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
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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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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
YearInflationVanguard 500 Index Investor (VFINX)Cash (CASHX)Timing PortfolioBuy & Hold Portfolio
ReturnBalanceReturnBalance
19906.11%-3.32%7.84%-14.48%$8,552-3.32%$9,668
19913.06%30.22%5.60%17.33%$10,03430.22%$12,589
19922.90%7.42%3.50%7.42%$10,7797.42%$13,524
19932.75%9.89%2.90%9.89%$11,8459.89%$14,862
19942.67%1.18%3.90%-2.27%$11,5761.18%$15,036
19952.54%37.45%5.60%37.45%$15,91137.45%$20,667
19963.32%22.88%5.20%22.88%$19,55122.88%$25,395
19971.70%33.19%5.25%33.19%$26,04033.19%$33,823
19981.61%28.62%4.85%12.62%$29,32628.62%$43,503
19992.68%21.07%4.69%14.31%$33,52221.07%$52,668
20003.39%-9.06%5.88%0.21%$33,591-9.06%$47,898
20011.55%-12.02%3.82%3.82%$34,876-12.02%$42,139
20022.38%-22.15%1.63%-4.68%$33,242-22.15%$32,808
20031.88%28.50%1.02%23.09%$40,91728.50%$42,158
20043.26%10.74%1.19%9.39%$44,76110.74%$46,686
20053.42%4.77%2.98%4.77%$46,8984.77%$48,915
20062.54%15.64%4.81%15.64%$54,23415.64%$56,566
20074.08%5.39%4.67%5.39%$57,1555.39%$59,613
20080.09%-37.02%1.59%1.59%$58,065-37.02%$37,544
20092.72%26.49%0.09%22.62%$71,19826.49%$47,488
20101.50%14.91%0.10%-1.37%$70,21914.91%$54,570
20112.96%1.97%0.04%-1.87%$68,9061.97%$55,643
20121.74%15.82%0.06%10.87%$76,40015.82%$64,448
20131.50%32.18%0.00%32.18%$100,98232.18%$85,185
20140.76%13.51%0.00%13.51%$114,62313.51%$96,692
20150.73%1.25%0.01%-4.23%$109,7711.25%$97,899
20162.07%11.82%0.21%4.92%$115,16811.82%$109,468
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthVanguard 500 Index Investor (VFINX)Cash (CASHX)Timing PortfolioBuy & Hold Portfolio
ReturnBalanceReturnBalance
19901-6.72%0.57%-6.72%$9,328-6.72%$9,328
199021.27%0.57%0.57%$9,3811.27%$9,447
199032.61%0.64%0.64%$9,4412.61%$9,693
19904-2.50%0.69%-2.50%$9,205-2.50%$9,451
199059.69%0.68%0.68%$9,2689.69%$10,367
19906-0.66%0.63%-0.66%$9,207-0.66%$10,299
19907-0.35%0.68%-0.35%$9,174-0.35%$10,262
19908-9.03%0.66%-9.03%$8,346-9.03%$9,336
19909-4.89%0.60%0.60%$8,396-4.89%$8,879
199010-0.41%0.68%0.68%$8,453-0.41%$8,843
1990116.44%0.57%0.57%$8,5016.44%$9,412
1990122.72%0.60%0.60%$8,5522.72%$9,668
199114.35%0.52%4.35%$8,9244.35%$10,088
199127.12%0.48%7.12%$9,5597.12%$10,806
199132.41%0.44%2.41%$9,7892.41%$11,066
199140.20%0.53%0.20%$9,8090.20%$11,088
199154.27%0.47%4.27%$10,2284.27%$11,562
19916-4.56%0.42%-4.56%$9,761-4.56%$11,035
199174.63%0.49%4.63%$10,2134.63%$11,545
199182.33%0.46%2.33%$10,4512.33%$11,815
19919-1.67%0.46%-1.67%$10,277-1.67%$11,617
1991101.33%0.42%1.33%$10,4131.33%$11,772
199111-4.01%0.39%-4.01%$9,996-4.01%$11,300
19911211.41%0.38%0.38%$10,03411.41%$12,589
19921-1.88%0.34%-1.88%$9,845-1.88%$12,352
199221.24%0.28%1.24%$9,9671.24%$12,506
19923-1.93%0.34%-1.93%$9,775-1.93%$12,265
199242.91%0.32%2.91%$10,0602.91%$12,623
199250.48%0.28%0.48%$10,1090.48%$12,684
19926-1.49%0.32%-1.49%$9,958-1.49%$12,495
199274.04%0.31%4.04%$10,3614.04%$13,000
19928-2.07%0.26%-2.07%$10,147-2.07%$12,731
199291.17%0.26%1.17%$10,2651.17%$12,880
1992100.33%0.23%0.33%$10,2990.33%$12,922
1992113.40%0.23%3.40%$10,6503.40%$13,362
1992121.21%0.28%1.21%$10,7791.21%$13,524
199310.81%0.23%0.81%$10,8650.81%$13,633
199321.36%0.22%1.36%$11,0131.36%$13,818
199332.11%0.25%2.11%$11,2452.11%$14,109
19934-2.42%0.24%-2.42%$10,972-2.42%$13,767
199352.65%0.22%2.65%$11,2632.65%$14,132
199360.27%0.25%0.27%$11,2930.27%$14,170
19937-0.42%0.24%-0.42%$11,246-0.42%$14,110
199383.79%0.25%3.79%$11,6713.79%$14,644
19939-0.79%0.26%-0.79%$11,579-0.79%$14,527
1993102.08%0.22%2.08%$11,8192.08%$14,829
199311-1.00%0.25%-1.00%$11,702-1.00%$14,682
1993121.22%0.23%1.22%$11,8451.22%$14,862
199413.38%0.25%3.38%$12,2453.38%$15,363
19942-2.71%0.21%-2.71%$11,912-2.71%$14,946
19943-4.39%0.27%-4.39%$11,390-4.39%$14,290
199441.29%0.27%0.27%$11,4201.29%$14,475
199451.60%0.31%0.31%$11,4561.60%$14,707
19946-2.45%0.31%0.31%$11,491-2.45%$14,347
199473.28%0.28%0.28%$11,5243.28%$14,817
199484.08%0.37%4.08%$11,9934.08%$15,421
19949-2.45%0.37%-2.45%$11,700-2.45%$15,044
1994102.25%0.38%2.25%$11,9632.25%$15,382
199411-3.65%0.37%-3.65%$11,526-3.65%$14,820
1994121.46%0.44%0.44%$11,5761.46%$15,036
199512.58%0.42%2.58%$11,8752.58%$15,425
199523.88%0.40%3.88%$12,3363.88%$16,023
199532.95%0.46%2.95%$12,7002.95%$16,496
199542.94%0.44%2.94%$13,0742.94%$16,982
199553.95%0.54%3.95%$13,5913.95%$17,653
199562.31%0.47%2.31%$13,9052.31%$18,061
199573.30%0.45%3.30%$14,3643.30%$18,658
199580.26%0.47%0.26%$14,4020.26%$18,707
199594.21%0.43%4.21%$15,0094.21%$19,495
199510-0.36%0.47%-0.36%$14,954-0.36%$19,424
1995114.38%0.42%4.38%$15,6094.38%$20,275
1995121.93%0.49%1.93%$15,9111.93%$20,667
199613.39%0.43%3.39%$16,4503.39%$21,366
199620.92%0.39%0.92%$16,6020.92%$21,564
199630.98%0.39%0.98%$16,7640.98%$21,774
199641.46%0.46%1.46%$17,0081.46%$22,092
199652.54%0.42%2.54%$17,4412.54%$22,654
199660.38%0.40%0.38%$17,5070.38%$22,740
19967-4.42%0.45%-4.42%$16,734-4.42%$21,735
199682.10%0.41%2.10%$17,0842.10%$22,191
199695.61%0.44%5.61%$18,0425.61%$23,435
1996102.76%0.42%2.76%$18,5392.76%$24,081
1996117.56%0.41%7.56%$19,9427.56%$25,902
199612-1.96%0.46%-1.96%$19,551-1.96%$25,395
199716.22%0.45%6.22%$20,7666.22%$26,973
199720.79%0.39%0.79%$20,9300.79%$27,186
19973-4.14%0.43%-4.14%$20,065-4.14%$26,062
199745.96%0.43%5.96%$21,2605.96%$27,614
199756.09%0.49%6.09%$22,5546.09%$29,295
199764.45%0.37%4.45%$23,5584.45%$30,600
199777.97%0.43%7.97%$25,4357.97%$33,038
19978-5.61%0.41%-5.61%$24,008-5.61%$31,184
199795.47%0.44%5.47%$25,3215.47%$32,890
199710-3.35%0.42%-3.35%$24,473-3.35%$31,788
1997114.60%0.39%4.60%$25,5984.60%$33,250
1997121.72%0.48%1.72%$26,0401.72%$33,823
199811.11%0.43%1.11%$26,3291.11%$34,199
199827.19%0.39%7.19%$28,2237.19%$36,659
199835.10%0.39%5.10%$29,6635.10%$38,529
199841.01%0.43%1.01%$29,9621.01%$38,918
19985-1.74%0.40%-1.74%$29,440-1.74%$38,239
199864.07%0.41%4.07%$30,6384.07%$39,796
19987-1.05%0.40%-1.05%$30,315-1.05%$39,377
19988-14.47%0.43%-14.47%$25,928-14.47%$33,677
199896.41%0.46%0.46%$26,0476.41%$35,837
1998108.16%0.32%0.32%$26,1308.16%$38,762
1998116.07%0.31%6.07%$27,7176.07%$41,116
1998125.81%0.38%5.81%$29,3265.81%$43,503
199914.20%0.35%4.20%$30,5594.20%$45,331
19992-3.12%0.35%-3.12%$29,604-3.12%$43,915
199934.00%0.43%4.00%$30,7874.00%$45,670
199943.85%0.37%3.85%$31,9733.85%$47,429
19995-2.39%0.34%-2.39%$31,209-2.39%$46,296
199965.56%0.40%5.56%$32,9435.56%$48,868
19997-3.13%0.38%-3.13%$31,912-3.13%$47,339
19998-0.50%0.39%-0.50%$31,753-0.50%$47,104
19999-2.74%0.39%-2.74%$30,884-2.74%$45,813
1999106.33%0.39%0.39%$31,0046.33%$48,712
1999112.02%0.36%2.02%$31,6312.02%$49,697
1999125.98%0.44%5.98%$33,5225.98%$52,668
20001-5.03%0.41%-5.03%$31,835-5.03%$50,018
20002-1.91%0.43%-1.91%$31,228-1.91%$49,064
200039.76%0.47%9.76%$34,2769.76%$53,853
20004-3.01%0.46%-3.01%$33,246-3.01%$52,234
20005-2.04%0.50%-2.04%$32,568-2.04%$51,169
200062.49%0.40%2.49%$33,3782.49%$52,442
20007-1.49%0.48%-1.49%$32,881-1.49%$51,660
200086.19%0.50%6.19%$34,9166.19%$54,858
20009-5.29%0.51%-5.29%$33,069-5.29%$51,956
200010-0.43%0.56%0.56%$33,254-0.43%$51,733
200011-7.88%0.51%0.51%$33,424-7.88%$47,658
2000120.50%0.50%0.50%$33,5910.50%$47,898
200113.55%0.54%0.54%$33,7723.55%$49,596
20012-9.14%0.38%0.38%$33,901-9.14%$45,064
20013-6.36%0.42%0.42%$34,043-6.36%$42,200
200147.77%0.39%0.39%$34,1767.77%$45,479
200150.65%0.32%0.32%$34,2850.65%$45,775
20016-2.45%0.28%0.28%$34,381-2.45%$44,655
20017-1.00%0.30%0.30%$34,484-1.00%$44,209
20018-6.27%0.31%0.31%$34,591-6.27%$41,435
20019-8.09%0.28%0.28%$34,688-8.09%$38,083
2001101.90%0.22%0.22%$34,7641.90%$38,804
2001117.65%0.17%0.17%$34,8247.65%$41,774
2001120.87%0.15%0.15%$34,8760.87%$42,139
20021-1.47%0.14%0.14%$34,925-1.47%$41,519
20022-1.94%0.13%0.13%$34,970-1.94%$40,715
200233.74%0.13%0.13%$35,0153.74%$42,239
20024-6.07%0.15%-6.07%$32,888-6.07%$39,673
20025-0.75%0.14%0.14%$32,934-0.75%$39,374
20026-7.13%0.13%0.13%$32,977-7.13%$36,564
20027-7.72%0.15%0.15%$33,027-7.72%$33,742
200280.65%0.14%0.14%$33,0730.65%$33,962
20029-10.87%0.14%0.14%$33,119-10.87%$30,269
2002108.78%0.14%0.14%$33,1668.78%$32,927
2002115.88%0.12%0.12%$33,2055.88%$34,862
200212-5.89%0.11%0.11%$33,242-5.89%$32,808
20031-2.62%0.10%0.10%$33,275-2.62%$31,946
20032-1.52%0.09%0.09%$33,305-1.52%$31,461
200330.96%0.10%0.10%$33,3380.96%$31,762
200348.25%0.10%0.10%$33,3728.25%$34,384
200355.26%0.09%5.26%$35,1285.26%$36,194
200361.26%0.10%1.26%$35,5711.26%$36,650
200371.74%0.07%1.74%$36,1911.74%$37,289
200381.93%0.07%1.93%$36,8911.93%$38,010
20039-1.07%0.08%-1.07%$36,496-1.07%$37,602
2003105.64%0.07%5.64%$38,5545.64%$39,724
2003110.86%0.07%0.86%$38,8880.86%$40,067
2003125.22%0.08%5.22%$40,9175.22%$42,158
200411.82%0.07%1.82%$41,6631.82%$42,926
200421.38%0.06%1.38%$42,2371.38%$43,517
20043-1.51%0.09%-1.51%$41,597-1.51%$42,859
20044-1.58%0.08%-1.58%$40,942-1.58%$42,183
200451.36%0.06%1.36%$41,4971.36%$42,756
200461.93%0.08%1.93%$42,2981.93%$43,581
20047-3.31%0.10%-3.31%$40,898-3.31%$42,138
200480.38%0.11%0.11%$40,9430.38%$42,299
200491.07%0.11%0.11%$40,9881.07%$42,751
2004101.51%0.11%1.51%$41,6091.51%$43,398
2004114.05%0.15%4.05%$43,2924.05%$45,154
2004123.39%0.16%3.39%$44,7613.39%$46,686
20051-2.45%0.16%-2.45%$43,663-2.45%$45,540
200522.09%0.16%2.09%$44,5772.09%$46,494
20053-1.76%0.21%-1.76%$43,792-1.76%$45,676
20054-1.91%0.21%-1.91%$42,955-1.91%$44,802
200553.17%0.24%3.17%$44,3153.17%$46,221
200560.13%0.23%0.13%$44,3720.13%$46,280
200573.71%0.24%3.71%$46,0163.71%$47,995
20058-0.91%0.30%-0.91%$45,596-0.91%$47,557
200590.79%0.29%0.79%$45,9580.79%$47,935
200510-1.68%0.27%-1.68%$45,187-1.68%$47,130
2005113.76%0.31%3.76%$46,8883.76%$48,904
2005120.02%0.32%0.02%$46,8980.02%$48,915
200612.65%0.35%2.65%$48,1392.65%$50,209
200620.26%0.34%0.26%$48,2650.26%$50,341
200631.23%0.37%1.23%$48,8591.23%$50,961
200641.33%0.36%1.33%$49,5111.33%$51,640
20065-2.90%0.43%-2.90%$48,077-2.90%$50,144
200660.13%0.40%0.13%$48,1380.13%$50,208
200670.61%0.40%0.61%$48,4300.61%$50,513
200682.36%0.42%2.36%$49,5742.36%$51,706
200692.56%0.41%2.56%$50,8452.56%$53,032
2006103.25%0.41%3.25%$52,4983.25%$54,756
2006111.89%0.42%1.89%$53,4901.89%$55,790
2006121.39%0.40%1.39%$54,2341.39%$56,566
200711.49%0.44%1.49%$55,0441.49%$57,411
20072-1.97%0.38%-1.97%$53,960-1.97%$56,280
200731.11%0.43%1.11%$54,5601.11%$56,906
200744.42%0.44%4.42%$56,9704.42%$59,420
200753.48%0.41%3.48%$58,9513.48%$61,486
20076-1.68%0.40%-1.68%$57,963-1.68%$60,456
20077-3.08%0.40%-3.08%$56,175-3.08%$58,591
200781.50%0.42%1.50%$57,0161.50%$59,468
200793.72%0.32%3.72%$59,1403.72%$61,683
2007101.58%0.32%1.58%$60,0731.58%$62,657
200711-4.19%0.34%-4.19%$57,558-4.19%$60,034
200712-0.70%0.27%-0.70%$57,155-0.70%$59,613
20081-6.02%0.21%0.21%$57,275-6.02%$56,027
20082-3.25%0.13%0.13%$57,350-3.25%$54,206
20083-0.44%0.17%0.17%$57,447-0.44%$53,967
200844.85%0.18%0.18%$57,5514.85%$56,587
200851.29%0.18%0.18%$57,6541.29%$57,318
20086-8.44%0.17%0.17%$57,752-8.44%$52,481
20087-0.83%0.15%0.15%$57,839-0.83%$52,045
200881.45%0.13%0.13%$57,9141.45%$52,798
20089-8.91%0.15%0.15%$58,001-8.91%$48,095
200810-16.79%0.08%0.08%$58,047-16.79%$40,019
200811-7.17%0.03%0.03%$58,065-7.17%$37,148
2008121.07%0.00%0.00%$58,0651.07%$37,544
20091-8.41%0.00%0.00%$58,065-8.41%$34,386
20092-10.66%0.01%0.01%$58,071-10.66%$30,721
200938.76%0.02%0.02%$58,0828.76%$33,412
200949.56%0.01%0.01%$58,0889.56%$36,606
200955.62%0.00%0.00%$58,0885.62%$38,663
200960.22%0.01%0.01%$58,0940.22%$38,748
200977.58%0.01%7.58%$62,4967.58%$41,684
200983.60%0.01%3.60%$64,7453.60%$43,184
200993.72%0.01%3.72%$67,1523.72%$44,789
200910-1.87%0.00%-1.87%$65,898-1.87%$43,953
2009115.98%0.00%5.98%$69,8395.98%$46,582
2009121.95%0.01%1.95%$71,1981.95%$47,488
20101-3.60%0.00%-3.60%$68,632-3.60%$45,777
201023.09%0.00%3.09%$70,7543.09%$47,192
201036.01%0.01%6.01%$75,0096.01%$50,030
201041.58%0.01%1.58%$76,1921.58%$50,819
20105-8.01%0.01%-8.01%$70,093-8.01%$46,751
20106-5.24%0.01%-5.24%$66,421-5.24%$44,302
201077.00%0.01%0.01%$66,4277.00%$47,401
20108-4.53%0.01%-4.53%$63,418-4.53%$45,254
201098.92%0.01%0.01%$63,4258.92%$49,290
2010103.79%0.01%3.79%$65,8273.79%$51,157
2010110.00%0.01%0.00%$65,8270.00%$51,157
2010126.67%0.01%6.67%$70,2196.67%$54,570
201112.36%0.01%2.36%$71,8742.36%$55,856
201123.42%0.01%3.42%$74,3293.42%$57,765
201130.03%0.01%0.03%$74,3490.03%$57,779
201142.95%0.00%2.95%$76,5402.95%$59,483
20115-1.15%0.00%-1.15%$75,664-1.15%$58,801
20116-1.67%0.00%-1.67%$74,398-1.67%$57,818
20117-2.05%0.00%-2.05%$72,875-2.05%$56,635
20118-5.45%0.01%-5.45%$68,906-5.45%$53,550
20119-7.04%0.00%0.00%$68,906-7.04%$49,779
20111010.91%0.00%0.00%$68,90610.91%$55,211
201111-0.23%0.00%0.00%$68,906-0.23%$55,082
2011121.02%0.00%0.00%$68,9061.02%$55,643
201214.46%0.00%0.00%$68,9064.46%$58,127
201224.31%0.00%4.31%$71,8744.31%$60,631
201233.28%0.00%3.28%$74,2333.28%$62,620
20124-0.64%0.00%-0.64%$73,758-0.64%$62,220
20125-6.02%0.01%-6.02%$69,319-6.02%$58,475
201264.11%0.00%4.11%$72,1674.11%$60,878
201271.37%0.00%1.37%$73,1561.37%$61,712
201282.24%0.01%2.24%$74,7942.24%$63,094
201292.58%0.01%2.58%$76,7212.58%$64,720
201210-1.86%0.01%-1.86%$75,295-1.86%$63,516
2012110.56%0.01%0.56%$75,7160.56%$63,872
2012120.90%0.01%0.90%$76,4000.90%$64,448
201315.18%0.00%5.18%$80,3545.18%$67,784
201321.34%0.00%1.34%$81,4301.34%$68,692
201333.74%0.00%3.74%$84,4743.74%$71,260
201341.91%0.00%1.91%$86,0871.91%$72,620
201352.33%0.00%2.33%$88,0902.33%$74,310
20136-1.35%0.00%-1.35%$86,901-1.35%$73,307
201375.07%0.00%5.07%$91,3095.07%$77,025
20138-2.91%0.00%-2.91%$88,650-2.91%$74,782
201393.12%0.00%3.12%$91,4173.12%$77,117
2013104.59%0.00%4.59%$95,6104.59%$80,653
2013113.03%0.00%3.03%$98,5053.03%$83,096
2013122.51%0.00%2.51%$100,9822.51%$85,185
20141-3.47%0.00%-3.47%$97,478-3.47%$82,230
201424.56%0.00%4.56%$101,9244.56%$85,980
201430.82%0.00%0.82%$102,7640.82%$86,688
201440.72%0.00%0.72%$103,5080.72%$87,316
201452.33%0.00%2.33%$105,9252.33%$89,355
201462.05%0.00%2.05%$108,0982.05%$91,188
20147-1.39%0.00%-1.39%$106,598-1.39%$89,922
201483.98%0.00%3.98%$110,8423.98%$93,503
20149-1.41%0.00%-1.41%$109,276-1.41%$92,182
2014102.42%0.00%2.42%$111,9242.42%$94,416
2014112.68%0.00%2.68%$114,9262.68%$96,948
201412-0.26%0.00%-0.26%$114,623-0.26%$96,692
20151-3.02%0.00%-3.02%$111,164-3.02%$93,774
201525.74%0.00%5.74%$117,5445.74%$99,157
20153-1.59%0.00%-1.59%$115,671-1.59%$97,576
201540.95%0.00%0.95%$116,7690.95%$98,502
201551.27%0.00%1.27%$118,2551.27%$99,756
20156-1.93%0.00%-1.93%$115,969-1.93%$97,828
201572.08%0.00%2.08%$118,3812.08%$99,863
20158-6.04%0.00%-6.04%$111,229-6.04%$93,830
20159-2.49%0.00%0.00%$111,229-2.49%$91,493
2015108.42%0.00%0.00%$111,2298.42%$99,199
2015110.29%0.00%0.29%$111,5480.29%$99,483
201512-1.59%0.01%-1.59%$109,771-1.59%$97,899
20161-4.98%0.01%-4.98%$104,308-4.98%$93,027
20162-0.15%0.02%0.02%$104,329-0.15%$92,892
201636.78%0.02%0.02%$104,3506.78%$99,186
201640.37%0.01%0.37%$104,7400.37%$99,556
201651.78%0.01%1.78%$106,6081.78%$101,331
201660.25%0.02%0.25%$106,8740.25%$101,585
201673.68%0.02%3.68%$110,8033.68%$105,319
201680.13%0.02%0.13%$110,9470.13%$105,456
201690.01%0.02%0.01%$110,9560.01%$105,464
201610-1.83%0.02%-1.83%$108,922-1.83%$103,531
2016113.70%0.01%3.70%$112,9513.70%$107,361
2016121.96%0.03%1.96%$115,1681.96%$109,468
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 Crisis / LTCM 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
RankDrawdown StartDrawdown EndDrawdown LengthRecovery 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%
11Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
12Sep 2000Sep 20001 monthJan 20021 year 4 months1 year 5 months-5.29%
13Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
14Nov 2007Dec 20072 monthsJul 20091 year 7 months1 year 9 months-4.86%
15Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
16Jun 1991Jun 19911 monthAug 19912 months3 months-4.56%
17Jul 1996Jul 19961 monthSep 19962 months3 months-4.42%
18Mar 1997Mar 19971 monthApr 19971 month2 months-4.14%
19Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
20Jan 2010Jan 20101 monthMar 20102 months3 months-3.60%
21Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
22Jul 2004Jul 20041 monthNov 20044 months5 months-3.31%
23Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
24Mar 2004Apr 20042 monthsJun 20042 months4 months-3.07%
25Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
26May 2006May 20061 monthAug 20063 months4 months-2.90%
27Apr 1993Apr 19931 monthMay 19931 month2 months-2.42%
28May 1999May 19991 monthJun 19991 month2 months-2.39%
29Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
30Dec 1996Dec 19961 monthJan 19971 month2 months-1.96%
31Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
32Oct 2009Oct 20091 monthNov 20091 month2 months-1.87%
33Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
34Aug 2005Oct 20053 monthsNov 20051 month4 months-1.80%
35May 1998May 19981 monthJun 19981 month2 months-1.74%
36Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
37Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
38Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
39Jun 2013Jun 20131 monthJul 20131 month2 months-1.35%
40Sep 2003Sep 20031 monthOct 20031 month2 months-1.07%
41Nov 1993Nov 19931 monthDec 19931 month2 months-1.00%
42Sep 1993Sep 19931 monthOct 19931 month2 months-0.79%
43Jul 1993Jul 19931 monthAug 19931 month2 months-0.42%
44Oct 1995Oct 19951 monthNov 19951 month2 months-0.36%

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery 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%
11Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
12Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
13Jun 1991Jun 19911 monthAug 19912 months3 months-4.56%
14Jul 1996Jul 19961 monthSep 19962 months3 months-4.42%
15Sep 1991Nov 19913 monthsDec 19911 month4 months-4.36%
16Mar 1997Mar 19971 monthApr 19971 month2 months-4.14%
17Sep 1994Nov 19943 monthsJan 19952 months5 months-3.90%
18Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
19Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
20Feb 1999Feb 19991 monthMar 19991 month2 months-3.12%
21Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
22Jan 1992Mar 19923 monthsApr 19921 month4 months-2.57%
23Apr 1993Apr 19931 monthMay 19931 month2 months-2.42%
24May 1999May 19991 monthJun 19991 month2 months-2.39%
25Aug 1992Aug 19921 monthNov 19923 months4 months-2.07%
26Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
27Dec 1996Dec 19961 monthJan 19971 month2 months-1.96%
28Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
29Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
30Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
31May 1998May 19981 monthJun 19981 month2 months-1.74%
32Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
33Jun 1992Jun 19921 monthJul 19921 month2 months-1.49%
34Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
35Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
36Jun 2013Jun 20131 monthJul 20131 month2 months-1.35%
37Nov 1993Nov 19931 monthDec 19931 month2 months-1.00%
38Sep 1993Sep 19931 monthOct 19931 month2 months-0.79%
39Jul 1993Jul 19931 monthAug 19931 month2 months-0.42%
40Oct 1995Oct 19951 monthNov 19951 month2 months-0.36%
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)---