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 tactical asset allocation 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 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 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 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
Length
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Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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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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Total
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Market Timing Results (Jan 1990 - Dec 2016)

Market timing results from 1990 to 2016 for Vanguard 500 Index Investor (VFINX) are based on 10 calendar month simple moving average. The timing portfolio 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 cash. Timing model trades are executed using the end of month close price each month based on the end of month signals.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$115,1689.47%10.31%37.45%-14.48%-16.77% 0.661.020.70
Buy & Hold Portfolio$10,000$109,4689.27%14.44%37.45%-37.02%-50.97% 0.490.720.99
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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 and accounts for splits and dividends
  • Monthly moving average period calculations are based on end-of-month samples
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly 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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Cash (CASHX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
19906.11%-14.48%-3.32%$8,552$9,668-3.32%7.84%
19913.06%17.33%30.22%$10,034$12,58930.22%5.60%
19922.90%7.42%7.42%$10,779$13,5247.42%3.50%
19932.75%9.89%9.89%$11,845$14,8629.89%2.90%
19942.67%-2.27%1.18%$11,576$15,0361.18%3.90%
19952.54%37.45%37.45%$15,911$20,66737.45%5.60%
19963.32%22.88%22.88%$19,551$25,39522.88%5.20%
19971.70%33.19%33.19%$26,040$33,82333.19%5.25%
19981.61%12.62%28.62%$29,326$43,50328.62%4.85%
19992.68%14.31%21.07%$33,522$52,66821.07%4.69%
20003.39%0.21%-9.06%$33,591$47,898-9.06%5.88%
20011.55%3.82%-12.02%$34,876$42,139-12.02%3.82%
20022.38%-4.68%-22.15%$33,242$32,808-22.15%1.63%
20031.88%23.09%28.50%$40,917$42,15828.50%1.02%
20043.26%9.39%10.74%$44,761$46,68610.74%1.19%
20053.42%4.77%4.77%$46,898$48,9154.77%2.98%
20062.54%15.64%15.64%$54,234$56,56615.64%4.81%
20074.08%5.39%5.39%$57,155$59,6135.39%4.67%
20080.09%1.59%-37.02%$58,065$37,544-37.02%1.59%
20092.72%22.62%26.49%$71,198$47,48826.49%0.09%
20101.50%-1.37%14.91%$70,219$54,57014.91%0.10%
20112.96%-1.87%1.97%$68,906$55,6431.97%0.04%
20121.74%10.87%15.82%$76,400$64,44815.82%0.06%
20131.50%32.18%32.18%$100,982$85,18532.18%0.00%
20140.76%13.51%13.51%$114,623$96,69213.51%0.00%
20150.73%-4.23%1.25%$109,771$97,8991.25%0.01%
20162.07%4.92%11.82%$115,168$109,46811.82%0.21%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Cash (CASHX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
19901-6.72%-6.72%$9,328$9,328-6.72%0.57%
199020.57%1.27%$9,381$9,4471.27%0.57%
199030.64%2.61%$9,441$9,6932.61%0.64%
19904-2.50%-2.50%$9,205$9,451-2.50%0.69%
199050.68%9.69%$9,268$10,3679.69%0.68%
19906-0.66%-0.66%$9,207$10,299-0.66%0.63%
19907-0.35%-0.35%$9,174$10,262-0.35%0.68%
19908-9.03%-9.03%$8,346$9,336-9.03%0.66%
199090.60%-4.89%$8,396$8,879-4.89%0.60%
1990100.68%-0.41%$8,453$8,843-0.41%0.68%
1990110.57%6.44%$8,501$9,4126.44%0.57%
1990120.60%2.72%$8,552$9,6682.72%0.60%
199114.35%4.35%$8,924$10,0884.35%0.52%
199127.12%7.12%$9,559$10,8067.12%0.48%
199132.41%2.41%$9,789$11,0662.41%0.44%
199140.20%0.20%$9,809$11,0880.20%0.53%
199154.27%4.27%$10,228$11,5624.27%0.47%
19916-4.56%-4.56%$9,761$11,035-4.56%0.42%
199174.63%4.63%$10,213$11,5454.63%0.49%
199182.33%2.33%$10,451$11,8152.33%0.46%
19919-1.67%-1.67%$10,277$11,617-1.67%0.46%
1991101.33%1.33%$10,413$11,7721.33%0.42%
199111-4.01%-4.01%$9,996$11,300-4.01%0.39%
1991120.38%11.41%$10,034$12,58911.41%0.38%
19921-1.88%-1.88%$9,845$12,352-1.88%0.34%
199221.24%1.24%$9,967$12,5061.24%0.28%
19923-1.93%-1.93%$9,775$12,265-1.93%0.34%
199242.91%2.91%$10,060$12,6232.91%0.32%
199250.48%0.48%$10,109$12,6840.48%0.28%
19926-1.49%-1.49%$9,958$12,495-1.49%0.32%
199274.04%4.04%$10,361$13,0004.04%0.31%
19928-2.07%-2.07%$10,147$12,731-2.07%0.26%
199291.17%1.17%$10,265$12,8801.17%0.26%
1992100.33%0.33%$10,299$12,9220.33%0.23%
1992113.40%3.40%$10,650$13,3623.40%0.23%
1992121.21%1.21%$10,779$13,5241.21%0.28%
199310.81%0.81%$10,865$13,6330.81%0.23%
199321.36%1.36%$11,013$13,8181.36%0.22%
199332.11%2.11%$11,245$14,1092.11%0.25%
19934-2.42%-2.42%$10,972$13,767-2.42%0.24%
199352.65%2.65%$11,263$14,1322.65%0.22%
199360.27%0.27%$11,293$14,1700.27%0.25%
19937-0.42%-0.42%$11,246$14,110-0.42%0.24%
199383.79%3.79%$11,671$14,6443.79%0.25%
19939-0.79%-0.79%$11,579$14,527-0.79%0.26%
1993102.08%2.08%$11,819$14,8292.08%0.22%
199311-1.00%-1.00%$11,702$14,682-1.00%0.25%
1993121.22%1.22%$11,845$14,8621.22%0.23%
199413.38%3.38%$12,245$15,3633.38%0.25%
19942-2.71%-2.71%$11,912$14,946-2.71%0.21%
19943-4.39%-4.39%$11,390$14,290-4.39%0.27%
199440.27%1.29%$11,420$14,4751.29%0.27%
199450.31%1.60%$11,456$14,7071.60%0.31%
199460.31%-2.45%$11,491$14,347-2.45%0.31%
199470.28%3.28%$11,524$14,8173.28%0.28%
199484.08%4.08%$11,993$15,4214.08%0.37%
19949-2.45%-2.45%$11,700$15,044-2.45%0.37%
1994102.25%2.25%$11,963$15,3822.25%0.38%
199411-3.65%-3.65%$11,526$14,820-3.65%0.37%
1994120.44%1.46%$11,576$15,0361.46%0.44%
199512.58%2.58%$11,875$15,4252.58%0.42%
199523.88%3.88%$12,336$16,0233.88%0.40%
199532.95%2.95%$12,700$16,4962.95%0.46%
199542.94%2.94%$13,074$16,9822.94%0.44%
199553.95%3.95%$13,591$17,6533.95%0.54%
199562.31%2.31%$13,905$18,0612.31%0.47%
199573.30%3.30%$14,364$18,6583.30%0.45%
199580.26%0.26%$14,402$18,7070.26%0.47%
199594.21%4.21%$15,009$19,4954.21%0.43%
199510-0.36%-0.36%$14,954$19,424-0.36%0.47%
1995114.38%4.38%$15,609$20,2754.38%0.42%
1995121.93%1.93%$15,911$20,6671.93%0.49%
199613.39%3.39%$16,450$21,3663.39%0.43%
199620.92%0.92%$16,602$21,5640.92%0.39%
199630.98%0.98%$16,764$21,7740.98%0.39%
199641.46%1.46%$17,008$22,0921.46%0.46%
199652.54%2.54%$17,441$22,6542.54%0.42%
199660.38%0.38%$17,507$22,7400.38%0.40%
19967-4.42%-4.42%$16,734$21,735-4.42%0.45%
199682.10%2.10%$17,084$22,1912.10%0.41%
199695.61%5.61%$18,042$23,4355.61%0.44%
1996102.76%2.76%$18,539$24,0812.76%0.42%
1996117.56%7.56%$19,942$25,9027.56%0.41%
199612-1.96%-1.96%$19,551$25,395-1.96%0.46%
199716.22%6.22%$20,766$26,9736.22%0.45%
199720.79%0.79%$20,930$27,1860.79%0.39%
19973-4.14%-4.14%$20,065$26,062-4.14%0.43%
199745.96%5.96%$21,260$27,6145.96%0.43%
199756.09%6.09%$22,554$29,2956.09%0.49%
199764.45%4.45%$23,558$30,6004.45%0.37%
199777.97%7.97%$25,435$33,0387.97%0.43%
19978-5.61%-5.61%$24,008$31,184-5.61%0.41%
199795.47%5.47%$25,321$32,8905.47%0.44%
199710-3.35%-3.35%$24,473$31,788-3.35%0.42%
1997114.60%4.60%$25,598$33,2504.60%0.39%
1997121.72%1.72%$26,040$33,8231.72%0.48%
199811.11%1.11%$26,329$34,1991.11%0.43%
199827.19%7.19%$28,223$36,6597.19%0.39%
199835.10%5.10%$29,663$38,5295.10%0.39%
199841.01%1.01%$29,962$38,9181.01%0.43%
19985-1.74%-1.74%$29,440$38,239-1.74%0.40%
199864.07%4.07%$30,638$39,7964.07%0.41%
19987-1.05%-1.05%$30,315$39,377-1.05%0.40%
19988-14.47%-14.47%$25,928$33,677-14.47%0.43%
199890.46%6.41%$26,047$35,8376.41%0.46%
1998100.32%8.16%$26,130$38,7628.16%0.32%
1998116.07%6.07%$27,717$41,1166.07%0.31%
1998125.81%5.81%$29,326$43,5035.81%0.38%
199914.20%4.20%$30,559$45,3314.20%0.35%
19992-3.12%-3.12%$29,604$43,915-3.12%0.35%
199934.00%4.00%$30,787$45,6704.00%0.43%
199943.85%3.85%$31,973$47,4293.85%0.37%
19995-2.39%-2.39%$31,209$46,296-2.39%0.34%
199965.56%5.56%$32,943$48,8685.56%0.40%
19997-3.13%-3.13%$31,912$47,339-3.13%0.38%
19998-0.50%-0.50%$31,753$47,104-0.50%0.39%
19999-2.74%-2.74%$30,884$45,813-2.74%0.39%
1999100.39%6.33%$31,004$48,7126.33%0.39%
1999112.02%2.02%$31,631$49,6972.02%0.36%
1999125.98%5.98%$33,522$52,6685.98%0.44%
20001-5.03%-5.03%$31,835$50,018-5.03%0.41%
20002-1.91%-1.91%$31,228$49,064-1.91%0.43%
200039.76%9.76%$34,276$53,8539.76%0.47%
20004-3.01%-3.01%$33,246$52,234-3.01%0.46%
20005-2.04%-2.04%$32,568$51,169-2.04%0.50%
200062.49%2.49%$33,378$52,4422.49%0.40%
20007-1.49%-1.49%$32,881$51,660-1.49%0.48%
200086.19%6.19%$34,916$54,8586.19%0.50%
20009-5.29%-5.29%$33,069$51,956-5.29%0.51%
2000100.56%-0.43%$33,254$51,733-0.43%0.56%
2000110.51%-7.88%$33,424$47,658-7.88%0.51%
2000120.50%0.50%$33,591$47,8980.50%0.50%
200110.54%3.55%$33,772$49,5963.55%0.54%
200120.38%-9.14%$33,901$45,064-9.14%0.38%
200130.42%-6.36%$34,043$42,200-6.36%0.42%
200140.39%7.77%$34,176$45,4797.77%0.39%
200150.32%0.65%$34,285$45,7750.65%0.32%
200160.28%-2.45%$34,381$44,655-2.45%0.28%
200170.30%-1.00%$34,484$44,209-1.00%0.30%
200180.31%-6.27%$34,591$41,435-6.27%0.31%
200190.28%-8.09%$34,688$38,083-8.09%0.28%
2001100.22%1.90%$34,764$38,8041.90%0.22%
2001110.17%7.65%$34,824$41,7747.65%0.17%
2001120.15%0.87%$34,876$42,1390.87%0.15%
200210.14%-1.47%$34,925$41,519-1.47%0.14%
200220.13%-1.94%$34,970$40,715-1.94%0.13%
200230.13%3.74%$35,015$42,2393.74%0.13%
20024-6.07%-6.07%$32,888$39,673-6.07%0.15%
200250.14%-0.75%$32,934$39,374-0.75%0.14%
200260.13%-7.13%$32,977$36,564-7.13%0.13%
200270.15%-7.72%$33,027$33,742-7.72%0.15%
200280.14%0.65%$33,073$33,9620.65%0.14%
200290.14%-10.87%$33,119$30,269-10.87%0.14%
2002100.14%8.78%$33,166$32,9278.78%0.14%
2002110.12%5.88%$33,205$34,8625.88%0.12%
2002120.11%-5.89%$33,242$32,808-5.89%0.11%
200310.10%-2.62%$33,275$31,946-2.62%0.10%
200320.09%-1.52%$33,305$31,461-1.52%0.09%
200330.10%0.96%$33,338$31,7620.96%0.10%
200340.10%8.25%$33,372$34,3848.25%0.10%
200355.26%5.26%$35,128$36,1945.26%0.09%
200361.26%1.26%$35,571$36,6501.26%0.10%
200371.74%1.74%$36,191$37,2891.74%0.07%
200381.93%1.93%$36,891$38,0101.93%0.07%
20039-1.07%-1.07%$36,496$37,602-1.07%0.08%
2003105.64%5.64%$38,554$39,7245.64%0.07%
2003110.86%0.86%$38,888$40,0670.86%0.07%
2003125.22%5.22%$40,917$42,1585.22%0.08%
200411.82%1.82%$41,663$42,9261.82%0.07%
200421.38%1.38%$42,237$43,5171.38%0.06%
20043-1.51%-1.51%$41,597$42,859-1.51%0.09%
20044-1.58%-1.58%$40,942$42,183-1.58%0.08%
200451.36%1.36%$41,497$42,7561.36%0.06%
200461.93%1.93%$42,298$43,5811.93%0.08%
20047-3.31%-3.31%$40,898$42,138-3.31%0.10%
200480.11%0.38%$40,943$42,2990.38%0.11%
200490.11%1.07%$40,988$42,7511.07%0.11%
2004101.51%1.51%$41,609$43,3981.51%0.11%
2004114.05%4.05%$43,292$45,1544.05%0.15%
2004123.39%3.39%$44,761$46,6863.39%0.16%
20051-2.45%-2.45%$43,663$45,540-2.45%0.16%
200522.09%2.09%$44,577$46,4942.09%0.16%
20053-1.76%-1.76%$43,792$45,676-1.76%0.21%
20054-1.91%-1.91%$42,955$44,802-1.91%0.21%
200553.17%3.17%$44,315$46,2213.17%0.24%
200560.13%0.13%$44,372$46,2800.13%0.23%
200573.71%3.71%$46,016$47,9953.71%0.24%
20058-0.91%-0.91%$45,596$47,557-0.91%0.30%
200590.79%0.79%$45,958$47,9350.79%0.29%
200510-1.68%-1.68%$45,187$47,130-1.68%0.27%
2005113.76%3.76%$46,888$48,9043.76%0.31%
2005120.02%0.02%$46,898$48,9150.02%0.32%
200612.65%2.65%$48,139$50,2092.65%0.35%
200620.26%0.26%$48,265$50,3410.26%0.34%
200631.23%1.23%$48,859$50,9611.23%0.37%
200641.33%1.33%$49,511$51,6401.33%0.36%
20065-2.90%-2.90%$48,077$50,144-2.90%0.43%
200660.13%0.13%$48,138$50,2080.13%0.40%
200670.61%0.61%$48,430$50,5130.61%0.40%
200682.36%2.36%$49,574$51,7062.36%0.42%
200692.56%2.56%$50,845$53,0322.56%0.41%
2006103.25%3.25%$52,498$54,7563.25%0.41%
2006111.89%1.89%$53,490$55,7901.89%0.42%
2006121.39%1.39%$54,234$56,5661.39%0.40%
200711.49%1.49%$55,044$57,4111.49%0.44%
20072-1.97%-1.97%$53,960$56,280-1.97%0.38%
200731.11%1.11%$54,560$56,9061.11%0.43%
200744.42%4.42%$56,970$59,4204.42%0.44%
200753.48%3.48%$58,951$61,4863.48%0.41%
20076-1.68%-1.68%$57,963$60,456-1.68%0.40%
20077-3.08%-3.08%$56,175$58,591-3.08%0.40%
200781.50%1.50%$57,016$59,4681.50%0.42%
200793.72%3.72%$59,140$61,6833.72%0.32%
2007101.58%1.58%$60,073$62,6571.58%0.32%
200711-4.19%-4.19%$57,558$60,034-4.19%0.34%
200712-0.70%-0.70%$57,155$59,613-0.70%0.27%
200810.21%-6.02%$57,275$56,027-6.02%0.21%
200820.13%-3.25%$57,350$54,206-3.25%0.13%
200830.17%-0.44%$57,447$53,967-0.44%0.17%
200840.18%4.85%$57,551$56,5874.85%0.18%
200850.18%1.29%$57,654$57,3181.29%0.18%
200860.17%-8.44%$57,752$52,481-8.44%0.17%
200870.15%-0.83%$57,839$52,045-0.83%0.15%
200880.13%1.45%$57,914$52,7981.45%0.13%
200890.15%-8.91%$58,001$48,095-8.91%0.15%
2008100.08%-16.79%$58,047$40,019-16.79%0.08%
2008110.03%-7.17%$58,065$37,148-7.17%0.03%
2008120.00%1.07%$58,065$37,5441.07%0.00%
200910.00%-8.41%$58,065$34,386-8.41%0.00%
200920.01%-10.66%$58,071$30,721-10.66%0.01%
200930.02%8.76%$58,082$33,4128.76%0.02%
200940.01%9.56%$58,088$36,6069.56%0.01%
200950.00%5.62%$58,088$38,6635.62%0.00%
200960.01%0.22%$58,094$38,7480.22%0.01%
200977.58%7.58%$62,496$41,6847.58%0.01%
200983.60%3.60%$64,745$43,1843.60%0.01%
200993.72%3.72%$67,152$44,7893.72%0.01%
200910-1.87%-1.87%$65,898$43,953-1.87%0.00%
2009115.98%5.98%$69,839$46,5825.98%0.00%
2009121.95%1.95%$71,198$47,4881.95%0.01%
20101-3.60%-3.60%$68,632$45,777-3.60%0.00%
201023.09%3.09%$70,754$47,1923.09%0.00%
201036.01%6.01%$75,009$50,0306.01%0.01%
201041.58%1.58%$76,192$50,8191.58%0.01%
20105-8.01%-8.01%$70,093$46,751-8.01%0.01%
20106-5.24%-5.24%$66,421$44,302-5.24%0.01%
201070.01%7.00%$66,427$47,4017.00%0.01%
20108-4.53%-4.53%$63,418$45,254-4.53%0.01%
201090.01%8.92%$63,425$49,2908.92%0.01%
2010103.79%3.79%$65,827$51,1573.79%0.01%
2010110.00%0.00%$65,827$51,1570.00%0.01%
2010126.67%6.67%$70,219$54,5706.67%0.01%
201112.36%2.36%$71,874$55,8562.36%0.01%
201123.42%3.42%$74,329$57,7653.42%0.01%
201130.03%0.03%$74,349$57,7790.03%0.01%
201142.95%2.95%$76,540$59,4832.95%0.00%
20115-1.15%-1.15%$75,664$58,801-1.15%0.00%
20116-1.67%-1.67%$74,398$57,818-1.67%0.00%
20117-2.05%-2.05%$72,875$56,635-2.05%0.00%
20118-5.45%-5.45%$68,906$53,550-5.45%0.01%
201190.00%-7.04%$68,906$49,779-7.04%0.00%
2011100.00%10.91%$68,906$55,21110.91%0.00%
2011110.00%-0.23%$68,906$55,082-0.23%0.00%
2011120.00%1.02%$68,906$55,6431.02%0.00%
201210.00%4.46%$68,906$58,1274.46%0.00%
201224.31%4.31%$71,874$60,6314.31%0.00%
201233.28%3.28%$74,233$62,6203.28%0.00%
20124-0.64%-0.64%$73,758$62,220-0.64%0.00%
20125-6.02%-6.02%$69,319$58,475-6.02%0.01%
201264.11%4.11%$72,167$60,8784.11%0.00%
201271.37%1.37%$73,156$61,7121.37%0.00%
201282.24%2.24%$74,794$63,0942.24%0.01%
201292.58%2.58%$76,721$64,7202.58%0.01%
201210-1.86%-1.86%$75,295$63,516-1.86%0.01%
2012110.56%0.56%$75,716$63,8720.56%0.01%
2012120.90%0.90%$76,400$64,4480.90%0.01%
201315.18%5.18%$80,354$67,7845.18%0.00%
201321.34%1.34%$81,430$68,6921.34%0.00%
201333.74%3.74%$84,474$71,2603.74%0.00%
201341.91%1.91%$86,087$72,6201.91%0.00%
201352.33%2.33%$88,090$74,3102.33%0.00%
20136-1.35%-1.35%$86,901$73,307-1.35%0.00%
201375.07%5.07%$91,309$77,0255.07%0.00%
20138-2.91%-2.91%$88,650$74,782-2.91%0.00%
201393.12%3.12%$91,417$77,1173.12%0.00%
2013104.59%4.59%$95,610$80,6534.59%0.00%
2013113.03%3.03%$98,505$83,0963.03%0.00%
2013122.51%2.51%$100,982$85,1852.51%0.00%
20141-3.47%-3.47%$97,478$82,230-3.47%0.00%
201424.56%4.56%$101,924$85,9804.56%0.00%
201430.82%0.82%$102,764$86,6880.82%0.00%
201440.72%0.72%$103,508$87,3160.72%0.00%
201452.33%2.33%$105,925$89,3552.33%0.00%
201462.05%2.05%$108,098$91,1882.05%0.00%
20147-1.39%-1.39%$106,598$89,922-1.39%0.00%
201483.98%3.98%$110,842$93,5033.98%0.00%
20149-1.41%-1.41%$109,276$92,182-1.41%0.00%
2014102.42%2.42%$111,924$94,4162.42%0.00%
2014112.68%2.68%$114,926$96,9482.68%0.00%
201412-0.26%-0.26%$114,623$96,692-0.26%0.00%
20151-3.02%-3.02%$111,164$93,774-3.02%0.00%
201525.74%5.74%$117,544$99,1575.74%0.00%
20153-1.59%-1.59%$115,671$97,576-1.59%0.00%
201540.95%0.95%$116,769$98,5020.95%0.00%
201551.27%1.27%$118,255$99,7561.27%0.00%
20156-1.93%-1.93%$115,969$97,828-1.93%0.00%
201572.08%2.08%$118,381$99,8632.08%0.00%
20158-6.04%-6.04%$111,229$93,830-6.04%0.00%
201590.00%-2.49%$111,229$91,493-2.49%0.00%
2015100.00%8.42%$111,229$99,1998.42%0.00%
2015110.29%0.29%$111,548$99,4830.29%0.00%
201512-1.59%-1.59%$109,771$97,899-1.59%0.01%
20161-4.98%-4.98%$104,308$93,027-4.98%0.01%
201620.02%-0.15%$104,329$92,892-0.15%0.02%
201630.02%6.78%$104,350$99,1866.78%0.02%
201640.37%0.37%$104,740$99,5560.37%0.01%
201651.78%1.78%$106,608$101,3311.78%0.01%
201660.25%0.25%$106,874$101,5850.25%0.02%
201673.68%3.68%$110,803$105,3193.68%0.02%
201680.13%0.13%$110,947$105,4560.13%0.02%
201690.01%0.01%$110,956$105,4640.01%0.02%
201610-1.83%-1.83%$108,922$103,531-1.83%0.02%
2016113.70%3.70%$112,951$107,3613.70%0.01%
2016121.96%1.96%$115,168$109,4681.96%0.03%
Portfolio return and risk metrics
MetricTiming PortfolioBuy & Hold Portfolio
Arithmetic Mean (monthly)0.80%0.83%
Arithmetic Mean (annualized)10.05%10.41%
Geometric Mean (monthly)0.76%0.74%
Geometric Mean (annualized)9.47%9.27%
Volatility (monthly)2.97%4.17%
Volatility (annualized)10.31%14.44%
Downside Deviation (monthly)1.82%2.75%
Max. Drawdown-16.77%-50.97%
US Market Correlation0.700.99
Beta(*)0.490.97
Alpha (annualized)4.70%0.21%
R248.92%97.59%
Sharpe Ratio0.660.49
Sortino Ratio1.020.72
Treynor Ratio (%)13.927.37
Information Ratio-0.04-0.05
Skewness-0.51-0.58
Excess Kurtosis2.271.23
Historical Value-at-Risk (5%)-4.41%-6.96%
Analytical Value-at-Risk (5%)-4.09%-6.03%
Conditional Value-at-Risk (5%)-6.34%-9.36%
Upside Capture Ratio (%)67.2996.13
Downside Capture Ratio (%)54.5195.47
Positive Periods232 out of 324 (71.60%)208 out of 324 (64.20%)
Gain/Loss Ratio0.740.92
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndTiming PortfolioBuy & Hold Portfolio
Asian CrisisJul 1997Jan 1998-5.61%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-6.07%-44.82%
Subprime CrisisNov 2007Mar 2009-4.86%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2010Aug 20104 monthsApr 20118 months1 year-16.77%
2Jan 1990Aug 19908 monthsMay 19919 months1 year 5 months-16.54%
3Jul 1998Aug 19982 monthsMar 19997 months9 months-15.38%
4Aug 2015Jan 20166 months-11.89%
5May 2011Aug 20114 monthsSep 20121 year 1 month1 year 5 months-9.97%
6Feb 1994Mar 19942 monthsFeb 199511 months1 year 1 month-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Sep 1991Mar 19927 monthsNov 19928 months1 year 3 months-6.47%
9Jul 1999Sep 19993 monthsDec 19993 months6 months-6.25%
10Apr 2002Apr 20021 monthMay 20031 year 1 month1 year 2 months-6.07%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
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%
4Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioBuy & Hold Portfolio
1Jan 1990Jan 19901100.00% Vanguard 500 Index Investor (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 Investor (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 Investor (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 Investor (VFINX)VFINX: 16.88%16.88%16.88%
8Dec 1991Dec 19911100.00% Cash (CASHX)CASHX: 0.38%0.38%11.41%
9Jan 1992Mar 199427100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.51%13.51%13.51%
10Apr 1994Jul 19944100.00% Cash (CASHX)CASHX: 1.18%1.18%3.69%
11Aug 1994Nov 19944100.00% Vanguard 500 Index Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (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 Investor (VFINX)VFINX: 10.37%10.37%10.37%
36Jan 2017Jan 20171100.00% Vanguard 500 Index Investor (VFINX)---