Test Market Timing Models

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

You can find a summary of the selected model below, and a more detailed description in the FAQ section.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model uses shifts the allocation between stocks and bonds 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 timing model is either invested in a 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 end-of-month adjusted close price is greater than the moving average and the model moves to cash when the end-of-month 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 end-of-month adjusted close price is greater than the moving average and the allocation is moved to cash when the end-of-month 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 timing period, or multiple weighted timing 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 inverse volatility based 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.
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Timing Periods
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Time Period #5
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Asset 2
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Market Timing Results (Jan 1990 - Dec 2016)

Market timing results from 1990 to 2016 for Vanguard 500 Index Fund (VFINX) based on 10-month simple moving average. The timing portfolio is invested in the asset when the price is greater than or equal to the 10-month moving average, otherwise the portfolio is invested in cash. Timing model trades are executed using the end of month close price. Note that the selected year range for the timing test was automatically adjusted based on the available data for Vanguard 500 Index Fund (VFINX) (May 1985-Dec 2016).

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStd.Dev.Best YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Save timing model »
Timing Portfolio$10,000$115,1979.47%10.32%37.45%-14.48%-16.77% 0.661.020.70
Buy & Hold Portfolio$10,000$109,4689.27%14.54%37.45%-37.02%-50.97% 0.490.720.99
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • Out of market returns are based on 1-month US treasury bill returns or the selected alternative asset
  • The moving average signal is based on total return to account for splits and dividends
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • StdDev = Standard Deviation based on annualized standard deviation of monthly log returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearTiming ReturnBuy & Hold Portfolio ReturnVanguard 500 Index Fund (VFINX)Cash (CASHX)Timing BalanceBuy & Hold Portfolio Balance
1990-14.48%-3.32%-3.32%7.84%$8,552$9,668
199117.33%30.19%30.19%5.60%$10,034$12,586
19928.21%8.21%8.21%3.50%$10,858$13,619
19939.12%9.12%9.12%2.90%$11,848$14,862
1994-2.27%1.18%1.18%3.90%$11,579$15,036
199537.45%37.45%37.45%5.60%$15,915$20,667
199622.86%22.86%22.86%5.20%$19,553$25,391
199733.21%33.21%33.21%5.25%$26,047$33,823
199812.62%28.62%28.62%4.85%$29,333$43,503
199914.31%21.07%21.07%4.69%$33,531$52,668
20000.21%-9.06%-9.06%5.88%$33,600$47,898
20013.82%-12.02%-12.02%3.82%$34,885$42,139
2002-4.68%-22.15%-22.15%1.63%$33,250$32,808
200323.09%28.50%28.50%1.02%$40,928$42,158
20049.39%10.74%10.74%1.19%$44,772$46,686
20054.77%4.77%4.77%2.98%$46,910$48,915
200615.64%15.64%15.64%4.81%$54,248$56,566
20075.39%5.39%5.39%4.67%$57,170$59,613
20081.59%-37.02%-37.02%1.59%$58,080$37,544
200922.62%26.49%26.49%0.09%$71,216$47,488
2010-1.37%14.91%14.91%0.10%$70,237$54,570
2011-1.87%1.97%1.97%0.04%$68,924$55,643
201210.87%15.82%15.82%0.06%$76,419$64,448
201332.18%32.18%32.18%0.00%$101,007$85,185
201413.51%13.51%13.51%0.00%$114,652$96,692
2015-4.23%1.25%1.25%0.01%$109,799$97,899
20164.92%11.82%11.82%0.19%$115,197$109,468
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTiming ReturnBuy & Hold Portfolio ReturnVanguard 500 Index Fund (VFINX)Cash (CASHX)Timing BalanceBuy & Hold Portfolio Balance
19901-6.72%-6.72%-6.72%0.57%$9,328$9,328
199020.57%1.27%1.27%0.57%$9,381$9,447
199030.64%2.61%2.61%0.64%$9,441$9,693
19904-2.50%-2.50%-2.50%0.69%$9,205$9,451
199050.68%9.69%9.69%0.68%$9,268$10,367
19906-0.66%-0.66%-0.66%0.63%$9,207$10,299
19907-0.35%-0.35%-0.35%0.68%$9,174$10,262
19908-9.03%-9.03%-9.03%0.66%$8,346$9,336
199090.60%-4.89%-4.89%0.60%$8,396$8,879
1990100.68%-0.41%-0.41%0.68%$8,453$8,843
1990110.57%6.44%6.44%0.57%$8,501$9,412
1990120.60%2.72%2.72%0.60%$8,552$9,668
199114.35%4.35%4.35%0.52%$8,924$10,088
199127.12%7.12%7.12%0.48%$9,559$10,806
199132.41%2.41%2.41%0.44%$9,789$11,066
199140.20%0.20%0.20%0.53%$9,809$11,088
199154.27%4.27%4.27%0.47%$10,228$11,562
19916-4.56%-4.56%-4.56%0.42%$9,761$11,035
199174.63%4.63%4.63%0.49%$10,213$11,545
199182.33%2.33%2.33%0.46%$10,451$11,815
19919-1.67%-1.67%-1.67%0.46%$10,277$11,617
1991101.33%1.33%1.33%0.42%$10,413$11,772
199111-4.01%-4.01%-4.01%0.39%$9,996$11,300
1991120.38%11.39%11.39%0.38%$10,034$12,586
19921-1.86%-1.86%-1.86%0.34%$9,847$12,352
199221.24%1.24%1.24%0.28%$9,970$12,506
19923-1.93%-1.93%-1.93%0.34%$9,778$12,265
199242.91%2.91%2.91%0.32%$10,063$12,623
199250.48%0.48%0.48%0.28%$10,112$12,684
19926-1.49%-1.49%-1.49%0.32%$9,961$12,495
199274.04%4.04%4.04%0.31%$10,364$13,000
19928-2.07%-2.07%-2.07%0.26%$10,149$12,731
199291.17%1.17%1.17%0.26%$10,268$12,880
1992100.33%0.33%0.33%0.23%$10,302$12,922
1992113.40%3.40%3.40%0.23%$10,652$13,362
1992121.93%1.93%1.93%0.28%$10,858$13,619
199310.10%0.10%0.10%0.23%$10,868$13,633
199321.36%1.36%1.36%0.22%$11,016$13,818
199332.11%2.11%2.11%0.25%$11,248$14,109
19934-2.42%-2.42%-2.42%0.24%$10,975$13,767
199352.65%2.65%2.65%0.22%$11,266$14,132
199360.27%0.27%0.27%0.25%$11,296$14,170
19937-0.42%-0.42%-0.42%0.24%$11,248$14,110
199383.79%3.79%3.79%0.25%$11,674$14,644
19939-0.79%-0.79%-0.79%0.26%$11,581$14,527
1993102.08%2.08%2.08%0.22%$11,822$14,829
199311-1.00%-1.00%-1.00%0.25%$11,705$14,682
1993121.22%1.22%1.22%0.23%$11,848$14,862
199413.38%3.38%3.38%0.25%$12,248$15,363
19942-2.71%-2.71%-2.71%0.21%$11,915$14,946
19943-4.39%-4.39%-4.39%0.27%$11,393$14,290
199440.27%1.29%1.29%0.27%$11,423$14,475
199450.31%1.60%1.60%0.31%$11,459$14,707
199460.31%-2.45%-2.45%0.31%$11,494$14,347
199470.28%3.28%3.28%0.28%$11,526$14,817
199484.08%4.08%4.08%0.37%$11,996$15,421
19949-2.45%-2.45%-2.45%0.37%$11,703$15,044
1994102.25%2.25%2.25%0.38%$11,966$15,382
199411-3.65%-3.65%-3.65%0.37%$11,528$14,820
1994120.44%1.46%1.46%0.44%$11,579$15,036
199512.58%2.58%2.58%0.42%$11,878$15,425
199523.88%3.88%3.88%0.40%$12,339$16,023
199532.95%2.95%2.95%0.46%$12,704$16,496
199542.94%2.94%2.94%0.44%$13,077$16,982
199553.95%3.95%3.95%0.54%$13,594$17,653
199562.31%2.31%2.31%0.47%$13,908$18,061
199573.30%3.30%3.30%0.45%$14,368$18,658
199580.26%0.26%0.26%0.47%$14,406$18,707
199594.21%4.21%4.21%0.43%$15,013$19,495
199510-0.36%-0.36%-0.36%0.47%$14,958$19,424
1995114.38%4.38%4.38%0.42%$15,613$20,275
1995121.93%1.93%1.93%0.49%$15,915$20,667
199613.39%3.39%3.39%0.43%$16,454$21,366
199620.92%0.92%0.92%0.39%$16,606$21,564
199630.98%0.98%0.98%0.39%$16,768$21,774
199641.46%1.46%1.46%0.46%$17,012$22,092
199652.54%2.54%2.54%0.42%$17,445$22,654
199660.38%0.38%0.38%0.40%$17,512$22,740
19967-4.42%-4.42%-4.42%0.45%$16,738$21,735
199682.10%2.10%2.10%0.41%$17,089$22,191
199695.61%5.61%5.61%0.44%$18,047$23,435
1996102.76%2.76%2.76%0.42%$18,544$24,081
1996117.56%7.56%7.56%0.41%$19,947$25,902
199612-1.97%-1.97%-1.97%0.46%$19,553$25,391
199716.23%6.23%6.23%0.45%$20,772$26,973
199720.79%0.79%0.79%0.39%$20,936$27,186
19973-4.14%-4.14%-4.14%0.43%$20,070$26,062
199745.96%5.96%5.96%0.43%$21,265$27,614
199756.09%6.09%6.09%0.49%$22,560$29,295
199764.45%4.45%4.45%0.37%$23,564$30,600
199777.97%7.97%7.97%0.43%$25,442$33,038
19978-5.61%-5.61%-5.61%0.41%$24,015$31,184
199795.47%5.47%5.47%0.44%$25,328$32,890
199710-3.35%-3.35%-3.35%0.42%$24,479$31,788
1997114.60%4.60%4.60%0.39%$25,605$33,250
1997121.72%1.72%1.72%0.48%$26,047$33,823
199811.11%1.11%1.11%0.43%$26,336$34,199
199827.19%7.19%7.19%0.39%$28,230$36,659
199835.10%5.10%5.10%0.39%$29,671$38,529
199841.01%1.01%1.01%0.43%$29,970$38,918
19985-1.74%-1.74%-1.74%0.40%$29,447$38,239
199864.07%4.07%4.07%0.41%$30,646$39,796
19987-1.05%-1.05%-1.05%0.40%$30,323$39,377
19988-14.47%-14.47%-14.47%0.43%$25,934$33,677
199890.46%6.41%6.41%0.46%$26,054$35,837
1998100.32%8.16%8.16%0.32%$26,137$38,762
1998116.07%6.07%6.07%0.31%$27,724$41,116
1998125.81%5.81%5.81%0.38%$29,333$43,503
199914.20%4.20%4.20%0.35%$30,566$45,331
19992-3.12%-3.12%-3.12%0.35%$29,611$43,915
199934.00%4.00%4.00%0.43%$30,795$45,670
199943.85%3.85%3.85%0.37%$31,981$47,429
19995-2.39%-2.39%-2.39%0.34%$31,217$46,296
199965.56%5.56%5.56%0.40%$32,951$48,868
19997-3.13%-3.13%-3.13%0.38%$31,920$47,339
19998-0.50%-0.50%-0.50%0.39%$31,761$47,104
19999-2.74%-2.74%-2.74%0.39%$30,891$45,813
1999100.39%6.33%6.33%0.39%$31,012$48,712
1999112.02%2.02%2.02%0.36%$31,639$49,697
1999125.98%5.98%5.98%0.44%$33,531$52,668
20001-5.03%-5.03%-5.03%0.41%$31,843$50,018
20002-1.91%-1.91%-1.91%0.43%$31,236$49,064
200039.76%9.76%9.76%0.47%$34,285$53,853
20004-3.01%-3.01%-3.01%0.46%$33,254$52,234
20005-2.04%-2.04%-2.04%0.50%$32,577$51,169
200062.49%2.49%2.49%0.40%$33,387$52,442
20007-1.49%-1.49%-1.49%0.48%$32,889$51,660
200086.19%6.19%6.19%0.50%$34,925$54,858
20009-5.29%-5.29%-5.29%0.51%$33,078$51,956
2000100.56%-0.43%-0.43%0.56%$33,263$51,733
2000110.51%-7.88%-7.88%0.51%$33,432$47,658
2000120.50%0.50%0.50%0.50%$33,600$47,898
200110.54%3.55%3.55%0.54%$33,781$49,596
200120.38%-9.14%-9.14%0.38%$33,909$45,064
200130.42%-6.36%-6.36%0.42%$34,052$42,200
200140.39%7.77%7.77%0.39%$34,185$45,479
200150.32%0.65%0.65%0.32%$34,294$45,775
200160.28%-2.45%-2.45%0.28%$34,390$44,655
200170.30%-1.00%-1.00%0.30%$34,493$44,209
200180.31%-6.27%-6.27%0.31%$34,600$41,435
200190.28%-8.09%-8.09%0.28%$34,697$38,083
2001100.22%1.90%1.90%0.22%$34,773$38,804
2001110.17%7.65%7.65%0.17%$34,832$41,774
2001120.15%0.87%0.87%0.15%$34,885$42,139
200210.14%-1.47%-1.47%0.14%$34,934$41,519
200220.13%-1.94%-1.94%0.13%$34,979$40,715
200230.13%3.74%3.74%0.13%$35,024$42,239
20024-6.07%-6.07%-6.07%0.15%$32,897$39,673
200250.14%-0.75%-0.75%0.14%$32,943$39,374
200260.13%-7.13%-7.13%0.13%$32,986$36,564
200270.15%-7.72%-7.72%0.15%$33,035$33,742
200280.14%0.65%0.65%0.14%$33,081$33,962
200290.14%-10.87%-10.87%0.14%$33,128$30,269
2002100.14%8.78%8.78%0.14%$33,174$32,927
2002110.12%6.16%6.16%0.12%$33,214$34,954
2002120.11%-6.14%-6.14%0.11%$33,250$32,808
200310.10%-2.62%-2.62%0.10%$33,284$31,946
200320.09%-1.52%-1.52%0.09%$33,314$31,461
200330.10%0.96%0.96%0.10%$33,347$31,762
200340.10%8.25%8.25%0.10%$33,380$34,384
200355.26%5.26%5.26%0.09%$35,137$36,194
200361.26%1.26%1.26%0.10%$35,580$36,650
200371.74%1.74%1.74%0.07%$36,201$37,289
200381.93%1.93%1.93%0.07%$36,900$38,010
20039-1.07%-1.07%-1.07%0.08%$36,505$37,602
2003105.64%5.64%5.64%0.07%$38,564$39,724
2003110.86%0.86%0.86%0.07%$38,897$40,067
2003125.22%5.22%5.22%0.08%$40,928$42,158
200411.82%1.82%1.82%0.07%$41,673$42,926
200421.38%1.38%1.38%0.06%$42,247$43,517
20043-1.51%-1.51%-1.51%0.09%$41,608$42,859
20044-1.58%-1.58%-1.58%0.08%$40,952$42,183
200451.36%1.36%1.36%0.06%$41,508$42,756
200461.93%1.93%1.93%0.08%$42,309$43,581
20047-3.31%-3.31%-3.31%0.10%$40,908$42,138
200480.11%0.38%0.38%0.11%$40,953$42,299
200490.11%1.07%1.07%0.11%$40,998$42,751
2004101.51%1.51%1.51%0.11%$41,619$43,398
2004114.05%4.05%4.05%0.15%$43,303$45,154
2004123.39%3.39%3.39%0.16%$44,772$46,686
20051-2.45%-2.45%-2.45%0.16%$43,674$45,540
200522.09%2.09%2.09%0.16%$44,588$46,494
20053-1.76%-1.76%-1.76%0.21%$43,803$45,676
20054-1.91%-1.91%-1.91%0.21%$42,966$44,802
200553.17%3.17%3.17%0.24%$44,327$46,221
200560.13%0.13%0.13%0.23%$44,383$46,280
200573.71%3.71%3.71%0.24%$46,028$47,995
20058-0.91%-0.91%-0.91%0.30%$45,608$47,557
200590.79%0.79%0.79%0.29%$45,970$47,935
200510-1.68%-1.68%-1.68%0.27%$45,198$47,130
2005113.76%3.76%3.76%0.31%$46,900$48,904
2005120.02%0.02%0.02%0.32%$46,910$48,915
200612.65%2.65%2.65%0.35%$48,151$50,209
200620.25%0.25%0.25%0.34%$48,274$50,337
200631.24%1.24%1.24%0.37%$48,872$50,961
200641.33%1.33%1.33%0.36%$49,523$51,640
20065-2.90%-2.90%-2.90%0.43%$48,089$50,144
200660.13%0.13%0.13%0.40%$48,150$50,208
200670.61%0.61%0.61%0.40%$48,443$50,513
200682.36%2.36%2.36%0.42%$49,587$51,706
200692.56%2.56%2.56%0.41%$50,858$53,032
2006103.25%3.25%3.25%0.41%$52,511$54,756
2006111.88%1.88%1.88%0.42%$53,499$55,786
2006121.40%1.40%1.40%0.40%$54,248$56,566
200711.49%1.49%1.49%0.44%$55,058$57,411
20072-1.97%-1.97%-1.97%0.38%$53,973$56,280
200731.11%1.11%1.11%0.43%$54,573$56,906
200744.42%4.42%4.42%0.44%$56,984$59,420
200753.48%3.48%3.48%0.41%$58,966$61,486
20076-1.67%-1.67%-1.67%0.40%$57,982$60,460
20077-3.09%-3.09%-3.09%0.40%$56,189$58,591
200781.50%1.50%1.50%0.42%$57,031$59,468
200793.72%3.72%3.72%0.32%$59,155$61,683
2007101.58%1.58%1.58%0.32%$60,089$62,657
200711-4.19%-4.19%-4.19%0.34%$57,573$60,034
200712-0.70%-0.70%-0.70%0.27%$57,170$59,613
200810.21%-6.02%-6.02%0.21%$57,290$56,027
200820.13%-3.25%-3.25%0.13%$57,364$54,206
200830.17%-0.44%-0.44%0.17%$57,462$53,967
200840.18%4.86%4.86%0.18%$57,565$56,591
200850.18%1.28%1.28%0.18%$57,669$57,318
200860.17%-8.44%-8.44%0.17%$57,767$52,481
200870.15%-0.83%-0.83%0.15%$57,854$52,045
200880.13%1.45%1.45%0.13%$57,929$52,798
200890.15%-8.91%-8.91%0.15%$58,016$48,095
2008100.08%-16.79%-16.79%0.08%$58,062$40,019
2008110.03%-7.17%-7.17%0.03%$58,080$37,148
2008120.00%1.07%1.07%0.00%$58,080$37,544
200910.00%-8.41%-8.41%0.00%$58,080$34,386
200920.01%-10.66%-10.66%0.01%$58,085$30,721
200930.02%8.76%8.76%0.02%$58,097$33,412
200940.01%9.56%9.56%0.01%$58,103$36,606
200950.00%5.62%5.62%0.00%$58,103$38,663
200960.01%0.22%0.22%0.01%$58,109$38,748
200977.58%7.58%7.58%0.01%$62,512$41,684
200983.60%3.60%3.60%0.01%$64,762$43,184
200993.72%3.72%3.72%0.01%$67,169$44,789
200910-1.87%-1.87%-1.87%0.00%$65,914$43,953
2009115.98%5.98%5.98%0.00%$69,857$46,582
2009121.95%1.95%1.95%0.01%$71,216$47,488
20101-3.60%-3.60%-3.60%0.00%$68,649$45,777
201023.09%3.09%3.09%0.00%$70,772$47,192
201036.01%6.01%6.01%0.01%$75,028$50,030
201041.58%1.58%1.58%0.01%$76,212$50,819
20105-8.00%-8.00%-8.00%0.01%$70,118$46,756
20106-5.25%-5.25%-5.25%0.01%$66,438$44,302
201070.01%7.00%7.00%0.01%$66,444$47,401
20108-4.53%-4.53%-4.53%0.01%$63,434$45,254
201090.01%8.92%8.92%0.01%$63,441$49,290
2010103.79%3.79%3.79%0.01%$65,844$51,157
2010110.00%0.00%0.00%0.01%$65,844$51,157
2010126.67%6.67%6.67%0.01%$70,237$54,570
201112.36%2.36%2.36%0.01%$71,892$55,856
201123.42%3.42%3.42%0.01%$74,348$57,765
201130.03%0.03%0.03%0.01%$74,367$57,779
201142.95%2.95%2.95%0.00%$76,560$59,483
20115-1.15%-1.15%-1.15%0.00%$75,683$58,801
20116-1.67%-1.67%-1.67%0.00%$74,417$57,818
20117-2.05%-2.05%-2.05%0.00%$72,894$56,635
20118-5.45%-5.45%-5.45%0.01%$68,924$53,550
201190.00%-7.04%-7.04%0.00%$68,924$49,779
2011100.00%10.91%10.91%0.00%$68,924$55,211
2011110.00%-0.23%-0.23%0.00%$68,924$55,082
2011120.00%1.02%1.02%0.00%$68,924$55,643
201210.00%4.46%4.46%0.00%$68,924$58,127
201224.31%4.31%4.31%0.00%$71,892$60,631
201233.28%3.28%3.28%0.00%$74,251$62,620
20124-0.64%-0.64%-0.64%0.00%$73,777$62,220
20125-6.02%-6.02%-6.02%0.01%$69,337$58,475
201264.11%4.11%4.11%0.00%$72,186$60,878
201271.37%1.37%1.37%0.00%$73,175$61,712
201282.24%2.24%2.24%0.01%$74,813$63,094
201292.58%2.58%2.58%0.01%$76,741$64,720
201210-1.86%-1.86%-1.86%0.01%$75,314$63,516
2012110.56%0.56%0.56%0.01%$75,736$63,872
2012120.90%0.90%0.90%0.01%$76,419$64,448
201315.18%5.18%5.18%0.00%$80,375$67,784
201321.34%1.34%1.34%0.00%$81,451$68,692
201333.74%3.74%3.74%0.00%$84,496$71,260
201341.91%1.91%1.91%0.00%$86,109$72,620
201352.33%2.33%2.33%0.00%$88,113$74,310
20136-1.35%-1.35%-1.35%0.00%$86,923$73,307
201375.07%5.07%5.07%0.00%$91,332$77,025
20138-2.91%-2.91%-2.91%0.00%$88,672$74,782
201393.12%3.12%3.12%0.00%$91,440$77,117
2013104.59%4.59%4.59%0.00%$95,634$80,653
2013113.03%3.03%3.03%0.00%$98,530$83,096
2013122.51%2.51%2.51%0.00%$101,007$85,185
20141-3.47%-3.47%-3.47%0.00%$97,503$82,230
201424.56%4.56%4.56%0.00%$101,950$85,980
201430.82%0.82%0.82%0.00%$102,790$86,688
201440.72%0.72%0.72%0.00%$103,534$87,316
201452.33%2.33%2.33%0.00%$105,952$89,355
201462.05%2.05%2.05%0.00%$108,126$91,188
20147-1.39%-1.39%-1.39%0.00%$106,625$89,922
201483.99%3.99%3.99%0.00%$110,876$93,508
20149-1.42%-1.42%-1.42%0.00%$109,304$92,182
2014102.42%2.42%2.42%0.00%$111,953$94,416
2014112.68%2.68%2.68%0.00%$114,956$96,948
201412-0.26%-0.26%-0.26%0.00%$114,652$96,692
20151-3.01%-3.01%-3.01%0.00%$111,198$93,779
201525.73%5.73%5.73%0.00%$117,574$99,157
20153-1.59%-1.59%-1.59%0.00%$115,700$97,576
201540.95%0.95%0.95%0.00%$116,798$98,502
201551.27%1.27%1.27%0.00%$118,285$99,756
20156-1.93%-1.93%-1.93%0.00%$115,998$97,828
201572.08%2.08%2.08%0.00%$118,412$99,863
20158-6.04%-6.04%-6.04%0.00%$111,258$93,830
201590.00%-2.49%-2.49%0.00%$111,258$91,493
2015100.00%8.42%8.42%0.00%$111,258$99,199
2015110.29%0.29%0.29%0.00%$111,576$99,483
201512-1.59%-1.59%-1.59%0.01%$109,799$97,899
20161-4.98%-4.98%-4.98%0.01%$104,335$93,027
201620.02%-0.15%-0.15%0.02%$104,356$92,892
201630.02%6.78%6.78%0.02%$104,377$99,186
201640.37%0.37%0.37%0.01%$104,767$99,556
201651.78%1.78%1.78%0.01%$106,635$101,331
201660.25%0.25%0.25%0.02%$106,901$101,585
201673.68%3.68%3.68%0.02%$110,831$105,319
201680.13%0.13%0.13%0.02%$110,975$105,456
201690.01%0.01%0.01%0.02%$110,984$105,464
201610-1.83%-1.83%-1.83%0.02%$108,949$103,531
2016113.70%3.70%3.70%0.01%$112,979$107,361
2016121.96%1.96%1.96%0.01%$115,197$109,468
Portfolio return and risk metrics
MetricTiming ModelBuy & Hold Portfolio
(*) Beta and market correlation are calculated against the US stock market.
Mean Return (monthly)0.80%0.83%
Mean Return (annualized)10.05%10.41%
Compound Return (monthly)0.76%0.74%
Compound Return (annualized)9.47%9.27%
Volatility (monthly)2.97%4.16%
Volatility (annualized)10.32%14.54%
Max. Drawdown-16.77%-50.97%
Market Correlation0.700.99
Beta(*)0.490.97
Alpha (annualized)4.70%0.21%
R248.91%97.58%
Sharpe Ratio0.660.49
Sortino Ratio1.020.72
Treynor Ratio (%)13.927.37
Skewness-0.50-0.58
Excess Kurtosis2.271.22
Historical Value-at-Risk (95%)-4.41%-6.96%
Delta Normal Value-at-Risk (95%)-4.89%-6.85%
Conditional Value-at-Risk (95%)-6.34%-9.36%
Positive Periods232 out of 324 (71.60%)208 out of 324 (64.20%)
Gain/Loss Ratio0.740.92

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1May 2010Aug 20104 monthsApr 20111 year-16.77%
2Jan 1990Aug 19908 monthsMay 19911 year 5 months-16.54%
3Jul 1998Aug 19982 monthsMar 19999 months-15.38%
4Aug 2015Jan 20166 months-11.89%
5May 2011Aug 20114 monthsSep 20121 year 5 months-9.97%
6Feb 1994Mar 19942 monthsFeb 19951 year 1 month-6.98%
7Jan 2000Feb 20002 monthsMar 20003 months-6.84%
8Sep 1991Mar 19927 monthsNov 19921 year 3 months-6.44%
9Jul 1999Sep 19993 monthsDec 19996 months-6.25%
10Apr 2002Apr 20021 monthMay 20031 year 2 months-6.07%
11Aug 1997Aug 19971 monthNov 19974 months-5.61%
12Sep 2000Sep 20001 monthJan 20021 year 5 months-5.29%
13Apr 2000May 20002 monthsAug 20005 months-4.98%
14Nov 2007Dec 20072 monthsJul 20091 year 9 months-4.86%
15Jun 2007Jul 20072 monthsSep 20074 months-4.71%
16Jun 1991Jun 19911 monthAug 19913 months-4.56%
17Jul 1996Jul 19961 monthSep 19963 months-4.42%
18Mar 1997Mar 19971 monthApr 19972 months-4.14%
19Jan 2005Apr 20054 monthsJul 20057 months-4.04%
20Jan 2010Jan 20101 monthMar 20103 months-3.60%
21Jan 2014Jan 20141 monthFeb 20142 months-3.47%
22Jul 2004Jul 20041 monthNov 20045 months-3.31%
23Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
24Mar 2004Apr 20042 monthsJun 20044 months-3.07%
25Aug 2013Aug 20131 monthSep 20132 months-2.91%
26May 2006May 20061 monthAug 20064 months-2.90%
27Apr 1993Apr 19931 monthMay 19932 months-2.42%
28May 1999May 19991 monthJun 19992 months-2.39%
29Dec 1996Dec 19961 monthJan 19972 months-1.97%
30Feb 2007Feb 20071 monthApr 20073 months-1.97%
31Jun 2015Jun 20151 monthJul 20152 months-1.93%
32Oct 2009Oct 20091 monthNov 20092 months-1.87%
33Oct 2012Oct 20121 monthJan 20134 months-1.86%
34Aug 2005Oct 20053 monthsNov 20054 months-1.80%
35May 1998May 19981 monthJun 19982 months-1.74%
36Mar 2015Mar 20151 monthMay 20153 months-1.59%
37Sep 2014Sep 20141 monthOct 20142 months-1.42%
38Jul 2014Jul 20141 monthAug 20142 months-1.39%
39Jun 2013Jun 20131 monthJul 20132 months-1.35%
40Sep 2003Sep 20031 monthOct 20032 months-1.07%
41Nov 1993Nov 19931 monthDec 19932 months-1.00%
42Sep 1993Sep 19931 monthOct 19932 months-0.79%
43Jul 1993Jul 19931 monthAug 19932 months-0.42%
44Oct 1995Oct 19951 monthNov 19952 months-0.36%

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20124 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20066 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19985 months-15.38%
4Jun 1990Oct 19905 monthsFeb 19919 months-14.70%
5Aug 2015Sep 20152 monthsMay 201610 months-8.38%
6Feb 1994Mar 19942 monthsAug 19947 months-6.98%
7Jan 2000Feb 20002 monthsMar 20003 months-6.84%
8Jan 1990Jan 19901 monthMay 19905 months-6.72%
9Jul 1999Sep 19993 monthsNov 19995 months-6.25%
10Aug 1997Aug 19971 monthNov 19974 months-5.61%
11Apr 2000May 20002 monthsAug 20005 months-4.98%
12Jun 2007Jul 20072 monthsSep 20074 months-4.71%
13Jun 1991Jun 19911 monthAug 19913 months-4.56%
14Jul 1996Jul 19961 monthSep 19963 months-4.42%
15Sep 1991Nov 19913 monthsDec 19914 months-4.36%
16Mar 1997Mar 19971 monthApr 19972 months-4.14%
17Sep 1994Nov 19943 monthsJan 19955 months-3.90%
18Jan 2014Jan 20141 monthFeb 20142 months-3.47%
19Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
20Feb 1999Feb 19991 monthMar 19992 months-3.12%
21Aug 2013Aug 20131 monthSep 20132 months-2.91%
22Jan 1992Mar 19923 monthsApr 19924 months-2.55%
23Apr 1993Apr 19931 monthMay 19932 months-2.42%
24May 1999May 19991 monthJun 19992 months-2.39%
25Aug 1992Aug 19921 monthNov 19924 months-2.07%
26Dec 1996Dec 19961 monthJan 19972 months-1.97%
27Feb 2007Feb 20071 monthApr 20073 months-1.97%
28Jun 2015Jun 20151 monthJul 20152 months-1.93%
29Oct 2012Oct 20121 monthJan 20134 months-1.86%
30Oct 2016Oct 20161 monthNov 20162 months-1.83%
31May 1998May 19981 monthJun 19982 months-1.74%
32Mar 2015Mar 20151 monthMay 20153 months-1.59%
33Jun 1992Jun 19921 monthJul 19922 months-1.49%
34Sep 2014Sep 20141 monthOct 20142 months-1.42%
35Jul 2014Jul 20141 monthAug 20142 months-1.39%
36Jun 2013Jun 20131 monthJul 20132 months-1.35%
37Nov 1993Nov 19931 monthDec 19932 months-1.00%
38Sep 1993Sep 19931 monthOct 19932 months-0.79%
39Jul 1993Jul 19931 monthAug 19932 months-0.42%
40Oct 1995Oct 19951 monthNov 19952 months-0.36%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming ReturnBuy & Hold Portfolio
1Jan 1990Jan 19901100.00% Vanguard 500 Index Fund (VFINX)VFINX: -6.72%-6.72%-6.72%
2Feb 1990Mar 19902100.00% Cash (CASHX)CASHX: 1.21%1.21%3.92%
3Apr 1990Apr 19901100.00% Vanguard 500 Index Fund (VFINX)VFINX: -2.50%-2.50%-2.50%
4May 1990May 19901100.00% Cash (CASHX)CASHX: 0.68%0.68%9.69%
5Jun 1990Aug 19903100.00% Vanguard 500 Index Fund (VFINX)VFINX: -9.95%-9.95%-9.95%
6Sep 1990Dec 19904100.00% Cash (CASHX)CASHX: 2.47%2.47%3.56%
7Jan 1991Nov 199111100.00% Vanguard 500 Index Fund (VFINX)VFINX: 16.88%16.88%16.88%
8Dec 1991Dec 19911100.00% Cash (CASHX)CASHX: 0.38%0.38%11.39%
9Jan 1992Mar 199427100.00% Vanguard 500 Index Fund (VFINX)VFINX: 13.54%13.54%13.54%
10Apr 1994Jul 19944100.00% Cash (CASHX)CASHX: 1.18%1.18%3.69%
11Aug 1994Nov 19944100.00% Vanguard 500 Index Fund (VFINX)VFINX: 0.02%0.02%0.02%
12Dec 1994Dec 19941100.00% Cash (CASHX)CASHX: 0.44%0.44%1.46%
13Jan 1995Aug 199844100.00% Vanguard 500 Index Fund (VFINX)VFINX: 123.97%123.97%123.97%
14Sep 1998Oct 19982100.00% Cash (CASHX)CASHX: 0.78%0.78%15.10%
15Nov 1998Sep 199911100.00% Vanguard 500 Index Fund (VFINX)VFINX: 18.19%18.19%18.19%
16Oct 1999Oct 19991100.00% Cash (CASHX)CASHX: 0.39%0.39%6.33%
17Nov 1999Sep 200011100.00% Vanguard 500 Index Fund (VFINX)VFINX: 6.66%6.66%6.66%
18Oct 2000Mar 200218100.00% Cash (CASHX)CASHX: 5.89%5.89%-18.70%
19Apr 2002Apr 20021100.00% Vanguard 500 Index Fund (VFINX)VFINX: -6.07%-6.07%-6.07%
20May 2002Apr 200312100.00% Cash (CASHX)CASHX: 1.47%1.47%-13.33%
21May 2003Jul 200415100.00% Vanguard 500 Index Fund (VFINX)VFINX: 22.55%22.55%22.55%
22Aug 2004Sep 20042100.00% Cash (CASHX)CASHX: 0.22%0.22%1.45%
23Oct 2004Dec 200739100.00% Vanguard 500 Index Fund (VFINX)VFINX: 39.44%39.44%39.44%
24Jan 2008Jun 200918100.00% Cash (CASHX)CASHX: 1.64%1.64%-35.00%
25Jul 2009Jun 201012100.00% Vanguard 500 Index Fund (VFINX)VFINX: 14.33%14.33%14.33%
26Jul 2010Jul 20101100.00% Cash (CASHX)CASHX: 0.01%0.01%7.00%
27Aug 2010Aug 20101100.00% Vanguard 500 Index Fund (VFINX)VFINX: -4.53%-4.53%-4.53%
28Sep 2010Sep 20101100.00% Cash (CASHX)CASHX: 0.01%0.01%8.92%
29Oct 2010Aug 201111100.00% Vanguard 500 Index Fund (VFINX)VFINX: 8.64%8.64%8.64%
30Sep 2011Jan 20125100.00% Cash (CASHX)CASHX: 0.00%0.00%8.55%
31Feb 2012Aug 201543100.00% Vanguard 500 Index Fund (VFINX)VFINX: 61.42%61.42%61.42%
32Sep 2015Oct 20152100.00% Cash (CASHX)CASHX: 0.00%0.00%5.72%
33Nov 2015Jan 20163100.00% Vanguard 500 Index Fund (VFINX)VFINX: -6.22%-6.22%-6.22%
34Feb 2016Mar 20162100.00% Cash (CASHX)CASHX: 0.04%0.04%6.62%
35Apr 2016Dec 20169100.00% Vanguard 500 Index Fund (VFINX)VFINX: 10.37%10.37%10.37%
36Jan 2017Jan 20171100.00% Vanguard 500 Index Fund (VFINX)---