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.

Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Momentum Model$10,000$92,14111.15%15.35%46.68%-38.07%-51.33% 0.640.960.93
Equal Weight Portfolio$10,000$50,5618.02%14.62%36.33%-35.78%-49.91% 0.470.680.97
Vanguard 500 Index Investor$10,000$37,5966.51%14.88%32.18%-37.02%-50.97% 0.370.520.99

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Momentum Model-13.55%-6.36%-6.36%8.78%7.66%14.19%11.15%11.49%11.55%
Equal Weight Portfolio-14.03%-7.57%-7.57%8.32%7.10%13.02%8.02%11.00%10.72%
Vanguard 500 Index Investor-13.55%-4.52%-4.52%9.11%8.34%12.97%6.51%10.96%10.95%
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 Market1273516278%0.67%-1.00%0.31%
Down Market63279070%1.10%-1.05%0.46%
Total1906225275%0.82%-1.02%0.36%

Active Return Confidence

Annual Returns

YearInflationMomentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)T. Rowe Price Mid-Cap Value (TRMCX)
ReturnBalanceReturnBalanceReturnBalance
19981.61%28.62%$12,86214.31%$11,43128.62%$12,86228.62%1.39%
19992.68%21.07%$15,57112.20%$12,82621.07%$15,57121.07%3.52%
20003.39%10.81%$17,2555.94%$13,587-9.06%$14,161-9.06%22.75%
20011.55%14.36%$19,7330.51%$13,657-12.02%$12,459-12.02%14.36%
20022.38%-7.38%$18,277-14.98%$11,610-22.15%$9,700-22.15%-7.38%
20031.88%34.00%$24,49233.72%$15,52528.50%$12,46428.50%39.00%
20043.26%20.56%$29,52715.57%$17,94210.74%$13,80310.74%20.56%
20053.42%7.73%$31,8116.26%$19,0654.77%$14,4624.77%7.73%
20062.54%20.24%$38,24817.92%$22,48215.64%$16,72415.64%20.24%
20074.08%3.16%$39,4583.00%$23,1585.39%$17,6255.39%0.60%
20080.09%-38.07%$24,435-35.78%$14,871-37.02%$11,100-37.02%-34.57%
20092.72%46.68%$35,84136.33%$20,27426.49%$14,04026.49%46.68%
20101.50%15.57%$41,42215.70%$23,45814.91%$16,13414.91%16.45%
20112.96%-0.86%$41,065-1.47%$23,1131.97%$16,4511.97%-4.82%
20121.74%19.05%$48,88817.72%$27,21015.82%$19,05415.82%19.63%
20131.50%30.32%$63,71031.87%$35,88232.18%$25,18532.18%31.54%
20140.76%10.85%$70,62012.07%$40,21313.51%$28,58713.51%10.60%
20150.73%1.37%$71,586-1.07%$39,7821.25%$28,9441.25%-3.41%
20162.07%18.32%$84,70117.95%$46,92311.82%$32,36511.82%24.32%
20172.11%16.18%$98,40216.58%$54,70421.67%$39,37721.67%11.64%
20181.91%-6.36%$92,141-7.57%$50,561-4.52%$37,596-4.52%-10.61%

Monthly Returns

YearMonthMomentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)T. Rowe Price Mid-Cap Value (TRMCX)
ReturnBalanceReturnBalanceReturnBalance
199811.11%$10,111-0.07%$9,9931.11%$10,1111.11%-1.24%
199827.19%$10,8386.19%$10,6117.19%$10,8387.19%5.18%
199835.10%$11,3915.08%$11,1515.10%$11,3915.10%5.06%
199841.01%$11,5060.57%$11,2141.01%$11,5061.01%0.13%
19985-1.74%$11,306-2.26%$10,960-1.74%$11,306-1.74%-2.78%
199864.07%$11,7661.97%$11,1764.07%$11,7664.07%-0.13%
19987-1.05%$11,642-3.65%$10,768-1.05%$11,642-1.05%-6.25%
19988-14.47%$9,957-13.98%$9,263-14.47%$9,957-14.47%-13.48%
199896.41%$10,5955.05%$9,7316.41%$10,5956.41%3.69%
1998108.16%$11,4606.56%$10,3698.16%$11,4608.16%4.96%
1998116.07%$12,1565.29%$10,9176.07%$12,1566.07%4.50%
1998125.81%$12,8624.71%$11,4315.81%$12,8625.81%3.61%
199914.20%$13,4020.13%$11,4454.20%$13,4024.20%-3.95%
19992-3.12%$12,984-3.16%$11,083-3.12%$12,984-3.12%-3.20%
199934.00%$13,5023.02%$11,4184.00%$13,5024.00%2.05%
199943.85%$14,0236.48%$12,1583.85%$14,0233.85%9.10%
19995-2.39%$13,688-1.51%$11,974-2.39%$13,688-2.39%-0.64%
199965.56%$14,4484.81%$12,5495.56%$14,4485.56%4.06%
19997-3.13%$13,996-2.39%$12,250-3.13%$13,996-3.13%-1.64%
19998-0.50%$13,926-1.85%$12,024-0.50%$13,926-0.50%-3.20%
19999-2.74%$13,545-1.30%$11,868-2.74%$13,545-2.74%0.14%
1999106.33%$14,4023.02%$12,2266.33%$14,4026.33%-0.29%
1999112.02%$14,6930.54%$12,2932.02%$14,6932.02%-0.94%
1999125.98%$15,5714.34%$12,8265.98%$15,5715.98%2.70%
20001-5.03%$14,788-4.80%$12,210-5.03%$14,788-5.03%-4.56%
20002-1.91%$14,506-2.44%$11,912-1.91%$14,506-1.91%-2.98%
200039.75%$15,92110.89%$13,2109.75%$15,9219.75%12.04%
20004-3.00%$15,443-1.82%$12,969-3.00%$15,443-3.00%-0.65%
20005-2.04%$15,128-0.62%$12,888-2.04%$15,128-2.04%0.80%
20006-1.22%$14,9430.64%$12,9702.49%$15,5062.49%-1.22%
20007-1.50%$14,7190.27%$13,006-1.50%$15,274-1.50%2.04%
200085.07%$15,4665.63%$13,7386.19%$16,2196.19%5.07%
200090.48%$15,539-2.41%$13,407-5.29%$15,361-5.29%0.48%
2000102.37%$15,9070.97%$13,537-0.43%$15,295-0.43%2.37%
200011-0.59%$15,813-4.24%$12,963-7.89%$14,089-7.89%-0.59%
2000129.12%$17,2554.82%$13,5870.51%$14,1610.51%9.12%
200112.05%$17,6082.80%$13,9673.55%$14,6633.55%2.05%
20012-0.56%$17,508-4.85%$13,290-9.14%$13,323-9.14%-0.56%
20013-3.53%$16,891-4.94%$12,633-6.36%$12,477-6.36%-3.53%
200146.40%$17,9727.09%$13,5287.77%$13,4467.77%6.40%
200153.38%$18,5792.01%$13,8000.65%$13,5330.65%3.38%
20016-0.36%$18,512-1.40%$13,607-2.45%$13,202-2.45%-0.36%
200170.72%$18,645-0.14%$13,588-1.00%$13,070-1.00%0.72%
20018-0.89%$18,479-3.58%$13,101-6.27%$12,250-6.27%-0.89%
20019-8.96%$16,824-8.52%$11,985-8.09%$11,259-8.09%-8.96%
2001103.41%$17,3982.65%$12,3021.90%$11,4731.90%3.41%
2001117.61%$18,7227.63%$13,2417.65%$12,3517.65%7.61%
2001125.40%$19,7333.14%$13,6570.87%$12,4590.87%5.40%
200211.77%$20,0820.15%$13,677-1.47%$12,275-1.47%1.77%
200221.26%$20,334-0.34%$13,630-1.94%$12,037-1.94%1.26%
200236.86%$21,7305.30%$14,3533.74%$12,4883.74%6.86%
20024-0.50%$21,622-3.29%$13,882-6.07%$11,729-6.07%-0.50%
200250.89%$21,8140.07%$13,891-0.75%$11,641-0.75%0.89%
20026-6.84%$20,322-6.99%$12,920-7.13%$10,810-7.13%-6.84%
20027-9.65%$18,361-8.68%$11,798-7.72%$9,976-7.72%-9.65%
200280.85%$18,5180.75%$11,8870.65%$10,0410.65%0.85%
20029-9.23%$16,809-10.05%$10,692-10.87%$8,949-10.87%-9.23%
2002105.65%$17,7607.22%$11,4648.78%$9,7358.78%5.65%
2002116.23%$18,8676.05%$12,1585.88%$10,3075.88%6.23%
200212-3.12%$18,277-4.51%$11,610-5.89%$9,700-5.89%-3.12%
20031-1.67%$17,973-2.15%$11,361-2.62%$9,445-2.62%-1.67%
20032-4.20%$17,217-2.86%$11,036-1.52%$9,302-1.52%-4.20%
20033-0.07%$17,2050.44%$11,0850.96%$9,3910.96%-0.07%
200348.25%$18,6257.74%$11,9438.25%$10,1668.25%7.22%
200355.26%$19,6067.75%$12,8685.26%$10,7015.26%10.24%
200361.68%$19,9341.47%$13,0571.26%$10,8361.26%1.68%
200372.95%$20,5222.35%$13,3641.74%$11,0251.74%2.95%
200383.55%$21,2502.74%$13,7301.93%$11,2381.93%3.55%
20039-1.66%$20,898-1.36%$13,542-1.07%$11,117-1.07%-1.66%
2003107.87%$22,5426.76%$14,4575.64%$11,7445.64%7.87%
2003112.29%$23,0591.58%$14,6860.86%$11,8460.86%2.29%
2003126.21%$24,4925.72%$15,5255.22%$12,4645.22%6.21%
200412.36%$25,0702.09%$15,8501.82%$12,6911.82%2.36%
200423.60%$25,9732.49%$16,2441.38%$12,8661.38%3.60%
20043-1.34%$25,624-1.43%$16,012-1.51%$12,671-1.51%-1.34%
20044-1.79%$25,166-1.68%$15,743-1.58%$12,472-1.58%-1.79%
200451.82%$25,6241.59%$15,9931.36%$12,6411.36%1.82%
200463.05%$26,4062.49%$16,3911.93%$12,8851.93%3.05%
20047-3.24%$25,551-3.27%$15,855-3.31%$12,458-3.31%-3.24%
200480.52%$25,6840.45%$15,9260.38%$12,5060.38%0.52%
200493.14%$26,4912.10%$16,2611.07%$12,6391.07%3.14%
2004101.82%$26,9721.67%$16,5321.51%$12,8311.51%1.82%
2004115.80%$28,5384.92%$17,3464.05%$13,3504.05%5.80%
2004123.47%$29,5273.43%$17,9423.39%$13,8033.39%3.47%
20051-3.52%$28,487-2.99%$17,405-2.45%$13,464-2.45%-3.52%
200521.94%$29,0392.02%$17,7562.09%$13,7462.09%1.94%
20053-0.31%$28,949-1.03%$17,573-1.76%$13,504-1.76%-0.31%
20054-3.19%$28,025-2.55%$17,124-1.91%$13,246-1.91%-3.19%
200553.90%$29,1163.53%$17,7293.17%$13,6663.17%3.90%
200561.90%$29,6691.01%$17,9080.13%$13,6830.13%1.90%
200574.46%$30,9924.08%$18,6393.71%$14,1903.71%4.46%
20058-1.41%$30,555-1.16%$18,423-0.91%$14,060-0.91%-1.41%
200590.08%$30,5810.44%$18,5040.79%$14,1720.79%0.08%
200510-2.31%$29,874-1.99%$18,135-1.68%$13,934-1.68%-2.31%
2005114.73%$31,2874.25%$18,9053.76%$14,4593.76%4.73%
2005121.68%$31,8110.85%$19,0650.02%$14,4620.02%1.68%
200613.89%$33,0493.27%$19,6882.65%$14,8452.65%3.89%
200620.12%$33,0900.19%$19,7260.26%$14,8840.26%0.12%
200631.89%$33,7161.56%$20,0341.23%$15,0671.23%1.89%
200641.90%$34,3551.62%$20,3581.33%$15,2681.33%1.90%
20065-2.57%$33,471-2.74%$19,801-2.90%$14,825-2.90%-2.57%
20066-0.28%$33,376-0.08%$19,7860.13%$14,8440.13%-0.28%
200670.00%$33,3760.30%$19,8460.61%$14,9340.61%0.00%
200682.94%$34,3552.65%$20,3712.36%$15,2872.36%2.94%
200692.30%$35,1452.43%$20,8662.56%$15,6792.56%2.30%
2006103.41%$36,3423.33%$21,5613.25%$16,1893.25%3.41%
2006113.33%$37,5532.61%$22,1241.89%$16,4951.89%3.33%
2006121.85%$38,2481.62%$22,4821.39%$16,7241.39%1.85%
200711.77%$38,9251.63%$22,8491.49%$16,9741.49%1.77%
200721.01%$39,317-0.48%$22,739-1.97%$16,640-1.97%1.01%
200730.04%$39,3320.57%$22,8701.11%$16,8251.11%0.04%
200743.83%$40,8364.12%$23,8134.42%$17,5684.42%3.83%
200753.98%$42,4613.73%$24,7003.48%$18,1793.48%3.98%
20076-0.67%$42,175-1.17%$24,410-1.68%$17,874-1.68%-0.67%
20077-6.28%$39,527-4.68%$23,267-3.08%$17,323-3.08%-6.28%
20078-0.42%$39,3620.54%$23,3931.50%$17,5821.50%-0.42%
200793.72%$40,8272.93%$24,0793.72%$18,2373.72%2.14%
2007101.58%$41,4721.20%$24,3681.58%$18,5251.58%0.82%
200711-4.19%$39,736-4.04%$23,383-4.19%$17,749-4.19%-3.90%
200712-0.70%$39,458-0.96%$23,158-0.70%$17,625-0.70%-1.23%
20081-6.02%$37,084-4.54%$22,105-6.02%$16,565-6.02%-3.07%
20082-3.25%$35,878-3.03%$21,436-3.25%$16,026-3.25%-2.80%
20083-0.44%$35,720-0.60%$21,308-0.44%$15,956-0.44%-0.76%
200844.24%$37,2344.55%$22,2774.85%$16,7304.85%4.24%
200851.29%$37,7151.88%$22,6951.29%$16,9461.29%2.47%
20086-7.98%$34,705-8.21%$20,832-8.44%$15,516-8.44%-7.98%
20087-0.10%$34,672-0.46%$20,736-0.83%$15,387-0.83%-0.10%
200881.94%$35,3441.69%$21,0871.45%$15,6101.45%1.94%
20089-8.33%$32,402-8.62%$19,270-8.91%$14,220-8.91%-8.33%
200810-19.62%$26,046-18.20%$15,762-16.79%$11,832-16.79%-19.62%
200811-7.17%$24,177-7.69%$14,550-7.17%$10,983-7.17%-8.20%
2008121.07%$24,4352.20%$14,8711.07%$11,1001.07%3.34%
20091-7.29%$22,654-7.85%$13,704-8.41%$10,166-8.41%-7.29%
20092-8.77%$20,668-9.71%$12,373-10.66%$9,083-10.66%-8.77%
200939.36%$22,6039.06%$13,4948.76%$9,8798.76%9.36%
2009416.67%$26,37013.11%$15,2639.56%$10,8239.56%16.67%
200954.81%$27,6375.21%$16,0595.62%$11,4315.62%4.81%
200960.87%$27,8770.54%$16,1460.22%$11,4560.22%0.87%
200979.15%$30,4288.37%$17,4977.58%$12,3247.58%9.15%
200985.51%$32,1064.56%$18,2943.60%$12,7683.60%5.51%
200996.24%$34,1104.98%$19,2053.72%$13,2423.72%6.24%
200910-4.62%$32,535-3.24%$18,582-1.87%$12,995-1.87%-4.62%
2009115.16%$34,2135.57%$19,6175.98%$13,7725.98%5.16%
2009124.76%$35,8413.35%$20,2741.95%$14,0401.95%4.76%
20101-3.33%$34,647-3.47%$19,571-3.60%$13,534-3.60%-3.33%
201023.25%$35,7713.17%$20,1913.09%$13,9523.09%3.25%
201036.33%$38,0376.17%$21,4386.01%$14,7916.01%6.33%
201043.77%$39,4732.68%$22,0121.58%$15,0251.58%3.77%
20105-6.92%$36,740-7.46%$20,369-8.01%$13,822-8.01%-6.92%
20106-6.69%$34,284-5.96%$19,154-5.24%$13,098-5.24%-6.69%
201076.26%$36,4296.63%$20,4247.00%$14,0147.00%6.26%
20108-5.22%$34,526-4.88%$19,428-4.53%$13,379-4.53%-5.22%
201099.57%$37,8309.24%$21,2238.92%$14,5738.92%9.57%
2010102.06%$38,6082.92%$21,8443.79%$15,1253.79%2.06%
2010110.00%$38,6080.38%$21,9270.00%$15,1250.00%0.76%
2010127.29%$41,4226.98%$23,4586.67%$16,1346.67%7.29%
201112.36%$42,3991.98%$23,9222.36%$16,5142.36%1.60%
201123.42%$43,8473.60%$24,7823.42%$17,0783.42%3.78%
201130.32%$43,9880.17%$24,8250.03%$17,0830.03%0.32%
201142.95%$45,2842.73%$25,5032.95%$17,5862.95%2.51%
20115-1.15%$44,766-0.90%$25,273-1.15%$17,385-1.15%-0.66%
20116-1.67%$44,017-1.74%$24,834-1.67%$17,094-1.67%-1.80%
20117-2.05%$43,116-2.02%$24,332-2.05%$16,744-2.05%-1.99%
20118-8.34%$39,520-6.89%$22,655-5.45%$15,832-5.45%-8.34%
20119-7.04%$36,737-7.56%$20,942-7.04%$14,717-7.04%-8.08%
20111010.91%$40,74610.48%$23,13610.91%$16,32310.91%10.04%
201111-0.23%$40,651-0.78%$22,957-0.23%$16,285-0.23%-1.32%
2011121.02%$41,0650.68%$23,1131.02%$16,4511.02%0.34%
201214.46%$42,8984.78%$24,2184.46%$17,1864.46%5.10%
201224.31%$44,7464.22%$25,2414.31%$17,9264.31%4.14%
201233.28%$46,2142.56%$25,8873.28%$18,5143.28%1.84%
20124-0.64%$45,918-0.61%$25,728-0.64%$18,396-0.64%-0.59%
20125-6.02%$43,155-6.41%$24,080-6.02%$17,288-6.02%-6.79%
201264.11%$44,9284.30%$25,1144.11%$17,9994.11%4.48%
201271.37%$45,5441.68%$25,5361.37%$18,2451.37%1.99%
201282.24%$46,5642.84%$26,2622.24%$18,6542.24%3.44%
201292.58%$47,7632.62%$26,9512.58%$19,1352.58%2.67%
201210-0.48%$47,534-1.17%$26,635-1.86%$18,779-1.86%-0.48%
2012110.80%$47,9160.68%$26,8170.56%$18,8840.56%0.80%
2012122.03%$48,8881.47%$27,2100.90%$19,0540.90%2.03%
201315.82%$51,7355.50%$28,7065.18%$20,0415.18%5.82%
201321.57%$52,5491.46%$29,1241.34%$20,3091.34%1.57%
201334.26%$54,7864.00%$30,2893.74%$21,0683.74%4.26%
201340.41%$55,0091.16%$30,6391.91%$21,4701.91%0.41%
201352.11%$56,1692.22%$31,3192.33%$21,9702.33%2.11%
20136-1.30%$55,436-1.33%$30,903-1.35%$21,673-1.35%-1.30%
201375.39%$58,4265.23%$32,5205.07%$22,7735.07%5.39%
20138-3.52%$56,372-3.21%$31,475-2.91%$22,110-2.91%-3.52%
201394.51%$58,9143.82%$32,6763.12%$22,8003.12%4.51%
2013104.11%$61,3344.35%$34,0974.59%$23,8464.59%4.11%
2013111.33%$62,1472.18%$34,8393.03%$24,5683.03%1.33%
2013122.51%$63,7102.99%$35,8822.51%$25,1852.51%3.47%
20141-3.47%$61,499-3.18%$34,740-3.47%$24,312-3.47%-2.90%
201424.56%$64,3044.78%$36,4014.56%$25,4204.56%5.00%
201431.73%$65,4171.28%$36,8660.82%$25,6300.82%1.73%
201440.48%$65,7310.60%$37,0880.72%$25,8150.72%0.48%
201451.98%$67,0332.16%$37,8882.33%$26,4182.33%1.98%
201463.19%$69,1732.62%$38,8822.05%$26,9602.05%3.19%
20147-2.88%$67,179-2.14%$38,052-1.39%$26,586-1.39%-2.88%
201484.37%$70,1184.18%$39,6413.98%$27,6443.98%4.37%
20149-3.98%$67,326-2.70%$38,572-1.41%$27,254-1.41%-3.98%
2014102.42%$68,9581.84%$39,2802.42%$27,9142.42%1.25%
2014112.68%$70,8081.96%$40,0492.68%$28,6632.68%1.23%
201412-0.26%$70,6200.41%$40,213-0.26%$28,587-0.26%1.08%
20151-3.02%$68,489-2.34%$39,271-3.02%$27,725-3.02%-1.67%
201525.74%$72,4205.39%$41,3895.74%$29,3165.74%5.05%
20153-1.59%$71,266-1.00%$40,976-1.59%$28,849-1.59%-0.40%
201540.95%$71,9430.78%$41,2950.95%$29,1230.95%0.61%
201551.27%$72,8581.36%$41,8551.27%$29,4931.27%1.44%
20156-1.82%$71,534-1.88%$41,070-1.93%$28,923-1.93%-1.82%
201572.08%$73,0220.28%$41,1862.08%$29,5252.08%-1.51%
20158-6.05%$68,607-5.28%$39,012-6.05%$27,740-6.05%-4.51%
20159-2.48%$66,902-2.98%$37,850-2.48%$27,050-2.48%-3.47%
2015108.42%$72,5377.05%$40,5188.42%$29,3298.42%5.67%
2015110.29%$72,7450.58%$40,7540.29%$29,4130.29%0.88%
201512-1.59%$71,586-2.38%$39,782-1.59%$28,944-1.59%-3.18%
20161-4.98%$68,023-4.55%$37,971-4.98%$27,504-4.98%-4.13%
20162-0.15%$67,9250.76%$38,261-0.15%$27,464-0.15%1.67%
201636.78%$72,5277.99%$41,3196.78%$29,3256.78%9.21%
201643.28%$74,9041.83%$42,0740.37%$29,4340.37%3.28%
201651.42%$75,9691.60%$42,7481.78%$29,9591.78%1.42%
20166-0.43%$75,641-0.09%$42,7090.25%$30,0340.25%-0.43%
201674.01%$78,6733.84%$44,3503.68%$31,1383.68%4.01%
201680.31%$78,9190.22%$44,4480.13%$31,1780.13%0.31%
201690.14%$79,0280.07%$44,4810.01%$31,1810.01%0.14%
201610-1.83%$77,581-1.83%$43,666-1.83%$30,609-1.83%-1.83%
2016117.46%$83,3725.58%$46,1033.70%$31,7423.70%7.46%
2016121.59%$84,7011.78%$46,9231.96%$32,3651.96%1.59%
201711.00%$85,5461.44%$47,5991.88%$32,9741.88%1.00%
201722.15%$87,3833.05%$49,0533.96%$34,2813.96%2.15%
201730.07%$87,4410.08%$49,0940.10%$34,3150.10%0.07%
20174-0.93%$86,6250.04%$49,1151.02%$34,6641.02%-0.93%
201751.39%$87,8320.16%$49,1931.39%$35,1481.39%-1.08%
201760.61%$88,3691.26%$49,8110.61%$35,3620.61%1.90%
201772.04%$90,1741.99%$50,8022.04%$36,0852.04%1.94%
201780.29%$90,439-0.61%$50,4940.29%$36,1910.29%-1.51%
201792.06%$92,3012.31%$51,6602.06%$36,9362.06%2.56%
2017102.32%$94,4401.35%$52,3592.32%$37,7922.32%0.39%
2017113.06%$97,3293.61%$54,2513.06%$38,9483.06%4.17%
2017121.10%$98,4020.83%$54,7041.10%$39,3771.10%0.57%
201815.71%$104,0234.58%$57,2115.71%$41,6275.71%3.45%
20182-3.69%$100,180-3.91%$54,972-3.69%$40,089-3.69%-4.13%
20183-2.56%$97,620-1.19%$54,315-2.56%$39,064-2.56%0.17%
201840.37%$97,9841.15%$54,9380.37%$39,2100.37%1.92%
201850.42%$98,3981.41%$55,7122.39%$40,1492.39%0.42%
201860.61%$98,9941.10%$56,3220.61%$40,3920.61%1.59%
201873.71%$102,6662.78%$57,8863.71%$41,8903.71%1.85%
201883.25%$105,9981.53%$58,7723.25%$43,2503.25%-0.19%
201890.55%$106,5860.07%$58,8150.55%$43,4900.55%-0.41%
201810-6.85%$99,286-6.81%$54,812-6.85%$40,511-6.85%-6.76%
2018112.03%$101,2981.77%$55,7832.03%$41,3322.03%1.52%
201812-9.04%$92,141-9.36%$50,561-9.04%$37,596-9.04%-9.69%

Risk and Return Metrics

MetricMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.98%0.74%0.62%
Arithmetic Mean (annualized)12.47%9.19%7.70%
Geometric Mean (monthly)0.89%0.65%0.53%
Geometric Mean (annualized)11.15%8.02%6.51%
Standard Deviation (monthly)4.43%4.22%4.30%
Standard Deviation (annualized)15.35%14.62%14.88%
Downside Deviation (monthly)2.89%2.86%2.98%
Maximum Drawdown-51.33%-49.91%-50.97%
Stock Market Correlation0.930.970.99
Beta(*)0.960.951.00
Alpha (annualized)4.65%1.73%-0.00%
R286.99%93.97%100.00%
Sharpe Ratio0.640.470.37
Sortino Ratio0.960.680.52
Treynor Ratio (%)10.287.245.52
Calmar Ratio0.650.590.67
Active Return4.64%1.51%N/A
Tracking Error5.56%3.66%N/A
Information Ratio0.830.41N/A
Skewness-0.62-0.66-0.67
Excess Kurtosis2.221.871.25
Historical Value-at-Risk (5%)6.98%7.20%7.42%
Analytical Value-at-Risk (5%)6.30%6.21%6.45%
Conditional Value-at-Risk (5%)9.68%9.68%9.88%
Upside Capture Ratio (%)111.12100.22100.00
Downside Capture Ratio (%)89.0892.64100.00
Safe Withdrawal Rate12.25%7.87%6.34%
Perpetual Withdrawal Rate8.11%5.45%4.11%
Positive Periods161 out of 252 (63.89%)164 out of 252 (65.08%)161 out of 252 (63.89%)
Gain/Loss Ratio0.990.850.81
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Russian Debt DefaultJul 1998Oct 1998-15.38%-17.12%-15.38%
Dotcom CrashMar 2000Oct 2002-22.95%-25.51%-44.82%
Subprime CrisisNov 2007Mar 2009-50.16%-49.23%-50.97%

Drawdowns for Momentum Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-51.33%
2Jun 2002Sep 20024 monthsOct 20031 year 1 month1 year 5 months-22.95%
3May 2011Sep 20115 monthsMar 20126 months11 months-18.88%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 months-13.55%
6Aug 2001Sep 20012 monthsNov 20012 months4 months-9.76%
7Aug 2015Sep 20152 monthsApr 20167 months9 months-8.38%
8Apr 2000Jul 20004 monthsDec 20005 months9 months-7.54%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
10Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-49.91%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-25.51%
3May 2011Sep 20115 monthsMar 20126 months11 months-17.88%
4May 1998Aug 19984 monthsDec 19984 months8 months-17.40%
5Feb 2001Sep 20018 monthsMar 20026 months1 year 2 months-14.20%
6Oct 2018Dec 20183 months-14.03%
7Jun 2015Sep 20154 monthsApr 20167 months11 months-9.57%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-7.12%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.98%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year12.91%73.08%-42.39%9.88%63.19%-42.28%8.17%53.61%-43.32%
3 years11.34%29.37%-14.52%8.57%26.83%-14.40%6.04%25.43%-16.14%
5 years11.03%25.48%-4.47%8.60%24.09%-5.30%6.17%22.85%-6.73%
7 years10.69%18.53%0.23%8.42%17.50%-1.37%6.12%17.12%-3.94%
10 years9.50%15.40%4.76%7.39%14.38%1.11%5.14%14.17%-3.51%
15 years10.89%12.46%9.24%8.57%11.38%6.89%6.14%10.39%3.64%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Model Selections

#StartEndMonthsAssetsAsset PerformanceMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
30Jan 2019Jan 20191Please sign-in for forward signals----
29Jun 2018Dec 20187100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.36%-6.36%-9.25%-6.36%
28May 2018May 20181100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 0.42%0.42%1.41%2.39%
27May 2017Apr 201812100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.11%13.11%11.86%13.11%
26Apr 2016Apr 201713100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 19.44%19.44%18.87%18.21%
25Jul 2015Mar 20169100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%0.61%1.39%
24Jun 2015Jun 20151100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -1.82%-1.82%-1.88%-1.93%
23Oct 2014May 20158100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.22%8.22%8.51%8.22%
22Mar 2014Sep 20147100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 4.70%4.70%5.96%7.21%
21Dec 2013Feb 20143100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.47%3.47%4.48%3.47%
20Oct 2012Nov 201314100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 30.11%30.11%29.27%28.39%
19Sep 2011Sep 201213100.00% Vanguard 500 Index Investor (VFINX)VFINX: 20.86%20.86%18.96%20.86%
18Aug 2011Aug 20111100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -8.34%-8.34%-6.89%-5.45%
17Apr 2011Jul 20114100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.98%-1.98%-1.99%-1.98%
16Mar 2011Mar 20111100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 0.32%0.32%0.17%0.03%
15Jan 2011Feb 20112100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.85%5.85%5.65%5.85%
14Dec 2010Dec 20101100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 7.29%7.29%6.98%6.67%
13Nov 2010Nov 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.00%0.00%0.38%0.00%
12Jan 2009Oct 201022100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 58.00%58.00%46.89%36.26%
11Nov 2008Dec 20082100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.18%-6.18%-5.65%-6.18%
10Jun 2008Oct 20085100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -30.94%-30.94%-30.55%-30.18%
9May 2008May 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.29%1.29%1.88%1.29%
8Apr 2008Apr 20081100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 4.24%4.24%4.55%4.85%
7Sep 2007Mar 20087100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.25%-9.25%-8.91%-9.25%
6Jun 2003Aug 200751100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 100.77%100.77%81.79%64.31%
5Apr 2003May 20032100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.95%13.95%16.09%13.95%
4Aug 2000Mar 200332100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 16.89%16.89%-14.77%-38.52%
3Jul 2000Jul 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.50%-1.50%0.27%-1.50%
2Jun 2000Jun 20001100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -1.22%-1.22%0.64%2.49%
1Jan 1998May 200029100.00% Vanguard 500 Index Investor (VFINX)VFINX: 51.28%51.28%28.88%51.28%