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.

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 timing 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 timing 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 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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Model Simulation Results (Jan 1990 - Dec 2021) Save

Tactical asset allocation model results from Jan 1990 to Dec 2021 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 Cash (CASHX). Tactical asset allocation 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 RatioMarket Correlation
Moving Average Model$10,000$213,97410.05%10.66%37.45%-14.44%-16.76% 0.711.100.71
Buy & Hold Portfolio$10,000$253,81410.63%14.59%37.45%-37.02%-50.97% 0.590.870.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Moving Average Model10.99%28.53%28.53%17.62%13.17%11.99%10.05%13.10%12.44%
Buy & Hold Portfolio10.99%28.53%28.53%25.91%18.32%16.39%10.63%17.42%15.39%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. 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.
  • Out of market returns are based on 3-month treasury bill 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.
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationMoving Average ModelBuy & Hold PortfolioVanguard 500 Index Investor (VFINX)Cash (CASHX)
ReturnBalanceReturnBalance
19906.11%-14.44%$8,556-3.32%$9,668-3.32%7.89%
19913.06%17.31%$10,03730.22%$12,58930.22%5.71%
19922.90%7.42%$10,7827.42%$13,5247.42%3.57%
19932.75%9.89%$11,8489.89%$14,8629.89%3.05%
19942.67%-2.10%$11,5991.18%$15,0361.18%4.20%
19952.54%37.45%$15,94337.45%$20,66737.45%5.71%
19963.32%22.88%$19,59022.88%$25,39522.88%5.17%
19971.70%33.19%$26,09233.19%$33,82333.19%5.22%
19981.61%12.59%$29,37828.62%$43,50328.62%4.97%
19992.68%14.32%$33,58521.07%$52,66821.07%4.77%
20003.39%0.17%$33,643-9.06%$47,898-9.06%5.99%
20011.55%3.70%$34,888-12.02%$42,139-12.02%3.70%
20022.38%-4.67%$33,260-22.15%$32,808-22.15%1.65%
20031.88%23.09%$40,93928.50%$42,15828.50%1.04%
20043.26%9.43%$44,79810.74%$46,68610.74%1.32%
20053.42%4.77%$46,9364.77%$48,9154.77%3.14%
20062.54%15.64%$54,27815.64%$56,56615.64%4.82%
20074.08%5.39%$57,2025.39%$59,6135.39%4.56%
20080.09%1.53%$58,078-37.02%$37,544-37.02%1.53%
20092.72%22.67%$71,24426.49%$47,48826.49%0.16%
20101.50%-1.37%$70,26914.91%$54,57014.91%0.14%
20112.96%-1.86%$68,9591.97%$55,6431.97%0.07%
20121.74%10.88%$76,45915.82%$64,44815.82%0.08%
20131.50%32.18%$101,06132.18%$85,18532.18%0.05%
20140.76%13.51%$114,71213.51%$96,69213.51%0.03%
20150.73%-4.23%$109,8591.25%$97,8991.25%0.05%
20162.07%4.93%$115,27611.82%$109,46811.82%0.30%
20172.11%21.67%$140,25421.67%$133,18721.67%0.88%
20181.91%-6.24%$131,500-4.52%$127,161-4.52%1.90%
20192.29%10.74%$145,61731.33%$166,99731.33%2.13%
20201.36%14.32%$166,47418.25%$197,47018.25%0.44%
20217.04%28.53%$213,97428.53%$253,81428.53%0.04%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMoving Average ModelBuy & Hold PortfolioVanguard 500 Index Investor (VFINX)Cash (CASHX)
ReturnBalanceReturnBalance
19901-6.72%$9,328-6.72%$9,328-6.72%0.64%
199020.65%$9,3891.27%$9,4471.27%0.65%
199030.66%$9,4512.61%$9,6932.61%0.66%
19904-2.50%$9,214-2.50%$9,451-2.50%0.66%
199050.66%$9,2759.69%$10,3679.69%0.66%
19906-0.66%$9,214-0.66%$10,299-0.66%0.65%
19907-0.35%$9,181-0.35%$10,262-0.35%0.65%
19908-9.03%$8,352-9.03%$9,336-9.03%0.63%
199090.62%$8,404-4.89%$8,879-4.89%0.62%
1990100.60%$8,455-0.41%$8,843-0.41%0.60%
1990110.60%$8,5066.44%$9,4126.44%0.60%
1990120.59%$8,5562.72%$9,6682.72%0.59%
199114.32%$8,9264.32%$10,0854.32%0.54%
199127.15%$9,5647.15%$10,8067.15%0.52%
199132.41%$9,7942.41%$11,0662.41%0.51%
199140.20%$9,8130.20%$11,0880.20%0.48%
199154.27%$10,2324.27%$11,5624.27%0.46%
19916-4.56%$9,766-4.56%$11,035-4.56%0.47%
199174.63%$10,2184.63%$11,5454.63%0.47%
199182.33%$10,4562.33%$11,8152.33%0.47%
19919-1.67%$10,282-1.67%$11,617-1.67%0.45%
1991101.33%$10,4181.33%$11,7721.33%0.43%
199111-4.01%$10,000-4.01%$11,300-4.01%0.40%
1991120.37%$10,03711.41%$12,58911.41%0.37%
19921-1.88%$9,848-1.88%$12,352-1.88%0.33%
199221.24%$9,9701.24%$12,5061.24%0.32%
19923-1.93%$9,778-1.93%$12,265-1.93%0.33%
199242.91%$10,0632.91%$12,6232.91%0.34%
199250.48%$10,1120.48%$12,6840.48%0.31%
19926-1.49%$9,961-1.49%$12,495-1.49%0.31%
199274.04%$10,3644.04%$13,0004.04%0.30%
19928-2.07%$10,150-2.07%$12,731-2.07%0.27%
199291.17%$10,2681.17%$12,8801.17%0.26%
1992100.33%$10,3020.33%$12,9220.33%0.23%
1992113.40%$10,6533.40%$13,3623.40%0.25%
1992121.21%$10,7821.21%$13,5241.21%0.27%
199310.81%$10,8690.81%$13,6330.81%0.26%
199321.36%$11,0161.36%$13,8181.36%0.24%
199332.11%$11,2482.11%$14,1092.11%0.25%
19934-2.42%$10,975-2.42%$13,767-2.42%0.24%
199352.65%$11,2672.65%$14,1322.65%0.24%
199360.27%$11,2970.27%$14,1700.27%0.26%
19937-0.42%$11,249-0.42%$14,110-0.42%0.25%
199383.79%$11,6753.79%$14,6443.79%0.25%
19939-0.79%$11,582-0.79%$14,527-0.79%0.25%
1993102.08%$11,8232.08%$14,8292.08%0.24%
199311-1.00%$11,705-1.00%$14,682-1.00%0.25%
1993121.22%$11,8481.22%$14,8621.22%0.26%
199413.38%$12,2483.38%$15,3633.38%0.25%
19942-2.71%$11,916-2.71%$14,946-2.71%0.25%
19943-4.39%$11,393-4.39%$14,290-4.39%0.28%
199440.29%$11,4261.29%$14,4751.29%0.29%
199450.32%$11,4631.63%$14,7101.63%0.32%
199460.35%$11,503-2.47%$14,347-2.47%0.35%
199470.35%$11,5433.28%$14,8173.28%0.35%
199484.08%$12,0144.08%$15,4214.08%0.36%
19949-2.45%$11,720-2.45%$15,044-2.45%0.38%
1994102.25%$11,9832.25%$15,3822.25%0.39%
199411-3.65%$11,545-3.65%$14,820-3.65%0.42%
1994120.47%$11,5991.46%$15,0361.46%0.47%
199512.58%$11,8992.58%$15,4252.58%0.47%
199523.88%$12,3613.88%$16,0233.88%0.49%
199532.95%$12,7262.95%$16,4962.95%0.48%
199542.94%$13,1002.94%$16,9822.94%0.48%
199553.95%$13,6183.95%$17,6533.95%0.48%
199562.31%$13,9332.31%$18,0612.31%0.47%
199573.30%$14,3933.30%$18,6583.30%0.46%
199580.25%$14,4290.25%$18,7040.25%0.46%
199594.23%$15,0394.23%$19,4954.23%0.44%
199510-0.36%$14,984-0.36%$19,424-0.36%0.44%
1995114.38%$15,6414.38%$20,2754.38%0.45%
1995121.93%$15,9431.93%$20,6671.93%0.45%
199613.39%$16,4833.39%$21,3663.39%0.42%
199620.92%$16,6350.92%$21,5640.92%0.41%
199630.98%$16,7970.98%$21,7740.98%0.41%
199641.46%$17,0421.46%$22,0921.46%0.42%
199652.54%$17,4762.54%$22,6542.54%0.42%
199660.38%$17,5430.38%$22,7400.38%0.42%
19967-4.42%$16,767-4.42%$21,735-4.42%0.42%
199682.10%$17,1192.10%$22,1912.10%0.44%
199695.61%$18,0785.61%$23,4355.61%0.43%
1996102.76%$18,5762.76%$24,0812.76%0.41%
1996117.56%$19,9827.56%$25,9027.56%0.42%
199612-1.96%$19,590-1.96%$25,395-1.96%0.42%
199716.22%$20,8086.22%$26,9736.22%0.43%
199720.79%$20,9720.79%$27,1860.79%0.42%
19973-4.14%$20,105-4.14%$26,062-4.14%0.43%
199745.96%$21,3025.96%$27,6145.96%0.44%
199756.09%$22,5996.09%$29,2956.09%0.43%
199764.45%$23,6064.45%$30,6004.45%0.40%
199777.97%$25,4867.97%$33,0387.97%0.43%
19978-5.61%$24,056-5.61%$31,184-5.61%0.43%
199795.47%$25,3725.47%$32,8905.47%0.43%
199710-3.35%$24,522-3.35%$31,788-3.35%0.41%
1997114.60%$25,6504.60%$33,2504.60%0.43%
1997121.72%$26,0921.72%$33,8231.72%0.43%
199811.11%$26,3821.11%$34,1991.11%0.44%
199827.19%$28,2797.19%$36,6597.19%0.43%
199835.10%$29,7235.10%$38,5295.10%0.44%
199841.01%$30,0221.01%$38,9181.01%0.42%
19985-1.74%$29,499-1.74%$38,239-1.74%0.41%
199864.07%$30,7004.07%$39,7964.07%0.41%
19987-1.05%$30,376-1.05%$39,377-1.05%0.42%
19988-14.47%$25,980-14.47%$33,677-14.47%0.42%
199890.40%$26,0846.41%$35,8376.41%0.40%
1998100.36%$26,1778.16%$38,7628.16%0.36%
1998116.07%$27,7666.07%$41,1166.07%0.36%
1998125.81%$29,3785.81%$43,5035.81%0.37%
199914.20%$30,6134.20%$45,3314.20%0.37%
19992-3.12%$29,657-3.12%$43,915-3.12%0.37%
199934.00%$30,8424.00%$45,6704.00%0.38%
199943.85%$32,0303.85%$47,4293.85%0.37%
19995-2.39%$31,265-2.39%$46,296-2.39%0.37%
199965.56%$33,0025.56%$48,8685.56%0.38%
19997-3.13%$31,969-3.13%$47,339-3.13%0.39%
19998-0.50%$31,810-0.50%$47,104-0.50%0.39%
19999-2.74%$30,939-2.74%$45,813-2.74%0.41%
1999100.40%$31,0626.33%$48,7126.33%0.40%
1999112.02%$31,6902.02%$49,6972.02%0.42%
1999125.98%$33,5855.98%$52,6685.98%0.43%
20001-5.03%$31,895-5.03%$50,018-5.03%0.43%
20002-1.91%$31,287-1.91%$49,064-1.91%0.47%
200039.75%$34,3389.75%$53,8499.75%0.47%
20004-3.00%$33,308-3.00%$52,234-3.00%0.48%
20005-2.04%$32,629-2.04%$51,169-2.04%0.48%
200062.49%$33,4432.49%$52,4462.49%0.46%
20007-1.50%$32,942-1.50%$51,660-1.50%0.48%
200086.19%$34,9816.19%$54,8586.19%0.51%
20009-5.29%$33,131-5.29%$51,956-5.29%0.52%
2000100.51%$33,300-0.43%$51,733-0.43%0.51%
2000110.52%$33,473-7.89%$47,654-7.89%0.52%
2000120.51%$33,6430.51%$47,8980.51%0.51%
200110.48%$33,8053.55%$49,5963.55%0.48%
200120.41%$33,943-9.14%$45,064-9.14%0.41%
200130.40%$34,078-6.36%$42,200-6.36%0.40%
200140.35%$34,1987.77%$45,4797.77%0.35%
200150.32%$34,3090.65%$45,7750.65%0.32%
200160.30%$34,411-2.45%$44,655-2.45%0.30%
200170.30%$34,514-1.00%$44,209-1.00%0.30%
200180.29%$34,614-6.27%$41,435-6.27%0.29%
200190.28%$34,710-8.09%$38,083-8.09%0.28%
2001100.20%$34,7781.90%$38,8041.90%0.20%
2001110.17%$34,8377.65%$41,7747.65%0.17%
2001120.15%$34,8880.87%$42,1390.87%0.15%
200210.14%$34,937-1.47%$41,519-1.47%0.14%
200220.14%$34,988-1.94%$40,715-1.94%0.14%
200230.15%$35,0393.74%$42,2393.74%0.15%
20024-6.07%$32,911-6.07%$39,673-6.07%0.15%
200250.15%$32,959-0.75%$39,374-0.75%0.15%
200260.14%$33,006-7.13%$36,564-7.13%0.14%
200270.14%$33,052-7.72%$33,742-7.72%0.14%
200280.14%$33,0980.65%$33,9620.65%0.14%
200290.14%$33,144-10.87%$30,269-10.87%0.14%
2002100.13%$33,1878.78%$32,9278.78%0.13%
2002110.12%$33,2265.88%$34,8625.88%0.12%
2002120.10%$33,260-5.89%$32,808-5.89%0.10%
200310.10%$33,293-2.62%$31,946-2.62%0.10%
200320.10%$33,325-1.52%$31,461-1.52%0.10%
200330.10%$33,3580.96%$31,7620.96%0.10%
200340.09%$33,3898.25%$34,3848.25%0.09%
200355.26%$35,1475.26%$36,1945.26%0.09%
200361.26%$35,5891.26%$36,6501.26%0.09%
200371.74%$36,2101.74%$37,2891.74%0.07%
200381.93%$36,9101.93%$38,0101.93%0.08%
20039-1.07%$36,514-1.07%$37,602-1.07%0.08%
2003105.64%$38,5745.64%$39,7245.64%0.08%
2003110.86%$38,9080.86%$40,0670.86%0.08%
2003125.22%$40,9395.22%$42,1585.22%0.08%
200411.82%$41,6841.82%$42,9261.82%0.08%
200421.38%$42,2591.38%$43,5171.38%0.08%
20043-1.51%$41,619-1.51%$42,859-1.51%0.08%
20044-1.58%$40,963-1.58%$42,183-1.58%0.08%
200451.36%$41,5191.36%$42,7561.36%0.08%
200461.93%$42,3201.93%$43,5811.93%0.09%
20047-3.31%$40,919-3.31%$42,138-3.31%0.11%
200480.12%$40,9670.38%$42,2990.38%0.12%
200490.13%$41,0211.07%$42,7511.07%0.13%
2004101.51%$41,6431.51%$43,3981.51%0.14%
2004114.05%$43,3274.05%$45,1544.05%0.16%
2004123.39%$44,7983.39%$46,6863.39%0.18%
20051-2.45%$43,698-2.45%$45,540-2.45%0.18%
200522.09%$44,6132.09%$46,4942.09%0.21%
20053-1.76%$43,828-1.76%$45,676-1.76%0.23%
20054-1.91%$42,990-1.91%$44,802-1.91%0.23%
200553.17%$44,3523.17%$46,2213.17%0.24%
200560.13%$44,4080.13%$46,2800.13%0.25%
200573.71%$46,0543.71%$47,9953.71%0.26%
20058-0.91%$45,633-0.91%$47,557-0.91%0.28%
200590.79%$45,9960.79%$47,9350.79%0.29%
200510-1.68%$45,224-1.68%$47,130-1.68%0.29%
2005113.76%$46,9263.76%$48,9043.76%0.33%
2005120.02%$46,9360.02%$48,9150.02%0.32%
200612.65%$48,1782.65%$50,2092.65%0.33%
200620.26%$48,3050.26%$50,3410.26%0.37%
200631.23%$48,8991.23%$50,9611.23%0.38%
200641.33%$49,5511.33%$51,6401.33%0.38%
20065-2.90%$48,116-2.90%$50,144-2.90%0.39%
200660.13%$48,1770.13%$50,2080.13%0.40%
200670.61%$48,4700.61%$50,5130.61%0.41%
200682.36%$49,6152.36%$51,7062.36%0.42%
200692.56%$50,8862.56%$53,0322.56%0.41%
2006103.25%$52,5413.25%$54,7563.25%0.40%
2006111.89%$53,5331.89%$55,7901.89%0.42%
2006121.39%$54,2781.39%$56,5661.39%0.41%
200711.49%$55,0891.49%$57,4111.49%0.41%
20072-1.97%$54,004-1.97%$56,280-1.97%0.42%
200731.11%$54,6041.11%$56,9061.11%0.42%
200744.42%$57,0164.42%$59,4204.42%0.41%
200753.48%$58,9993.48%$61,4863.48%0.40%
20076-1.68%$58,010-1.68%$60,456-1.68%0.39%
20077-3.08%$56,220-3.08%$58,591-3.08%0.39%
200781.50%$57,0631.50%$59,4681.50%0.40%
200793.72%$59,1883.72%$61,6833.72%0.33%
2007101.58%$60,1221.58%$62,6571.58%0.31%
200711-4.19%$57,605-4.19%$60,034-4.19%0.32%
200712-0.70%$57,202-0.70%$59,613-0.70%0.26%
200810.28%$57,360-6.02%$56,027-6.02%0.28%
200820.16%$57,452-3.25%$54,206-3.25%0.16%
200830.15%$57,539-0.44%$53,967-0.44%0.15%
200840.11%$57,6044.85%$56,5874.85%0.11%
200850.12%$57,6721.29%$57,3181.29%0.12%
200860.15%$57,761-8.44%$52,481-8.44%0.15%
200870.16%$57,851-0.83%$52,045-0.83%0.16%
200880.14%$57,9311.45%$52,7981.45%0.14%
200890.14%$58,013-8.91%$48,095-8.91%0.14%
2008100.08%$58,056-16.79%$40,019-16.79%0.08%
2008110.04%$58,078-7.17%$37,148-7.17%0.04%
2008120.00%$58,0781.07%$37,5441.07%0.00%
200910.01%$58,084-8.41%$34,386-8.41%0.01%
200920.02%$58,095-10.66%$30,721-10.66%0.02%
200930.02%$58,1088.76%$33,4128.76%0.02%
200940.02%$58,1189.56%$36,6069.56%0.02%
200950.01%$58,1255.62%$38,6635.62%0.01%
200960.01%$58,1310.22%$38,7480.22%0.01%
200977.58%$62,5377.58%$41,6847.58%0.02%
200983.60%$64,7873.60%$43,1843.60%0.02%
200993.72%$67,1953.72%$44,7893.72%0.01%
200910-1.87%$65,940-1.87%$43,953-1.87%0.01%
2009115.98%$69,8845.98%$46,5825.98%0.00%
2009121.95%$71,2441.95%$47,4881.95%0.01%
20101-3.60%$68,677-3.60%$45,777-3.60%0.01%
201023.09%$70,8003.09%$47,1923.09%0.01%
201036.01%$75,0586.01%$50,0306.01%0.01%
201041.58%$76,2421.58%$50,8191.58%0.01%
20105-8.01%$70,139-8.01%$46,751-8.01%0.01%
20106-5.24%$66,464-5.24%$44,302-5.24%0.01%
201070.02%$66,4747.00%$47,4017.00%0.02%
20108-4.53%$63,463-4.53%$45,254-4.53%0.01%
201090.01%$63,4708.92%$49,2908.92%0.01%
2010103.79%$65,8743.79%$51,1573.79%0.01%
2010110.00%$65,8740.00%$51,1570.00%0.01%
2010126.67%$70,2696.67%$54,5706.67%0.01%
201112.36%$71,9262.36%$55,8562.36%0.01%
201123.42%$74,3833.42%$57,7653.42%0.01%
201130.03%$74,4020.03%$57,7790.03%0.01%
201142.95%$76,5952.95%$59,4832.95%0.01%
20115-1.15%$75,718-1.15%$58,801-1.15%0.00%
20116-1.67%$74,452-1.67%$57,818-1.67%0.01%
20117-2.05%$72,928-2.05%$56,635-2.05%0.00%
20118-5.45%$68,956-5.45%$53,550-5.45%0.01%
201190.00%$68,957-7.04%$49,779-7.04%0.00%
2011100.00%$68,95810.91%$55,21110.91%0.00%
2011110.00%$68,959-0.23%$55,082-0.23%0.00%
2011120.00%$68,9591.02%$55,6431.02%0.00%
201210.00%$68,9604.46%$58,1274.46%0.00%
201224.31%$71,9304.31%$60,6314.31%0.01%
201233.28%$74,2913.28%$62,6203.28%0.01%
20124-0.64%$73,815-0.64%$62,220-0.64%0.01%
20125-6.02%$69,373-6.02%$58,475-6.02%0.01%
201264.11%$72,2244.11%$60,8784.11%0.01%
201271.37%$73,2131.37%$61,7121.37%0.01%
201282.24%$74,8532.24%$63,0942.24%0.01%
201292.58%$76,7812.58%$64,7202.58%0.01%
201210-1.86%$75,354-1.86%$63,516-1.86%0.01%
2012110.56%$75,7760.56%$63,8720.56%0.01%
2012120.90%$76,4590.90%$64,4480.90%0.01%
201315.18%$80,4175.18%$67,7845.18%0.00%
201321.34%$81,4941.34%$68,6921.34%0.01%
201333.74%$84,5413.74%$71,2603.74%0.01%
201341.91%$86,1541.91%$72,6201.91%0.01%
201352.33%$88,1592.33%$74,3102.33%0.00%
20136-1.35%$86,969-1.35%$73,307-1.35%0.00%
201375.07%$91,3805.07%$77,0255.07%0.00%
20138-2.91%$88,719-2.91%$74,782-2.91%0.00%
201393.12%$91,4893.12%$77,1173.12%0.00%
2013104.59%$95,6854.59%$80,6534.59%0.00%
2013113.03%$98,5823.03%$83,0963.03%0.00%
2013122.51%$101,0612.51%$85,1852.51%0.01%
20141-3.47%$97,555-3.47%$82,230-3.47%0.01%
201424.56%$102,0044.56%$85,9804.56%0.00%
201430.82%$102,8440.82%$86,6880.82%0.00%
201440.72%$103,5890.72%$87,3160.72%0.00%
201452.33%$106,0082.33%$89,3552.33%0.00%
201462.05%$108,1832.05%$91,1882.05%0.00%
20147-1.39%$106,681-1.39%$89,922-1.39%0.00%
201483.98%$110,9293.98%$93,5033.98%0.00%
20149-1.41%$109,362-1.41%$92,182-1.41%0.00%
2014102.42%$112,0122.42%$94,4162.42%0.00%
2014112.68%$115,0162.68%$96,9482.68%0.00%
201412-0.26%$114,712-0.26%$96,692-0.26%0.00%
20151-3.02%$111,251-3.02%$93,774-3.02%0.00%
201525.74%$117,6365.74%$99,1575.74%0.00%
20153-1.59%$115,761-1.59%$97,576-1.59%0.00%
201540.95%$116,8600.95%$98,5020.95%0.00%
201551.27%$118,3471.27%$99,7561.27%0.00%
20156-1.93%$116,060-1.93%$97,828-1.93%0.00%
201572.08%$118,4742.08%$99,8632.08%0.00%
20158-6.05%$111,310-6.05%$93,824-6.05%0.01%
201590.01%$111,318-2.48%$91,493-2.48%0.01%
2015100.00%$111,3198.42%$99,1998.42%0.00%
2015110.29%$111,6370.29%$99,4830.29%0.01%
201512-1.59%$109,859-1.59%$97,899-1.59%0.02%
20161-4.98%$104,392-4.98%$93,027-4.98%0.01%
201620.03%$104,420-0.15%$92,892-0.15%0.03%
201630.03%$104,4496.78%$99,1866.78%0.03%
201640.37%$104,8390.37%$99,5560.37%0.02%
201651.78%$106,7081.78%$101,3311.78%0.02%
201660.25%$106,9750.25%$101,5850.25%0.03%
201673.68%$110,9083.68%$105,3193.68%0.02%
201680.13%$111,0510.13%$105,4560.13%0.02%
201690.01%$111,0600.01%$105,4640.01%0.03%
201610-1.83%$109,025-1.83%$103,531-1.83%0.02%
2016113.70%$113,0573.70%$107,3613.70%0.03%
2016121.96%$115,2761.96%$109,4681.96%0.04%
201711.88%$117,4471.88%$111,5291.88%0.04%
201723.96%$122,1013.96%$115,9493.96%0.04%
201730.10%$122,2230.10%$116,0650.10%0.04%
201741.02%$123,4681.02%$117,2471.02%0.06%
201751.39%$125,1891.39%$118,8811.39%0.07%
201760.61%$125,9540.61%$119,6080.61%0.08%
201772.04%$128,5272.04%$122,0512.04%0.08%
201780.29%$128,9040.29%$122,4090.29%0.09%
201792.06%$131,5582.06%$124,9292.06%0.08%
2017102.32%$134,6072.32%$127,8252.32%0.09%
2017113.06%$138,7253.06%$131,7353.06%0.09%
2017121.10%$140,2541.10%$133,1871.10%0.10%
201815.71%$148,2665.71%$140,7955.71%0.11%
20182-3.69%$142,788-3.69%$135,594-3.69%0.12%
20183-2.56%$139,140-2.56%$132,129-2.56%0.14%
201840.37%$139,6590.37%$132,6220.37%0.14%
201852.39%$143,0032.39%$135,7982.39%0.15%
201860.61%$143,8680.61%$136,6190.61%0.16%
201873.71%$149,2053.71%$141,6873.71%0.16%
201883.25%$154,0493.25%$146,2863.25%0.17%
201890.55%$154,9020.55%$147,0970.55%0.17%
201810-6.85%$144,293-6.85%$137,023-6.85%0.18%
2018110.19%$144,5702.03%$139,8002.03%0.19%
201812-9.04%$131,500-9.04%$127,161-9.04%0.19%
201910.20%$131,7648.00%$137,3378.00%0.20%
201920.20%$132,0253.20%$141,7323.20%0.20%
201931.94%$134,5811.94%$144,4771.94%0.20%
201944.04%$140,0204.04%$150,3164.04%0.20%
20195-6.36%$131,108-6.36%$140,749-6.36%0.20%
201960.19%$131,3617.03%$150,6487.03%0.19%
201971.43%$133,2341.43%$152,7961.43%0.17%
20198-1.59%$131,114-1.59%$150,365-1.59%0.17%
201991.86%$133,5511.86%$153,1601.86%0.16%
2019102.15%$136,4292.15%$156,4602.15%0.15%
2019113.62%$141,3683.62%$162,1253.62%0.13%
2019123.01%$145,6173.01%$166,9973.01%0.13%
20201-0.05%$145,544-0.05%$166,913-0.05%0.13%
20202-8.24%$133,549-8.24%$153,157-8.24%0.13%
202030.10%$133,688-12.37%$134,209-12.37%0.10%
202040.01%$133,70112.81%$151,40612.81%0.01%
202050.01%$133,7114.76%$158,6074.76%0.01%
202061.98%$136,3551.98%$161,7431.98%0.01%
202075.63%$144,0285.63%$170,8455.63%0.01%
202087.18%$154,3657.18%$183,1067.18%0.01%
20209-3.81%$148,482-3.81%$176,129-3.81%0.01%
202010-2.67%$144,516-2.67%$171,424-2.67%0.01%
20201110.94%$160,32010.94%$190,17010.94%0.01%
2020123.84%$166,4743.84%$197,4703.84%0.01%
20211-1.02%$164,774-1.02%$195,454-1.02%0.01%
202122.75%$169,3132.75%$200,8382.75%0.01%
202134.37%$176,7124.37%$209,6154.37%0.00%
202145.32%$186,1185.32%$220,7725.32%0.00%
202150.69%$187,3950.69%$222,2870.69%0.00%
202162.31%$191,7202.31%$227,4162.31%0.00%
202172.38%$196,2782.38%$232,8232.38%0.00%
202183.03%$202,2233.03%$239,8763.03%0.01%
20219-4.66%$192,793-4.66%$228,690-4.66%0.00%
2021106.99%$206,2766.99%$244,6836.99%0.00%
202111-0.71%$204,821-0.71%$242,958-0.71%0.00%
2021124.47%$213,9744.47%$253,8144.47%0.00%
Portfolio return and risk metrics
MetricMoving Average ModelBuy & Hold Portfolio
Arithmetic Mean (monthly)0.85%0.94%
Arithmetic Mean (annualized)10.67%11.82%
Geometric Mean (monthly)0.80%0.85%
Geometric Mean (annualized)10.05%10.63%
Standard Deviation (monthly)3.08%4.21%
Standard Deviation (annualized)10.66%14.59%
Downside Deviation (monthly)1.89%2.75%
Maximum Drawdown-16.76%-50.97%
Stock Market Correlation0.710.99
Beta(*)0.510.97
Alpha (annualized)4.46%0.32%
R250.52%97.87%
Sharpe Ratio0.710.59
Sortino Ratio1.100.87
Treynor Ratio (%)14.988.93
Calmar Ratio2.131.32
Active Return-0.58%0.01%
Tracking Error10.50%2.18%
Information Ratio-0.060.00
Skewness-0.50-0.58
Excess Kurtosis2.101.27
Historical Value-at-Risk (5%)-4.51%-6.83%
Analytical Value-at-Risk (5%)-4.21%-5.99%
Conditional Value-at-Risk (5%)-6.61%-9.31%
Upside Capture Ratio (%)68.4696.87
Downside Capture Ratio (%)57.8795.79
Safe Withdrawal Rate7.36%8.26%
Perpetual Withdrawal Rate6.85%7.35%
Positive Periods289 out of 384 (75.26%)254 out of 384 (66.15%)
Gain/Loss Ratio0.700.90
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMoving Average ModelBuy & 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%
COVID-19 StartJan 2020Mar 2020-8.29%-19.63%

Drawdowns for Moving Average Model

Drawdowns for Moving Average Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2010Aug 20104 monthsApr 20118 months1 year-16.76%
2Jan 1990Aug 19908 monthsMay 19919 months1 year 5 months-16.48%
3Jul 1998Aug 19982 monthsMar 19997 months9 months-15.38%
4Oct 2018May 20198 monthsNov 20201 year 6 months2 years 2 months-15.36%
5Aug 2015Jan 20166 monthsFeb 20171 year 1 month1 year 7 months-11.89%
6May 2011Aug 20114 monthsSep 20121 year 1 month1 year 5 months-9.97%
7Feb 1994Mar 19942 monthsFeb 199511 months1 year 1 month-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9Sep 1991Mar 19927 monthsNov 19928 months1 year 3 months-6.48%
10Jul 1999Sep 19993 monthsDec 19993 months6 months-6.25%
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%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
7Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
8Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
10Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMoving Average ModelBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year10.92%52.00%-14.89%12.01%56.19%-43.32%
3 years10.19%32.68%-0.96%10.55%32.68%-16.14%
5 years10.40%23.69%2.15%10.16%28.49%-6.73%
7 years10.36%18.66%5.26%9.69%21.51%-3.94%
10 years9.90%15.40%5.78%8.63%19.37%-3.51%
15 years9.70%12.86%7.19%7.70%11.90%3.64%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMoving Average ModelBuy & Hold Portfolio
44Jan 2022Jan 20221Please sign-in for forward signals---
43Jun 2020Dec 202119100.00% Vanguard 500 Index Investor (VFINX)VFINX: 60.03%60.03%60.03%
42Mar 2020May 20203100.00% Cash (CASHX)CASHX: 0.12%0.12%3.56%
41Jul 2019Feb 20208100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.67%1.67%1.67%
40Jun 2019Jun 20191100.00% Cash (CASHX)CASHX: 0.19%0.19%7.03%
39Mar 2019May 20193100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.69%-0.69%-0.69%
38Jan 2019Feb 20192100.00% Cash (CASHX)CASHX: 0.40%0.40%11.46%
37Dec 2018Dec 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.04%-9.04%-9.04%
36Nov 2018Nov 20181100.00% Cash (CASHX)CASHX: 0.19%0.19%2.03%
35Apr 2016Oct 201831100.00% Vanguard 500 Index Investor (VFINX)VFINX: 38.15%38.15%38.15%
34Feb 2016Mar 20162100.00% Cash (CASHX)CASHX: 0.05%0.05%6.62%
33Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-6.22%
32Sep 2015Oct 20152100.00% Cash (CASHX)CASHX: 0.01%0.01%5.73%
31Feb 2012Aug 201543100.00% Vanguard 500 Index Investor (VFINX)VFINX: 61.41%61.41%61.41%
30Sep 2011Jan 20125100.00% Cash (CASHX)CASHX: 0.01%0.01%8.55%
29Oct 2010Aug 201111100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.64%8.64%8.64%
28Sep 2010Sep 20101100.00% Cash (CASHX)CASHX: 0.01%0.01%8.92%
27Aug 2010Aug 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: -4.53%-4.53%-4.53%
26Jul 2010Jul 20101100.00% Cash (CASHX)CASHX: 0.02%0.02%7.00%
25Jul 2009Jun 201012100.00% Vanguard 500 Index Investor (VFINX)VFINX: 14.33%14.33%14.33%
24Jan 2008Jun 200918100.00% Cash (CASHX)CASHX: 1.63%1.63%-35.00%
23Oct 2004Dec 200739100.00% Vanguard 500 Index Investor (VFINX)VFINX: 39.44%39.44%39.44%
22Aug 2004Sep 20042100.00% Cash (CASHX)CASHX: 0.25%0.25%1.45%
21May 2003Jul 200415100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.55%22.55%22.55%
20May 2002Apr 200312100.00% Cash (CASHX)CASHX: 1.45%1.45%-13.33%
19Apr 2002Apr 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.07%-6.07%-6.07%
18Oct 2000Mar 200218100.00% Cash (CASHX)CASHX: 5.76%5.76%-18.70%
17Nov 1999Sep 200011100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.66%6.66%6.66%
16Oct 1999Oct 19991100.00% Cash (CASHX)CASHX: 0.40%0.40%6.33%
15Nov 1998Sep 199911100.00% Vanguard 500 Index Investor (VFINX)VFINX: 18.19%18.19%18.19%
14Sep 1998Oct 19982100.00% Cash (CASHX)CASHX: 0.76%0.76%15.10%
13Jan 1995Aug 199844100.00% Vanguard 500 Index Investor (VFINX)VFINX: 123.97%123.97%123.97%
12Dec 1994Dec 19941100.00% Cash (CASHX)CASHX: 0.47%0.47%1.46%
11Aug 1994Nov 19944100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.02%0.02%0.02%
10Apr 1994Jul 19944100.00% Cash (CASHX)CASHX: 1.32%1.32%3.69%
9Jan 1992Mar 199427100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.51%13.51%13.51%
8Dec 1991Dec 19911100.00% Cash (CASHX)CASHX: 0.37%0.37%11.41%
7Jan 1991Nov 199111100.00% Vanguard 500 Index Investor (VFINX)VFINX: 16.88%16.88%16.88%
6Sep 1990Dec 19904100.00% Cash (CASHX)CASHX: 2.44%2.44%3.56%
5Jun 1990Aug 19903100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.95%-9.95%-9.95%
4May 1990May 19901100.00% Cash (CASHX)CASHX: 0.66%0.66%9.69%
3Apr 1990Apr 19901100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.50%-2.50%-2.50%
2Feb 1990Mar 19902100.00% Cash (CASHX)CASHX: 1.31%1.31%3.92%
1Jan 1990Jan 19901100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.72%-6.72%-6.72%