Test Tactical Allocation Models

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

Tactical Model

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

.00

Cashflows

Contribution Amount

.00

Inflation Adjusted

Withdrawal Percentage

Frequency

Risk Management Strategy

Ticker

Tickers

Single absolute momentum

Absolute momentum asset

Target Volatility

Use Downside Volatility

Out Of Market Start Month

Out Of Market End Month

Out of Market Asset

Specify out of market asset

Buy Signal

Type of Moving Average

Performance Periods

Period Weighting

Lookback Period

Lookback period in trading days

Type of Moving Average #2

Lookback Period #2

Lookback period #2 in trading days

Exclude Previous Month

Normalize Returns

Volatility Period

Volatility window in trading days

Assets to hold

Allocation Weights

Risk Control

Risk Window Period

Risk window in trading days

Specify signal asset

Stop Loss

Stop Loss Threshold

Stop Loss Asset

Specify stop-loss asset

Max Derisk Percentage

Derisk Increment

Rerisk Increment

Risk Adjustment Levels

Trade	Rule	Threshold	Change
			%
			%
			%
			%

Trading Frequency

Trading Rule

Signal Asset

Specify signal asset

Rebalancing

Trade Execution

Leverage Type

Leverage Ratio

Debt Amount

.00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Compared Allocation

Benchmark

Benchmark Ticker

Show Regime Performance

Lookback Periods

Length

Unit

Weight

Lookback Period #1

Lookback Period #2

Lookback Period #3

Lookback Period #4

Lookback Period #5

Volatility Period

Portfolio Assets

Allocation

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Total

Model Simulation Results (Jan 1990 - Sep 2026) Save

Tactical asset allocation model results from Jan 1990 to Sep 2026 for Vanguard 500 Index Investor (VFINX) are based on 10 calendar month simple moving average. The tactical asset allocation model is invested in the asset when the adjusted close price is greater than or equal to the moving average, otherwise the portfolio is invested in U.S. 3-Month Treasury Bill Rate (^CASHUS). 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 500 Index Investor (VFINX) [Sep 1976 - Sep 2026].

Performance Summary

Performance statistics for the timing portfolio and benchmark portfolios
Metric	Moving Average Model	Buy & Hold Portfolio
Start Balance	$10,000	$10,000
End Balance	$270,136	$433,201
Annualized Return (CAGR)	9.38%	10.80%
Standard Deviation	10.70%	14.73%
Best Year	37.45%	37.45%
Worst Year	-19.89%	-37.02%
Maximum Drawdown	-21.57%	-50.97%
Sharpe Ratio	0.64	0.59
Sortino Ratio	0.97	0.87

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return					Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	20 year	Full	3 year	5 year
Moving Average Model	2.27%	2.25%	4.93%	13.79%	6.92%	9.27%	8.70%	9.38%	9.91%	11.28%
Buy & Hold Portfolio	2.27%	12.63%	15.58%	22.71%	13.63%	15.18%	11.07%	10.80%	12.42%	15.64%
Trailing return and volatility are as of last calendar month ending September 2026

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Moving Average Model	Buy & Hold Portfolio
Arithmetic Mean (monthly)	0.80%	0.95%
Arithmetic Mean (annualized)	10.01%	12.00%
Geometric Mean (monthly)	0.75%	0.86%
Geometric Mean (annualized)	9.38%	10.80%
Standard Deviation (monthly)	3.09%	4.25%
Standard Deviation (annualized)	10.70%	14.73%
Downside Deviation (monthly)	1.93%	2.75%
Maximum Drawdown	-21.57%	-50.97%
Benchmark Correlation	0.71	0.99
Beta^(*)	0.50	0.97
Alpha (annualized)	3.87%	0.41%
R²	50.23%	98.09%
Sharpe Ratio	0.64	0.59
Sortino Ratio	0.97	0.87
Treynor Ratio (%)	13.53	8.91
Calmar Ratio	2.00	3.02
Modigliani–Modigliani Measure	12.35%	11.59%
Active Return	-1.30%	0.11%
Tracking Error	10.62%	2.09%
Information Ratio	-0.12	0.05
Skewness	-0.50	-0.52
Excess Kurtosis	1.84	1.02
Historical Value-at-Risk (5%)	4.78%	6.85%
Analytical Value-at-Risk (5%)	4.28%	6.04%
Conditional Value-at-Risk (5%)	6.76%	9.35%
Upside Capture Ratio (%)	65.13	97.10
Downside Capture Ratio (%)	62.94	96.39
Safe Withdrawal Rate	7.13%	8.02%
Perpetual Withdrawal Rate	6.24%	7.46%
Positive Periods	328 out of 441 (74.38%)	289 out of 441 (65.53%)
Gain/Loss Ratio	0.70	0.92
^* U.S. Stock Market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Annual Returns

Annual returns for the timing portfolio and various benchmark portfolios
Year	Inflation	Moving Average Model		Buy & Hold Portfolio		Vanguard 500 Index Investor (VFINX)	U.S. 3-Month Treasury Bill Rate (^CASHUS)
Year	Inflation	Return	Balance	Return	Balance	Vanguard 500 Index Investor (VFINX)	U.S. 3-Month Treasury Bill Rate (^CASHUS)
2026	3.37%	2.25%	$270,136	12.63%	$433,201	12.63%	2.77%
2025	2.68%	12.31%	$264,190	17.71%	$384,633	17.71%	4.23%
2024	2.89%	24.84%	$235,233	24.84%	$326,760	24.84%	5.21%
2023	3.35%	9.63%	$188,425	26.11%	$261,740	26.11%	5.15%
2022	6.45%	-19.89%	$171,869	-18.23%	$207,546	-18.23%	1.69%
2021	7.04%	28.53%	$214,537	28.53%	$253,814	28.53%	0.05%
2020	1.36%	14.37%	$166,912	18.25%	$197,470	18.25%	0.49%
2019	2.29%	10.74%	$145,939	31.33%	$166,997	31.33%	2.16%
2018	1.91%	-6.24%	$131,788	-4.52%	$127,161	-4.52%	1.87%
2017	2.11%	21.67%	$140,566	21.67%	$133,187	21.67%	0.87%
2016	2.07%	4.92%	$115,532	11.82%	$109,468	11.82%	0.29%
2015	0.73%	-4.23%	$110,111	1.25%	$97,899	1.25%	0.04%
2014	0.76%	13.51%	$114,975	13.51%	$96,692	13.51%	0.04%
2013	1.50%	32.18%	$101,292	32.18%	$85,185	32.18%	0.06%
2012	1.74%	10.88%	$76,634	15.82%	$64,448	15.82%	0.08%
2011	2.96%	-1.86%	$69,117	1.97%	$55,643	1.97%	0.06%
2010	1.50%	-1.37%	$70,431	14.91%	$54,570	14.91%	0.13%
2009	2.72%	22.66%	$71,410	26.49%	$47,488	26.49%	0.15%
2008	0.09%	1.63%	$58,218	-37.02%	$37,544	-37.02%	1.63%
2007	4.08%	5.39%	$57,284	5.39%	$59,613	5.39%	4.64%
2006	2.54%	15.64%	$54,356	15.64%	$56,566	15.64%	4.78%
2005	3.42%	4.77%	$47,004	4.77%	$48,915	4.77%	3.06%
2004	3.26%	9.41%	$44,862	10.74%	$46,686	10.74%	1.27%
2003	1.88%	23.09%	$41,004	28.50%	$42,158	28.50%	1.04%
2002	2.38%	-4.66%	$33,312	-22.15%	$32,808	-22.15%	1.66%
2001	1.55%	3.82%	$34,940	-12.02%	$42,139	-12.02%	3.82%
2000	3.39%	0.17%	$33,654	-9.06%	$47,898	-9.06%	5.98%
1999	2.68%	14.31%	$33,596	21.07%	$52,668	21.07%	4.70%
1998	1.61%	12.64%	$29,389	28.62%	$43,503	28.62%	4.99%
1997	1.70%	33.19%	$26,092	33.19%	$33,823	33.19%	5.20%
1996	3.32%	22.88%	$19,590	22.88%	$25,395	22.88%	5.19%
1995	2.54%	37.45%	$15,943	37.45%	$20,667	37.45%	5.72%
1994	2.67%	-2.14%	$11,599	1.18%	$15,036	1.18%	4.14%
1993	2.75%	9.89%	$11,853	9.89%	$14,862	9.89%	3.07%
1992	2.90%	7.42%	$10,786	7.42%	$13,524	7.42%	3.58%
1991	3.06%	17.33%	$10,040	30.22%	$12,589	30.22%	5.80%
1990	6.11%	-14.42%	$8,558	-3.32%	$9,668	-3.32%	7.94%
Annual return for 2026 is from 01/01/2026 to 09/30/2026

Monthly Returns

Monthly returns for the timing portfolio and various benchmark portfolios
Year	Month	Moving Average Model		Buy & Hold Portfolio		Vanguard 500 Index Investor (VFINX)	U.S. 3-Month Treasury Bill Rate (^CASHUS)
Year	Month	Return	Balance	Return	Balance	Vanguard 500 Index Investor (VFINX)	U.S. 3-Month Treasury Bill Rate (^CASHUS)
2026	9	-0.36%	$270,136	-0.36%	$433,201	-0.36%	0.31%
2026	8	2.71%	$271,105	2.71%	$434,754	2.71%	0.31%
2026	7	-0.08%	$263,949	-0.08%	$423,279	-0.08%	0.31%
2026	6	-0.96%	$264,151	-0.96%	$423,603	-0.96%	0.30%
2026	5	5.25%	$266,722	5.25%	$427,726	5.25%	0.30%
2026	4	0.30%	$253,415	10.48%	$406,386	10.48%	0.30%
2026	3	-4.99%	$252,650	-4.99%	$367,833	-4.99%	0.30%
2026	2	-0.77%	$265,925	-0.77%	$387,159	-0.77%	0.30%
2026	1	1.44%	$267,990	1.44%	$390,166	1.44%	0.30%
2025	12	0.05%	$264,190	0.05%	$384,633	0.05%	0.32%
2025	11	0.23%	$264,064	0.23%	$384,450	0.23%	0.32%
2025	10	2.33%	$263,447	2.33%	$383,551	2.33%	0.33%
2025	9	3.64%	$257,450	3.64%	$374,821	3.64%	0.35%
2025	8	2.02%	$248,415	2.02%	$361,666	2.02%	0.36%
2025	7	2.23%	$243,503	2.23%	$354,515	2.23%	0.36%
2025	6	5.07%	$238,195	5.07%	$346,788	5.07%	0.36%
2025	5	0.35%	$226,692	6.28%	$330,040	6.28%	0.35%
2025	4	0.35%	$225,894	-0.69%	$310,536	-0.69%	0.35%
2025	3	-5.65%	$225,101	-5.65%	$312,686	-5.65%	0.35%
2025	2	-1.32%	$238,574	-1.32%	$331,401	-1.32%	0.35%
2025	1	2.77%	$241,755	2.77%	$335,820	2.77%	0.36%
2024	12	-2.40%	$235,233	-2.40%	$326,760	-2.40%	0.37%
2024	11	5.86%	$241,006	5.86%	$334,780	5.86%	0.38%
2024	10	-0.92%	$227,673	-0.92%	$316,259	-0.92%	0.40%
2024	9	2.12%	$229,777	2.12%	$319,181	2.12%	0.42%
2024	8	2.41%	$225,001	2.41%	$312,547	2.41%	0.44%
2024	7	1.20%	$219,697	1.20%	$305,180	1.20%	0.44%
2024	6	3.58%	$217,082	3.58%	$301,547	3.58%	0.44%
2024	5	4.95%	$209,588	4.95%	$291,137	4.95%	0.44%
2024	4	-4.10%	$199,711	-4.10%	$277,417	-4.10%	0.44%
2024	3	3.21%	$208,239	3.21%	$289,264	3.21%	0.44%
2024	2	5.33%	$201,772	5.33%	$280,280	5.33%	0.44%
2024	1	1.67%	$191,564	1.67%	$266,100	1.67%	0.44%
2023	12	4.53%	$188,425	4.53%	$261,740	4.53%	0.44%
2023	11	0.45%	$180,255	9.12%	$250,391	9.12%	0.45%
2023	10	-2.12%	$179,449	-2.12%	$229,465	-2.12%	0.45%
2023	9	-4.78%	$183,328	-4.78%	$234,424	-4.78%	0.45%
2023	8	-1.60%	$192,527	-1.60%	$246,188	-1.60%	0.44%
2023	7	3.20%	$195,662	3.20%	$250,196	3.20%	0.43%
2023	6	6.60%	$189,591	6.60%	$242,433	6.60%	0.43%
2023	5	0.42%	$177,860	0.42%	$227,433	0.42%	0.41%
2023	4	1.55%	$177,115	1.55%	$226,480	1.55%	0.39%
2023	3	3.66%	$174,410	3.66%	$223,021	3.66%	0.39%
2023	2	-2.45%	$168,256	-2.45%	$215,152	-2.45%	0.38%
2023	1	0.36%	$172,482	6.27%	$220,555	6.27%	0.36%
2022	12	-5.77%	$171,869	-5.77%	$207,546	-5.77%	0.35%
2022	11	0.31%	$182,398	5.58%	$220,261	5.58%	0.31%
2022	10	0.26%	$181,831	8.08%	$208,629	8.08%	0.26%
2022	9	0.22%	$181,355	-9.22%	$193,029	-9.22%	0.22%
2022	8	0.19%	$180,957	-4.09%	$212,635	-4.09%	0.19%
2022	7	0.12%	$180,620	9.21%	$221,704	9.21%	0.12%
2022	6	0.08%	$180,395	-8.27%	$203,008	-8.27%	0.08%
2022	5	0.06%	$180,248	0.17%	$221,299	0.17%	0.06%
2022	4	-8.73%	$180,134	-8.73%	$220,923	-8.73%	0.04%
2022	3	0.03%	$197,364	3.69%	$242,055	3.69%	0.03%
2022	2	-3.00%	$197,310	-3.00%	$233,433	-3.00%	0.01%
2022	1	-5.19%	$203,411	-5.19%	$240,652	-5.19%	0.01%
2021	12	4.47%	$214,537	4.47%	$253,814	4.47%	0.00%
2021	11	-0.71%	$205,360	-0.71%	$242,958	-0.71%	0.00%
2021	10	6.99%	$206,818	6.99%	$244,683	6.99%	0.00%
2021	9	-4.66%	$193,300	-4.66%	$228,690	-4.66%	0.00%
2021	8	3.03%	$202,755	3.03%	$239,876	3.03%	0.00%
2021	7	2.38%	$196,794	2.38%	$232,823	2.38%	0.00%
2021	6	2.31%	$192,224	2.31%	$227,416	2.31%	0.00%
2021	5	0.69%	$187,893	0.69%	$222,292	0.69%	0.00%
2021	4	5.32%	$186,608	5.32%	$220,772	5.32%	0.00%
2021	3	4.37%	$177,177	4.37%	$209,615	4.37%	0.00%
2021	2	2.76%	$169,763	2.76%	$200,843	2.76%	0.01%
2021	1	-1.02%	$165,207	-1.02%	$195,454	-1.02%	0.01%
2020	12	3.84%	$166,912	3.84%	$197,470	3.84%	0.01%
2020	11	10.94%	$160,741	10.94%	$190,170	10.94%	0.01%
2020	10	-2.67%	$144,896	-2.67%	$171,424	-2.67%	0.01%
2020	9	-3.81%	$148,873	-3.81%	$176,129	-3.81%	0.01%
2020	8	7.18%	$154,771	7.18%	$183,106	7.18%	0.01%
2020	7	5.63%	$144,407	5.63%	$170,845	5.63%	0.01%
2020	6	1.98%	$136,714	1.98%	$161,743	1.98%	0.01%
2020	5	0.01%	$134,062	4.76%	$158,607	4.76%	0.01%
2020	4	0.02%	$134,047	12.81%	$151,406	12.81%	0.02%
2020	3	0.13%	$134,014	-12.37%	$134,209	-12.37%	0.13%
2020	2	-8.24%	$133,844	-8.24%	$153,157	-8.24%	0.13%
2020	1	-0.05%	$145,866	-0.05%	$166,913	-0.05%	0.13%
2019	12	3.01%	$145,939	3.01%	$166,997	3.01%	0.13%
2019	11	3.62%	$141,681	3.62%	$162,125	3.62%	0.14%
2019	10	2.15%	$136,731	2.15%	$156,460	2.15%	0.16%
2019	9	1.86%	$133,846	1.86%	$153,160	1.86%	0.16%
2019	8	-1.59%	$131,404	-1.59%	$150,365	-1.59%	0.18%
2019	7	1.43%	$133,528	1.43%	$152,796	1.43%	0.18%
2019	6	0.20%	$131,651	7.03%	$150,648	7.03%	0.20%
2019	5	-6.36%	$131,393	-6.36%	$140,749	-6.36%	0.20%
2019	4	4.04%	$140,324	4.04%	$150,316	4.04%	0.20%
2019	3	1.94%	$134,873	1.94%	$144,477	1.94%	0.20%
2019	2	0.20%	$132,311	3.20%	$141,732	3.20%	0.20%
2019	1	0.20%	$132,049	8.00%	$137,337	8.00%	0.20%
2018	12	-9.04%	$131,788	-9.04%	$127,161	-9.04%	0.19%
2018	11	0.19%	$144,886	2.03%	$139,800	2.03%	0.19%
2018	10	-6.85%	$144,614	-6.85%	$137,023	-6.85%	0.18%
2018	9	0.55%	$155,246	0.55%	$147,097	0.55%	0.17%
2018	8	3.25%	$154,391	3.25%	$146,286	3.25%	0.16%
2018	7	3.71%	$149,536	3.71%	$141,687	3.71%	0.16%
2018	6	0.61%	$144,188	0.61%	$136,619	0.61%	0.16%
2018	5	2.39%	$143,321	2.39%	$135,798	2.39%	0.15%
2018	4	0.37%	$139,969	0.37%	$132,622	0.37%	0.14%
2018	3	-2.56%	$139,449	-2.56%	$132,129	-2.56%	0.13%
2018	2	-3.69%	$143,106	-3.69%	$135,594	-3.69%	0.12%
2018	1	5.71%	$148,596	5.71%	$140,795	5.71%	0.11%
2017	12	1.10%	$140,566	1.10%	$133,187	1.10%	0.10%
2017	11	3.06%	$139,033	3.06%	$131,735	3.06%	0.09%
2017	10	2.32%	$134,906	2.32%	$127,825	2.32%	0.09%
2017	9	2.06%	$131,850	2.06%	$124,929	2.06%	0.08%
2017	8	0.29%	$129,190	0.29%	$122,409	0.29%	0.09%
2017	7	2.04%	$128,812	2.04%	$122,051	2.04%	0.08%
2017	6	0.61%	$126,234	0.61%	$119,608	0.61%	0.07%
2017	5	1.39%	$125,467	1.39%	$118,881	1.39%	0.07%
2017	4	1.02%	$123,742	1.02%	$117,247	1.02%	0.06%
2017	3	0.10%	$122,495	0.10%	$116,065	0.10%	0.04%
2017	2	3.96%	$122,372	3.96%	$115,949	3.96%	0.04%
2017	1	1.88%	$117,708	1.88%	$111,529	1.88%	0.04%
2016	12	1.96%	$115,532	1.96%	$109,468	1.96%	0.04%
2016	11	3.70%	$113,309	3.70%	$107,361	3.70%	0.03%
2016	10	-1.83%	$109,267	-1.83%	$103,531	-1.83%	0.02%
2016	9	0.01%	$111,307	0.01%	$105,464	0.01%	0.03%
2016	8	0.13%	$111,298	0.13%	$105,456	0.13%	0.03%
2016	7	3.68%	$111,154	3.68%	$105,319	3.68%	0.02%
2016	6	0.25%	$107,213	0.25%	$101,585	0.25%	0.02%
2016	5	1.78%	$106,945	1.78%	$101,331	1.78%	0.02%
2016	4	0.37%	$105,072	0.37%	$99,556	0.37%	0.02%
2016	3	0.03%	$104,681	6.78%	$99,186	6.78%	0.03%
2016	2	0.02%	$104,654	-0.15%	$92,892	-0.15%	0.02%
2016	1	-4.98%	$104,631	-4.98%	$93,027	-4.98%	0.02%
2015	12	-1.59%	$110,111	-1.59%	$97,899	-1.59%	0.01%
2015	11	0.29%	$111,893	0.29%	$99,483	0.29%	0.00%
2015	10	0.00%	$111,573	8.42%	$99,199	8.42%	0.00%
2015	9	0.01%	$111,571	-2.48%	$91,493	-2.48%	0.01%
2015	8	-6.05%	$111,565	-6.05%	$93,824	-6.05%	0.00%
2015	7	2.08%	$118,745	2.08%	$99,863	2.08%	0.00%
2015	6	-1.93%	$116,325	-1.93%	$97,828	-1.93%	0.00%
2015	5	1.27%	$118,618	1.27%	$99,756	1.27%	0.00%
2015	4	0.95%	$117,127	0.95%	$98,502	0.95%	0.00%
2015	3	-1.59%	$116,026	-1.59%	$97,576	-1.59%	0.00%
2015	2	5.74%	$117,905	5.74%	$99,157	5.74%	0.00%
2015	1	-3.02%	$111,505	-3.02%	$93,774	-3.02%	0.00%
2014	12	-0.26%	$114,975	-0.26%	$96,692	-0.26%	0.00%
2014	11	2.68%	$115,279	2.68%	$96,948	2.68%	0.00%
2014	10	2.42%	$112,268	2.42%	$94,416	2.42%	0.00%
2014	9	-1.41%	$109,612	-1.41%	$92,182	-1.41%	0.00%
2014	8	3.98%	$111,182	3.98%	$93,503	3.98%	0.00%
2014	7	-1.39%	$106,925	-1.39%	$89,922	-1.39%	0.00%
2014	6	2.05%	$108,430	2.05%	$91,188	2.05%	0.00%
2014	5	2.33%	$106,250	2.33%	$89,355	2.33%	0.00%
2014	4	0.72%	$103,826	0.72%	$87,316	0.72%	0.00%
2014	3	0.82%	$103,079	0.82%	$86,688	0.82%	0.00%
2014	2	4.56%	$102,237	4.56%	$85,980	4.56%	0.00%
2014	1	-3.47%	$97,778	-3.47%	$82,230	-3.47%	0.01%
2013	12	2.51%	$101,292	2.51%	$85,185	2.51%	0.01%
2013	11	3.03%	$98,808	3.03%	$83,096	3.03%	0.00%
2013	10	4.59%	$95,904	4.59%	$80,653	4.59%	0.00%
2013	9	3.12%	$91,698	3.12%	$77,117	3.12%	0.00%
2013	8	-2.91%	$88,922	-2.91%	$74,782	-2.91%	0.00%
2013	7	5.07%	$91,589	5.07%	$77,025	5.07%	0.00%
2013	6	-1.35%	$87,168	-1.35%	$73,307	-1.35%	0.00%
2013	5	2.33%	$88,361	2.33%	$74,310	2.33%	0.01%
2013	4	1.91%	$86,351	1.91%	$72,620	1.91%	0.01%
2013	3	3.74%	$84,734	3.74%	$71,260	3.74%	0.01%
2013	2	1.34%	$81,680	1.34%	$68,692	1.34%	0.01%
2013	1	5.18%	$80,601	5.18%	$67,784	5.18%	0.01%
2012	12	0.90%	$76,634	0.90%	$64,448	0.90%	0.01%
2012	11	0.56%	$75,949	0.56%	$63,872	0.56%	0.01%
2012	10	-1.86%	$75,526	-1.86%	$63,516	-1.86%	0.01%
2012	9	2.58%	$76,957	2.58%	$64,720	2.58%	0.01%
2012	8	2.24%	$75,024	2.24%	$63,094	2.24%	0.01%
2012	7	1.37%	$73,381	1.37%	$61,712	1.37%	0.01%
2012	6	4.11%	$72,389	4.11%	$60,878	4.11%	0.01%
2012	5	-6.02%	$69,532	-6.02%	$58,475	-6.02%	0.01%
2012	4	-0.64%	$73,984	-0.64%	$62,220	-0.64%	0.01%
2012	3	3.28%	$74,461	3.28%	$62,620	3.28%	0.01%
2012	2	4.31%	$72,095	4.31%	$60,631	4.31%	0.00%
2012	1	0.00%	$69,118	4.46%	$58,127	4.46%	0.00%
2011	12	0.00%	$69,117	1.02%	$55,643	1.02%	0.00%
2011	11	0.00%	$69,117	-0.23%	$55,082	-0.23%	0.00%
2011	10	0.00%	$69,116	10.91%	$55,211	10.91%	0.00%
2011	9	0.00%	$69,115	-7.04%	$49,779	-7.04%	0.00%
2011	8	-5.45%	$69,114	-5.45%	$53,550	-5.45%	0.00%
2011	7	-2.05%	$73,095	-2.05%	$56,635	-2.05%	0.00%
2011	6	-1.67%	$74,622	-1.67%	$57,818	-1.67%	0.00%
2011	5	-1.15%	$75,892	-1.15%	$58,801	-1.15%	0.01%
2011	4	2.95%	$76,771	2.95%	$59,483	2.95%	0.01%
2011	3	0.03%	$74,573	0.03%	$57,779	0.03%	0.01%
2011	2	3.42%	$74,553	3.42%	$57,765	3.42%	0.01%
2011	1	2.36%	$72,091	2.36%	$55,856	2.36%	0.01%
2010	12	6.67%	$70,431	6.67%	$54,570	6.67%	0.01%
2010	11	0.00%	$66,026	0.00%	$51,157	0.00%	0.01%
2010	10	3.79%	$66,026	3.79%	$51,157	3.79%	0.01%
2010	9	0.01%	$63,616	8.92%	$49,290	8.92%	0.01%
2010	8	-4.53%	$63,607	-4.53%	$45,254	-4.53%	0.01%
2010	7	0.01%	$66,625	7.00%	$47,401	7.00%	0.01%
2010	6	-5.24%	$66,619	-5.24%	$44,302	-5.24%	0.01%
2010	5	-8.01%	$70,302	-8.01%	$46,751	-8.01%	0.01%
2010	4	1.58%	$76,420	1.58%	$50,819	1.58%	0.01%
2010	3	6.01%	$75,232	6.01%	$50,030	6.01%	0.01%
2010	2	3.09%	$70,965	3.09%	$47,192	3.09%	0.01%
2010	1	-3.60%	$68,837	-3.60%	$45,777	-3.60%	0.00%
2009	12	1.95%	$71,410	1.95%	$47,488	1.95%	0.00%
2009	11	5.98%	$70,047	5.98%	$46,582	5.98%	0.01%
2009	10	-1.87%	$66,094	-1.87%	$43,953	-1.87%	0.01%
2009	9	3.72%	$67,352	3.72%	$44,789	3.72%	0.01%
2009	8	3.60%	$64,938	3.60%	$43,184	3.60%	0.02%
2009	7	7.58%	$62,682	7.58%	$41,684	7.58%	0.02%
2009	6	0.02%	$58,267	0.22%	$38,748	0.22%	0.02%
2009	5	0.01%	$58,258	5.62%	$38,663	5.62%	0.01%
2009	4	0.02%	$58,250	9.56%	$36,606	9.56%	0.02%
2009	3	0.03%	$58,240	8.76%	$33,412	8.76%	0.03%
2009	2	0.01%	$58,226	-10.66%	$30,721	-10.66%	0.01%
2009	1	0.00%	$58,219	-8.41%	$34,386	-8.41%	0.00%
2008	12	0.02%	$58,218	1.07%	$37,544	1.07%	0.02%
2008	11	0.06%	$58,209	-7.17%	$37,148	-7.17%	0.06%
2008	10	0.09%	$58,176	-16.79%	$40,019	-16.79%	0.09%
2008	9	0.14%	$58,121	-8.91%	$48,095	-8.91%	0.14%
2008	8	0.14%	$58,038	1.45%	$52,798	1.45%	0.14%
2008	7	0.16%	$57,959	-0.83%	$52,045	-0.83%	0.16%
2008	6	0.14%	$57,869	-8.44%	$52,481	-8.44%	0.14%
2008	5	0.11%	$57,785	1.29%	$57,318	1.29%	0.11%
2008	4	0.11%	$57,723	4.85%	$56,587	4.85%	0.11%
2008	3	0.18%	$57,663	-0.44%	$53,967	-0.44%	0.18%
2008	2	0.23%	$57,560	-3.25%	$54,206	-3.25%	0.23%
2008	1	0.25%	$57,428	-6.02%	$56,027	-6.02%	0.25%
2007	12	-0.70%	$57,284	-0.70%	$59,613	-0.70%	0.27%
2007	11	-4.19%	$57,688	-4.19%	$60,034	-4.19%	0.33%
2007	10	1.58%	$60,209	1.58%	$62,657	1.58%	0.33%
2007	9	3.72%	$59,273	3.72%	$61,683	3.72%	0.35%
2007	8	1.50%	$57,145	1.50%	$59,468	1.50%	0.40%
2007	7	-3.08%	$56,301	-3.08%	$58,591	-3.08%	0.39%
2007	6	-1.68%	$58,094	-1.68%	$60,456	-1.68%	0.40%
2007	5	3.48%	$59,084	3.48%	$61,486	3.48%	0.41%
2007	4	4.42%	$57,099	4.42%	$59,420	4.42%	0.42%
2007	3	1.11%	$54,683	1.11%	$56,906	1.11%	0.42%
2007	2	-1.97%	$54,082	-1.97%	$56,280	-1.97%	0.42%
2007	1	1.49%	$55,168	1.49%	$57,411	1.49%	0.41%
2006	12	1.39%	$54,356	1.39%	$56,566	1.39%	0.42%
2006	11	1.89%	$53,610	1.89%	$55,790	1.89%	0.41%
2006	10	3.25%	$52,616	3.25%	$54,756	3.25%	0.40%
2006	9	2.56%	$50,960	2.56%	$53,032	2.56%	0.42%
2006	8	2.36%	$49,686	2.36%	$51,706	2.36%	0.42%
2006	7	0.61%	$48,540	0.61%	$50,513	0.61%	0.40%
2006	6	0.13%	$48,247	0.13%	$50,208	0.13%	0.40%
2006	5	-2.90%	$48,185	-2.90%	$50,144	-2.90%	0.39%
2006	4	1.33%	$49,623	1.33%	$51,640	1.33%	0.38%
2006	3	1.23%	$48,970	1.23%	$50,961	1.23%	0.37%
2006	2	0.26%	$48,374	0.26%	$50,341	0.26%	0.36%
2006	1	2.65%	$48,248	2.65%	$50,209	2.65%	0.33%
2005	12	0.02%	$47,004	0.02%	$48,915	0.02%	0.33%
2005	11	3.76%	$46,994	3.76%	$48,904	3.76%	0.31%
2005	10	-1.68%	$45,289	-1.68%	$47,130	-1.68%	0.29%
2005	9	0.79%	$46,062	0.79%	$47,935	0.79%	0.29%
2005	8	-0.91%	$45,699	-0.91%	$47,557	-0.91%	0.27%
2005	7	3.71%	$46,120	3.71%	$47,995	3.71%	0.25%
2005	6	0.13%	$44,472	0.13%	$46,280	0.13%	0.24%
2005	5	3.17%	$44,415	3.17%	$46,221	3.17%	0.23%
2005	4	-1.91%	$43,052	-1.91%	$44,802	-1.91%	0.23%
2005	3	-1.76%	$43,891	-1.76%	$45,676	-1.76%	0.21%
2005	2	2.09%	$44,677	2.09%	$46,494	2.09%	0.19%
2005	1	-2.45%	$43,761	-2.45%	$45,540	-2.45%	0.18%
2004	12	3.39%	$44,862	3.39%	$46,686	3.39%	0.17%
2004	11	4.05%	$43,390	4.05%	$45,154	4.05%	0.15%
2004	10	1.51%	$41,703	1.51%	$43,398	1.51%	0.14%
2004	9	0.12%	$41,080	1.07%	$42,751	1.07%	0.12%
2004	8	0.11%	$41,030	0.38%	$42,299	0.38%	0.11%
2004	7	-3.31%	$40,984	-3.31%	$42,138	-3.31%	0.11%
2004	6	1.93%	$42,387	1.93%	$43,581	1.93%	0.09%
2004	5	1.36%	$41,585	1.36%	$42,756	1.36%	0.08%
2004	4	-1.58%	$41,028	-1.58%	$42,183	-1.58%	0.08%
2004	3	-1.51%	$41,685	-1.51%	$42,859	-1.51%	0.08%
2004	2	1.38%	$42,326	1.38%	$43,517	1.38%	0.07%
2004	1	1.82%	$41,751	1.82%	$42,926	1.82%	0.08%
2003	12	5.22%	$41,004	5.22%	$42,158	5.22%	0.08%
2003	11	0.86%	$38,970	0.86%	$40,067	0.86%	0.08%
2003	10	5.64%	$38,636	5.64%	$39,724	5.64%	0.08%
2003	9	-1.07%	$36,573	-1.07%	$37,602	-1.07%	0.08%
2003	8	1.93%	$36,969	1.93%	$38,010	1.93%	0.08%
2003	7	1.74%	$36,268	1.74%	$37,289	1.74%	0.08%
2003	6	1.26%	$35,646	1.26%	$36,650	1.26%	0.09%
2003	5	5.26%	$35,203	5.26%	$36,194	5.26%	0.09%
2003	4	0.09%	$33,442	8.25%	$34,384	8.25%	0.09%
2003	3	0.10%	$33,411	0.96%	$31,762	0.96%	0.10%
2003	2	0.10%	$33,378	-1.52%	$31,461	-1.52%	0.10%
2003	1	0.10%	$33,346	-2.62%	$31,946	-2.62%	0.10%
2002	12	0.10%	$33,312	-5.89%	$32,808	-5.89%	0.10%
2002	11	0.13%	$33,278	5.88%	$34,862	5.88%	0.13%
2002	10	0.14%	$33,234	8.78%	$32,927	8.78%	0.14%
2002	9	0.14%	$33,189	-10.87%	$30,269	-10.87%	0.14%
2002	8	0.14%	$33,144	0.65%	$33,962	0.65%	0.14%
2002	7	0.14%	$33,098	-7.72%	$33,742	-7.72%	0.14%
2002	6	0.14%	$33,051	-7.13%	$36,564	-7.13%	0.14%
2002	5	0.14%	$33,003	-0.75%	$39,374	-0.75%	0.14%
2002	4	-6.07%	$32,956	-6.07%	$39,673	-6.07%	0.15%
2002	3	0.14%	$35,088	3.74%	$42,239	3.74%	0.14%
2002	2	0.14%	$35,037	-1.94%	$40,715	-1.94%	0.14%
2002	1	0.14%	$34,989	-1.47%	$41,519	-1.47%	0.14%
2001	12	0.16%	$34,940	0.87%	$42,139	0.87%	0.16%
2001	11	0.18%	$34,885	7.65%	$41,774	7.65%	0.18%
2001	10	0.22%	$34,822	1.90%	$38,804	1.90%	0.22%
2001	9	0.28%	$34,745	-8.09%	$38,083	-8.09%	0.28%
2001	8	0.29%	$34,648	-6.27%	$41,435	-6.27%	0.29%
2001	7	0.29%	$34,546	-1.00%	$44,209	-1.00%	0.29%
2001	6	0.30%	$34,445	-2.45%	$44,655	-2.45%	0.30%
2001	5	0.32%	$34,341	0.65%	$45,775	0.65%	0.32%
2001	4	0.37%	$34,230	7.77%	$45,479	7.77%	0.37%
2001	3	0.41%	$34,104	-6.36%	$42,200	-6.36%	0.41%
2001	2	0.43%	$33,964	-9.14%	$45,064	-9.14%	0.43%
2001	1	0.49%	$33,818	3.55%	$49,596	3.55%	0.49%
2000	12	0.52%	$33,654	0.51%	$47,898	0.51%	0.52%
2000	11	0.51%	$33,481	-7.89%	$47,654	-7.89%	0.51%
2000	10	0.51%	$33,309	-0.43%	$51,733	-0.43%	0.51%
2000	9	-5.29%	$33,142	-5.29%	$51,956	-5.29%	0.51%
2000	8	6.19%	$34,993	6.19%	$54,858	6.19%	0.50%
2000	7	-1.50%	$32,953	-1.50%	$51,660	-1.50%	0.48%
2000	6	2.49%	$33,454	2.49%	$52,446	2.49%	0.49%
2000	5	-2.04%	$32,640	-2.04%	$51,169	-2.04%	0.48%
2000	4	-3.00%	$33,319	-3.00%	$52,234	-3.00%	0.48%
2000	3	9.75%	$34,349	9.75%	$53,849	9.75%	0.47%
2000	2	-1.91%	$31,297	-1.91%	$49,064	-1.91%	0.45%
2000	1	-5.03%	$31,905	-5.03%	$50,018	-5.03%	0.44%
1999	12	5.98%	$33,596	5.98%	$52,668	5.98%	0.43%
1999	11	2.02%	$31,701	2.02%	$49,697	2.02%	0.41%
1999	10	0.39%	$31,072	6.33%	$48,712	6.33%	0.39%
1999	9	-2.74%	$30,951	-2.74%	$45,813	-2.74%	0.40%
1999	8	-0.50%	$31,822	-0.50%	$47,104	-0.50%	0.38%
1999	7	-3.13%	$31,981	-3.13%	$47,339	-3.13%	0.38%
1999	6	5.56%	$33,014	5.56%	$48,868	5.56%	0.38%
1999	5	-2.39%	$31,277	-2.39%	$46,296	-2.39%	0.36%
1999	4	3.85%	$32,042	3.85%	$47,429	3.85%	0.37%
1999	3	4.00%	$30,854	4.00%	$45,670	4.00%	0.37%
1999	2	-3.12%	$29,668	-3.12%	$43,915	-3.12%	0.36%
1999	1	4.20%	$30,625	4.20%	$45,331	4.20%	0.37%
1998	12	5.81%	$29,389	5.81%	$43,503	5.81%	0.37%
1998	11	6.07%	$27,777	6.07%	$41,116	6.07%	0.33%
1998	10	0.39%	$26,187	8.16%	$38,762	8.16%	0.39%
1998	9	0.41%	$26,086	6.41%	$35,837	6.41%	0.41%
1998	8	-14.47%	$25,979	-14.47%	$33,677	-14.47%	0.42%
1998	7	-1.05%	$30,375	-1.05%	$39,377	-1.05%	0.42%
1998	6	4.07%	$30,699	4.07%	$39,796	4.07%	0.42%
1998	5	-1.74%	$29,498	-1.74%	$38,239	-1.74%	0.42%
1998	4	1.01%	$30,021	1.01%	$38,918	1.01%	0.42%
1998	3	5.10%	$29,722	5.10%	$38,529	5.10%	0.43%
1998	2	7.19%	$28,279	7.19%	$36,659	7.19%	0.42%
1998	1	1.11%	$26,381	1.11%	$34,199	1.11%	0.43%
1997	12	1.72%	$26,092	1.72%	$33,823	1.72%	0.43%
1997	11	4.60%	$25,649	4.60%	$33,250	4.60%	0.42%
1997	10	-3.35%	$24,522	-3.35%	$31,788	-3.35%	0.42%
1997	9	5.47%	$25,372	5.47%	$32,890	5.47%	0.43%
1997	8	-5.61%	$24,056	-5.61%	$31,184	-5.61%	0.42%
1997	7	7.97%	$25,485	7.97%	$33,038	7.97%	0.41%
1997	6	4.45%	$23,605	4.45%	$30,600	4.45%	0.42%
1997	5	6.09%	$22,599	6.09%	$29,295	6.09%	0.43%
1997	4	5.96%	$21,302	5.96%	$27,614	5.96%	0.43%
1997	3	-4.14%	$20,104	-4.14%	$26,062	-4.14%	0.42%
1997	2	0.79%	$20,972	0.79%	$27,186	0.79%	0.42%
1997	1	6.22%	$20,807	6.22%	$26,973	6.22%	0.41%
1996	12	-1.96%	$19,590	-1.96%	$25,395	-1.96%	0.42%
1996	11	7.56%	$19,981	7.56%	$25,902	7.56%	0.42%
1996	10	2.76%	$18,576	2.76%	$24,081	2.76%	0.43%
1996	9	5.61%	$18,078	5.61%	$23,435	5.61%	0.42%
1996	8	2.10%	$17,118	2.10%	$22,191	2.10%	0.43%
1996	7	-4.42%	$16,767	-4.42%	$21,735	-4.42%	0.43%
1996	6	0.38%	$17,542	0.38%	$22,740	0.38%	0.42%
1996	5	2.54%	$17,475	2.54%	$22,654	2.54%	0.42%
1996	4	1.46%	$17,042	1.46%	$22,092	1.46%	0.42%
1996	3	0.98%	$16,797	0.98%	$21,774	0.98%	0.41%
1996	2	0.92%	$16,634	0.92%	$21,564	0.92%	0.42%
1996	1	3.39%	$16,482	3.39%	$21,366	3.39%	0.43%
1995	12	1.93%	$15,943	1.93%	$20,667	1.93%	0.45%
1995	11	4.38%	$15,640	4.38%	$20,275	4.38%	0.44%
1995	10	-0.36%	$14,984	-0.36%	$19,424	-0.36%	0.44%
1995	9	4.23%	$15,039	4.23%	$19,495	4.23%	0.45%
1995	8	0.25%	$14,428	0.25%	$18,704	0.25%	0.46%
1995	7	3.30%	$14,393	3.30%	$18,658	3.30%	0.46%
1995	6	2.31%	$13,932	2.31%	$18,061	2.31%	0.48%
1995	5	3.95%	$13,618	3.95%	$17,653	3.95%	0.48%
1995	4	2.94%	$13,100	2.94%	$16,982	2.94%	0.48%
1995	3	2.95%	$12,725	2.95%	$16,496	2.95%	0.49%
1995	2	3.88%	$12,360	3.88%	$16,023	3.88%	0.48%
1995	1	2.58%	$11,899	2.58%	$15,425	2.58%	0.47%
1994	12	0.44%	$11,599	1.46%	$15,036	1.46%	0.44%
1994	11	-3.65%	$11,548	-3.65%	$14,820	-3.65%	0.42%
1994	10	2.25%	$11,986	2.25%	$15,382	2.25%	0.39%
1994	9	-2.45%	$11,722	-2.45%	$15,044	-2.45%	0.38%
1994	8	4.08%	$12,016	4.08%	$15,421	4.08%	0.36%
1994	7	0.35%	$11,546	3.28%	$14,817	3.28%	0.35%
1994	6	0.35%	$11,506	-2.47%	$14,347	-2.47%	0.35%
1994	5	0.31%	$11,466	1.63%	$14,710	1.63%	0.31%
1994	4	0.29%	$11,431	1.29%	$14,475	1.29%	0.29%
1994	3	-4.39%	$11,397	-4.39%	$14,290	-4.39%	0.27%
1994	2	-2.71%	$11,920	-2.71%	$14,946	-2.71%	0.25%
1994	1	3.38%	$12,253	3.38%	$15,363	3.38%	0.26%
1993	12	1.22%	$11,853	1.22%	$14,862	1.22%	0.26%
1993	11	-1.00%	$11,709	-1.00%	$14,682	-1.00%	0.25%
1993	10	2.08%	$11,827	2.08%	$14,829	2.08%	0.25%
1993	9	-0.79%	$11,586	-0.79%	$14,527	-0.79%	0.25%
1993	8	3.79%	$11,679	3.79%	$14,644	3.79%	0.25%
1993	7	-0.42%	$11,253	-0.42%	$14,110	-0.42%	0.26%
1993	6	0.27%	$11,301	0.27%	$14,170	0.27%	0.25%
1993	5	2.65%	$11,271	2.65%	$14,132	2.65%	0.24%
1993	4	-2.42%	$10,980	-2.42%	$13,767	-2.42%	0.25%
1993	3	2.11%	$11,252	2.11%	$14,109	2.11%	0.25%
1993	2	1.36%	$11,020	1.36%	$13,818	1.36%	0.25%
1993	1	0.81%	$10,873	0.81%	$13,633	0.81%	0.27%
1992	12	1.21%	$10,786	1.21%	$13,524	1.21%	0.26%
1992	11	3.40%	$10,657	3.40%	$13,362	3.40%	0.24%
1992	10	0.33%	$10,306	0.33%	$12,922	0.33%	0.24%
1992	9	1.17%	$10,272	1.17%	$12,880	1.17%	0.26%
1992	8	-2.07%	$10,154	-2.07%	$12,731	-2.07%	0.27%
1992	7	4.04%	$10,368	4.04%	$13,000	4.04%	0.31%
1992	6	-1.49%	$9,965	-1.49%	$12,495	-1.49%	0.30%
1992	5	0.48%	$10,116	0.48%	$12,684	0.48%	0.31%
1992	4	2.91%	$10,067	2.91%	$12,623	2.91%	0.34%
1992	3	-1.93%	$9,782	-1.93%	$12,265	-1.93%	0.32%
1992	2	1.24%	$9,974	1.24%	$12,506	1.24%	0.32%
1992	1	-1.88%	$9,852	-1.88%	$12,352	-1.88%	0.34%
1991	12	0.38%	$10,040	11.41%	$12,589	11.41%	0.38%
1991	11	-4.01%	$10,002	-4.01%	$11,300	-4.01%	0.42%
1991	10	1.33%	$10,420	1.33%	$11,772	1.33%	0.44%
1991	9	-1.67%	$10,284	-1.67%	$11,617	-1.67%	0.45%
1991	8	2.33%	$10,458	2.33%	$11,815	2.33%	0.47%
1991	7	4.63%	$10,220	4.63%	$11,545	4.63%	0.47%
1991	6	-4.56%	$9,768	-4.56%	$11,035	-4.56%	0.46%
1991	5	4.27%	$10,234	4.27%	$11,562	4.27%	0.48%
1991	4	0.20%	$9,815	0.20%	$11,088	0.20%	0.50%
1991	3	2.41%	$9,796	2.41%	$11,066	2.41%	0.50%
1991	2	7.15%	$9,566	7.15%	$10,806	7.15%	0.52%
1991	1	4.32%	$8,927	4.32%	$10,085	4.32%	0.57%
1990	12	0.60%	$8,558	2.72%	$9,668	2.72%	0.60%
1990	11	0.60%	$8,507	6.44%	$9,412	6.44%	0.60%
1990	10	0.62%	$8,456	-0.41%	$8,843	-0.41%	0.62%
1990	9	0.63%	$8,404	-4.89%	$8,879	-4.89%	0.63%
1990	8	-9.03%	$8,351	-9.03%	$9,336	-9.03%	0.64%
1990	7	-0.35%	$9,180	-0.35%	$10,262	-0.35%	0.65%
1990	6	-0.66%	$9,213	-0.66%	$10,299	-0.66%	0.65%
1990	5	0.66%	$9,274	9.69%	$10,367	9.69%	0.66%
1990	4	-2.50%	$9,213	-2.50%	$9,451	-2.50%	0.67%
1990	3	0.65%	$9,450	2.61%	$9,693	2.61%	0.65%
1990	2	0.64%	$9,388	1.27%	$9,447	1.27%	0.64%
1990	1	-6.72%	$9,328	-6.72%	$9,328	-6.72%	0.64%

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Moving Average Model	Buy & Hold Portfolio
Asian Crisis	Jul 1997	Jan 1998	-5.61%	-5.61%
Russian Debt Default	Jul 1998	Oct 1998	-15.38%	-15.38%
Dotcom Crash	Mar 2000	Oct 2002	-6.07%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-4.86%	-50.97%
COVID-19 Start	Jan 2020	Mar 2020	-8.29%	-19.63%

Drawdowns for Moving Average Model

Drawdowns for Moving Average Model (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2022	Feb 2023	1 year 2 months	Jun 2024	1 year 4 months	2 years 6 months	-21.57%
2	May 2010	Aug 2010	4 months	Apr 2011	8 months	1 year	-16.77%
3	Jan 1990	Aug 1990	8 months	May 1991	9 months	1 year 5 months	-16.49%
4	Jul 1998	Aug 1998	2 months	Mar 1999	7 months	9 months	-15.38%
5	Oct 2018	May 2019	8 months	Nov 2020	1 year 6 months	2 years 2 months	-15.37%
6	Aug 2015	Jan 2016	6 months	Feb 2017	1 year 1 month	1 year 7 months	-11.89%
7	May 2011	Aug 2011	4 months	Sep 2012	1 year 1 month	1 year 5 months	-9.97%
8	Feb 1994	Mar 1994	2 months	Feb 1995	11 months	1 year 1 month	-6.98%
9	Feb 2025	Mar 2025	2 months	Jul 2025	4 months	6 months	-6.89%
10	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Jan 2022	Sep 2022	9 months	Dec 2023	1 year 3 months	2 years	-23.95%
4	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
5	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
6	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-14.70%
7	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
8	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
9	Feb 2025	Apr 2025	3 months	Jun 2025	2 months	5 months	-7.53%
10	Feb 1994	Mar 1994	2 months	Aug 1994	5 months	7 months	-6.98%
Worst 10 drawdowns included above

Rolling Returns

Rolling returns summary
Roll Period	Moving Average Model			Buy & Hold Portfolio
Roll Period	Average	High	Low	Average	High	Low
1 year	10.50%	52.00%	-19.89%	12.26%	56.19%	-43.32%
3 years	10.04%	32.68%	-0.92%	11.09%	32.68%	-16.14%
5 years	10.07%	23.70%	2.18%	10.68%	28.49%	-6.73%
7 years	9.99%	18.66%	5.28%	10.32%	21.51%	-3.94%
10 years	9.61%	15.40%	5.78%	9.46%	19.37%	-3.51%
15 years	9.44%	12.88%	7.21%	8.74%	15.88%	3.64%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Allocation Changes

Risk Management Performance

Risk Management Performance
Type	Periods #	Periods %	Model			Risk-free Return
Type	Periods #	Periods %	Return	Stdev	Sharpe Ratio	Risk-free Return
In Market	344	78.00%	11.37%	12.05%	0.72	2.84%
Out of Market	97	22.00%	2.62%	0.63%	N/A	2.62%
Risk management regimes are based on monthly returns. All risk and return metrics are annualized. Gain/loss ratio for average periodic excess return vs. benchmark.

Trading Performance

Trading Performance
Metric	Value
Total Trades	55
Analyzed Trades	55
Rebalancing Trades	0
Average Annual Turnover	141.46%
Average Turnover Per Trade	100.00%
Median Turnover Per Trade	100.00%
Average Turnover Per Trade Excluding Rebalancing	100.00%
Median Turnover Per Trade Excluding Rebalancing	100.00%
Cumulative Trading Return without Costs	2,601.36%
Cumulative Trading Return after Costs	1,989.21%
Cumulative Trading Cost Impact	612.15%
Annualized Trading Return without Costs	9.38%
Annualized Trading Return after Costs	8.62%
Annualized Trading Cost Impact	0.76%
Trading costs estimate assumes 25bps cost per trade.

Model Trades

Model trades
#	Start Date	End Date	Trade Date	Trade Type	Turnover	Allocation	Asset Performance	Moving Average Model	Min/Max PL	Cost Adjusted Return
56	10/01/2026	10/31/2026		Open Trade	N/A	Please sign-in for forward signals	N/A	N/A	N/A	N/A
55	05/01/2026	09/30/2026	04/30/2026	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 6.60%	6.60%	-0.11% / 8.49%	6.10%
54	04/01/2026	04/30/2026	03/31/2026	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.30%	0.30%	0.01% / 0.30%	-0.20%
53	06/01/2025	03/31/2026	05/30/2025	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 11.45%	11.45%	0.42% / 18.88%	10.95%
52	04/01/2025	05/31/2025	03/31/2025	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.71%	0.71%	0.02% / 0.71%	0.21%
51	12/01/2023	03/31/2025	11/30/2023	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 24.88%	24.88%	-0.39% / 36.52%	24.38%
50	11/01/2023	11/30/2023	10/31/2023	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.45%	0.45%	0.02% / 0.45%	-0.05%
49	02/01/2023	10/31/2023	01/31/2023	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 4.04%	4.04%	-5.23% / 13.44%	3.54%
48	01/01/2023	01/31/2023	12/30/2022	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.36%	0.36%	0.02% / 0.36%	-0.14%
47	12/01/2022	12/31/2022	11/30/2022	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -5.77%	-5.77%	-7.17% / -0.07%	-6.27%
46	05/01/2022	11/30/2022	04/29/2022	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 1.26%	1.26%	0.00% / 1.26%	0.76%
45	04/01/2022	04/30/2022	03/31/2022	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -8.73%	-8.73%	-8.73% / 1.15%	-9.23%
44	03/01/2022	03/31/2022	02/28/2022	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.03%	0.03%	0.00% / 0.03%	-0.47%
43	06/01/2020	02/28/2022	05/29/2020	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 47.18%	47.18%	-1.33% / 61.05%	46.68%
42	03/01/2020	05/31/2020	02/28/2020	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.16%	0.16%	0.01% / 0.16%	-0.34%
41	07/01/2019	02/29/2020	06/28/2019	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 1.67%	1.67%	-3.21% / 16.46%	1.17%
40	06/01/2019	06/30/2019	05/31/2019	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.20%	0.20%	0.01% / 0.20%	-0.30%
39	03/01/2019	05/31/2019	02/28/2019	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -0.69%	-0.69%	-1.45% / 6.06%	-1.19%
38	01/01/2019	02/28/2019	12/31/2018	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.40%	0.40%	0.01% / 0.40%	-0.10%
37	12/01/2018	12/31/2018	11/30/2018	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -9.04%	-9.04%	-14.72% / 1.09%	-9.54%
36	11/01/2018	11/30/2018	10/31/2018	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.19%	0.19%	0.01% / 0.19%	-0.31%
35	04/01/2016	10/31/2018	03/31/2016	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 38.15%	38.15%	-2.41% / 49.12%	37.65%
34	02/01/2016	03/31/2016	01/29/2016	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.05%	0.05%	0.00% / 0.05%	-0.45%
33	11/01/2015	01/31/2016	10/30/2015	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -6.22%	-6.22%	-10.14% / 1.46%	-6.72%
32	09/01/2015	10/31/2015	08/31/2015	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.01%	0.01%	0.00% / 0.01%	-0.49%
31	02/01/2012	08/31/2015	01/31/2012	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 61.41%	61.41%	-1.87% / 73.73%	60.91%
30	09/01/2011	01/31/2012	08/31/2011	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.01%	0.01%	0.00% / 0.01%	-0.49%
29	10/01/2010	08/31/2011	09/30/2010	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 8.64%	8.64%	-0.41% / 20.68%	8.14%
28	09/01/2010	09/30/2010	08/31/2010	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.01%	0.01%	0.00% / 0.01%	-0.49%
27	08/01/2010	08/31/2010	07/30/2010	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -4.53%	-4.53%	-4.77% / 2.42%	-5.03%
26	07/01/2010	07/31/2010	06/30/2010	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.01%	0.01%	0.00% / 0.01%	-0.49%
25	07/01/2009	06/30/2010	06/30/2009	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 14.33%	14.33%	-4.30% / 34.50%	13.83%
24	01/01/2008	06/30/2009	12/31/2007	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 1.72%	1.72%	0.01% / 1.72%	1.22%
23	10/01/2004	12/31/2007	09/30/2004	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 39.44%	39.44%	-1.71% / 47.99%	38.94%
22	08/01/2004	09/30/2004	07/30/2004	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.23%	0.23%	0.01% / 0.23%	-0.27%
21	05/01/2003	07/31/2004	04/30/2003	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 22.55%	22.55%	-0.05% / 27.93%	22.05%
20	05/01/2002	04/30/2003	04/30/2002	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 1.48%	1.48%	0.01% / 1.48%	0.98%
19	04/01/2002	04/30/2002	03/28/2002	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -6.07%	-6.07%	-7.08% / -0.08%	-6.57%
18	10/01/2000	03/31/2002	09/29/2000	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 5.87%	5.87%	0.02% / 5.87%	5.37%
17	11/01/1999	09/30/2000	10/29/1999	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 6.66%	6.66%	-1.73% / 12.85%	6.16%
16	10/01/1999	10/31/1999	09/30/1999	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.39%	0.39%	0.02% / 0.39%	-0.11%
15	11/01/1998	09/30/1999	10/30/1998	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 18.19%	18.19%	1.10% / 30.37%	17.69%
14	09/01/1998	10/31/1998	08/31/1998	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.80%	0.80%	0.02% / 0.80%	0.30%
13	01/01/1995	08/31/1998	12/30/1994	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 123.97%	123.97%	-0.02% / 177.18%	123.47%
12	12/01/1994	12/31/1994	11/30/1994	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.44%	0.44%	0.02% / 0.44%	-0.06%
11	08/01/1994	11/30/1994	07/29/1994	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 0.02%	0.02%	-0.89% / 4.21%	-0.48%
10	04/01/1994	07/31/1994	03/31/1994	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 1.30%	1.30%	0.02% / 1.30%	0.80%
9	01/01/1992	03/31/1994	12/31/1991	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 13.51%	13.51%	-4.75% / 22.17%	13.01%
8	12/01/1991	12/31/1991	11/29/1991	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.38%	0.38%	0.02% / 0.38%	-0.12%
7	01/01/1991	11/30/1991	12/31/1990	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: 16.88%	16.88%	-5.57% / 23.59%	16.38%
6	09/01/1990	12/31/1990	08/31/1990	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 2.47%	2.47%	0.03% / 2.47%	1.97%
5	06/01/1990	08/31/1990	05/31/1990	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -9.95%	-9.95%	-14.36% / 2.45%	-10.45%
4	05/01/1990	05/31/1990	04/30/1990	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 0.66%	0.66%	0.03% / 0.66%	0.16%
3	04/01/1990	04/30/1990	03/30/1990	Signal	100.00%	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -2.50%	-2.50%	-3.03% / 1.51%	-3.00%
2	02/01/1990	03/31/1990	01/31/1990	Signal	100.00%	100.00% U.S. 3-Month Treasury Bill Rate (^CASHUS)	^CASHUS: 1.30%	1.30%	0.03% / 1.30%	0.80%
1	01/01/1990	01/31/1990	12/29/1989	Initial Entry	N/A	100.00% Vanguard 500 Index Investor (VFINX)	VFINX: -6.72%	-6.72%	-8.44% / 1.78%	-6.72%
Trade execution assumes end-of-day close price minus trade execution cost. Initial entry is excluded from turnover and transaction costs.

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. Other investments not considered may have characteristics similar or superior to those being analyzed.
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.
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.
Risk-free returns are calculated based on U.S. 3-Month Treasury Bill Rate.
Inflation is calculated based on U.S. Consumer Price Index.
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.
Invesco QQQ is a paid sponsor of the SRL Analytics Tool, Portfolio Visualizer. The model portfolios are for illustrative purposes only and do not constitute a recommendation or suitability for any investor. Inveso is not affiliated with SRL Global.
The annual results for 2026 are based on monthly returns from January to September.
Out of market returns are based on U.S. 3-Month Treasury Bill Rate returns for cash or the selected alternative asset.
The moving average signal is based on total return and accounts for splits and dividends.
Monthly moving average period calculations are based on end-of-month samples.

Test Tactical Allocation Models

Tactical Allocation Overview

Seasonal Model

Shiller PE Ratio Market Valuation

Moving Averages - Single Asset

Moving Averages - Portfolio Assets

Momentum - Relative Strength

Momentum - Dual Momentum

Adaptive Allocation

Target Volatility

Risk Managed Allocation

Model Configuration

Model Simulation Results (Jan 1990 - Sep 2026) Save

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Risk and Return Metrics

Annual Returns

Monthly Returns

Drawdowns

Historical Market Stress Periods

Drawdowns for Moving Average Model

Drawdowns for Buy & Hold Portfolio

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Allocation Changes

Risk Management Performance

Trading Performance

Model Trades

Notes and Disclosures