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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Time Period #5
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Volatility Period
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Portfolio Assets
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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 10
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Model Simulation Results (Jan 1990 - Sep 2021) Save

Tactical asset allocation model results from Jan 1990 to Sep 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. The time period was constrained by the available data for Vanguard 500 Index Investor (VFINX) [Sep 1976 - Sep 2021].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Moving Average Model$10,000$192,7939.77%10.62%37.45%-14.44%-16.76% 0.691.060.71
Buy & Hold Portfolio$10,000$228,69010.36%14.60%37.45%-37.02%-50.97% 0.570.840.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Moving Average Model0.56%15.81%29.84%7.57%11.66%10.83%9.77%14.53%12.16%
Buy & Hold Portfolio0.56%15.81%29.84%15.85%16.74%16.47%10.36%18.82%15.20%
Trailing annualized return and volatility are for full months ending in September 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to September
  • 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
  • Additional trading costs and taxes for tactical asset allocation 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 the risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ section regarding the data sources and methodology descriptions
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%
20215.31%15.81%$192,79315.81%$228,69015.81%0.03%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
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%
Portfolio return and risk metrics
MetricMoving Average ModelBuy & Hold Portfolio
Arithmetic Mean (monthly)0.83%0.91%
Arithmetic Mean (annualized)10.38%11.54%
Geometric Mean (monthly)0.78%0.82%
Geometric Mean (annualized)9.77%10.36%
Volatility (monthly)3.07%4.21%
Volatility (annualized)10.62%14.60%
Downside Deviation (monthly)1.90%2.76%
Max. Drawdown-16.76%-50.97%
US Market Correlation0.710.99
Beta(*)0.500.97
Alpha (annualized)4.34%0.27%
R250.21%97.88%
Sharpe Ratio0.690.57
Sortino Ratio1.060.84
Treynor Ratio (%)14.538.66
Calmar Ratio0.490.81
Active Return-0.64%-0.05%
Tracking Error10.54%2.18%
Information Ratio-0.06-0.02
Skewness-0.52-0.58
Excess Kurtosis2.151.28
Historical Value-at-Risk (5%)-4.53%-6.85%
Analytical Value-at-Risk (5%)-4.22%-6.02%
Conditional Value-at-Risk (5%)-6.72%-9.44%
Upside Capture Ratio (%)67.9896.71
Downside Capture Ratio (%)57.9095.93
Safe Withdrawal Rate7.42%8.32%
Perpetual Withdrawal Rate6.80%7.31%
Positive Periods287 out of 381 (75.33%)252 out of 381 (66.14%)
Gain/Loss Ratio0.680.89
* 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 year10.74%52.00%-14.89%11.84%56.19%-43.32%
3 years10.15%32.68%-0.96%10.45%32.68%-16.14%
5 years10.37%23.69%2.15%10.09%28.49%-6.73%
7 years10.38%18.66%5.26%9.64%21.51%-3.94%
10 years9.88%15.40%5.78%8.55%19.37%-3.51%
15 years9.70%12.86%7.19%7.66%11.90%3.64%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMoving Average ModelBuy & Hold Portfolio
44Oct 2021Oct 20211Please sign-in for forward signals---
43Jun 2020Sep 202116100.00% Vanguard 500 Index Investor (VFINX)VFINX: 44.19%44.19%44.19%
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%