11.08%$67,756-10.11%$43,503-9.13%$48,452-11.08%-9.13%
200824.65%$70,9083.46%$45,0062.26%$49,5464.65%2.26%
20083-3.80%$68,216-2.57%$43,851-1.34%$48,884-3.80%-1.34%
200848.09%$73,7375.17%$46,1172.24%$49,9798.09%2.24%
200851.84%$75,0951.96%$47,0202.07%$51,0161.84%2.07%
20086-10.39%$67,295-9.15%$42,720-7.91%$46,983-10.39%-7.91%
20087-4.14%$64,512-4.98%$40,592-5.82%$44,246-4.14%-5.82%
20088-7.81%$59,473-5.60%$38,320-3.39%$42,748-7.81%-3.39%
20089-16.25%$49,810-15.84%$32,250-15.43%$36,152-16.25%-15.43%
200810-24.14%$37,784-25.91%$23,895-24.14%$27,423-27.67%-24.14%
200811-4.94%$35,919-6.40%$22,367-4.94%$26,069-7.85%-4.94%
2008129.18%$39,2168.74%$24,3229.18%$28,4638.30%9.18%
20091-9.15%$35,629-8.67%$22,214-9.15%$25,859-8.19%-9.15%
20092-7.18%$33,072-6.62%$20,743-7.18%$24,003-6.07%-7.18%
200937.98%$35,71112.01%$23,2337.98%$25,91916.03%7.98%
2009416.03%$41,43615.00%$26,71913.97%$29,54016.03%13.97%
2009518.27%$49,00416.12%$31,02713.98%$33,67018.27%13.98%
20096-2.25%$47,902-0.15%$30,9811.96%$34,329-2.25%1.96%
2009711.55%$53,4359.48%$33,9187.41%$36,87311.55%7.41%
20098-0.63%$53,1002.28%$34,6935.19%$38,788-0.63%5.19%
200999.29%$58,0347.81%$37,4026.33%$41,2439.29%6.33%
200910-1.36%$57,243-1.52%$36,835-1.67%$40,554-1.36%-1.67%
2009115.90%$60,6203.80%$38,2351.70%$41,2435.90%1.70%
2009123.60%$62,8012.57%$39,2151.53%$41,8753.60%1.53%
20101-6.25%$58,873-4.11%$37,605-1.96%$41,055-6.25%-1.96%
201021.07%$59,5040.09%$37,640-0.89%$40,6911.07%-0.89%
201038.15%$64,3537.66%$40,5227.16%$43,6068.15%7.16%
201040.26%$64,5230.65%$40,7871.04%$44,0610.26%1.04%
20105-9.32%$58,509-10.41%$36,539-11.51%$38,990-9.32%-11.51%
20106-0.04%$58,485-0.10%$36,503-0.16%$38,929-0.04%-0.16%
201079.25%$63,8929.38%$39,9279.52%$42,6349.25%9.52%
20108-2.24%$62,462-2.44%$38,954-2.64%$41,510-2.24%-2.64%
2010911.18%$69,44511.37%$43,38311.56%$46,30811.18%11.56%
2010102.97%$71,5063.32%$44,8233.67%$48,0092.97%3.67%
201011-2.71%$69,566-2.94%$43,506-3.16%$46,491-2.71%-3.16%
2010127.30%$74,6468.84%$47,35310.38%$51,3177.30%10.38%
201110.72%$75,183-1.02%$46,8680.72%$51,686-2.77%0.72%
201121.25%$76,1230.20%$46,9621.25%$52,333-0.85%1.25%
201130.47%$76,4813.02%$48,3810.47%$52,5795.57%0.47%
201144.92%$80,2434.19%$50,4094.92%$55,1653.47%4.92%
20115-2.46%$78,273-2.64%$49,080-2.46%$53,810-2.82%-2.46%
20116-2.80%$76,078-2.16%$48,021-2.80%$52,302-1.51%-2.80%
20117-1.59%$74,869-1.20%$47,443-1.59%$51,471-0.82%-1.59%
20118-8.54%$68,476-9.11%$43,119-9.69%$46,484-8.54%-9.69%
20119-16.19%$57,392-13.99%$37,088-11.79%$41,004-16.19%-11.79%
2011108.18%$62,08910.84%$41,1108.18%$44,36013.51%8.18%
201111-3.41%$59,972-3.68%$39,596-3.96%$42,605-3.41%-3.96%
201112-3.32%$57,980-3.32%$38,280-3.32%$41,188-3.32%-3.32%
2012111.12%$64,4259.97%$42,0958.81%$44,81911.12%8.81%
201225.56%$68,0085.58%$44,4425.59%$47,3255.56%5.59%
20123-2.86%$66,060-1.23%$43,8960.41%$47,518-2.86%0.41%
20124-1.75%$64,906-1.21%$43,364-0.68%$47,196-1.75%-0.68%
20125-11.78%$57,262-11.43%$38,409-11.78%$41,638-11.08%-11.78%
201263.86%$59,4714.35%$40,0783.86%$43,2454.83%3.86%
201270.64%$59,8490.21%$40,161-0.22%$43,1480.64%-0.22%
201280.43%$60,1091.67%$40,8312.90%$44,4010.43%2.90%
201293.69%$62,3274.50%$42,6703.69%$46,0405.32%3.69%
201210-0.42%$62,0680.39%$42,8351.19%$46,586-0.42%1.19%
2012110.62%$62,4540.97%$43,2520.62%$46,8751.33%0.62%
2012123.62%$64,7144.73%$45,2983.62%$48,5725.84%3.62%
201310.61%$65,1072.78%$46,5604.96%$50,9820.61%4.96%
201320.19%$65,233-0.77%$46,2000.19%$51,081-1.74%0.19%
201331.29%$66,077-0.12%$46,1441.29%$51,742-1.54%1.29%
201343.70%$68,5222.51%$47,3033.70%$53,6571.32%3.70%
20135-0.49%$68,185-2.11%$46,304-0.49%$53,393-3.73%-0.49%
20136-2.16%$66,709-4.15%$44,381-2.16%$52,237-6.14%-2.16%
201375.50%$70,3783.24%$45,8185.50%$55,1100.97%5.50%
20138-0.66%$69,914-1.92%$44,939-0.66%$54,746-3.18%-0.66%
201397.30%$75,0167.23%$48,1867.30%$58,7427.15%7.30%
2013103.99%$78,0104.32%$50,2683.99%$61,0864.65%3.99%
2013110.81%$78,643-0.60%$49,9650.81%$61,581-2.02%0.81%
2013122.72%$80,7830.88%$50,4052.72%$63,258-0.96%2.72%
20141-2.23%$78,985-4.75%$48,012-2.23%$61,850-7.27%-2.23%
201425.94%$83,6784.68%$50,2595.94%$65,5243.42%5.94%
201430.73%$84,2922.30%$51,4140.73%$66,0053.86%0.73%
20144-0.62%$83,765-0.06%$51,383-0.62%$65,5930.51%-0.62%
201451.94%$85,3882.83%$52,8361.94%$66,8643.72%1.94%
201461.13%$86,3532.06%$53,9261.13%$67,6193.00%1.13%
20147-2.08%$84,555-0.31%$53,759-2.08%$66,2111.46%-2.08%
201483.57%$87,5722.10%$54,8860.62%$66,6233.57%0.62%
20149-7.16%$81,303-5.80%$51,705-4.43%$63,670-7.16%-4.43%
2014102.31%$83,1810.40%$51,912-1.51%$62,7082.31%-1.51%
201411-1.00%$82,350-1.21%$51,283-1.42%$61,815-1.00%-1.42%
201412-4.97%$78,253-2.79%$49,851-0.61%$61,438-4.97%-0.61%
201510.67%$78,7790.27%$49,988-0.12%$61,3640.67%-0.12%
201523.53%$81,5605.17%$52,5726.81%$65,5423.53%6.81%
201530.57%$82,024-0.75%$52,1760.57%$65,915-2.08%0.57%
201543.45%$84,8565.62%$55,1083.45%$68,1907.79%3.45%
201550.88%$85,599-1.25%$54,4180.88%$68,787-3.38%0.88%
20156-1.14%$84,624-1.76%$53,459-1.14%$68,004-2.39%-1.14%
201571.15%$85,599-2.83%$51,9481.15%$68,787-6.81%1.15%
20158-4.99%$81,328-7.16%$48,231-4.99%$65,355-9.32%-4.99%
20159-3.08%$78,821-3.16%$46,705-3.08%$63,341-3.25%-3.08%
2015104.59%$82,4425.08%$49,0794.59%$66,2515.57%4.59%
2015110.11%$82,535-1.57%$48,3090.11%$66,325-3.25%0.11%
2015120.60%$83,030-0.92%$47,8630.60%$66,723-2.45%0.60%
20161-6.67%$77,495-6.36%$44,819-6.67%$62,275-6.05%-6.67%
20162-2.40%$75,633-1.64%$44,086-2.40%$60,779-0.87%-2.40%
201637.58%$81,36510.31%$48,6327.58%$65,38513.04%7.58%
201640.66%$81,9040.72%$48,9820.66%$65,8180.78%0.66%
201651.44%$83,079-0.98%$48,5001.44%$66,763-3.40%1.44%
20166-5.54%$78,475-0.25%$48,380-5.54%$63,0625.04%-5.54%
201674.67%$82,1435.15%$50,8695.62%$66,6054.67%5.62%
201681.67%$83,5180.75%$51,250-0.18%$66,4871.67%-0.18%
201691.27%$84,5792.06%$52,3042.84%$68,3771.27%2.84%
2016100.63%$85,114-1.27%$51,641-3.17%$66,2120.63%-3.17%
201611-4.36%$81,403-3.43%$49,871-2.50%$64,558-4.36%-2.50%
201612-0.16%$81,2720.68%$50,2121.53%$65,545-0.16%1.53%
201714.94%$85,2864.67%$52,5594.41%$68,4354.94%4.41%
201723.28%$88,0812.55%$53,8981.82%$69,6793.28%1.82%
201732.25%$90,0653.00%$55,5143.74%$72,2882.25%3.74%
201741.39%$91,3213.39%$57,3965.39%$76,1821.39%5.39%
201754.27%$95,2182.74%$58,9704.27%$79,4331.22%4.27%
201760.51%$95,6990.64%$59,3490.51%$79,8340.78%0.51%
201773.47%$99,0194.41%$61,9653.47%$82,6045.35%3.47%
201780.39%$99,4041.72%$63,0310.39%$82,9253.05%0.39%
201793.97%$103,3501.59%$64,0353.97%$86,216-0.78%3.97%
2017101.82%$105,2262.13%$65,3971.82%$87,7822.44%1.82%
2017110.46%$105,7070.34%$65,6160.46%$88,1830.21%0.46%
2017123.14%$109,0313.31%$67,7913.14%$90,9553.49%3.14%
201815.12%$114,6136.76%$72,3705.12%$95,6128.39%5.12%
20182-4.73%$109,195-4.37%$69,205-4.02%$91,767-4.73%-4.02%
20183-0.33%$108,839-0.77%$68,669-0.33%$91,468-1.22%-0.33%
201840.28%$109,144-0.87%$68,0700.28%$91,724-2.03%0.28%
20185-0.84%$108,229-1.85%$66,811-0.84%$90,955-2.86%-0.84%
20186-2.16%$105,890-3.33%$64,584-2.16%$88,990-4.50%-2.16%
201870.10%$105,9921.64%$65,6410.10%$89,0763.18%0.10%
20188-1.77%$104,111-2.66%$63,894-1.77%$87,495-3.55%-1.77%
20189-1.17%$102,891-1.24%$63,102-1.17%$86,470-1.31%-1.17%
201810-11.76%$90,792-9.67%$57,000-11.76%$76,302-7.58%-11.76%
2018114.45%$94,8372.03%$58,158-0.39%$76,0034.45%-0.39%
201812-2.97%$92,020-5.42%$55,003-7.88%$70,015-2.97%-7.88%

Risk and Return Metrics

MetricMomentum ModelEqual Weight PortfolioVanguard International Explorer Inv
Arithmetic Mean (monthly)1.07%0.85%0.93%
Arithmetic Mean (annualized)13.59%10.67%11.70%
Geometric Mean (monthly)0.88%0.68%0.78%
Geometric Mean (annualized)11.15%8.46%9.71%
Standard Deviation (monthly)6.02%5.76%5.46%
Standard Deviation (annualized)20.84%19.95%18.91%
Downside Deviation (monthly)3.97%3.94%3.67%
Maximum Drawdown-60.22%-61.11%-59.56%
Stock Market Correlation0.750.820.77
Beta(*)1.030.981.00
Alpha (annualized)1.31%-0.76%-0.00%
R288.09%87.04%100.00%
Sharpe Ratio0.520.410.49
Sortino Ratio0.780.590.71
Treynor Ratio (%)10.528.399.19
Calmar Ratio0.170.200.06
Active Return1.44%-1.25%N/A
Tracking Error7.22%7.19%N/A
Information Ratio0.20-0.17N/A
Skewness-0.47-0.68-0.60
Excess Kurtosis1.392.072.03
Historical Value-at-Risk (5%)9.80%9.13%9.10%
Analytical Value-at-Risk (5%)8.83%8.62%8.05%
Conditional Value-at-Risk (5%)13.32%13.13%12.62%
Upside Capture Ratio (%)105.5597.61100.00
Downside Capture Ratio (%)100.51102.34100.00
Safe Withdrawal Rate15.43%10.39%13.08%
Perpetual Withdrawal Rate8.11%5.83%6.91%
Positive Periods157 out of 252 (62.30%)147 out of 252 (58.33%)153 out of 252 (60.71%)
Gain/Loss Ratio0.971.051.01
* Vanguard International Explorer Inv is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMomentum ModelEqual Weight PortfolioVanguard International Explorer Inv
Russian Debt DefaultJul 1998Oct 1998-17.36%-19.43%-17.36%
Dotcom CrashMar 2000Oct 2002-49.63%-46.29%-52.31%
Subprime CrisisNov 2007Mar 2009-60.22%-61.11%-59.56%

Drawdowns for Momentum Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20145 years6 years 4 months-60.22%
2Mar 2000Sep 20011 year 7 monthsNov 20043 years 2 months4 years 9 months-49.63%
3Feb 2018Oct 20189 months-20.78%
4Aug 1998Sep 19982 monthsMar 19996 months8 months-17.36%
5Sep 2014Feb 20161 year 6 monthsFeb 20171 year2 years 6 months-13.63%
6May 2006Jul 20063 monthsDec 20065 months8 months-13.10%
7Mar 2005Apr 20052 monthsJul 20053 months5 months-8.59%
8Oct 2005Oct 20051 monthNov 20051 month2 months-6.57%
9Jul 2014Jul 20141 monthAug 20141 month2 months-2.08%
10Feb 2006Feb 20061 monthApr 20062 months3 months-1.46%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJun 20145 years 4 months6 years 8 months-61.11%
2Mar 2000Sep 20022 years 7 monthsOct 20042 years 1 month4 years 8 months-46.29%
3May 1998Aug 19984 monthsApr 19998 months1 year-24.68%
4Feb 2018Dec 201811 months-24.00%
5May 2015Feb 201610 monthsMar 20171 year 1 month1 year 11 months-20.00%
6Sep 2014Dec 20144 monthsApr 20154 months8 months-9.17%
7May 2006Jun 20062 monthsNov 20065 months7 months-8.92%
8Mar 2005Apr 20052 monthsJul 20053 months5 months-6.80%
9Oct 2005Oct 20051 monthDec 20052 months3 months-5.34%
10May 1999May 19991 monthJun 19991 month2 months-2.52%
Worst 10 drawdowns included above

Drawdowns for Vanguard International Explorer Inv

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20134 years 8 months6 years-59.56%
2Mar 2000Mar 20033 years 1 monthDec 20041 year 9 months4 years 10 months-53.41%
3Feb 2018Dec 201811 months-26.77%
4Aug 1998Sep 19982 monthsMar 19996 months8 months-17.36%
5Aug 2015Feb 20167 monthsFeb 20171 year1 year 7 months-11.64%
6Jul 2014Jan 20157 monthsApr 20153 months10 months-9.25%
7May 2006Jul 20063 monthsOct 20063 months6 months-7.44%
8Jun 2007Aug 20073 monthsOct 20072 months5 months-4.51%
9Mar 2005Apr 20052 monthsJul 20053 months5 months-4.19%
10Oct 2005Oct 20051 monthDec 20052 months3 months-4.10%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodMomentum ModelEqual Weight PortfolioVanguard International Explorer Inv
AverageHighLowAverageHighLowAverageHighLow
1 year15.13%133.11%-54.55%12.87%95.05%-55.19%14.09%133.11%-53.80%
3 years10.47%44.64%-17.56%9.13%45.34%-17.99%9.37%44.59%-22.11%
5 years10.70%36.35%-5.68%9.48%35.57%-4.29%9.34%31.14%-6.25%
7 years10.72%22.24%0.01%9.71%20.07%-0.38%9.24%18.67%0.79%
10 years9.93%22.52%2.38%8.85%17.08%2.06%8.00%18.22%2.60%
15 years10.67%13.53%6.57%9.59%12.83%6.38%9.36%13.02%5.02%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Model Selections

#StartEndMonthsAssetsAsset PerformanceMomentum ModelEqual Weight PortfolioVanguard International Explorer Inv
41Jan 2019Jan 20191Please sign-in for forward signals----
40Nov 2018Dec 20182100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 1.35%1.35%-3.50%-8.24%
39Mar 2018Oct 20188100.00% Vanguard International Explorer Inv (VINEX)VINEX: -16.85%-16.85%-17.64%-16.85%
38Feb 2018Feb 20181100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -4.73%-4.73%-4.37%-4.02%
37May 2017Jan 20189100.00% Vanguard International Explorer Inv (VINEX)VINEX: 25.51%25.51%26.09%25.51%
36Jul 2016Apr 201710100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 16.37%16.37%18.64%20.80%
35Mar 2015Jun 201616100.00% Vanguard International Explorer Inv (VINEX)VINEX: -3.78%-3.78%-7.97%-3.78%
34Aug 2014Feb 20157100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -3.54%-3.54%-2.21%-1.01%
33Feb 2013Jul 201418100.00% Vanguard International Explorer Inv (VINEX)VINEX: 29.87%29.87%15.46%29.87%
32Jan 2013Jan 20131100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 0.61%0.61%2.78%4.96%
31Nov 2012Dec 20122100.00% Vanguard International Explorer Inv (VINEX)VINEX: 4.26%4.26%5.75%4.26%
30Oct 2012Oct 20121100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -0.42%-0.42%0.39%1.19%
29Sep 2012Sep 20121100.00% Vanguard International Explorer Inv (VINEX)VINEX: 3.69%3.69%4.50%3.69%
28Jul 2012Aug 20122100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 1.07%1.07%1.88%2.67%
27May 2012Jun 20122100.00% Vanguard International Explorer Inv (VINEX)VINEX: -8.37%-8.37%-7.58%-8.37%
26Nov 2011Apr 20126100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 4.54%4.54%5.48%6.40%
25Oct 2011Oct 20111100.00% Vanguard International Explorer Inv (VINEX)VINEX: 8.18%8.18%10.84%8.18%
24Aug 2011Sep 20112100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -23.34%-23.34%-21.83%-20.33%
23Jan 2011Jul 20117100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.30%0.30%0.19%0.30%
22Apr 2009Dec 201021100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 109.03%109.03%103.81%97.99%
21Oct 2008Mar 20096100.00% Vanguard International Explorer Inv (VINEX)VINEX: -28.31%-28.31%-27.96%-28.31%
20Jun 2007Sep 200816100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -19.54%-19.54%-28.67%-37.14%
19Feb 2007May 20074100.00% Vanguard International Explorer Inv (VINEX)VINEX: 10.17%10.17%11.85%10.17%
18Dec 2006Jan 20072100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 3.56%3.56%5.28%7.01%
17Oct 2006Nov 20062100.00% Vanguard International Explorer Inv (VINEX)VINEX: 8.34%8.34%10.43%8.34%
16Sep 2006Sep 20061100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 0.72%0.72%1.27%1.82%
15Jun 2006Aug 20063100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.34%-0.34%1.35%-0.34%
14Jun 2005May 200612100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 37.89%37.89%37.07%35.78%
13Apr 2005May 20052100.00% Vanguard International Explorer Inv (VINEX)VINEX: -1.66%-1.66%-0.62%-1.66%
12Oct 2004Mar 20056100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 20.40%20.40%21.46%22.38%
11Feb 2004Sep 20048100.00% Vanguard International Explorer Inv (VINEX)VINEX: 6.36%6.36%4.78%6.36%
10Nov 2003Jan 20043100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 12.36%12.36%12.67%12.96%
9Oct 2003Oct 20031100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.22%5.22%7.16%5.22%
8Aug 2003Sep 20032100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 7.20%7.20%8.48%9.71%
7May 2003Jul 20033100.00% Vanguard International Explorer Inv (VINEX)VINEX: 20.89%20.89%20.77%20.89%
6Aug 2002Apr 20039100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: 2.60%2.60%-1.14%-4.84%
5Jul 2002Jul 20021100.00% Vanguard International Explorer Inv (VINEX)VINEX: -9.07%-9.07%-8.79%-9.07%
4Jun 2001Jun 200213100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -3.04%-3.04%-7.83%-12.67%
3May 2001May 20011100.00% Vanguard International Explorer Inv (VINEX)VINEX: -2.21%-2.21%-0.37%-2.21%
2Feb 2001Apr 20013100.00% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)VEIEX: -10.62%-10.62%-9.09%-7.60%
1Jan 1998Jan 200137100.00% Vanguard International Explorer Inv (VINEX)VINEX: 137.21%137.21%64.08%137.21%