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 2001 - Dec 2018) Save

Tactical asset allocation model results from Jan 2001 to Dec 2018 are based on relative strength model holding the best performing asset. The model uses a single performance window of 1 calendar month(s). 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 Inflation-Protected Secs Inv (VIPSX) [Jul 2000 - Aug 2023].

Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Momentum Model$10,000$35,0267.21%9.31%26.54%-15.38%-17.06% 0.651.18-0.27
Equal Weight Portfolio$10,000$26,0815.47%7.61%21.31%-10.96%-12.46% 0.560.89-0.21
Vanguard Long-Term Treasury Inv$10,000$28,7976.05%10.77%29.28%-13.03%-16.68% 0.470.77-0.31

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Momentum Model4.42%-2.98%-2.98%4.59%5.92%5.02%7.21%7.33%8.28%
Equal Weight Portfolio1.92%-1.63%-1.63%2.30%3.76%3.82%5.47%6.22%6.64%
Vanguard Long-Term Treasury Inv4.36%-1.90%-1.90%2.53%5.86%4.01%6.05%9.80%10.35%
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 Market794812762%0.07%-1.20%-0.41%
Down Market74158983%0.97%-0.19%0.77%
Total1536321671%0.51%-0.96%0.08%

Active Return Confidence

Annual Returns

YearInflationMomentum ModelEqual Weight PortfolioVanguard Long-Term Treasury InvVanguard Long-Term Treasury Inv (VUSTX)Vanguard Inflation-Protected Secs Inv (VIPSX)
ReturnBalanceReturnBalanceReturnBalance
20011.55%8.54%$10,8546.00%$10,6004.31%$10,4314.31%7.61%
20022.38%18.71%$12,88516.67%$12,36716.67%$12,17016.67%16.61%
20031.88%5.56%$13,6025.36%$13,0292.68%$12,4962.68%8.00%
20043.26%9.19%$14,8527.69%$14,0317.12%$13,3857.12%8.24%
20053.42%5.48%$15,6654.61%$14,6796.61%$14,2706.61%2.59%
20062.54%2.57%$16,0681.10%$14,8401.74%$14,5191.74%0.43%
20074.08%8.54%$17,44010.42%$16,3869.24%$15,8619.24%11.59%
20080.09%23.08%$21,4659.37%$17,92122.52%$19,43222.52%-2.85%
20092.72%-1.68%$21,105-1.10%$17,725-12.05%$17,091-12.05%10.80%
20101.50%8.33%$22,8637.68%$19,0868.93%$18,6178.93%6.17%
20112.96%26.54%$28,93221.31%$23,15229.28%$24,06729.28%13.24%
20121.74%7.29%$31,0425.20%$24,3553.47%$24,9013.47%6.78%
20131.50%-15.38%$26,269-10.96%$21,687-13.03%$21,658-13.03%-8.92%
20140.76%19.73%$31,45114.13%$24,75025.28%$27,13225.28%3.83%
20150.73%-2.65%$30,617-1.56%$24,363-1.54%$26,715-1.54%-1.83%
20162.07%13.65%$34,7972.97%$25,0871.20%$27,0361.20%4.52%
20172.11%3.75%$36,1015.69%$26,5148.58%$29,3568.58%2.81%
20181.91%-2.98%$35,026-1.63%$26,081-1.90%$28,797-1.90%-1.49%

Monthly Returns

YearMonthMomentum ModelEqual Weight PortfolioVanguard Long-Term Treasury InvVanguard Long-Term Treasury Inv (VUSTX)Vanguard Inflation-Protected Secs Inv (VIPSX)
ReturnBalanceReturnBalanceReturnBalance
200110.28%$10,0281.11%$10,1110.28%$10,0280.28%1.93%
200121.71%$10,1991.75%$10,2881.80%$10,2091.80%1.71%
20013-0.60%$10,1380.16%$10,305-0.60%$10,147-0.60%0.93%
200140.56%$10,195-1.00%$10,202-2.56%$9,887-2.56%0.56%
200151.11%$10,3080.66%$10,2690.21%$9,9070.21%1.11%
20016-0.10%$10,2980.33%$10,3030.76%$9,9830.76%-0.10%
200173.61%$10,6702.60%$10,5703.61%$10,3433.61%1.58%
200182.02%$10,8861.15%$10,6922.02%$10,5532.02%0.28%
200190.88%$10,9820.71%$10,7680.88%$10,6460.88%0.54%
2001105.12%$11,5443.71%$11,1685.12%$11,1915.12%2.30%
200111-4.98%$10,969-3.66%$10,759-4.98%$10,633-4.98%-2.34%
200112-1.05%$10,854-1.48%$10,600-1.91%$10,431-1.91%-1.05%
200210.56%$10,9150.88%$10,6931.20%$10,5561.20%0.56%
200221.24%$11,0501.42%$10,8451.24%$10,6871.24%1.59%
20023-0.64%$10,979-2.25%$10,601-3.86%$10,275-3.86%-0.64%
200242.79%$11,2863.26%$10,9473.73%$10,6593.73%2.79%
200250.39%$11,3300.96%$11,0520.39%$10,7000.39%1.54%
200261.34%$11,4821.55%$11,2231.76%$10,8881.76%1.34%
200272.93%$11,8182.31%$11,4832.93%$11,2072.93%1.70%
200284.28%$12,3243.94%$11,9364.28%$11,6874.28%3.60%
200294.02%$12,8183.24%$12,3224.02%$12,1564.02%2.46%
200210-2.84%$12,455-2.80%$11,978-2.84%$11,811-2.84%-2.75%
2002110.00%$12,455-0.49%$11,919-0.98%$11,696-0.98%0.00%
2002123.45%$12,8853.75%$12,3674.05%$12,1704.05%3.45%
20031-0.45%$12,8270.07%$12,376-0.45%$12,116-0.45%0.59%
200323.69%$13,3013.36%$12,7913.03%$12,4823.03%3.69%
20033-1.62%$13,086-1.37%$12,616-1.13%$12,341-1.13%-1.62%
200340.91%$13,2050.29%$12,6520.91%$12,4530.91%-0.33%
200355.67%$13,9545.20%$13,3105.67%$13,1595.67%4.73%
20036-1.48%$13,747-1.18%$13,153-1.48%$12,964-1.48%-0.88%
20037-4.47%$13,132-6.52%$12,295-8.57%$11,853-8.57%-4.47%
200381.70%$13,3561.56%$12,4871.43%$12,0221.43%1.70%
200393.18%$13,7804.12%$13,0025.07%$12,6315.07%3.18%
200310-2.58%$13,425-1.05%$12,866-2.58%$12,305-2.58%0.49%
2003110.08%$13,4360.20%$12,8920.31%$12,3440.31%0.08%
2003121.23%$13,6021.06%$13,0291.23%$12,4961.23%0.90%
200411.74%$13,8391.49%$13,2231.74%$12,7141.74%1.23%
200421.96%$14,1102.07%$13,4971.96%$12,9631.96%2.18%
200431.50%$14,3221.47%$13,6961.45%$13,1501.45%1.50%
20044-4.69%$13,650-5.11%$12,996-5.52%$12,425-5.52%-4.69%
200451.72%$13,8850.58%$13,072-0.56%$12,355-0.56%1.72%
20046-0.02%$13,8820.42%$13,1270.87%$12,4630.87%-0.02%
200471.52%$14,0921.25%$13,2921.52%$12,6521.52%0.99%
200483.39%$14,5692.99%$13,6903.39%$13,0803.39%2.60%
200490.94%$14,7060.59%$13,7700.94%$13,2030.94%0.24%
2004101.46%$14,9211.17%$13,9311.46%$13,3951.46%0.88%
200411-2.25%$14,585-1.28%$13,753-2.25%$13,094-2.25%-0.32%
2004121.83%$14,8522.03%$14,0312.22%$13,3852.22%1.83%
200512.59%$15,2371.30%$14,2132.59%$13,7332.59%0.00%
20052-1.24%$15,048-0.86%$14,091-1.24%$13,562-1.24%-0.48%
200530.13%$15,068-0.31%$14,047-0.76%$13,460-0.76%0.13%
200541.84%$15,3462.53%$14,4033.22%$13,8943.22%1.84%
200552.55%$15,7371.63%$14,6382.55%$14,2482.55%0.71%
200561.64%$15,9960.99%$14,7821.64%$14,4821.64%0.33%
20057-2.58%$15,583-2.28%$14,445-2.58%$14,108-2.58%-1.99%
200582.19%$15,9242.53%$14,8102.87%$14,5142.87%2.19%
20059-2.78%$15,482-1.44%$14,598-2.78%$14,111-2.78%-0.09%
200510-1.28%$15,284-1.51%$14,377-1.74%$13,865-1.74%-1.28%
2005110.16%$15,3080.37%$14,4300.57%$13,9450.57%0.16%
2005122.33%$15,6651.72%$14,6792.33%$14,2702.33%1.11%
20061-0.90%$15,524-0.37%$14,625-0.90%$14,142-0.90%0.16%
20062-0.16%$15,4990.32%$14,6720.81%$14,2560.81%-0.16%
20063-3.39%$14,973-2.77%$14,266-3.39%$13,772-3.39%-2.14%
20064-0.08%$14,960-1.02%$14,120-1.96%$13,502-1.96%-0.08%
200650.25%$14,9980.11%$14,136-0.03%$13,498-0.03%0.25%
200660.31%$15,0440.51%$14,2080.71%$13,5940.71%0.31%
200671.84%$15,3211.73%$14,4541.84%$13,8441.84%1.62%
200682.74%$15,7402.21%$14,7732.74%$14,2232.74%1.68%
200691.58%$15,9890.88%$14,9031.58%$14,4471.58%0.18%
2006100.77%$16,1110.30%$14,9480.77%$14,5580.77%-0.17%
2006111.91%$16,4191.54%$15,1781.91%$14,8361.91%1.17%
200612-2.14%$16,068-2.23%$14,840-2.14%$14,519-2.14%-2.32%
20071-0.85%$15,932-0.34%$14,790-0.85%$14,396-0.85%0.17%
200722.03%$16,2562.48%$15,1572.93%$14,8172.93%2.03%
20073-1.13%$16,072-0.47%$15,085-1.13%$14,650-1.13%0.18%
200740.75%$16,1930.80%$15,2060.86%$14,7750.86%0.75%
20075-1.93%$15,881-1.59%$14,965-1.93%$14,490-1.93%-1.24%
20076-0.20%$15,849-0.54%$14,884-0.88%$14,362-0.88%-0.20%
200772.25%$16,2052.32%$15,2292.39%$14,7052.39%2.25%
200781.97%$16,5251.45%$15,4501.97%$14,9951.97%0.93%
200790.21%$16,5600.74%$15,5630.21%$15,0270.21%1.26%
2007101.17%$16,7541.28%$15,7631.40%$15,2371.40%1.17%
2007114.59%$17,5244.28%$16,4384.59%$15,9374.59%3.97%
200712-0.48%$17,440-0.31%$16,386-0.48%$15,861-0.48%-0.15%
200813.78%$18,0983.21%$16,9122.64%$16,2802.64%3.78%
200821.39%$18,3500.87%$17,0600.35%$16,3370.35%1.39%
200830.09%$18,3670.56%$17,1541.02%$16,5041.02%0.09%
20084-1.84%$18,029-1.96%$16,818-1.84%$16,200-1.84%-2.08%
20085-2.13%$17,645-1.02%$16,645-2.13%$15,855-2.13%0.08%
200861.90%$17,9811.85%$16,9531.80%$16,1411.80%1.90%
20087-0.55%$17,882-0.13%$16,9320.30%$16,1880.30%-0.55%
200881.80%$18,2041.18%$17,1311.80%$16,4801.80%0.55%
200890.28%$18,256-1.80%$16,8230.28%$16,5270.28%-3.88%
200810-3.63%$17,594-6.23%$15,775-3.63%$15,928-3.63%-8.83%
20081112.07%$19,7176.12%$16,74112.07%$17,85012.07%0.18%
2008128.87%$21,4657.05%$17,9218.87%$19,4328.87%5.23%
20091-8.47%$19,646-3.76%$17,248-8.47%$17,786-8.47%0.95%
20092-1.63%$19,326-1.32%$17,020-1.01%$17,607-1.01%-1.63%
200935.27%$20,3435.63%$17,9785.27%$18,5345.27%5.99%
20094-1.90%$19,957-3.44%$17,359-4.99%$17,609-4.99%-1.90%
200951.85%$20,326-0.41%$17,287-2.68%$17,138-2.68%1.85%
200960.33%$20,3930.52%$17,3760.70%$17,2580.70%0.33%
200970.80%$20,5570.44%$17,4530.80%$17,3960.80%0.08%
200981.68%$20,9021.38%$17,6931.68%$17,6891.68%1.07%
200991.98%$21,3171.93%$18,0341.98%$18,0401.98%1.87%
200910-1.45%$21,007-0.01%$18,033-1.45%$17,777-1.45%1.44%
2009112.76%$21,5862.33%$18,4531.91%$18,1161.91%2.76%
200912-2.23%$21,105-3.94%$17,725-5.66%$17,091-5.66%-2.23%
201011.51%$21,4242.09%$18,0952.66%$17,5462.66%1.51%
20102-0.21%$21,380-0.69%$17,970-0.21%$17,509-0.21%-1.18%
20103-1.51%$21,056-0.73%$17,838-1.51%$17,244-1.51%0.04%
201042.47%$21,5772.62%$18,3042.76%$17,7202.76%2.47%
201054.23%$22,4912.16%$18,6994.23%$18,4704.23%0.08%
201064.67%$23,5402.99%$19,2584.67%$19,3324.67%1.32%
20107-0.17%$23,500-0.12%$19,234-0.17%$19,299-0.17%-0.08%
201081.93%$23,9534.50%$20,1017.08%$20,6657.08%1.93%
20109-1.82%$23,517-0.56%$19,988-1.82%$20,288-1.82%0.70%
2010102.56%$24,119-0.36%$19,916-3.29%$19,621-3.29%2.56%
201011-1.69%$23,712-1.64%$19,588-1.60%$19,308-1.60%-1.69%
201012-3.58%$22,863-2.57%$19,086-3.58%$18,617-3.58%-1.55%
201110.00%$22,863-1.19%$18,859-2.38%$18,175-2.38%0.00%
201120.92%$23,0741.08%$19,0621.24%$18,3991.24%0.92%
201130.02%$23,0790.47%$19,1520.02%$18,4030.02%0.91%
201142.43%$23,6402.24%$19,5802.04%$18,7782.04%2.43%
201150.30%$23,7111.79%$19,9313.29%$19,3973.29%0.30%
20116-2.00%$23,237-0.67%$19,797-2.00%$19,009-2.00%0.65%
201173.87%$24,1384.03%$20,5944.18%$19,8044.18%3.87%
201188.68%$26,2334.77%$21,5778.68%$21,5238.68%0.86%
2011910.16%$28,8995.11%$22,68010.16%$23,71110.16%0.06%
201110-3.34%$27,935-0.70%$22,521-3.34%$22,920-3.34%1.93%
2011110.42%$28,0531.12%$22,7731.82%$23,3361.82%0.42%
2011123.13%$28,9321.67%$23,1523.13%$24,0673.13%0.20%
201210.08%$28,9551.14%$23,4160.08%$24,0860.08%2.20%
20122-0.42%$28,834-1.26%$23,120-2.11%$23,578-2.11%-0.42%
20123-1.07%$28,525-2.42%$22,560-3.77%$22,689-3.77%-1.07%
201242.05%$29,1083.21%$23,2844.37%$23,6814.37%2.05%
201257.79%$31,3754.79%$24,4007.79%$25,5257.79%1.80%
20126-1.44%$30,922-1.03%$24,148-1.44%$25,156-1.44%-0.62%
201271.85%$31,4942.59%$24,7723.32%$25,9923.32%1.85%
20128-1.06%$31,159-0.63%$24,616-1.06%$25,716-1.06%-0.20%
201290.49%$31,312-0.80%$24,418-2.10%$25,177-2.10%0.49%
2012100.67%$31,5230.12%$24,448-0.43%$25,068-0.43%0.67%
2012110.47%$31,6710.91%$24,6701.35%$25,4061.35%0.47%
201212-1.99%$31,042-1.28%$24,355-1.99%$24,901-1.99%-0.57%
20131-0.69%$30,828-1.98%$23,872-3.27%$24,086-3.27%-0.69%
201320.14%$30,8710.70%$24,0401.26%$24,3901.26%0.14%
201330.03%$30,8810.12%$24,0690.03%$24,3980.03%0.21%
201340.76%$31,1172.32%$24,6273.87%$25,3433.87%0.76%
20135-6.23%$29,178-5.25%$23,335-6.23%$23,764-6.23%-4.26%
20136-3.94%$28,028-3.60%$22,495-3.26%$22,990-3.26%-3.94%
20137-1.93%$27,487-0.52%$22,379-1.93%$22,547-1.93%0.90%
20138-1.71%$27,018-1.49%$22,045-1.28%$22,258-1.28%-1.71%
201390.88%$27,2551.28%$22,3260.88%$22,4530.88%1.68%
2013100.45%$27,3780.89%$22,5241.32%$22,7511.32%0.45%
201311-2.49%$26,696-1.77%$22,126-2.49%$22,184-2.49%-1.04%
201312-1.60%$26,269-1.99%$21,687-2.37%$21,658-2.37%-1.60%
201412.16%$26,8354.21%$22,5996.26%$23,0136.26%2.16%
201420.60%$26,9960.45%$22,7010.60%$23,1510.60%0.30%
201430.63%$27,1650.08%$22,7190.63%$23,2960.63%-0.47%
201441.82%$27,6591.59%$23,0801.82%$23,7201.82%1.36%
201452.73%$28,4142.37%$23,6272.73%$24,3672.73%2.01%
20146-0.16%$28,3690.08%$23,646-0.16%$24,329-0.16%0.31%
201470.00%$28,3690.30%$23,7160.59%$24,4730.59%0.00%
201484.23%$29,5692.37%$24,2784.23%$25,5084.23%0.51%
20149-1.99%$28,981-2.24%$23,736-1.99%$25,001-1.99%-2.49%
2014102.61%$29,7381.68%$24,1352.61%$25,6542.61%0.75%
2014112.86%$30,5901.58%$24,5162.86%$26,3892.86%0.30%
2014122.82%$31,4510.96%$24,7502.82%$27,1322.82%-0.91%
201518.97%$34,2716.04%$26,2458.97%$29,5658.97%3.11%
20152-5.66%$32,332-3.53%$25,319-5.66%$27,892-5.66%-1.40%
20153-0.42%$32,1960.35%$25,4081.13%$28,2061.13%-0.42%
20154-3.07%$31,208-1.20%$25,104-3.07%$27,341-3.07%0.67%
20155-1.04%$30,883-1.60%$24,702-2.16%$26,750-2.16%-1.04%
20156-0.90%$30,604-2.31%$24,130-3.73%$25,753-3.73%-0.90%
201570.46%$30,7432.33%$24,6934.21%$26,8374.21%0.46%
20158-0.71%$30,524-0.81%$24,493-0.71%$26,645-0.71%-0.91%
201591.91%$31,1070.73%$24,6711.91%$27,1541.91%-0.46%
201510-0.48%$30,958-0.12%$24,640-0.48%$27,024-0.48%0.23%
201511-0.15%$30,911-0.48%$24,522-0.81%$26,806-0.81%-0.15%
201512-0.95%$30,617-0.65%$24,363-0.34%$26,715-0.34%-0.95%
201615.24%$32,2203.40%$25,1915.24%$28,1145.24%1.56%
201622.86%$33,1421.97%$25,6862.86%$28,9182.86%1.07%
201630.05%$33,1590.97%$25,9370.05%$28,9330.05%1.90%
201640.15%$33,208-0.24%$25,875-0.63%$28,751-0.63%0.15%
20165-0.67%$32,9860.01%$25,8770.69%$28,9490.69%-0.67%
201666.57%$35,1544.42%$27,0206.57%$30,8516.57%2.26%
201672.01%$35,8601.33%$27,3802.01%$31,4712.01%0.66%
20168-1.00%$35,502-0.72%$27,184-1.00%$31,156-1.00%-0.44%
201690.73%$35,761-0.29%$27,104-1.32%$30,746-1.32%0.73%
201610-0.51%$35,579-2.37%$26,462-4.23%$29,445-4.23%-0.51%
201611-2.04%$34,853-4.95%$25,152-7.86%$27,131-7.86%-2.04%
201612-0.16%$34,797-0.26%$25,087-0.35%$27,036-0.35%-0.16%
201711.00%$35,1460.82%$25,2940.65%$27,2110.65%1.00%
201720.38%$35,2800.98%$25,5411.57%$27,6371.57%0.38%
20173-0.59%$35,072-0.29%$25,467-0.59%$27,475-0.59%0.01%
201740.46%$35,2321.02%$25,7261.58%$27,9091.58%0.46%
201751.73%$35,8410.86%$25,9491.73%$28,3921.73%0.00%
201760.63%$36,069-0.16%$25,9070.63%$28,5720.63%-0.95%
20177-0.59%$35,855-0.03%$25,900-0.59%$28,403-0.59%0.54%
201780.91%$36,1822.09%$26,4423.27%$29,3333.27%0.91%
20179-2.27%$35,361-1.49%$26,048-2.27%$28,667-2.27%-0.71%
2017100.23%$35,4420.11%$26,075-0.02%$28,661-0.02%0.23%
2017110.08%$35,4700.35%$26,1680.63%$28,8430.63%0.08%
2017121.78%$36,1011.32%$26,5141.78%$29,3561.78%0.86%
20181-3.40%$34,872-2.16%$25,940-3.40%$28,357-3.40%-0.92%
20182-0.93%$34,548-1.91%$25,446-2.89%$27,539-2.89%-0.93%
201830.92%$34,8671.84%$25,9132.75%$28,2972.75%0.92%
20184-2.04%$34,157-1.06%$25,639-2.04%$27,721-2.04%-0.08%
201850.23%$34,2361.01%$25,8991.79%$28,2181.79%0.23%
201860.66%$34,4620.68%$26,0740.66%$28,4040.66%0.69%
20187-0.54%$34,275-0.91%$25,836-1.28%$28,040-1.28%-0.54%
201880.62%$34,4890.90%$26,0701.18%$28,3721.18%0.62%
20189-2.74%$33,543-1.84%$25,589-2.74%$27,594-2.74%-0.95%
201810-1.42%$33,067-2.12%$25,047-2.82%$26,817-2.82%-1.42%
2018110.40%$33,1991.09%$25,3211.78%$27,2951.78%0.40%
2018125.50%$35,0263.00%$26,0815.50%$28,7975.50%0.50%

Risk and Return Metrics

MetricMomentum ModelEqual Weight PortfolioVanguard Long-Term Treasury Inv
Arithmetic Mean (monthly)0.62%0.47%0.54%
Arithmetic Mean (annualized)7.66%5.77%6.66%
Geometric Mean (monthly)0.58%0.44%0.49%
Geometric Mean (annualized)7.21%5.47%6.05%
Standard Deviation (monthly)2.69%2.20%3.11%
Standard Deviation (annualized)9.31%7.61%10.77%
Downside Deviation (monthly)1.43%1.33%1.85%
Maximum Drawdown-17.06%-12.46%-16.68%
Stock Market Correlation-0.27-0.21-0.31
Beta(*)0.790.671.00
Alpha (annualized)2.32%1.27%-0.00%
R283.16%91.04%100.00%
Sharpe Ratio0.650.560.47
Sortino Ratio1.180.890.77
Treynor Ratio (%)7.636.275.07
Calmar Ratio0.530.270.17
Active Return1.16%-0.58%N/A
Tracking Error4.45%4.18%N/A
Information Ratio0.26-0.14N/A
Skewness0.71-0.080.27
Excess Kurtosis2.890.851.38
Historical Value-at-Risk (5%)3.35%2.96%3.79%
Analytical Value-at-Risk (5%)3.80%3.15%4.58%
Conditional Value-at-Risk (5%)4.77%4.54%6.00%
Upside Capture Ratio (%)82.4972.12100.00
Downside Capture Ratio (%)67.0466.44100.00
Safe Withdrawal Rate9.48%8.21%8.29%
Perpetual Withdrawal Rate4.81%3.23%3.76%
Positive Periods131 out of 216 (60.65%)131 out of 216 (60.65%)127 out of 216 (58.80%)
Gain/Loss Ratio1.211.131.11
* Vanguard Long-Term Treasury 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 Long-Term Treasury Inv
Subprime CrisisNov 2007Mar 2009-9.97%-8.04%-9.39%

Drawdowns for Momentum Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2012Dec 20131 year 1 monthJan 20151 year 1 month2 years 2 months-17.06%
2Feb 2015Aug 20157 monthsJun 201610 months1 year 5 months-10.93%
3Jan 2009Feb 20092 monthsNov 20099 months11 months-9.97%
4Sep 2017Oct 20181 year 2 months-8.61%
5Jul 2005Apr 200610 monthsOct 20066 months1 year 4 months-6.47%
6Nov 2001Dec 20012 monthsJul 20027 months9 months-5.98%
7Jun 2003Jul 20032 monthsFeb 20047 months9 months-5.89%
8Nov 2010Dec 20102 monthsJul 20117 months9 months-5.21%
9Apr 2004Apr 20041 monthAug 20044 months5 months-4.69%
10Apr 2008Oct 20087 monthsNov 20081 month8 months-4.21%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-12.46%
2Aug 2016Oct 20182 years 3 months-8.52%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-8.06%
4Apr 2008Oct 20087 monthsDec 20082 months9 months-8.04%
5Jun 2003Jul 20032 monthsFeb 20047 months9 months-7.63%
6Sep 2010Jan 20115 monthsJul 20116 months11 months-6.18%
7Apr 2004Apr 20041 monthSep 20045 months6 months-5.11%
8Nov 2001Dec 20012 monthsJun 20026 months8 months-5.08%
9Jan 2009Feb 20092 monthsMar 20091 month3 months-5.03%
10Sep 2005Apr 20068 monthsSep 20065 months1 year 1 month-4.66%
Worst 10 drawdowns included above

Drawdowns for Vanguard Long-Term Treasury Inv

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 months-14.79%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
6Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
7Nov 2001Mar 20025 monthsJul 20024 months9 months-8.18%
8Sep 2005May 20069 monthsOct 20065 months1 year 2 months-7.00%
9Feb 2012Mar 20122 monthsMay 20122 months4 months-5.80%
10Apr 2008May 20082 monthsSep 20084 months6 months-3.93%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodMomentum ModelEqual Weight PortfolioVanguard Long-Term Treasury Inv
AverageHighLowAverageHighLowAverageHighLow
1 year7.53%33.07%-15.71%5.63%24.16%-10.96%6.40%32.53%-13.45%
3 years7.51%16.66%-0.81%5.61%12.60%-0.39%6.43%14.32%-1.38%
5 years7.42%14.59%1.88%5.62%10.27%0.81%6.53%12.07%1.79%
7 years7.90%11.03%2.15%5.94%8.27%1.53%6.85%9.41%2.19%
10 years8.02%10.72%5.02%5.98%8.24%3.82%6.86%9.08%4.01%
15 years7.43%8.53%6.11%5.57%6.64%4.54%6.39%7.81%5.22%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Model Selections

#StartEndMonthsAssetsAsset PerformanceMomentum ModelEqual Weight PortfolioVanguard Long-Term Treasury Inv
110Jan 2019Jan 20191Please sign-in for forward signals----
109Dec 2018Dec 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.50%5.50%3.00%5.50%
108Oct 2018Nov 20182100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.02%-1.02%-1.05%-1.08%
107Sep 2018Sep 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.74%-2.74%-1.84%-2.74%
106Jul 2018Aug 20182100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.08%0.08%-0.02%-0.11%
105Jun 2018Jun 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.66%0.66%0.68%0.66%
104May 2018May 20181100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.23%0.23%1.01%1.79%
103Apr 2018Apr 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.04%-2.04%-1.06%-2.04%
102Feb 2018Mar 20182100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.02%-0.02%-0.10%-0.21%
101Dec 2017Jan 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.68%-1.68%-0.87%-1.68%
100Oct 2017Nov 20172100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.31%0.31%0.46%0.61%
99Sep 2017Sep 20171100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.27%-2.27%-1.49%-2.27%
98Aug 2017Aug 20171100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.91%0.91%2.09%3.27%
97May 2017Jul 20173100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.77%1.77%0.67%1.77%
96Apr 2017Apr 20171100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.46%0.46%1.02%1.58%
95Mar 2017Mar 20171100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.59%-0.59%-0.29%-0.59%
94Sep 2016Feb 20176100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.62%-0.62%-6.04%-11.29%
93Jun 2016Aug 20163100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.63%7.63%5.05%7.63%
92Apr 2016May 20162100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.52%-0.52%-0.23%0.05%
91Jan 2016Mar 20163100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.30%8.30%6.46%8.30%
90Nov 2015Dec 20152100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.10%-1.10%-1.12%-1.14%
89Aug 2015Oct 20153100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.70%0.70%-0.21%0.70%
88May 2015Jul 20153100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.49%-1.49%-1.64%-1.84%
87Apr 2015Apr 20151100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.07%-3.07%-1.20%-3.07%
86Mar 2015Mar 20151100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.42%-0.42%0.35%1.13%
85Aug 2014Feb 20157100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 13.97%13.97%6.76%13.97%
84Jul 2014Jul 20141100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.00%0.00%0.30%0.59%
83Feb 2014Jun 20145100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.72%5.72%4.63%5.72%
82Dec 2013Jan 20142100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.52%0.52%2.14%3.74%
81Nov 2013Nov 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.49%-2.49%-1.77%-2.49%
80Oct 2013Oct 20131100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.45%0.45%0.89%1.32%
79Sep 2013Sep 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.88%0.88%1.28%0.88%
78Aug 2013Aug 20131100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.71%-1.71%-1.49%-1.28%
77Jul 2013Jul 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.93%-1.93%-0.52%-1.93%
76Jun 2013Jun 20131100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -3.94%-3.94%-3.60%-3.26%
75May 2013May 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -6.23%-6.23%-5.25%-6.23%
74Apr 2013Apr 20131100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.76%0.76%2.32%3.87%
73Mar 2013Mar 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.03%0.03%0.12%0.03%
72Jan 2013Feb 20132100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.55%-0.55%-1.29%-2.05%
71Dec 2012Dec 20121100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.99%-1.99%-1.28%-1.99%
70Sep 2012Nov 20123100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.64%1.64%0.22%-1.21%
69Aug 2012Aug 20121100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.06%-1.06%-0.63%-1.06%
68Jul 2012Jul 20121100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.85%1.85%2.59%3.32%
67May 2012Jun 20122100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 6.23%6.23%3.71%6.23%
66Feb 2012Apr 20123100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.53%0.53%-0.56%-1.68%
65Dec 2011Jan 20122100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.21%3.21%2.82%3.21%
64Nov 2011Nov 20111100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.42%0.42%1.12%1.82%
63Aug 2011Oct 20113100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 15.73%15.73%9.36%15.73%
62Jul 2011Jul 20111100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 3.87%3.87%4.03%4.18%
61Jun 2011Jun 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.00%-2.00%-0.67%-2.00%
60Apr 2011May 20112100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.74%2.74%4.07%5.40%
59Mar 2011Mar 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.02%0.02%0.47%0.02%
58Jan 2011Feb 20112100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.92%0.92%-0.12%-1.17%
57Dec 2010Dec 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.58%-3.58%-2.57%-3.58%
56Oct 2010Nov 20102100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.83%0.83%-2.00%-4.83%
55Sep 2010Sep 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.82%-1.82%-0.56%-1.82%
54Aug 2010Aug 20101100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.93%1.93%4.50%7.08%
53May 2010Jul 20103100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.91%8.91%5.08%8.91%
52Apr 2010Apr 20101100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.47%2.47%2.62%2.76%
51Feb 2010Mar 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.72%-1.72%-1.42%-1.72%
50Nov 2009Jan 20103100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.99%1.99%0.35%-1.30%
49Jul 2009Oct 20094100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.01%3.01%3.78%3.01%
48Apr 2009Jun 20093100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.25%0.25%-3.35%-6.88%
47Mar 2009Mar 20091100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.27%5.27%5.63%5.27%
46Feb 2009Feb 20091100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.63%-1.63%-1.32%-1.01%
45Aug 2008Jan 20096100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.87%9.87%1.87%9.87%
44Jun 2008Jul 20082100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.34%1.34%1.72%2.10%
43Apr 2008May 20082100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.93%-3.93%-2.97%-3.93%
42Jan 2008Mar 20083100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 5.31%5.31%4.69%4.05%
41Nov 2007Dec 20072100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.09%4.09%3.95%4.09%
40Oct 2007Oct 20071100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.17%1.17%1.28%1.40%
39Aug 2007Sep 20072100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.19%2.19%2.20%2.19%
38Jun 2007Jul 20072100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.04%2.04%1.76%1.48%
37May 2007May 20071100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.93%-1.93%-1.59%-1.93%
36Apr 2007Apr 20071100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.75%0.75%0.80%0.86%
35Mar 2007Mar 20071100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.13%-1.13%-0.47%-1.13%
34Feb 2007Feb 20071100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.03%2.03%2.48%2.93%
33Jul 2006Jan 20077100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.90%5.90%4.10%5.90%
32Apr 2006Jun 20063100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.48%0.48%-0.41%-1.29%
31Mar 2006Mar 20061100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.39%-3.39%-2.77%-3.39%
30Feb 2006Feb 20061100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.16%-0.16%0.32%0.81%
29Dec 2005Jan 20062100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.41%1.41%1.35%1.41%
28Oct 2005Nov 20052100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.12%-1.12%-1.15%-1.17%
27Sep 2005Sep 20051100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.78%-2.78%-1.44%-2.78%
26Aug 2005Aug 20051100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.19%2.19%2.53%2.87%
25May 2005Jul 20053100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.54%1.54%0.29%1.54%
24Mar 2005Apr 20052100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.98%1.98%2.22%2.44%
23Jan 2005Feb 20052100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.32%1.32%0.43%1.32%
22Dec 2004Dec 20041100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.83%1.83%2.03%2.22%
21Jul 2004Nov 20045100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.06%5.06%4.76%5.06%
20Mar 2004Jun 20044100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -1.62%-1.62%-2.74%-3.86%
19Dec 2003Feb 20043100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.02%5.02%4.69%5.02%
18Nov 2003Nov 20031100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.08%0.08%0.20%0.31%
17Oct 2003Oct 20031100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.58%-2.58%-1.05%-2.58%
16Jul 2003Sep 20033100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 0.24%0.24%-1.14%-2.57%
15Apr 2003Jun 20033100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.05%5.05%4.26%5.05%
14Feb 2003Mar 20032100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.02%2.02%1.94%1.86%
13Jan 2003Jan 20031100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.45%-0.45%0.07%-0.45%
12Nov 2002Dec 20022100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 3.45%3.45%3.25%3.04%
11Jul 2002Oct 20024100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.48%8.48%6.72%8.48%
10Jun 2002Jun 20021100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.34%1.34%1.55%1.76%
9May 2002May 20021100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.39%0.39%0.96%0.39%
8Mar 2002Apr 20022100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 2.13%2.13%0.94%-0.27%
7Feb 2002Feb 20021100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.24%1.24%1.42%1.24%
6Dec 2001Jan 20022100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: -0.49%-0.49%-0.61%-0.73%
5Jul 2001Nov 20015100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 6.52%6.52%4.43%6.52%
4Apr 2001Jun 20013100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.58%1.58%-0.02%-1.62%
3Mar 2001Mar 20011100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.60%-0.60%0.16%-0.60%
2Feb 2001Feb 20011100.00% Vanguard Inflation-Protected Secs Inv (VIPSX)VIPSX: 1.71%1.71%1.75%1.80%
1Jan 2001Jan 20011100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.28%0.28%1.11%0.28%