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.
Tactical asset allocation model results from Jan 1990 to Dec 2020 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. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals.
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Moving Average Model | $10,000 | $166,474 | 9.50% | 10.63% | 37.45% | -14.44% | -16.76% | 0.66 | 1.01 | 0.71 |
Buy & Hold Portfolio | $10,000 | $197,470 | 10.10% | 14.69% | 37.45% | -37.02% | -50.97% | 0.55 | 0.81 | 0.99 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Moving Average Model | 12.12% | 14.32% | 5.88% | 8.67% | 9.01% | 9.50% | 14.43% | 11.88% |
Buy & Hold Portfolio | 12.12% | 18.25% | 14.03% | 15.07% | 13.72% | 10.10% | 18.80% | 15.26% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
Year | Inflation | Return | Balance | Vanguard 500 Index Investor (VFINX) | Cash (CASHX) | ||
---|---|---|---|---|---|---|---|
Moving Average Model | Buy & Hold Portfolio | Moving Average Model | Buy & Hold Portfolio | ||||
1990 | 6.11% | -14.44% | -3.32% | $8,556 | $9,668 | -3.32% | 7.89% |
1991 | 3.06% | 17.31% | 30.22% | $10,037 | $12,589 | 30.22% | 5.71% |
1992 | 2.90% | 7.42% | 7.42% | $10,782 | $13,524 | 7.42% | 3.57% |
1993 | 2.75% | 9.89% | 9.89% | $11,848 | $14,862 | 9.89% | 3.05% |
1994 | 2.67% | -2.10% | 1.18% | $11,599 | $15,036 | 1.18% | 4.20% |
1995 | 2.54% | 37.45% | 37.45% | $15,943 | $20,667 | 37.45% | 5.71% |
1996 | 3.32% | 22.88% | 22.88% | $19,590 | $25,395 | 22.88% | 5.17% |
1997 | 1.70% | 33.19% | 33.19% | $26,092 | $33,823 | 33.19% | 5.22% |
1998 | 1.61% | 12.59% | 28.62% | $29,378 | $43,503 | 28.62% | 4.97% |
1999 | 2.68% | 14.32% | 21.07% | $33,585 | $52,668 | 21.07% | 4.77% |
2000 | 3.39% | 0.17% | -9.06% | $33,643 | $47,898 | -9.06% | 5.99% |
2001 | 1.55% | 3.70% | -12.02% | $34,888 | $42,139 | -12.02% | 3.70% |
2002 | 2.38% | -4.67% | -22.15% | $33,260 | $32,808 | -22.15% | 1.65% |
2003 | 1.88% | 23.09% | 28.50% | $40,939 | $42,158 | 28.50% | 1.04% |
2004 | 3.26% | 9.43% | 10.74% | $44,798 | $46,686 | 10.74% | 1.32% |
2005 | 3.42% | 4.77% | 4.77% | $46,936 | $48,915 | 4.77% | 3.14% |
2006 | 2.54% | 15.64% | 15.64% | $54,278 | $56,566 | 15.64% | 4.82% |
2007 | 4.08% | 5.39% | 5.39% | $57,202 | $59,613 | 5.39% | 4.56% |
2008 | 0.09% | 1.53% | -37.02% | $58,078 | $37,544 | -37.02% | 1.53% |
2009 | 2.72% | 22.67% | 26.49% | $71,244 | $47,488 | 26.49% | 0.16% |
2010 | 1.50% | -1.37% | 14.91% | $70,269 | $54,570 | 14.91% | 0.14% |
2011 | 2.96% | -1.86% | 1.97% | $68,959 | $55,643 | 1.97% | 0.07% |
2012 | 1.74% | 10.88% | 15.82% | $76,459 | $64,448 | 15.82% | 0.08% |
2013 | 1.50% | 32.18% | 32.18% | $101,061 | $85,185 | 32.18% | 0.05% |
2014 | 0.76% | 13.51% | 13.51% | $114,712 | $96,692 | 13.51% | 0.03% |
2015 | 0.73% | -4.23% | 1.25% | $109,859 | $97,899 | 1.25% | 0.05% |
2016 | 2.07% | 4.93% | 11.82% | $115,276 | $109,468 | 11.82% | 0.30% |
2017 | 2.11% | 21.67% | 21.67% | $140,254 | $133,187 | 21.67% | 0.88% |
2018 | 1.91% | -6.24% | -4.52% | $131,500 | $127,161 | -4.52% | 1.90% |
2019 | 2.29% | 10.74% | 31.33% | $145,617 | $166,997 | 31.33% | 2.13% |
2020 | 1.36% | 14.32% | 18.25% | $166,474 | $197,470 | 18.25% | 0.44% |
Year | Month | Return | Balance | Vanguard 500 Index Investor (VFINX) | Cash (CASHX) | ||
---|---|---|---|---|---|---|---|
Moving Average Model | Buy & Hold Portfolio | Moving Average Model | Buy & Hold Portfolio | ||||
1990 | 1 | -6.72% | -6.72% | $9,328 | $9,328 | -6.72% | 0.64% |
1990 | 2 | 0.65% | 1.27% | $9,389 | $9,447 | 1.27% | 0.65% |
1990 | 3 | 0.66% | 2.61% | $9,451 | $9,693 | 2.61% | 0.66% |
1990 | 4 | -2.50% | -2.50% | $9,214 | $9,451 | -2.50% | 0.66% |
1990 | 5 | 0.66% | 9.69% | $9,275 | $10,367 | 9.69% | 0.66% |
1990 | 6 | -0.66% | -0.66% | $9,214 | $10,299 | -0.66% | 0.65% |
1990 | 7 | -0.35% | -0.35% | $9,181 | $10,262 | -0.35% | 0.65% |
1990 | 8 | -9.03% | -9.03% | $8,352 | $9,336 | -9.03% | 0.63% |
1990 | 9 | 0.62% | -4.89% | $8,404 | $8,879 | -4.89% | 0.62% |
1990 | 10 | 0.60% | -0.41% | $8,455 | $8,843 | -0.41% | 0.60% |
1990 | 11 | 0.60% | 6.44% | $8,506 | $9,412 | 6.44% | 0.60% |
1990 | 12 | 0.59% | 2.72% | $8,556 | $9,668 | 2.72% | 0.59% |
1991 | 1 | 4.32% | 4.32% | $8,926 | $10,085 | 4.32% | 0.54% |
1991 | 2 | 7.15% | 7.15% | $9,564 | $10,806 | 7.15% | 0.52% |
1991 | 3 | 2.41% | 2.41% | $9,794 | $11,066 | 2.41% | 0.51% |
1991 | 4 | 0.20% | 0.20% | $9,813 | $11,088 | 0.20% | 0.48% |
1991 | 5 | 4.27% | 4.27% | $10,232 | $11,562 | 4.27% | 0.46% |
1991 | 6 | -4.56% | -4.56% | $9,766 | $11,035 | -4.56% | 0.47% |
1991 | 7 | 4.63% | 4.63% | $10,218 | $11,545 | 4.63% | 0.47% |
1991 | 8 | 2.33% | 2.33% | $10,456 | $11,815 | 2.33% | 0.47% |
1991 | 9 | -1.67% | -1.67% | $10,282 | $11,617 | -1.67% | 0.45% |
1991 | 10 | 1.33% | 1.33% | $10,418 | $11,772 | 1.33% | 0.43% |
1991 | 11 | -4.01% | -4.01% | $10,000 | $11,300 | -4.01% | 0.40% |
1991 | 12 | 0.37% | 11.41% | $10,037 | $12,589 | 11.41% | 0.37% |
1992 | 1 | -1.88% | -1.88% | $9,848 | $12,352 | -1.88% | 0.33% |
1992 | 2 | 1.24% | 1.24% | $9,970 | $12,506 | 1.24% | 0.32% |
1992 | 3 | -1.93% | -1.93% | $9,778 | $12,265 | -1.93% | 0.33% |
1992 | 4 | 2.91% | 2.91% | $10,063 | $12,623 | 2.91% | 0.34% |
1992 | 5 | 0.48% | 0.48% | $10,112 | $12,684 | 0.48% | 0.31% |
1992 | 6 | -1.49% | -1.49% | $9,961 | $12,495 | -1.49% | 0.31% |
1992 | 7 | 4.04% | 4.04% | $10,364 | $13,000 | 4.04% | 0.30% |
1992 | 8 | -2.07% | -2.07% | $10,150 | $12,731 | -2.07% | 0.27% |
1992 | 9 | 1.17% | 1.17% | $10,268 | $12,880 | 1.17% | 0.26% |
1992 | 10 | 0.33% | 0.33% | $10,302 | $12,922 | 0.33% | 0.23% |
1992 | 11 | 3.40% | 3.40% | $10,653 | $13,362 | 3.40% | 0.25% |
1992 | 12 | 1.21% | 1.21% | $10,782 | $13,524 | 1.21% | 0.27% |
1993 | 1 | 0.81% | 0.81% | $10,869 | $13,633 | 0.81% | 0.26% |
1993 | 2 | 1.36% | 1.36% | $11,016 | $13,818 | 1.36% | 0.24% |
1993 | 3 | 2.11% | 2.11% | $11,248 | $14,109 | 2.11% | 0.25% |
1993 | 4 | -2.42% | -2.42% | $10,975 | $13,767 | -2.42% | 0.24% |
1993 | 5 | 2.65% | 2.65% | $11,267 | $14,132 | 2.65% | 0.24% |
1993 | 6 | 0.27% | 0.27% | $11,297 | $14,170 | 0.27% | 0.26% |
1993 | 7 | -0.42% | -0.42% | $11,249 | $14,110 | -0.42% | 0.25% |
1993 | 8 | 3.79% | 3.79% | $11,675 | $14,644 | 3.79% | 0.25% |
1993 | 9 | -0.79% | -0.79% | $11,582 | $14,527 | -0.79% | 0.25% |
1993 | 10 | 2.08% | 2.08% | $11,823 | $14,829 | 2.08% | 0.24% |
1993 | 11 | -1.00% | -1.00% | $11,705 | $14,682 | -1.00% | 0.25% |
1993 | 12 | 1.22% | 1.22% | $11,848 | $14,862 | 1.22% | 0.26% |
1994 | 1 | 3.38% | 3.38% | $12,248 | $15,363 | 3.38% | 0.25% |
1994 | 2 | -2.71% | -2.71% | $11,916 | $14,946 | -2.71% | 0.25% |
1994 | 3 | -4.39% | -4.39% | $11,393 | $14,290 | -4.39% | 0.28% |
1994 | 4 | 0.29% | 1.29% | $11,426 | $14,475 | 1.29% | 0.29% |
1994 | 5 | 0.32% | 1.63% | $11,463 | $14,710 | 1.63% | 0.32% |
1994 | 6 | 0.35% | -2.47% | $11,503 | $14,347 | -2.47% | 0.35% |
1994 | 7 | 0.35% | 3.28% | $11,543 | $14,817 | 3.28% | 0.35% |
1994 | 8 | 4.08% | 4.08% | $12,014 | $15,421 | 4.08% | 0.36% |
1994 | 9 | -2.45% | -2.45% | $11,720 | $15,044 | -2.45% | 0.38% |
1994 | 10 | 2.25% | 2.25% | $11,983 | $15,382 | 2.25% | 0.39% |
1994 | 11 | -3.65% | -3.65% | $11,545 | $14,820 | -3.65% | 0.42% |
1994 | 12 | 0.47% | 1.46% | $11,599 | $15,036 | 1.46% | 0.47% |
1995 | 1 | 2.58% | 2.58% | $11,899 | $15,425 | 2.58% | 0.47% |
1995 | 2 | 3.88% | 3.88% | $12,361 | $16,023 | 3.88% | 0.49% |
1995 | 3 | 2.95% | 2.95% | $12,726 | $16,496 | 2.95% | 0.48% |
1995 | 4 | 2.94% | 2.94% | $13,100 | $16,982 | 2.94% | 0.48% |
1995 | 5 | 3.95% | 3.95% | $13,618 | $17,653 | 3.95% | 0.48% |
1995 | 6 | 2.31% | 2.31% | $13,933 | $18,061 | 2.31% | 0.47% |
1995 | 7 | 3.30% | 3.30% | $14,393 | $18,658 | 3.30% | 0.46% |
1995 | 8 | 0.25% | 0.25% | $14,429 | $18,704 | 0.25% | 0.46% |
1995 | 9 | 4.23% | 4.23% | $15,039 | $19,495 | 4.23% | 0.44% |
1995 | 10 | -0.36% | -0.36% | $14,984 | $19,424 | -0.36% | 0.44% |
1995 | 11 | 4.38% | 4.38% | $15,641 | $20,275 | 4.38% | 0.45% |
1995 | 12 | 1.93% | 1.93% | $15,943 | $20,667 | 1.93% | 0.45% |
1996 | 1 | 3.39% | 3.39% | $16,483 | $21,366 | 3.39% | 0.42% |
1996 | 2 | 0.92% | 0.92% | $16,635 | $21,564 | 0.92% | 0.41% |
1996 | 3 | 0.98% | 0.98% | $16,797 | $21,774 | 0.98% | 0.41% |
1996 | 4 | 1.46% | 1.46% | $17,042 | $22,092 | 1.46% | 0.42% |
1996 | 5 | 2.54% | 2.54% | $17,476 | $22,654 | 2.54% | 0.42% |
1996 | 6 | 0.38% | 0.38% | $17,543 | $22,740 | 0.38% | 0.42% |
1996 | 7 | -4.42% | -4.42% | $16,767 | $21,735 | -4.42% | 0.42% |
1996 | 8 | 2.10% | 2.10% | $17,119 | $22,191 | 2.10% | 0.44% |
1996 | 9 | 5.61% | 5.61% | $18,078 | $23,435 | 5.61% | 0.43% |
1996 | 10 | 2.76% | 2.76% | $18,576 | $24,081 | 2.76% | 0.41% |
1996 | 11 | 7.56% | 7.56% | $19,982 | $25,902 | 7.56% | 0.42% |
1996 | 12 | -1.96% | -1.96% | $19,590 | $25,395 | -1.96% | 0.42% |
1997 | 1 | 6.22% | 6.22% | $20,808 | $26,973 | 6.22% | 0.43% |
1997 | 2 | 0.79% | 0.79% | $20,972 | $27,186 | 0.79% | 0.42% |
1997 | 3 | -4.14% | -4.14% | $20,105 | $26,062 | -4.14% | 0.43% |
1997 | 4 | 5.96% | 5.96% | $21,302 | $27,614 | 5.96% | 0.44% |
1997 | 5 | 6.09% | 6.09% | $22,599 | $29,295 | 6.09% | 0.43% |
1997 | 6 | 4.45% | 4.45% | $23,606 | $30,600 | 4.45% | 0.40% |
1997 | 7 | 7.97% | 7.97% | $25,486 | $33,038 | 7.97% | 0.43% |
1997 | 8 | -5.61% | -5.61% | $24,056 | $31,184 | -5.61% | 0.43% |
1997 | 9 | 5.47% | 5.47% | $25,372 | $32,890 | 5.47% | 0.43% |
1997 | 10 | -3.35% | -3.35% | $24,522 | $31,788 | -3.35% | 0.41% |
1997 | 11 | 4.60% | 4.60% | $25,650 | $33,250 | 4.60% | 0.43% |
1997 | 12 | 1.72% | 1.72% | $26,092 | $33,823 | 1.72% | 0.43% |
1998 | 1 | 1.11% | 1.11% | $26,382 | $34,199 | 1.11% | 0.44% |
1998 | 2 | 7.19% | 7.19% | $28,279 | $36,659 | 7.19% | 0.43% |
1998 | 3 | 5.10% | 5.10% | $29,723 | $38,529 | 5.10% | 0.44% |
1998 | 4 | 1.01% | 1.01% | $30,022 | $38,918 | 1.01% | 0.42% |
1998 | 5 | -1.74% | -1.74% | $29,499 | $38,239 | -1.74% | 0.41% |
1998 | 6 | 4.07% | 4.07% | $30,700 | $39,796 | 4.07% | 0.41% |
1998 | 7 | -1.05% | -1.05% | $30,376 | $39,377 | -1.05% | 0.42% |
1998 | 8 | -14.47% | -14.47% | $25,980 | $33,677 | -14.47% | 0.42% |
1998 | 9 | 0.40% | 6.41% | $26,084 | $35,837 | 6.41% | 0.40% |
1998 | 10 | 0.36% | 8.16% | $26,177 | $38,762 | 8.16% | 0.36% |
1998 | 11 | 6.07% | 6.07% | $27,766 | $41,116 | 6.07% | 0.36% |
1998 | 12 | 5.81% | 5.81% | $29,378 | $43,503 | 5.81% | 0.37% |
1999 | 1 | 4.20% | 4.20% | $30,613 | $45,331 | 4.20% | 0.37% |
1999 | 2 | -3.12% | -3.12% | $29,657 | $43,915 | -3.12% | 0.37% |
1999 | 3 | 4.00% | 4.00% | $30,842 | $45,670 | 4.00% | 0.38% |
1999 | 4 | 3.85% | 3.85% | $32,030 | $47,429 | 3.85% | 0.37% |
1999 | 5 | -2.39% | -2.39% | $31,265 | $46,296 | -2.39% | 0.37% |
1999 | 6 | 5.56% | 5.56% | $33,002 | $48,868 | 5.56% | 0.38% |
1999 | 7 | -3.13% | -3.13% | $31,969 | $47,339 | -3.13% | 0.39% |
1999 | 8 | -0.50% | -0.50% | $31,810 | $47,104 | -0.50% | 0.39% |
1999 | 9 | -2.74% | -2.74% | $30,939 | $45,813 | -2.74% | 0.41% |
1999 | 10 | 0.40% | 6.33% | $31,062 | $48,712 | 6.33% | 0.40% |
1999 | 11 | 2.02% | 2.02% | $31,690 | $49,697 | 2.02% | 0.42% |
1999 | 12 | 5.98% | 5.98% | $33,585 | $52,668 | 5.98% | 0.43% |
2000 | 1 | -5.03% | -5.03% | $31,895 | $50,018 | -5.03% | 0.43% |
2000 | 2 | -1.91% | -1.91% | $31,287 | $49,064 | -1.91% | 0.47% |
2000 | 3 | 9.75% | 9.75% | $34,338 | $53,849 | 9.75% | 0.47% |
2000 | 4 | -3.00% | -3.00% | $33,308 | $52,234 | -3.00% | 0.48% |
2000 | 5 | -2.04% | -2.04% | $32,629 | $51,169 | -2.04% | 0.48% |
2000 | 6 | 2.49% | 2.49% | $33,443 | $52,446 | 2.49% | 0.46% |
2000 | 7 | -1.50% | -1.50% | $32,942 | $51,660 | -1.50% | 0.48% |
2000 | 8 | 6.19% | 6.19% | $34,981 | $54,858 | 6.19% | 0.51% |
2000 | 9 | -5.29% | -5.29% | $33,131 | $51,956 | -5.29% | 0.52% |
2000 | 10 | 0.51% | -0.43% | $33,300 | $51,733 | -0.43% | 0.51% |
2000 | 11 | 0.52% | -7.89% | $33,473 | $47,654 | -7.89% | 0.52% |
2000 | 12 | 0.51% | 0.51% | $33,643 | $47,898 | 0.51% | 0.51% |
2001 | 1 | 0.48% | 3.55% | $33,805 | $49,596 | 3.55% | 0.48% |
2001 | 2 | 0.41% | -9.14% | $33,943 | $45,064 | -9.14% | 0.41% |
2001 | 3 | 0.40% | -6.36% | $34,078 | $42,200 | -6.36% | 0.40% |
2001 | 4 | 0.35% | 7.77% | $34,198 | $45,479 | 7.77% | 0.35% |
2001 | 5 | 0.32% | 0.65% | $34,309 | $45,775 | 0.65% | 0.32% |
2001 | 6 | 0.30% | -2.45% | $34,411 | $44,655 | -2.45% | 0.30% |
2001 | 7 | 0.30% | -1.00% | $34,514 | $44,209 | -1.00% | 0.30% |
2001 | 8 | 0.29% | -6.27% | $34,614 | $41,435 | -6.27% | 0.29% |
2001 | 9 | 0.28% | -8.09% | $34,710 | $38,083 | -8.09% | 0.28% |
2001 | 10 | 0.20% | 1.90% | $34,778 | $38,804 | 1.90% | 0.20% |
2001 | 11 | 0.17% | 7.65% | $34,837 | $41,774 | 7.65% | 0.17% |
2001 | 12 | 0.15% | 0.87% | $34,888 | $42,139 | 0.87% | 0.15% |
2002 | 1 | 0.14% | -1.47% | $34,937 | $41,519 | -1.47% | 0.14% |
2002 | 2 | 0.14% | -1.94% | $34,988 | $40,715 | -1.94% | 0.14% |
2002 | 3 | 0.15% | 3.74% | $35,039 | $42,239 | 3.74% | 0.15% |
2002 | 4 | -6.07% | -6.07% | $32,911 | $39,673 | -6.07% | 0.15% |
2002 | 5 | 0.15% | -0.75% | $32,959 | $39,374 | -0.75% | 0.15% |
2002 | 6 | 0.14% | -7.13% | $33,006 | $36,564 | -7.13% | 0.14% |
2002 | 7 | 0.14% | -7.72% | $33,052 | $33,742 | -7.72% | 0.14% |
2002 | 8 | 0.14% | 0.65% | $33,098 | $33,962 | 0.65% | 0.14% |
2002 | 9 | 0.14% | -10.87% | $33,144 | $30,269 | -10.87% | 0.14% |
2002 | 10 | 0.13% | 8.78% | $33,187 | $32,927 | 8.78% | 0.13% |
2002 | 11 | 0.12% | 5.88% | $33,226 | $34,862 | 5.88% | 0.12% |
2002 | 12 | 0.10% | -5.89% | $33,260 | $32,808 | -5.89% | 0.10% |
2003 | 1 | 0.10% | -2.62% | $33,293 | $31,946 | -2.62% | 0.10% |
2003 | 2 | 0.10% | -1.52% | $33,325 | $31,461 | -1.52% | 0.10% |
2003 | 3 | 0.10% | 0.96% | $33,358 | $31,762 | 0.96% | 0.10% |
2003 | 4 | 0.09% | 8.25% | $33,389 | $34,384 | 8.25% | 0.09% |
2003 | 5 | 5.26% | 5.26% | $35,147 | $36,194 | 5.26% | 0.09% |
2003 | 6 | 1.26% | 1.26% | $35,589 | $36,650 | 1.26% | 0.09% |
2003 | 7 | 1.74% | 1.74% | $36,210 | $37,289 | 1.74% | 0.07% |
2003 | 8 | 1.93% | 1.93% | $36,910 | $38,010 | 1.93% | 0.08% |
2003 | 9 | -1.07% | -1.07% | $36,514 | $37,602 | -1.07% | 0.08% |
2003 | 10 | 5.64% | 5.64% | $38,574 | $39,724 | 5.64% | 0.08% |
2003 | 11 | 0.86% | 0.86% | $38,908 | $40,067 | 0.86% | 0.08% |
2003 | 12 | 5.22% | 5.22% | $40,939 | $42,158 | 5.22% | 0.08% |
2004 | 1 | 1.82% | 1.82% | $41,684 | $42,926 | 1.82% | 0.08% |
2004 | 2 | 1.38% | 1.38% | $42,259 | $43,517 | 1.38% | 0.08% |
2004 | 3 | -1.51% | -1.51% | $41,619 | $42,859 | -1.51% | 0.08% |
2004 | 4 | -1.58% | -1.58% | $40,963 | $42,183 | -1.58% | 0.08% |
2004 | 5 | 1.36% | 1.36% | $41,519 | $42,756 | 1.36% | 0.08% |
2004 | 6 | 1.93% | 1.93% | $42,320 | $43,581 | 1.93% | 0.09% |
2004 | 7 | -3.31% | -3.31% | $40,919 | $42,138 | -3.31% | 0.11% |
2004 | 8 | 0.12% | 0.38% | $40,967 | $42,299 | 0.38% | 0.12% |
2004 | 9 | 0.13% | 1.07% | $41,021 | $42,751 | 1.07% | 0.13% |
2004 | 10 | 1.51% | 1.51% | $41,643 | $43,398 | 1.51% | 0.14% |
2004 | 11 | 4.05% | 4.05% | $43,327 | $45,154 | 4.05% | 0.16% |
2004 | 12 | 3.39% | 3.39% | $44,798 | $46,686 | 3.39% | 0.18% |
2005 | 1 | -2.45% | -2.45% | $43,698 | $45,540 | -2.45% | 0.18% |
2005 | 2 | 2.09% | 2.09% | $44,613 | $46,494 | 2.09% | 0.21% |
2005 | 3 | -1.76% | -1.76% | $43,828 | $45,676 | -1.76% | 0.23% |
2005 | 4 | -1.91% | -1.91% | $42,990 | $44,802 | -1.91% | 0.23% |
2005 | 5 | 3.17% | 3.17% | $44,352 | $46,221 | 3.17% | 0.24% |
2005 | 6 | 0.13% | 0.13% | $44,408 | $46,280 | 0.13% | 0.25% |
2005 | 7 | 3.71% | 3.71% | $46,054 | $47,995 | 3.71% | 0.26% |
2005 | 8 | -0.91% | -0.91% | $45,633 | $47,557 | -0.91% | 0.28% |
2005 | 9 | 0.79% | 0.79% | $45,996 | $47,935 | 0.79% | 0.29% |
2005 | 10 | -1.68% | -1.68% | $45,224 | $47,130 | -1.68% | 0.29% |
2005 | 11 | 3.76% | 3.76% | $46,926 | $48,904 | 3.76% | 0.33% |
2005 | 12 | 0.02% | 0.02% | $46,936 | $48,915 | 0.02% | 0.32% |
2006 | 1 | 2.65% | 2.65% | $48,178 | $50,209 | 2.65% | 0.33% |
2006 | 2 | 0.26% | 0.26% | $48,305 | $50,341 | 0.26% | 0.37% |
2006 | 3 | 1.23% | 1.23% | $48,899 | $50,961 | 1.23% | 0.38% |
2006 | 4 | 1.33% | 1.33% | $49,551 | $51,640 | 1.33% | 0.38% |
2006 | 5 | -2.90% | -2.90% | $48,116 | $50,144 | -2.90% | 0.39% |
2006 | 6 | 0.13% | 0.13% | $48,177 | $50,208 | 0.13% | 0.40% |
2006 | 7 | 0.61% | 0.61% | $48,470 | $50,513 | 0.61% | 0.41% |
2006 | 8 | 2.36% | 2.36% | $49,615 | $51,706 | 2.36% | 0.42% |
2006 | 9 | 2.56% | 2.56% | $50,886 | $53,032 | 2.56% | 0.41% |
2006 | 10 | 3.25% | 3.25% | $52,541 | $54,756 | 3.25% | 0.40% |
2006 | 11 | 1.89% | 1.89% | $53,533 | $55,790 | 1.89% | 0.42% |
2006 | 12 | 1.39% | 1.39% | $54,278 | $56,566 | 1.39% | 0.41% |
2007 | 1 | 1.49% | 1.49% | $55,089 | $57,411 | 1.49% | 0.41% |
2007 | 2 | -1.97% | -1.97% | $54,004 | $56,280 | -1.97% | 0.42% |
2007 | 3 | 1.11% | 1.11% | $54,604 | $56,906 | 1.11% | 0.42% |
2007 | 4 | 4.42% | 4.42% | $57,016 | $59,420 | 4.42% | 0.41% |
2007 | 5 | 3.48% | 3.48% | $58,999 | $61,486 | 3.48% | 0.40% |
2007 | 6 | -1.68% | -1.68% | $58,010 | $60,456 | -1.68% | 0.39% |
2007 | 7 | -3.08% | -3.08% | $56,220 | $58,591 | -3.08% | 0.39% |
2007 | 8 | 1.50% | 1.50% | $57,063 | $59,468 | 1.50% | 0.40% |
2007 | 9 | 3.72% | 3.72% | $59,188 | $61,683 | 3.72% | 0.33% |
2007 | 10 | 1.58% | 1.58% | $60,122 | $62,657 | 1.58% | 0.31% |
2007 | 11 | -4.19% | -4.19% | $57,605 | $60,034 | -4.19% | 0.32% |
2007 | 12 | -0.70% | -0.70% | $57,202 | $59,613 | -0.70% | 0.26% |
2008 | 1 | 0.28% | -6.02% | $57,360 | $56,027 | -6.02% | 0.28% |
2008 | 2 | 0.16% | -3.25% | $57,452 | $54,206 | -3.25% | 0.16% |
2008 | 3 | 0.15% | -0.44% | $57,539 | $53,967 | -0.44% | 0.15% |
2008 | 4 | 0.11% | 4.85% | $57,604 | $56,587 | 4.85% | 0.11% |
2008 | 5 | 0.12% | 1.29% | $57,672 | $57,318 | 1.29% | 0.12% |
2008 | 6 | 0.15% | -8.44% | $57,761 | $52,481 | -8.44% | 0.15% |
2008 | 7 | 0.16% | -0.83% | $57,851 | $52,045 | -0.83% | 0.16% |
2008 | 8 | 0.14% | 1.45% | $57,931 | $52,798 | 1.45% | 0.14% |
2008 | 9 | 0.14% | -8.91% | $58,013 | $48,095 | -8.91% | 0.14% |
2008 | 10 | 0.08% | -16.79% | $58,056 | $40,019 | -16.79% | 0.08% |
2008 | 11 | 0.04% | -7.17% | $58,078 | $37,148 | -7.17% | 0.04% |
2008 | 12 | 0.00% | 1.07% | $58,078 | $37,544 | 1.07% | 0.00% |
2009 | 1 | 0.01% | -8.41% | $58,084 | $34,386 | -8.41% | 0.01% |
2009 | 2 | 0.02% | -10.66% | $58,095 | $30,721 | -10.66% | 0.02% |
2009 | 3 | 0.02% | 8.76% | $58,108 | $33,412 | 8.76% | 0.02% |
2009 | 4 | 0.02% | 9.56% | $58,118 | $36,606 | 9.56% | 0.02% |
2009 | 5 | 0.01% | 5.62% | $58,125 | $38,663 | 5.62% | 0.01% |
2009 | 6 | 0.01% | 0.22% | $58,131 | $38,748 | 0.22% | 0.01% |
2009 | 7 | 7.58% | 7.58% | $62,537 | $41,684 | 7.58% | 0.02% |
2009 | 8 | 3.60% | 3.60% | $64,787 | $43,184 | 3.60% | 0.02% |
2009 | 9 | 3.72% | 3.72% | $67,195 | $44,789 | 3.72% | 0.01% |
2009 | 10 | -1.87% | -1.87% | $65,940 | $43,953 | -1.87% | 0.01% |
2009 | 11 | 5.98% | 5.98% | $69,884 | $46,582 | 5.98% | 0.00% |
2009 | 12 | 1.95% | 1.95% | $71,244 | $47,488 | 1.95% | 0.01% |
2010 | 1 | -3.60% | -3.60% | $68,677 | $45,777 | -3.60% | 0.01% |
2010 | 2 | 3.09% | 3.09% | $70,800 | $47,192 | 3.09% | 0.01% |
2010 | 3 | 6.01% | 6.01% | $75,058 | $50,030 | 6.01% | 0.01% |
2010 | 4 | 1.58% | 1.58% | $76,242 | $50,819 | 1.58% | 0.01% |
2010 | 5 | -8.01% | -8.01% | $70,139 | $46,751 | -8.01% | 0.01% |
2010 | 6 | -5.24% | -5.24% | $66,464 | $44,302 | -5.24% | 0.01% |
2010 | 7 | 0.02% | 7.00% | $66,474 | $47,401 | 7.00% | 0.02% |
2010 | 8 | -4.53% | -4.53% | $63,463 | $45,254 | -4.53% | 0.01% |
2010 | 9 | 0.01% | 8.92% | $63,470 | $49,290 | 8.92% | 0.01% |
2010 | 10 | 3.79% | 3.79% | $65,874 | $51,157 | 3.79% | 0.01% |
2010 | 11 | 0.00% | 0.00% | $65,874 | $51,157 | 0.00% | 0.01% |
2010 | 12 | 6.67% | 6.67% | $70,269 | $54,570 | 6.67% | 0.01% |
2011 | 1 | 2.36% | 2.36% | $71,926 | $55,856 | 2.36% | 0.01% |
2011 | 2 | 3.42% | 3.42% | $74,383 | $57,765 | 3.42% | 0.01% |
2011 | 3 | 0.03% | 0.03% | $74,402 | $57,779 | 0.03% | 0.01% |
2011 | 4 | 2.95% | 2.95% | $76,595 | $59,483 | 2.95% | 0.01% |
2011 | 5 | -1.15% | -1.15% | $75,718 | $58,801 | -1.15% | 0.00% |
2011 | 6 | -1.67% | -1.67% | $74,452 | $57,818 | -1.67% | 0.01% |
2011 | 7 | -2.05% | -2.05% | $72,928 | $56,635 | -2.05% | 0.00% |
2011 | 8 | -5.45% | -5.45% | $68,956 | $53,550 | -5.45% | 0.01% |
2011 | 9 | 0.00% | -7.04% | $68,957 | $49,779 | -7.04% | 0.00% |
2011 | 10 | 0.00% | 10.91% | $68,958 | $55,211 | 10.91% | 0.00% |
2011 | 11 | 0.00% | -0.23% | $68,959 | $55,082 | -0.23% | 0.00% |
2011 | 12 | 0.00% | 1.02% | $68,959 | $55,643 | 1.02% | 0.00% |
2012 | 1 | 0.00% | 4.46% | $68,960 | $58,127 | 4.46% | 0.00% |
2012 | 2 | 4.31% | 4.31% | $71,930 | $60,631 | 4.31% | 0.01% |
2012 | 3 | 3.28% | 3.28% | $74,291 | $62,620 | 3.28% | 0.01% |
2012 | 4 | -0.64% | -0.64% | $73,815 | $62,220 | -0.64% | 0.01% |
2012 | 5 | -6.02% | -6.02% | $69,373 | $58,475 | -6.02% | 0.01% |
2012 | 6 | 4.11% | 4.11% | $72,224 | $60,878 | 4.11% | 0.01% |
2012 | 7 | 1.37% | 1.37% | $73,213 | $61,712 | 1.37% | 0.01% |
2012 | 8 | 2.24% | 2.24% | $74,853 | $63,094 | 2.24% | 0.01% |
2012 | 9 | 2.58% | 2.58% | $76,781 | $64,720 | 2.58% | 0.01% |
2012 | 10 | -1.86% | -1.86% | $75,354 | $63,516 | -1.86% | 0.01% |
2012 | 11 | 0.56% | 0.56% | $75,776 | $63,872 | 0.56% | 0.01% |
2012 | 12 | 0.90% | 0.90% | $76,459 | $64,448 | 0.90% | 0.01% |
2013 | 1 | 5.18% | 5.18% | $80,417 | $67,784 | 5.18% | 0.00% |
2013 | 2 | 1.34% | 1.34% | $81,494 | $68,692 | 1.34% | 0.01% |
2013 | 3 | 3.74% | 3.74% | $84,541 | $71,260 | 3.74% | 0.01% |
2013 | 4 | 1.91% | 1.91% | $86,154 | $72,620 | 1.91% | 0.01% |
2013 | 5 | 2.33% | 2.33% | $88,159 | $74,310 | 2.33% | 0.00% |
2013 | 6 | -1.35% | -1.35% | $86,969 | $73,307 | -1.35% | 0.00% |
2013 | 7 | 5.07% | 5.07% | $91,380 | $77,025 | 5.07% | 0.00% |
2013 | 8 | -2.91% | -2.91% | $88,719 | $74,782 | -2.91% | 0.00% |
2013 | 9 | 3.12% | 3.12% | $91,489 | $77,117 | 3.12% | 0.00% |
2013 | 10 | 4.59% | 4.59% | $95,685 | $80,653 | 4.59% | 0.00% |
2013 | 11 | 3.03% | 3.03% | $98,582 | $83,096 | 3.03% | 0.00% |
2013 | 12 | 2.51% | 2.51% | $101,061 | $85,185 | 2.51% | 0.01% |
2014 | 1 | -3.47% | -3.47% | $97,555 | $82,230 | -3.47% | 0.01% |
2014 | 2 | 4.56% | 4.56% | $102,004 | $85,980 | 4.56% | 0.00% |
2014 | 3 | 0.82% | 0.82% | $102,844 | $86,688 | 0.82% | 0.00% |
2014 | 4 | 0.72% | 0.72% | $103,589 | $87,316 | 0.72% | 0.00% |
2014 | 5 | 2.33% | 2.33% | $106,008 | $89,355 | 2.33% | 0.00% |
2014 | 6 | 2.05% | 2.05% | $108,183 | $91,188 | 2.05% | 0.00% |
2014 | 7 | -1.39% | -1.39% | $106,681 | $89,922 | -1.39% | 0.00% |
2014 | 8 | 3.98% | 3.98% | $110,929 | $93,503 | 3.98% | 0.00% |
2014 | 9 | -1.41% | -1.41% | $109,362 | $92,182 | -1.41% | 0.00% |
2014 | 10 | 2.42% | 2.42% | $112,012 | $94,416 | 2.42% | 0.00% |
2014 | 11 | 2.68% | 2.68% | $115,016 | $96,948 | 2.68% | 0.00% |
2014 | 12 | -0.26% | -0.26% | $114,712 | $96,692 | -0.26% | 0.00% |
2015 | 1 | -3.02% | -3.02% | $111,251 | $93,774 | -3.02% | 0.00% |
2015 | 2 | 5.74% | 5.74% | $117,636 | $99,157 | 5.74% | 0.00% |
2015 | 3 | -1.59% | -1.59% | $115,761 | $97,576 | -1.59% | 0.00% |
2015 | 4 | 0.95% | 0.95% | $116,860 | $98,502 | 0.95% | 0.00% |
2015 | 5 | 1.27% | 1.27% | $118,347 | $99,756 | 1.27% | 0.00% |
2015 | 6 | -1.93% | -1.93% | $116,060 | $97,828 | -1.93% | 0.00% |
2015 | 7 | 2.08% | 2.08% | $118,474 | $99,863 | 2.08% | 0.00% |
2015 | 8 | -6.05% | -6.05% | $111,310 | $93,824 | -6.05% | 0.01% |
2015 | 9 | 0.01% | -2.48% | $111,318 | $91,493 | -2.48% | 0.01% |
2015 | 10 | 0.00% | 8.42% | $111,319 | $99,199 | 8.42% | 0.00% |
2015 | 11 | 0.29% | 0.29% | $111,637 | $99,483 | 0.29% | 0.01% |
2015 | 12 | -1.59% | -1.59% | $109,859 | $97,899 | -1.59% | 0.02% |
2016 | 1 | -4.98% | -4.98% | $104,392 | $93,027 | -4.98% | 0.01% |
2016 | 2 | 0.03% | -0.15% | $104,420 | $92,892 | -0.15% | 0.03% |
2016 | 3 | 0.03% | 6.78% | $104,449 | $99,186 | 6.78% | 0.03% |
2016 | 4 | 0.37% | 0.37% | $104,839 | $99,556 | 0.37% | 0.02% |
2016 | 5 | 1.78% | 1.78% | $106,708 | $101,331 | 1.78% | 0.02% |
2016 | 6 | 0.25% | 0.25% | $106,975 | $101,585 | 0.25% | 0.03% |
2016 | 7 | 3.68% | 3.68% | $110,908 | $105,319 | 3.68% | 0.02% |
2016 | 8 | 0.13% | 0.13% | $111,051 | $105,456 | 0.13% | 0.02% |
2016 | 9 | 0.01% | 0.01% | $111,060 | $105,464 | 0.01% | 0.03% |
2016 | 10 | -1.83% | -1.83% | $109,025 | $103,531 | -1.83% | 0.02% |
2016 | 11 | 3.70% | 3.70% | $113,057 | $107,361 | 3.70% | 0.03% |
2016 | 12 | 1.96% | 1.96% | $115,276 | $109,468 | 1.96% | 0.04% |
2017 | 1 | 1.88% | 1.88% | $117,447 | $111,529 | 1.88% | 0.04% |
2017 | 2 | 3.96% | 3.96% | $122,101 | $115,949 | 3.96% | 0.04% |
2017 | 3 | 0.10% | 0.10% | $122,223 | $116,065 | 0.10% | 0.04% |
2017 | 4 | 1.02% | 1.02% | $123,468 | $117,247 | 1.02% | 0.06% |
2017 | 5 | 1.39% | 1.39% | $125,189 | $118,881 | 1.39% | 0.07% |
2017 | 6 | 0.61% | 0.61% | $125,954 | $119,608 | 0.61% | 0.08% |
2017 | 7 | 2.04% | 2.04% | $128,527 | $122,051 | 2.04% | 0.08% |
2017 | 8 | 0.29% | 0.29% | $128,904 | $122,409 | 0.29% | 0.09% |
2017 | 9 | 2.06% | 2.06% | $131,558 | $124,929 | 2.06% | 0.08% |
2017 | 10 | 2.32% | 2.32% | $134,607 | $127,825 | 2.32% | 0.09% |
2017 | 11 | 3.06% | 3.06% | $138,725 | $131,735 | 3.06% | 0.09% |
2017 | 12 | 1.10% | 1.10% | $140,254 | $133,187 | 1.10% | 0.10% |
2018 | 1 | 5.71% | 5.71% | $148,266 | $140,795 | 5.71% | 0.11% |
2018 | 2 | -3.69% | -3.69% | $142,788 | $135,594 | -3.69% | 0.12% |
2018 | 3 | -2.56% | -2.56% | $139,140 | $132,129 | -2.56% | 0.14% |
2018 | 4 | 0.37% | 0.37% | $139,659 | $132,622 | 0.37% | 0.14% |
2018 | 5 | 2.39% | 2.39% | $143,003 | $135,798 | 2.39% | 0.15% |
2018 | 6 | 0.61% | 0.61% | $143,868 | $136,619 | 0.61% | 0.16% |
2018 | 7 | 3.71% | 3.71% | $149,205 | $141,687 | 3.71% | 0.16% |
2018 | 8 | 3.25% | 3.25% | $154,049 | $146,286 | 3.25% | 0.17% |
2018 | 9 | 0.55% | 0.55% | $154,902 | $147,097 | 0.55% | 0.17% |
2018 | 10 | -6.85% | -6.85% | $144,293 | $137,023 | -6.85% | 0.18% |
2018 | 11 | 0.19% | 2.03% | $144,570 | $139,800 | 2.03% | 0.19% |
2018 | 12 | -9.04% | -9.04% | $131,500 | $127,161 | -9.04% | 0.19% |
2019 | 1 | 0.20% | 8.00% | $131,764 | $137,337 | 8.00% | 0.20% |
2019 | 2 | 0.20% | 3.20% | $132,025 | $141,732 | 3.20% | 0.20% |
2019 | 3 | 1.94% | 1.94% | $134,581 | $144,477 | 1.94% | 0.20% |
2019 | 4 | 4.04% | 4.04% | $140,020 | $150,316 | 4.04% | 0.20% |
2019 | 5 | -6.36% | -6.36% | $131,108 | $140,749 | -6.36% | 0.20% |
2019 | 6 | 0.19% | 7.03% | $131,361 | $150,648 | 7.03% | 0.19% |
2019 | 7 | 1.43% | 1.43% | $133,234 | $152,796 | 1.43% | 0.17% |
2019 | 8 | -1.59% | -1.59% | $131,114 | $150,365 | -1.59% | 0.17% |
2019 | 9 | 1.86% | 1.86% | $133,551 | $153,160 | 1.86% | 0.16% |
2019 | 10 | 2.15% | 2.15% | $136,429 | $156,460 | 2.15% | 0.15% |
2019 | 11 | 3.62% | 3.62% | $141,368 | $162,125 | 3.62% | 0.13% |
2019 | 12 | 3.01% | 3.01% | $145,617 | $166,997 | 3.01% | 0.13% |
2020 | 1 | -0.05% | -0.05% | $145,544 | $166,913 | -0.05% | 0.13% |
2020 | 2 | -8.24% | -8.24% | $133,549 | $153,157 | -8.24% | 0.13% |
2020 | 3 | 0.10% | -12.37% | $133,688 | $134,209 | -12.37% | 0.10% |
2020 | 4 | 0.01% | 12.81% | $133,701 | $151,406 | 12.81% | 0.01% |
2020 | 5 | 0.01% | 4.76% | $133,711 | $158,607 | 4.76% | 0.01% |
2020 | 6 | 1.98% | 1.98% | $136,355 | $161,743 | 1.98% | 0.01% |
2020 | 7 | 5.63% | 5.63% | $144,028 | $170,845 | 5.63% | 0.01% |
2020 | 8 | 7.18% | 7.18% | $154,365 | $183,106 | 7.18% | 0.01% |
2020 | 9 | -3.81% | -3.81% | $148,482 | $176,129 | -3.81% | 0.01% |
2020 | 10 | -2.67% | -2.67% | $144,516 | $171,424 | -2.67% | 0.01% |
2020 | 11 | 10.94% | 10.94% | $160,320 | $190,170 | 10.94% | 0.01% |
2020 | 12 | 3.84% | 3.84% | $166,474 | $197,470 | 3.84% | 0.01% |
Metric | Moving Average Model | Buy & Hold Portfolio |
---|---|---|
Arithmetic Mean (monthly) | 0.81% | 0.90% |
Arithmetic Mean (annualized) | 10.11% | 11.29% |
Geometric Mean (monthly) | 0.76% | 0.81% |
Geometric Mean (annualized) | 9.50% | 10.10% |
Volatility (monthly) | 3.07% | 4.24% |
Volatility (annualized) | 10.63% | 14.69% |
Downside Deviation (monthly) | 1.91% | 2.78% |
Max. Drawdown | -16.76% | -50.97% |
US Market Correlation | 0.71 | 0.99 |
Beta(*) | 0.50 | 0.97 |
Alpha (annualized) | 4.25% | 0.25% |
R2 | 49.76% | 97.89% |
Sharpe Ratio | 0.66 | 0.55 |
Sortino Ratio | 1.01 | 0.81 |
Treynor Ratio (%) | 14.07 | 8.37 |
Calmar Ratio | 0.38 | 0.71 |
Active Return | -0.68% | -0.07% |
Tracking Error | 10.66% | 2.19% |
Information Ratio | -0.06 | -0.03 |
Skewness | -0.51 | -0.56 |
Excess Kurtosis | 2.20 | 1.25 |
Historical Value-at-Risk (5%) | -4.47% | -6.94% |
Analytical Value-at-Risk (5%) | -4.24% | -6.08% |
Conditional Value-at-Risk (5%) | -6.71% | -9.44% |
Upside Capture Ratio (%) | 67.05 | 96.42 |
Downside Capture Ratio (%) | 57.32 | 95.73 |
Safe Withdrawal Rate | 7.42% | 8.32% |
Perpetual Withdrawal Rate | 6.51% | 7.02% |
Positive Periods | 280 out of 372 (75.27%) | 245 out of 372 (65.86%) |
Gain/Loss Ratio | 0.68 | 0.89 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Moving Average Model | Buy & Hold Portfolio |
---|---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -5.61% | -5.61% |
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -6.07% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -4.86% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | May 2010 | Aug 2010 | 4 months | Apr 2011 | 8 months | 1 year | -16.76% |
2 | Jan 1990 | Aug 1990 | 8 months | May 1991 | 9 months | 1 year 5 months | -16.48% |
3 | Jul 1998 | Aug 1998 | 2 months | Mar 1999 | 7 months | 9 months | -15.38% |
4 | Oct 2018 | May 2019 | 8 months | Nov 2020 | 1 year 6 months | 2 years 2 months | -15.36% |
5 | Aug 2015 | Jan 2016 | 6 months | Feb 2017 | 1 year 1 month | 1 year 7 months | -11.89% |
6 | May 2011 | Aug 2011 | 4 months | Sep 2012 | 1 year 1 month | 1 year 5 months | -9.97% |
7 | Feb 1994 | Mar 1994 | 2 months | Feb 1995 | 11 months | 1 year 1 month | -6.98% |
8 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
9 | Sep 1991 | Mar 1992 | 7 months | Nov 1992 | 8 months | 1 year 3 months | -6.48% |
10 | Jul 1999 | Sep 1999 | 3 months | Dec 1999 | 3 months | 6 months | -6.25% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.63% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
5 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -14.70% |
6 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
7 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
8 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -6.98% |
9 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
10 | Jan 1990 | Jan 1990 | 1 month | May 1990 | 4 months | 5 months | -6.72% |
Worst 10 drawdowns included above |
Roll Period | Moving Average Model | Buy & Hold Portfolio | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 10.20% | 52.00% | -14.89% | 11.22% | 53.61% | -43.32% |
3 years | 10.21% | 32.68% | -0.96% | 10.29% | 32.68% | -16.14% |
5 years | 10.34% | 23.69% | 2.15% | 9.89% | 28.49% | -6.73% |
7 years | 10.44% | 18.66% | 5.26% | 9.51% | 21.51% | -3.94% |
10 years | 9.88% | 15.40% | 5.78% | 8.33% | 19.37% | -3.51% |
15 years | 9.72% | 12.86% | 7.19% | 7.54% | 11.90% | 3.64% |
# | Start | End | Months | Assets | Asset Performance | Moving Average Model | Buy & Hold Portfolio |
---|---|---|---|---|---|---|---|
1 | Jan 1990 | Jan 1990 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.72% | -6.72% | -6.72% |
2 | Feb 1990 | Mar 1990 | 2 | 100.00% Cash (CASHX) | CASHX: 1.31% | 1.31% | 3.92% |
3 | Apr 1990 | Apr 1990 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -2.50% | -2.50% | -2.50% |
4 | May 1990 | May 1990 | 1 | 100.00% Cash (CASHX) | CASHX: 0.66% | 0.66% | 9.69% |
5 | Jun 1990 | Aug 1990 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -9.95% | -9.95% | -9.95% |
6 | Sep 1990 | Dec 1990 | 4 | 100.00% Cash (CASHX) | CASHX: 2.44% | 2.44% | 3.56% |
7 | Jan 1991 | Nov 1991 | 11 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 16.88% | 16.88% | 16.88% |
8 | Dec 1991 | Dec 1991 | 1 | 100.00% Cash (CASHX) | CASHX: 0.37% | 0.37% | 11.41% |
9 | Jan 1992 | Mar 1994 | 27 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 13.51% | 13.51% | 13.51% |
10 | Apr 1994 | Jul 1994 | 4 | 100.00% Cash (CASHX) | CASHX: 1.32% | 1.32% | 3.69% |
11 | Aug 1994 | Nov 1994 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.02% | 0.02% | 0.02% |
12 | Dec 1994 | Dec 1994 | 1 | 100.00% Cash (CASHX) | CASHX: 0.47% | 0.47% | 1.46% |
13 | Jan 1995 | Aug 1998 | 44 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 123.97% | 123.97% | 123.97% |
14 | Sep 1998 | Oct 1998 | 2 | 100.00% Cash (CASHX) | CASHX: 0.76% | 0.76% | 15.10% |
15 | Nov 1998 | Sep 1999 | 11 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 18.19% | 18.19% | 18.19% |
16 | Oct 1999 | Oct 1999 | 1 | 100.00% Cash (CASHX) | CASHX: 0.40% | 0.40% | 6.33% |
17 | Nov 1999 | Sep 2000 | 11 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 6.66% | 6.66% | 6.66% |
18 | Oct 2000 | Mar 2002 | 18 | 100.00% Cash (CASHX) | CASHX: 5.76% | 5.76% | -18.70% |
19 | Apr 2002 | Apr 2002 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.07% | -6.07% | -6.07% |
20 | May 2002 | Apr 2003 | 12 | 100.00% Cash (CASHX) | CASHX: 1.45% | 1.45% | -13.33% |
21 | May 2003 | Jul 2004 | 15 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 22.55% | 22.55% | 22.55% |
22 | Aug 2004 | Sep 2004 | 2 | 100.00% Cash (CASHX) | CASHX: 0.25% | 0.25% | 1.45% |
23 | Oct 2004 | Dec 2007 | 39 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 39.44% | 39.44% | 39.44% |
24 | Jan 2008 | Jun 2009 | 18 | 100.00% Cash (CASHX) | CASHX: 1.63% | 1.63% | -35.00% |
25 | Jul 2009 | Jun 2010 | 12 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 14.33% | 14.33% | 14.33% |
26 | Jul 2010 | Jul 2010 | 1 | 100.00% Cash (CASHX) | CASHX: 0.02% | 0.02% | 7.00% |
27 | Aug 2010 | Aug 2010 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -4.53% | -4.53% | -4.53% |
28 | Sep 2010 | Sep 2010 | 1 | 100.00% Cash (CASHX) | CASHX: 0.01% | 0.01% | 8.92% |
29 | Oct 2010 | Aug 2011 | 11 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 8.64% | 8.64% | 8.64% |
30 | Sep 2011 | Jan 2012 | 5 | 100.00% Cash (CASHX) | CASHX: 0.01% | 0.01% | 8.55% |
31 | Feb 2012 | Aug 2015 | 43 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 61.41% | 61.41% | 61.41% |
32 | Sep 2015 | Oct 2015 | 2 | 100.00% Cash (CASHX) | CASHX: 0.01% | 0.01% | 5.73% |
33 | Nov 2015 | Jan 2016 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.22% | -6.22% | -6.22% |
34 | Feb 2016 | Mar 2016 | 2 | 100.00% Cash (CASHX) | CASHX: 0.05% | 0.05% | 6.62% |
35 | Apr 2016 | Oct 2018 | 31 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 38.15% | 38.15% | 38.15% |
36 | Nov 2018 | Nov 2018 | 1 | 100.00% Cash (CASHX) | CASHX: 0.19% | 0.19% | 2.03% |
37 | Dec 2018 | Dec 2018 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -9.04% | -9.04% | -9.04% |
38 | Jan 2019 | Feb 2019 | 2 | 100.00% Cash (CASHX) | CASHX: 0.40% | 0.40% | 11.46% |
39 | Mar 2019 | May 2019 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -0.69% | -0.69% | -0.69% |
40 | Jun 2019 | Jun 2019 | 1 | 100.00% Cash (CASHX) | CASHX: 0.19% | 0.19% | 7.03% |
41 | Jul 2019 | Feb 2020 | 8 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.67% | 1.67% | 1.67% |
42 | Mar 2020 | May 2020 | 3 | 100.00% Cash (CASHX) | CASHX: 0.12% | 0.12% | 3.56% |
43 | Jun 2020 | Dec 2020 | 7 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 24.50% | 24.50% | 24.50% |
44 | Jan 2021 | Jan 2021 | 1 | Please sign-in for forward signals | - | - | - |