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 1997 - Dec 2018) Save

Tactical asset allocation model results from Jan 1997 to Dec 2018 are based on dual momentum model holding the best performing asset. Absolute momentum based trend following filter is used to switch any selected assets that have a negative excess return over the risk free rate to Vanguard Long-Term Treasury Inv (VUSTX). 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 Total Intl Stock Index Inv (VGTSX) [May 1996 - Aug 2023].

Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Dual Momentum Model$10,000$223,56915.17%12.92%49.14%-8.40%-16.28% 1.001.740.47
Equal Weight Portfolio$10,000$36,3596.04%15.41%34.36%-40.53%-54.78% 0.330.450.96
Vanguard 500 Index Investor$10,000$50,0747.60%14.96%33.19%-37.02%-50.97% 0.430.610.99

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Dual Momentum Model0.03%10.33%10.33%10.46%6.98%13.31%15.17%9.13%9.27%
Equal Weight Portfolio-12.61%-9.52%-9.52%6.85%4.61%9.68%6.04%10.48%10.70%
Vanguard 500 Index Investor-13.55%-4.52%-4.52%9.11%8.34%12.97%7.60%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 Market1155617167%0.85%-3.75%-0.65%
Down Market73209378%3.66%-0.55%2.75%
Total1887626471%1.94%-2.90%0.55%

Active Return Confidence

Annual Returns

YearInflationDual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
19971.70%33.19%$13,31915.30%$11,53033.19%$13,31933.19%-0.77%13.90%
19981.61%13.46%$15,11222.11%$14,08028.62%$17,13128.62%15.60%13.05%
19992.68%29.98%$19,64325.57%$17,67921.07%$20,74021.07%29.92%-8.66%
20003.39%2.20%$20,074-12.25%$15,514-9.06%$18,861-9.06%-15.61%19.72%
20011.55%4.31%$20,939-16.11%$13,014-12.02%$16,594-12.02%-20.15%4.31%
20022.38%4.24%$21,827-18.59%$10,595-22.15%$12,919-22.15%-15.08%16.67%
20031.88%49.14%$32,55234.36%$14,23628.50%$16,60128.50%40.34%2.68%
20043.26%21.59%$39,58215.71%$16,47310.74%$18,38410.74%20.84%7.12%
20053.42%3.41%$40,93010.15%$18,1444.77%$19,2624.77%15.57%6.61%
20062.54%23.75%$50,64921.09%$21,97115.64%$22,27515.64%26.64%1.74%
20074.08%15.52%$58,51110.41%$24,2575.39%$23,4755.39%15.52%9.24%
20080.09%9.53%$64,090-40.53%$14,426-37.02%$14,784-37.02%-44.10%22.52%
20092.72%26.75%$81,23631.67%$18,99526.49%$18,70026.49%36.73%-12.05%
20101.50%15.92%$94,17213.12%$21,48814.91%$21,48914.91%11.12%8.93%
20112.96%21.58%$114,498-6.57%$20,0751.97%$21,9111.97%-14.56%29.28%
20121.74%14.62%$131,23317.09%$23,50715.82%$25,37915.82%18.14%3.47%
20131.50%21.57%$159,53823.44%$29,01732.18%$33,54432.18%15.04%-13.03%
20140.76%13.51%$181,0894.33%$30,27313.51%$38,07613.51%-4.24%25.28%
20150.73%-8.40%$165,881-1.54%$29,8071.25%$38,5511.25%-4.37%-1.54%
20162.07%0.50%$166,7158.25%$32,26611.82%$43,10711.82%4.65%1.20%
20172.11%21.55%$202,64024.54%$40,18521.67%$52,44721.67%27.40%8.58%
20181.91%10.33%$223,569-9.52%$36,359-4.52%$50,074-4.52%-14.44%-1.90%

Monthly Returns

YearMonthDual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
199716.22%$10,6221.92%$10,1926.22%$10,6226.22%-2.37%-0.65%
199720.79%$10,7061.30%$10,3250.79%$10,7060.79%1.82%-0.11%
19973-4.14%$10,263-2.12%$10,107-4.14%$10,263-4.14%-0.10%-2.29%
199745.96%$10,8743.08%$10,4185.96%$10,8745.96%0.20%2.35%
199756.09%$11,5366.31%$11,0766.09%$11,5366.09%6.54%0.98%
199764.45%$12,0504.92%$11,6214.45%$12,0504.45%5.40%1.78%
199777.97%$13,0104.78%$12,1767.97%$13,0107.97%1.59%5.34%
19978-5.61%$12,280-7.11%$11,311-5.61%$12,280-5.61%-8.60%-2.57%
199795.47%$12,9515.49%$11,9325.47%$12,9515.47%5.51%2.63%
199710-3.35%$12,518-6.22%$11,189-3.35%$12,518-3.35%-9.10%2.99%
1997114.60%$13,0931.70%$11,3804.60%$13,0934.60%-1.19%1.27%
1997121.72%$13,3191.32%$11,5301.72%$13,3191.72%0.92%1.66%
199811.11%$13,4672.07%$11,7701.11%$13,4671.11%3.04%1.91%
199827.19%$14,4357.04%$12,5987.19%$14,4357.19%6.88%-0.75%
199835.10%$15,1724.16%$13,1225.10%$15,1725.10%3.22%0.14%
199841.01%$15,3250.77%$13,2241.01%$15,3251.01%0.53%0.40%
19985-1.74%$15,058-1.63%$13,009-1.74%$15,058-1.74%-1.51%1.83%
199864.07%$15,6711.90%$13,2564.07%$15,6714.07%-0.27%2.35%
19987-1.05%$15,5060.01%$13,258-1.05%$15,506-1.05%1.08%-0.51%
19988-14.47%$13,262-14.07%$11,393-14.47%$13,262-14.47%-13.66%4.83%
199893.29%$13,6972.17%$11,6406.41%$14,1126.41%-2.07%3.29%
199810-1.69%$13,4659.47%$12,7428.16%$15,2648.16%10.77%-1.69%
1998116.07%$14,2835.70%$13,4696.07%$16,1916.07%5.34%0.88%
1998125.81%$15,1124.53%$14,0805.81%$17,1315.81%3.26%-0.16%
199914.20%$15,7471.79%$14,3314.20%$17,8514.20%-0.63%0.98%
19992-3.12%$15,255-2.64%$13,953-3.12%$17,293-3.12%-2.16%-4.76%
199934.00%$15,8654.48%$14,5784.00%$17,9844.00%4.97%-0.34%
199943.85%$16,4764.47%$15,2293.85%$18,6773.85%5.08%0.19%
19995-2.39%$16,082-3.70%$14,666-2.39%$18,231-2.39%-5.00%-1.68%
199965.56%$16,9764.97%$15,3965.56%$19,2435.56%4.39%-1.05%
19997-3.13%$16,444-0.43%$15,330-3.13%$18,641-3.13%2.27%-0.58%
199980.33%$16,498-0.08%$15,317-0.50%$18,549-0.50%0.33%-0.49%
199990.82%$16,634-0.96%$15,170-2.74%$18,041-2.74%0.82%0.91%
1999103.74%$17,2565.03%$15,9336.33%$19,1826.33%3.74%0.12%
1999114.08%$17,9593.05%$16,4192.02%$19,5702.02%4.08%-0.59%
1999129.37%$19,6437.68%$17,6795.98%$20,7405.98%9.37%-1.60%
20001-6.22%$18,421-5.63%$16,685-5.03%$19,696-5.03%-6.22%1.25%
200022.83%$18,9430.46%$16,762-1.91%$19,321-1.91%2.83%2.96%
200033.48%$19,6016.61%$17,8719.75%$21,2059.75%3.48%3.14%
20004-3.00%$19,013-4.20%$17,120-3.00%$20,569-3.00%-5.41%-0.66%
20005-2.04%$18,626-2.36%$16,716-2.04%$20,150-2.04%-2.67%-0.46%
200062.49%$19,0903.38%$17,2822.49%$20,6522.49%4.27%2.30%
200071.49%$19,374-2.98%$16,767-1.50%$20,343-1.50%-4.46%1.49%
200082.08%$19,7773.59%$17,3696.19%$21,6026.19%1.00%2.08%
20009-5.29%$18,731-5.15%$16,475-5.29%$20,459-5.29%-5.00%-0.85%
2000101.57%$19,024-1.73%$16,190-0.43%$20,372-0.43%-3.03%1.57%
2000112.99%$19,594-6.16%$15,192-7.89%$18,765-7.89%-4.44%2.99%
2000122.45%$20,0742.12%$15,5140.51%$18,8610.51%3.72%2.45%
200110.28%$20,1312.32%$15,8743.55%$19,5303.55%1.10%0.28%
200121.80%$20,494-8.37%$14,545-9.14%$17,746-9.14%-7.61%1.80%
20013-0.60%$20,370-6.75%$13,562-6.36%$16,618-6.36%-7.15%-0.60%
20014-2.56%$19,8487.83%$14,6257.77%$17,9097.77%7.89%-2.56%
200150.21%$19,888-1.44%$14,4150.65%$18,0250.65%-3.52%0.21%
200160.76%$20,040-3.14%$13,962-2.45%$17,584-2.45%-3.84%0.76%
200173.61%$20,764-1.72%$13,722-1.00%$17,409-1.00%-2.43%3.61%
200182.02%$21,184-4.28%$13,134-6.27%$16,316-6.27%-2.30%2.02%
200190.88%$21,370-9.41%$11,898-8.09%$14,996-8.09%-10.73%0.88%
2001105.12%$22,4652.43%$12,1881.90%$15,2801.90%2.97%5.12%
200111-4.98%$21,3465.60%$12,8717.65%$16,4507.65%3.56%-4.98%
200112-1.91%$20,9391.11%$13,0140.87%$16,5940.87%1.35%-1.91%
20021-1.47%$20,630-3.05%$12,617-1.47%$16,349-1.47%-4.63%1.20%
200221.24%$20,887-0.52%$12,552-1.94%$16,033-1.94%0.90%1.24%
20023-3.86%$20,0814.73%$13,1453.74%$16,6333.74%5.71%-3.86%
200240.42%$20,166-2.83%$12,774-6.07%$15,622-6.07%0.42%3.73%
200251.16%$20,4000.20%$12,800-0.75%$15,505-0.75%1.16%0.39%
20026-4.28%$19,528-5.70%$12,070-7.13%$14,398-7.13%-4.28%1.76%
200272.93%$20,100-8.76%$11,012-7.72%$13,287-7.72%-9.80%2.93%
200284.28%$20,9600.27%$11,0410.65%$13,3740.65%-0.12%4.28%
200294.02%$21,802-10.88%$9,840-10.87%$11,919-10.87%-10.88%4.02%
200210-2.84%$21,1837.24%$10,5538.78%$12,9668.78%5.70%-2.84%
200211-0.98%$20,9775.31%$11,1135.88%$13,7285.88%4.75%-0.98%
2002124.05%$21,827-4.66%$10,595-5.89%$12,919-5.89%-3.43%4.05%
20031-0.45%$21,729-3.19%$10,257-2.62%$12,580-2.62%-3.76%-0.45%
200323.03%$22,387-1.97%$10,055-1.52%$12,389-1.52%-2.42%3.03%
20033-1.13%$22,133-0.49%$10,0060.96%$12,5070.96%-1.93%-1.13%
200348.25%$23,9608.98%$10,9058.25%$13,5408.25%9.70%0.91%
200355.26%$25,2215.71%$11,5275.26%$14,2525.26%6.15%5.67%
200361.26%$25,5391.96%$11,7531.26%$14,4321.26%2.66%-1.48%
200373.18%$26,3502.46%$12,0421.74%$14,6841.74%3.18%-8.57%
200382.51%$27,0112.22%$12,3101.93%$14,9671.93%2.51%1.43%
200392.78%$27,7620.85%$12,415-1.07%$14,807-1.07%2.78%5.07%
2003106.49%$29,5656.07%$13,1685.64%$15,6425.64%6.49%-2.58%
2003112.13%$30,1961.50%$13,3650.86%$15,7780.86%2.13%0.31%
2003127.80%$32,5526.51%$14,2365.22%$16,6015.22%7.80%1.23%
200411.60%$33,0721.71%$14,4791.82%$16,9041.82%1.60%1.74%
200422.50%$33,8991.94%$14,7601.38%$17,1361.38%2.50%1.96%
200430.45%$34,051-0.53%$14,681-1.51%$16,877-1.51%0.45%1.45%
20044-3.14%$32,981-2.36%$14,335-1.58%$16,611-1.58%-3.14%-5.52%
200450.46%$33,1340.91%$14,4651.36%$16,8361.36%0.46%-0.56%
200462.40%$33,9292.17%$14,7781.93%$17,1611.93%2.40%0.87%
20047-3.31%$32,806-3.32%$14,287-3.31%$16,593-3.31%-3.34%1.52%
200483.39%$33,9170.56%$14,3680.38%$16,6570.38%0.75%3.39%
200490.94%$34,2342.02%$14,6571.07%$16,8341.07%2.96%0.94%
2004103.24%$35,3422.38%$15,0061.51%$17,0891.51%3.24%1.46%
2004117.23%$37,8975.64%$15,8524.05%$17,7814.05%7.23%-2.25%
2004124.44%$39,5823.92%$16,4733.39%$18,3843.39%4.44%2.22%
20051-1.67%$38,922-2.06%$16,133-2.45%$17,933-2.45%-1.67%2.59%
200524.68%$40,7443.39%$16,6802.09%$18,3082.09%4.68%-1.24%
20053-2.93%$39,550-2.34%$16,289-1.76%$17,986-1.76%-2.93%-0.76%
20054-2.07%$38,733-1.99%$15,965-1.91%$17,642-1.91%-2.07%3.22%
200550.08%$38,7651.62%$16,2243.17%$18,2013.17%0.08%2.55%
200560.13%$38,8140.71%$16,3400.13%$18,2240.13%1.30%1.64%
20057-2.58%$37,8133.69%$16,9433.71%$18,9003.71%3.68%-2.58%
20058-0.91%$37,4680.97%$17,108-0.91%$18,727-0.91%2.85%2.87%
200594.73%$39,2382.76%$17,5800.79%$18,8760.79%4.73%-2.78%
200510-3.37%$37,917-2.52%$17,136-1.68%$18,559-1.68%-3.37%-1.74%
2005112.67%$38,9293.22%$17,6883.76%$19,2583.76%2.67%0.57%
2005125.14%$40,9302.58%$18,1440.02%$19,2620.02%5.14%2.33%
200616.87%$43,7414.76%$19,0072.65%$19,7712.65%6.87%-0.90%
20062-0.72%$43,426-0.23%$18,9640.26%$19,8230.26%-0.72%0.81%
200633.17%$44,8032.20%$19,3811.23%$20,0671.23%3.17%-3.39%
200645.12%$47,0973.23%$20,0061.33%$20,3351.33%5.12%-1.96%
20065-4.45%$45,003-3.67%$19,272-2.90%$19,746-2.90%-4.45%-0.03%
20066-0.38%$44,831-0.13%$19,2470.13%$19,7710.13%-0.38%0.71%
200671.15%$45,3470.88%$19,4170.61%$19,8910.61%1.15%1.84%
200682.74%$46,5892.45%$19,8922.36%$20,3612.36%2.53%2.74%
200690.25%$46,7041.41%$20,1712.56%$20,8832.56%0.25%1.58%
2006103.25%$48,2223.63%$20,9023.25%$21,5623.25%4.00%0.77%
2006111.89%$49,1332.81%$21,4891.89%$21,9691.89%3.73%1.91%
2006123.09%$50,6492.24%$21,9711.39%$22,2751.39%3.09%-2.14%
200710.96%$51,1371.23%$22,2401.49%$22,6071.49%0.96%-0.85%
200720.06%$51,165-0.96%$22,028-1.97%$22,162-1.97%0.06%2.93%
200732.80%$52,5991.96%$22,4581.11%$22,4091.11%2.80%-1.13%
200743.92%$54,6624.17%$23,3954.42%$23,3994.42%3.92%0.86%
200753.09%$56,3543.29%$24,1643.48%$24,2123.48%3.09%-1.93%
200760.61%$56,698-0.53%$24,035-1.68%$23,806-1.68%0.61%-0.88%
20077-1.06%$56,096-2.07%$23,537-3.08%$23,072-3.08%-1.06%2.39%
20078-0.72%$55,6940.39%$23,6291.50%$23,4181.50%-0.72%1.97%
200796.38%$59,2495.05%$24,8233.72%$24,2903.72%6.38%0.21%
2007105.90%$62,7463.74%$25,7511.58%$24,6731.58%5.90%1.40%
200711-4.57%$59,879-4.38%$24,624-4.19%$23,640-4.19%-4.57%4.59%
200712-2.28%$58,511-1.49%$24,257-0.70%$23,475-0.70%-2.28%-0.48%
200812.64%$60,057-7.28%$22,490-6.02%$22,063-6.02%-8.55%2.64%
200820.35%$60,267-1.46%$22,162-3.25%$21,345-3.25%0.33%0.35%
200831.02%$60,883-0.58%$22,034-0.44%$21,251-0.44%-0.71%1.02%
20084-1.84%$59,7635.35%$23,2134.85%$22,2834.85%5.85%-1.84%
20085-2.13%$58,4921.40%$23,5391.29%$22,5711.29%1.51%-2.13%
20086-8.99%$53,234-8.71%$21,488-8.44%$20,666-8.44%-8.99%1.80%
200870.30%$53,391-2.25%$21,004-0.83%$20,494-0.83%-3.67%0.30%
200881.80%$54,355-1.83%$20,6211.45%$20,7911.45%-5.10%1.80%
200890.28%$54,509-11.00%$18,354-8.91%$18,939-8.91%-13.09%0.28%
200810-3.63%$52,532-19.44%$14,786-16.79%$15,759-16.79%-22.09%-3.63%
20081112.07%$58,871-6.73%$13,790-7.17%$14,628-7.17%-6.29%12.07%
2008128.87%$64,0904.61%$14,4261.07%$14,7841.07%8.16%8.87%
20091-8.47%$58,661-10.18%$12,957-8.41%$13,540-8.41%-11.96%-8.47%
20092-1.01%$58,070-10.12%$11,646-10.66%$12,097-10.66%-9.58%-1.01%
200935.27%$61,1279.04%$12,6988.76%$13,1578.76%9.31%5.27%
20094-4.99%$58,07811.17%$14,1179.56%$14,4159.56%12.78%-4.99%
2009514.35%$66,4149.99%$15,5265.62%$15,2255.62%14.35%-2.68%
20096-1.32%$65,536-0.55%$15,4410.22%$15,2580.22%-1.32%0.70%
200979.96%$72,0628.77%$16,7957.58%$16,4147.58%9.96%0.80%
200983.50%$74,5853.55%$17,3913.60%$17,0053.60%3.50%1.68%
200995.15%$78,4244.43%$18,1613.72%$17,6373.72%5.15%1.98%
200910-2.17%$76,724-2.02%$17,795-1.87%$17,308-1.87%-2.17%-1.45%
2009113.86%$79,6854.92%$18,6715.98%$18,3435.98%3.86%1.91%
2009121.95%$81,2361.74%$18,9951.95%$18,7001.95%1.53%-5.66%
20101-3.60%$78,308-4.33%$18,172-3.60%$18,026-3.60%-5.07%2.66%
201023.09%$80,7291.66%$18,4733.09%$18,5833.09%0.22%-0.21%
201036.01%$85,5846.36%$19,6486.01%$19,7016.01%6.71%-1.51%
201041.58%$86,935-0.07%$19,6351.58%$20,0121.58%-1.71%2.76%
20105-8.01%$79,975-9.39%$17,791-8.01%$18,410-8.01%-10.78%4.23%
201064.67%$83,707-3.20%$17,221-5.24%$17,445-5.24%-1.17%4.67%
20107-0.17%$83,5648.66%$18,7137.00%$18,6667.00%10.33%-0.17%
20108-3.22%$80,876-3.87%$17,988-4.53%$17,820-4.53%-3.22%7.08%
2010910.41%$89,2989.67%$19,7278.92%$19,4108.92%10.41%-1.82%
2010103.55%$92,4643.67%$20,4503.79%$20,1453.79%3.55%-3.29%
201011-4.52%$88,283-2.26%$19,9880.00%$20,1450.00%-4.52%-1.60%
2010126.67%$94,1727.51%$21,4886.67%$21,4896.67%8.34%-3.58%
201110.70%$94,8301.53%$21,8162.36%$21,9952.36%0.70%-2.38%
201123.42%$98,0693.06%$22,4853.42%$22,7473.42%2.71%1.24%
201130.03%$98,094-0.20%$22,4390.03%$22,7530.03%-0.43%0.02%
201142.95%$100,9864.09%$23,3572.95%$23,4232.95%5.24%2.04%
20115-1.15%$99,829-2.01%$22,889-1.15%$23,155-1.15%-2.87%3.29%
20116-1.67%$98,160-1.59%$22,525-1.67%$22,768-1.67%-1.51%-2.00%
20117-2.05%$96,151-1.79%$22,122-2.05%$22,302-2.05%-1.53%4.18%
201188.68%$104,498-6.95%$20,585-5.45%$21,087-5.45%-8.45%8.68%
2011910.16%$115,118-9.67%$18,595-7.04%$19,602-7.04%-12.29%10.16%
201110-3.34%$111,27910.57%$20,56010.91%$21,74110.91%10.22%-3.34%
201111-0.23%$111,019-1.56%$20,240-0.23%$21,691-0.23%-2.88%1.82%
2011123.13%$114,498-0.81%$20,0751.02%$21,9111.02%-2.64%3.13%
201214.46%$119,6105.87%$21,2544.46%$22,8894.46%7.27%0.08%
201224.31%$124,7614.72%$22,2574.31%$23,8754.31%5.14%-2.11%
201233.28%$128,8551.27%$22,5403.28%$24,6593.28%-0.75%-3.77%
20124-0.64%$128,031-1.21%$22,267-0.64%$24,501-0.64%-1.78%4.37%
20125-6.02%$120,326-8.58%$20,357-6.02%$23,027-6.02%-11.14%7.79%
20126-1.44%$118,5885.07%$21,3894.11%$23,9734.11%6.03%-1.44%
201271.37%$120,2130.91%$21,5831.37%$24,3011.37%0.44%3.32%
201282.24%$122,9052.48%$22,1182.24%$24,8452.24%2.72%-1.06%
201292.58%$126,0723.10%$22,8042.58%$25,4862.58%3.62%-2.10%
201210-1.86%$123,727-0.65%$22,656-1.86%$25,012-1.86%0.56%-0.43%
2012111.82%$125,9751.19%$22,9250.56%$25,1520.56%1.82%1.35%
2012124.17%$131,2332.54%$23,5070.90%$25,3790.90%4.17%-1.99%
201313.34%$135,6134.26%$24,5085.18%$26,6925.18%3.34%-3.27%
20132-1.23%$133,9480.06%$24,5211.34%$27,0501.34%-1.23%1.26%
201330.77%$134,9752.25%$25,0743.74%$28,0613.74%0.77%0.03%
201341.91%$137,5512.74%$25,7611.91%$28,5971.91%3.58%3.87%
201352.33%$140,752-0.31%$25,6812.33%$29,2622.33%-2.95%-6.23%
20136-1.35%$138,851-2.55%$25,027-1.35%$28,867-1.35%-3.75%-3.26%
201375.07%$145,8944.82%$26,2325.07%$30,3315.07%4.56%-1.93%
20138-2.91%$141,646-2.27%$25,637-2.91%$29,448-2.91%-1.63%-1.28%
201393.12%$146,0685.17%$26,9623.12%$30,3673.12%7.21%0.88%
2013103.41%$151,0514.00%$28,0404.59%$31,7604.59%3.41%1.32%
2013113.03%$155,6261.57%$28,4813.03%$32,7223.03%0.12%-2.49%
2013122.51%$159,5381.88%$29,0172.51%$33,5442.51%1.25%-2.37%
20141-3.47%$154,003-4.12%$27,821-3.47%$32,381-3.47%-4.78%6.26%
201424.56%$161,0274.98%$29,2054.56%$33,8574.56%5.39%0.60%
201430.82%$162,3530.62%$29,3850.82%$34,1360.82%0.41%0.63%
201440.72%$163,5291.02%$29,6840.72%$34,3830.72%1.31%1.82%
201452.33%$167,3472.11%$30,3112.33%$35,1862.33%1.88%2.73%
201462.05%$170,7811.90%$30,8862.05%$35,9082.05%1.74%-0.16%
20147-1.39%$168,411-1.50%$30,423-1.39%$35,410-1.39%-1.61%0.59%
201483.98%$175,1162.52%$31,1883.98%$36,8203.98%1.05%4.23%
20149-1.41%$172,642-3.21%$30,187-1.41%$36,300-1.41%-5.01%-1.99%
2014102.42%$176,8261.06%$30,5062.42%$37,1792.42%-0.31%2.61%
2014112.68%$181,5691.22%$30,8782.68%$38,1772.68%-0.25%2.86%
201412-0.26%$181,089-1.96%$30,273-0.26%$38,076-0.26%-3.65%2.82%
20151-3.02%$175,625-1.44%$29,836-3.02%$36,927-3.02%0.13%8.97%
201525.74%$185,7055.63%$31,5165.74%$39,0465.74%5.52%-5.66%
20153-1.59%$182,745-1.57%$31,022-1.59%$38,424-1.59%-1.54%1.13%
201540.95%$184,4803.02%$31,9580.95%$38,7890.95%5.08%-3.07%
20155-0.94%$182,7380.16%$32,0101.27%$39,2821.27%-0.94%-2.16%
20156-2.69%$177,821-2.31%$31,270-1.93%$38,523-1.93%-2.69%-3.73%
20157-0.80%$176,3920.64%$31,4702.08%$39,3242.08%-0.80%4.21%
20158-6.05%$165,726-6.67%$29,371-6.05%$36,946-6.05%-7.29%-0.71%
201591.91%$168,893-3.19%$28,434-2.48%$36,028-2.48%-3.90%1.91%
201510-0.48%$168,0847.34%$30,5218.42%$39,0638.42%6.26%-0.48%
2015110.29%$168,566-0.52%$30,3620.29%$39,1750.29%-1.32%-0.81%
201512-1.59%$165,881-1.83%$29,807-1.59%$38,551-1.59%-2.07%-0.34%
20161-4.98%$157,626-5.28%$28,232-4.98%$36,632-4.98%-5.59%5.24%
201622.86%$162,133-1.21%$27,892-0.15%$36,579-0.15%-2.27%2.86%
201630.05%$162,2187.48%$29,9786.78%$39,0586.78%8.19%0.05%
201640.37%$162,8241.30%$30,3670.37%$39,2040.37%2.22%-0.63%
20165-1.02%$161,1670.38%$30,4831.78%$39,9031.78%-1.02%0.69%
201660.25%$161,570-0.35%$30,3770.25%$40,0020.25%-0.94%6.57%
201673.68%$167,5104.04%$31,6053.68%$41,4733.68%4.41%2.01%
201680.13%$167,7270.43%$31,7430.13%$41,5270.13%0.74%-1.00%
201691.37%$170,0190.69%$31,9610.01%$41,5300.01%1.37%-1.32%
201610-1.72%$167,099-1.78%$31,393-1.83%$40,769-1.83%-1.72%-4.23%
201611-2.15%$163,5060.77%$31,6363.70%$42,2773.70%-2.15%-7.86%
2016121.96%$166,7151.99%$32,2661.96%$43,1071.96%2.02%-0.35%
201711.88%$169,8542.88%$33,1941.88%$43,9181.88%3.87%0.65%
201723.96%$176,5852.73%$34,1013.96%$45,6593.96%1.50%1.57%
201730.10%$176,7621.46%$34,5990.10%$45,7040.10%2.82%-0.59%
201742.20%$180,6481.61%$35,1561.02%$46,1701.02%2.20%1.58%
201751.39%$183,1662.20%$35,9301.39%$46,8131.39%3.01%1.73%
201760.52%$184,1270.57%$36,1340.61%$47,0990.61%0.52%0.63%
201773.42%$190,4232.73%$37,1212.04%$48,0612.04%3.42%-0.59%
201780.64%$191,6380.47%$37,2940.29%$48,2020.29%0.64%3.27%
201791.81%$195,1011.93%$38,0152.06%$49,1952.06%1.81%-2.27%
2017101.94%$198,8772.13%$38,8232.32%$50,3352.32%1.94%-0.02%
2017110.78%$200,4311.92%$39,5693.06%$51,8753.06%0.78%0.63%
2017121.10%$202,6401.56%$40,1851.10%$52,4471.10%2.01%1.78%
201815.71%$214,2165.65%$42,4575.71%$55,4435.71%5.59%-3.40%
20182-3.69%$206,302-4.42%$40,581-3.69%$53,394-3.69%-5.14%-2.89%
20183-2.56%$201,030-1.60%$39,934-2.56%$52,030-2.56%-0.64%2.75%
201840.83%$202,6950.60%$40,1740.37%$52,2240.37%0.83%-2.04%
201851.79%$206,3320.24%$40,2702.39%$53,4752.39%-1.92%1.79%
201860.61%$207,581-0.74%$39,9720.61%$53,7980.61%-2.08%0.66%
201873.71%$215,2813.09%$41,2093.71%$55,7943.71%2.48%-1.28%
201883.25%$222,2690.53%$41,4263.25%$57,6053.25%-2.19%1.18%
201890.55%$223,5010.43%$41,6030.55%$57,9240.55%0.30%-2.74%
201810-6.85%$208,194-7.60%$38,441-6.85%$53,957-6.85%-8.35%-2.82%
2018111.78%$211,9081.64%$39,0722.03%$55,0512.03%1.26%1.78%
2018125.50%$223,569-6.94%$36,359-9.04%$50,074-9.04%-4.85%5.50%

Risk and Return Metrics

MetricDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.25%0.59%0.71%
Arithmetic Mean (annualized)16.11%7.32%8.81%
Geometric Mean (monthly)1.18%0.49%0.61%
Geometric Mean (annualized)15.17%6.04%7.60%
Standard Deviation (monthly)3.73%4.45%4.32%
Standard Deviation (annualized)12.92%15.41%14.96%
Downside Deviation (monthly)2.07%3.13%2.95%
Maximum Drawdown-16.28%-54.78%-50.97%
Stock Market Correlation0.470.960.99
Beta(*)0.410.981.00
Alpha (annualized)11.58%-1.24%0.00%
R222.24%91.03%100.00%
Sharpe Ratio1.000.330.43
Sortino Ratio1.740.450.61
Treynor Ratio (%)31.835.116.41
Calmar Ratio1.530.480.67
Active Return7.57%-1.55%N/A
Tracking Error14.44%4.62%N/A
Information Ratio0.52-0.34N/A
Skewness-0.14-0.73-0.65
Excess Kurtosis1.411.651.11
Historical Value-at-Risk (5%)4.56%7.55%7.17%
Analytical Value-at-Risk (5%)4.88%6.73%6.40%
Conditional Value-at-Risk (5%)6.82%10.44%9.69%
Upside Capture Ratio (%)77.8995.72100.00
Downside Capture Ratio (%)30.96102.36100.00
Safe Withdrawal Rate15.90%6.85%7.80%
Perpetual Withdrawal Rate11.34%3.71%5.10%
Positive Periods179 out of 264 (67.80%)162 out of 264 (61.36%)170 out of 264 (64.39%)
Gain/Loss Ratio1.130.890.83
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-5.61%-8.10%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%-14.07%-15.38%
Dotcom CrashMar 2000Oct 2002-13.07%-44.94%-44.82%
Subprime CrisisNov 2007Mar 2009-16.28%-54.78%-50.97%

Drawdowns for Dual Momentum Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearDec 20082 months1 year 2 months-16.28%
2Jul 1998Aug 19982 monthsJan 19995 months7 months-15.38%
3Mar 2015Jan 201611 monthsJul 20171 year 6 months2 years 5 months-15.12%
4Nov 2001Jun 20028 monthsApr 200310 months1 year 6 months-13.07%
5Jan 2009Feb 20092 monthsMay 20093 months5 months-9.39%
6Mar 2005Aug 20056 monthsDec 20054 months10 months-8.04%
7May 2010May 20101 monthSep 20104 months5 months-8.01%
8Apr 2012Jun 20123 monthsDec 20126 months9 months-7.97%
9Oct 2018Oct 20181 monthDec 20182 months3 months-6.85%
10Jan 2000Jan 20001 monthAug 20007 months8 months-6.22%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20134 years 2 months5 years 6 months-54.78%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-44.94%
3Feb 2018Dec 201811 months-14.36%
4Aug 1998Aug 19981 monthNov 19983 months4 months-14.07%
5Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-12.87%
6Aug 1997Oct 19973 monthsFeb 19984 months7 months-8.10%
7Jan 2000Jan 20001 monthMar 20002 months3 months-5.63%
8Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.34%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-4.12%
10May 2006Jun 20062 monthsSep 20063 months5 months-3.79%
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%
9Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
10Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year15.47%53.85%-16.28%7.98%58.62%-47.45%9.07%53.61%-43.32%
3 years14.74%30.15%1.48%5.97%24.65%-17.58%6.80%27.53%-16.14%
5 years15.29%24.26%6.37%5.53%20.33%-5.28%6.09%22.85%-6.73%
7 years15.98%21.31%9.36%5.79%13.29%-1.06%6.08%17.12%-3.94%
10 years16.03%20.43%12.23%5.29%10.98%-1.79%5.31%14.17%-3.51%
15 years15.97%18.37%13.71%5.76%9.93%3.56%5.98%10.39%3.64%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Allocation Changes

Model Selections

#StartEndMonthsAssetsAsset PerformanceDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
64Jan 2019Jan 20191Please sign-in for forward signals----
63Nov 2018Dec 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.39%7.39%-5.42%-7.20%
62Jun 2018Oct 20185100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.90%0.90%-4.54%0.90%
61May 2018May 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.79%1.79%0.24%2.39%
60Apr 2018Apr 20181100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.83%0.83%0.60%0.37%
59Dec 2017Mar 20184100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.30%0.30%0.92%0.30%
58Jun 2017Nov 20176100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 9.43%9.43%10.13%10.81%
57May 2017May 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%2.20%1.39%
56Apr 2017Apr 20171100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 2.20%2.20%1.61%1.02%
55Dec 2016Mar 20174100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.11%8.11%9.37%8.11%
54Sep 2016Nov 20163100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -2.52%-2.52%-0.33%1.81%
53Jun 2016Aug 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.07%4.07%4.13%4.07%
52May 2016May 20161100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -1.02%-1.02%0.38%1.78%
51Apr 2016Apr 20161100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.37%0.37%1.30%0.37%
50Feb 2016Mar 20162100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.91%2.91%6.18%6.62%
49Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-7.50%-6.22%
48Sep 2015Oct 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.42%1.42%3.92%5.73%
47Aug 2015Aug 20151100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.05%-6.05%-6.67%-6.05%
46May 2015Jul 20153100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -4.38%-4.38%-1.53%1.38%
45Nov 2013Apr 201518100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.13%22.13%13.97%22.13%
44Oct 2013Oct 20131100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.41%3.41%4.00%4.59%
43Apr 2013Sep 20136100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.22%8.22%7.53%8.22%
42Nov 2012Mar 20135100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 9.09%9.09%10.67%12.19%
41Jul 2012Oct 20124100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.33%4.33%5.92%4.33%
40Jun 2012Jun 20121100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.44%-1.44%5.07%4.11%
39Jan 2012May 20125100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.09%5.09%1.40%5.09%
38Dec 2011Dec 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.13%3.13%-0.81%1.02%
37Nov 2011Nov 20111100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.23%-0.23%-1.56%-0.23%
36Aug 2011Oct 20113100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 15.73%15.73%-7.06%-2.51%
35Feb 2011Jul 20116100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%1.40%1.39%
34Jan 2011Jan 20111100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.70%0.70%1.53%2.36%
33Dec 2010Dec 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.67%6.67%7.51%6.67%
32Aug 2010Nov 20104100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 5.65%5.65%6.81%7.92%
31Jun 2010Jul 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.49%4.49%5.18%1.39%
30Dec 2009May 20106100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.36%0.36%-4.71%0.36%
29May 2009Nov 20097100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 37.20%37.20%32.26%27.25%
28Jul 2008Apr 200910100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.10%9.10%-34.30%-30.25%
27Jun 2008Jun 20081100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -8.99%-8.99%-8.71%-8.44%
26Jan 2008May 20085100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.03%-0.03%-2.96%-3.85%
25Dec 2006Dec 200713100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 19.09%19.09%12.88%6.85%
24Oct 2006Nov 20062100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.20%5.20%6.54%5.20%
23Sep 2006Sep 20061100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.25%0.25%1.41%2.56%
22Aug 2006Aug 20061100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.74%2.74%2.45%2.36%
21Sep 2005Jul 200611100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 21.03%21.03%13.50%6.22%
20Aug 2005Aug 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.91%-0.91%0.97%-0.91%
19Jul 2005Jul 20051100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.58%-2.58%3.69%3.71%
18Jun 2005Jun 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.13%0.13%0.71%0.13%
17Oct 2004May 20058100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 13.24%13.24%10.69%8.12%
16Aug 2004Sep 20042100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.35%4.35%2.59%1.45%
15Jul 2004Jul 20041100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.31%-3.31%-3.32%-3.31%
14Jul 2003Jun 200412100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 32.85%32.85%25.74%18.91%
13Apr 2003Jun 20033100.00% Vanguard 500 Index Investor (VFINX)VFINX: 15.39%15.39%17.46%15.39%
12Jul 2002Mar 20039100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 13.34%13.34%-17.10%-13.13%
11Apr 2002Jun 20023100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -2.75%-2.75%-8.18%-13.43%
10Feb 2002Mar 20022100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.66%-2.66%4.19%1.73%
9Jan 2002Jan 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.47%-1.47%-3.05%-1.47%
8Oct 2000Dec 200115100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.79%11.79%-21.01%-18.89%
7Sep 2000Sep 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -5.29%-5.29%-5.15%-5.29%
6Jul 2000Aug 20002100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.59%3.59%0.51%4.60%
5Apr 2000Jun 20003100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.61%-2.61%-3.29%-2.61%
4Aug 1999Mar 20008100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 19.20%19.20%16.58%13.75%
3Nov 1998Jul 19999100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.13%22.13%20.31%22.13%
2Sep 1998Oct 19982100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.54%1.54%11.84%15.10%
1Jan 1997Aug 199820100.00% Vanguard 500 Index Investor (VFINX)VFINX: 32.62%32.62%13.93%32.62%