Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model uses shifts the allocation between stocks and bonds as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Time Period #2
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 6
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Market Timing Results (Jan 1985 - Dec 2016)

Market timing results from 1985 to 2016 are based on the Shiller PE10 ratio market valuation. The timing portfolio adjusts the stock and bond allocation of the baseline 60%/40% stock/bond portfolio annually at the start of each year based on the Shiller PE10 ratio.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$224,78810.22%8.63%31.69%-2.98%-19.36% 0.781.220.83
Stock Portfolio$10,000$258,30910.70%15.18%35.79%-37.04%-50.89% 0.530.751.00
Balanced Portfolio$10,000$209,6289.98%9.46%31.69%-14.01%-26.40% 0.701.060.94
Bond Portfolio$10,000$103,4487.57%7.76%29.85%-10.17%-10.87% 0.550.90-0.06
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Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The results for both timing and buy-and-hold comparison portfolios assume yearly rebalancing
  • The balanced portfolio is based on 60%/40% stock/bond portfolio allocation
  • Stock returns are based on US stock market returns
  • Bond returns are based on 10-year treasury note returns
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalance
Timing PortfolioStock PortfolioBalanced PortfolioBond PortfolioTiming PortfolioStock PortfolioBalanced PortfolioBond Portfolio
19853.80%30.99%31.27%30.70%29.85%$13,099$13,127$13,070$12,985
19861.10%15.93%14.57%17.28%21.35%$15,185$15,040$15,329$15,757
19874.43%0.51%2.61%0.51%-2.64%$15,263$15,433$15,408$15,341
19884.42%15.23%17.32%13.15%6.90%$17,588$18,106$17,434$16,399
19894.65%24.01%28.12%24.01%17.84%$21,811$23,197$21,620$19,325
19906.11%-0.57%-6.08%-0.57%7.70%$21,687$21,788$21,497$20,813
19913.06%27.00%32.39%27.00%18.91%$27,542$28,845$27,301$24,749
19922.90%8.36%9.11%8.36%7.23%$29,844$31,472$29,582$26,538
19932.75%11.56%10.62%11.56%12.97%$33,295$34,816$33,003$29,981
19942.67%-2.98%-0.17%-2.98%-7.19%$32,303$34,757$32,020$27,825
19952.54%31.69%35.79%31.69%25.55%$42,540$47,195$42,168$34,934
19963.32%8.38%20.96%12.58%-0.00%$46,107$57,088$47,471$34,933
19971.70%19.58%30.99%23.38%11.97%$55,133$74,782$58,571$39,113
19981.61%18.09%23.26%19.81%14.64%$65,106$92,179$70,176$44,838
19992.68%4.83%23.81%11.16%-7.83%$68,250$114,130$78,006$41,329
20003.39%6.14%-10.57%0.57%17.28%$72,438$102,061$78,447$48,469
20011.55%-1.15%-10.97%-4.42%5.40%$71,608$90,869$74,981$51,088
20022.38%0.89%-20.96%-6.40%15.45%$72,242$71,822$70,185$58,980
20031.88%12.63%31.35%18.87%0.15%$81,369$94,341$83,431$59,070
20043.26%7.70%12.52%9.31%4.50%$87,638$106,149$91,197$61,726
20053.42%4.20%5.98%4.79%3.01%$91,319$112,497$95,569$63,587
20062.54%7.52%15.51%10.18%2.19%$98,186$129,947$105,301$64,980
20074.08%8.45%5.49%7.46%10.42%$106,483$137,080$113,160$71,754
20080.09%-2.49%-37.04%-14.01%20.53%$103,826$86,309$97,307$86,488
20092.72%13.15%28.70%13.15%-10.17%$117,479$111,078$110,103$77,690
20101.50%13.42%17.09%13.42%7.92%$133,250$130,065$124,883$83,844
20112.96%10.13%0.96%7.07%16.24%$146,750$131,316$133,719$97,464
20121.74%10.84%16.25%10.84%2.73%$162,665$152,659$148,220$100,126
20131.50%16.58%33.35%16.58%-8.57%$189,638$203,571$172,799$91,547
20140.76%11.35%12.43%11.71%10.63%$211,167$228,873$193,036$101,282
20150.73%0.79%0.29%0.62%1.12%$212,836$229,540$194,240$102,419
20162.07%5.62%12.53%7.92%1.00%$224,788$258,309$209,628$103,448
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalance
Timing PortfolioStock PortfolioBalanced PortfolioBond PortfolioTiming PortfolioStock PortfolioBalanced PortfolioBond Portfolio
198517.95%9.13%6.76%3.22%$10,795$10,913$10,676$10,322
198520.81%1.79%-0.19%-3.33%$10,882$11,108$10,656$9,978
198530.14%-0.39%0.70%2.51%$10,898$11,065$10,730$10,228
198540.32%-0.16%0.81%2.38%$10,933$11,048$10,817$10,472
198555.98%5.52%6.44%7.91%$11,586$11,657$11,514$11,300
198561.58%1.71%1.45%1.04%$11,769$11,857$11,681$11,418
19857-0.24%-0.03%-0.45%-1.09%$11,741$11,853$11,629$11,293
19858-0.05%-0.69%0.61%2.67%$11,736$11,771$11,700$11,594
19859-3.13%-4.07%-2.19%0.67%$11,368$11,292$11,444$11,672
1985104.08%4.43%3.74%2.73%$11,832$11,792$11,872$11,990
1985116.15%6.82%5.48%3.50%$12,559$12,596$12,522$12,410
1985124.30%4.21%4.38%4.64%$13,099$13,127$13,070$12,985
198610.71%0.83%0.59%0.23%$13,192$13,236$13,147$13,015
198627.11%7.10%7.13%7.18%$14,130$14,176$14,085$13,949
198635.81%5.81%5.82%5.84%$14,952$14,999$14,905$14,764
19864-0.54%-0.84%-0.23%0.69%$14,872$14,873$14,870$14,865
198653.12%4.90%1.34%-3.93%$15,335$15,601$15,070$14,281
198662.12%1.33%2.95%5.57%$15,661$15,808$15,514$15,077
19867-4.61%-5.88%-3.31%0.68%$14,940$14,879$15,000$15,179
198685.79%6.41%5.18%3.39%$15,805$15,833$15,777$15,694
19869-6.91%-7.92%-5.91%-2.90%$14,713$14,579$14,845$15,238
1986104.05%4.75%3.36%1.39%$15,308$15,271$15,344$15,450
1986111.53%1.42%1.63%1.95%$15,542$15,488$15,595$15,752
198612-2.29%-2.89%-1.70%0.03%$15,185$15,040$15,329$15,757
198718.09%12.85%8.09%0.95%$16,414$16,974$16,570$15,908
198723.20%4.79%3.20%0.53%$16,939$17,786$17,100$15,992
198730.85%2.26%0.85%-1.62%$17,083$18,189$17,245$15,732
19874-2.41%-1.48%-2.41%-4.09%$16,672$17,919$16,830$15,089
19875-0.10%0.47%-0.10%-1.18%$16,655$18,004$16,813$14,911
198763.24%4.19%3.24%1.44%$17,194$18,758$17,358$15,126
198772.63%4.57%2.63%-1.15%$17,647$19,616$17,814$14,953
198782.05%3.77%2.05%-1.49%$18,009$20,355$18,180$14,730
19879-2.44%-2.08%-2.44%-3.24%$17,569$19,933$17,736$14,253
198710-13.52%-22.27%-13.52%5.71%$15,193$15,493$15,337$15,066
198711-4.41%-7.16%-4.41%0.02%$14,522$14,384$14,660$15,070
1987125.10%7.30%5.10%1.80%$15,263$15,433$15,408$15,341
198814.41%4.37%4.45%4.56%$15,936$16,109$16,093$16,041
198824.44%5.21%3.67%1.36%$16,644$16,948$16,684$16,260
19883-1.54%-1.42%-1.66%-2.04%$16,388$16,707$16,407$15,928
198840.66%1.11%0.19%-1.25%$16,495$16,893$16,438$15,730
19885-0.31%-0.06%-0.57%-1.39%$16,443$16,883$16,344$15,511
198864.61%4.92%4.29%3.26%$17,201$17,714$17,045$16,016
19887-0.75%-0.64%-0.85%-1.21%$17,073$17,600$16,899$15,823
19888-2.29%-2.80%-1.77%-0.08%$16,681$17,108$16,600$15,811
198893.62%3.71%3.54%3.26%$17,286$17,742$17,187$16,326
1988101.75%1.65%1.86%2.19%$17,588$18,035$17,506$16,684
198811-1.64%-1.57%-1.71%-1.94%$17,300$17,751$17,206$16,360
1988121.67%2.00%1.33%0.24%$17,588$18,106$17,434$16,399
198914.61%6.61%4.61%1.61%$18,399$19,303$18,238$16,663
19892-1.60%-1.82%-1.60%-1.24%$18,105$18,951$17,946$16,457
198931.64%2.11%1.64%0.91%$18,402$19,351$18,241$16,606
198943.95%4.81%3.95%2.59%$19,129$20,282$18,962$17,036
198953.74%3.87%3.74%3.53%$19,845$21,068$19,672$17,638
198961.43%-0.22%1.43%4.10%$20,129$21,022$19,953$18,361
198975.66%7.63%5.66%2.59%$21,268$22,625$21,081$18,837
198980.52%2.25%0.52%-2.30%$21,379$23,135$21,191$18,403
19899-0.02%-0.23%-0.02%0.35%$21,375$23,081$21,188$18,468
198910-0.54%-2.83%-0.54%3.35%$21,261$22,429$21,075$19,087
1989111.43%1.56%1.43%1.21%$21,564$22,780$21,375$19,318
1989121.14%1.83%1.14%0.04%$21,811$23,197$21,620$19,325
19901-5.28%-7.01%-5.28%-2.67%$20,659$21,570$20,479$18,809
199021.01%1.60%1.01%0.17%$20,869$21,916$20,686$18,841
199031.38%2.47%1.38%-0.22%$21,156$22,458$20,971$18,800
19904-2.43%-2.84%-2.43%-1.81%$20,643$21,820$20,462$18,460
199056.71%8.77%6.71%3.67%$22,028$23,733$21,835$19,136
199060.40%-0.53%0.40%1.85%$22,116$23,607$21,922$19,490
19907-0.20%-1.10%-0.20%1.17%$22,072$23,346$21,879$19,719
19908-6.42%-9.02%-6.42%-2.58%$20,655$21,240$20,474$19,211
19909-2.59%-5.18%-2.59%1.00%$20,120$20,139$19,944$19,403
1990100.11%-1.24%0.11%1.86%$20,142$19,889$19,966$19,763
1990115.05%6.40%5.05%3.34%$21,158$21,162$20,973$20,424
1990122.50%2.95%2.50%1.91%$21,687$21,788$21,497$20,813
199113.38%4.96%3.38%1.01%$22,420$22,868$22,224$21,024
199124.50%6.92%4.50%0.74%$23,430$24,451$23,225$21,179
199131.97%2.89%1.97%0.46%$23,892$25,156$23,683$21,277
199140.57%0.39%0.57%0.87%$24,028$25,254$23,818$21,463
199152.64%3.98%2.64%0.40%$24,664$26,258$24,448$21,549
19916-3.04%-4.47%-3.04%-0.54%$23,914$25,084$23,704$21,433
199173.38%4.83%3.38%0.96%$24,723$26,295$24,506$21,638
199182.88%2.65%2.88%3.29%$25,436$26,993$25,213$22,349
199190.37%-1.19%0.37%3.09%$25,531$26,671$25,307$23,038
1991101.30%1.72%1.30%0.62%$25,864$27,129$25,638$23,182
199111-1.93%-3.83%-1.93%1.25%$25,365$26,090$25,143$23,472
1991128.58%10.56%8.58%5.44%$27,542$28,845$27,301$24,749
19921-1.46%-0.01%-1.46%-3.65%$27,139$28,843$26,902$23,846
199221.13%1.28%1.13%0.89%$27,446$29,213$27,205$24,059
19923-1.96%-2.40%-1.96%-1.27%$26,909$28,513$26,674$23,754
199240.92%1.41%0.92%0.14%$27,156$28,917$26,918$23,788
199251.33%0.52%1.33%2.59%$27,517$29,068$27,276$24,405
19926-0.35%-1.85%-0.35%1.95%$27,421$28,531$27,181$24,882
199273.76%3.85%3.76%3.62%$28,452$29,630$28,203$25,782
19928-0.72%-2.07%-0.72%1.28%$28,247$29,016$28,000$26,113
199291.61%1.07%1.61%2.38%$28,701$29,325$28,450$26,734
199210-0.37%1.17%-0.37%-2.55%$28,594$29,668$28,343$26,052
1992112.29%4.20%2.29%-0.50%$29,249$30,913$28,993$25,921
1992122.03%1.81%2.03%2.38%$29,844$31,472$29,582$26,538
199311.74%1.01%1.74%2.82%$30,362$31,791$30,096$27,287
199321.57%0.46%1.57%3.21%$30,838$31,936$30,568$28,162
199331.66%2.46%1.66%0.50%$31,350$32,723$31,075$28,304
19934-1.50%-2.77%-1.50%0.35%$30,879$31,817$30,609$28,404
199351.65%3.03%1.65%-0.31%$31,389$32,781$31,114$28,317
199361.63%0.55%1.63%3.22%$31,900$32,960$31,621$29,227
19937-0.05%-0.27%-0.05%0.26%$31,884$32,872$31,605$29,303
199383.71%3.93%3.71%3.39%$33,066$34,165$32,776$30,295
199390.35%0.01%0.35%0.84%$33,181$34,167$32,890$30,548
1993101.05%1.64%1.05%0.22%$33,530$34,728$33,237$30,616
199311-2.00%-1.62%-2.00%-2.55%$32,861$34,167$32,573$29,836
1993121.32%1.90%1.32%0.49%$33,295$34,816$33,003$29,981
199412.43%3.08%2.43%1.47%$34,105$35,888$33,807$30,421
19942-2.48%-2.24%-2.48%-2.85%$33,259$35,084$32,968$29,554
19943-4.24%-4.44%-4.24%-3.94%$31,848$33,525$31,569$28,390
19944-0.05%0.89%-0.05%-1.49%$31,831$33,825$31,553$27,967
199450.52%0.97%0.52%-0.19%$31,997$34,154$31,717$27,914
19946-1.90%-2.73%-1.90%-0.59%$31,389$33,223$31,114$27,749
199472.72%3.08%2.72%2.17%$32,243$34,246$31,961$28,350
199482.72%4.39%2.72%0.10%$33,119$35,751$32,829$28,378
19949-2.05%-1.85%-2.05%-2.37%$32,441$35,089$32,157$27,705
1994100.71%1.55%0.71%-0.67%$32,671$35,634$32,385$27,520
199411-2.30%-3.65%-2.30%-0.03%$31,921$34,333$31,641$27,512
1994121.20%1.23%1.20%1.14%$32,303$34,757$32,020$27,825
199512.24%2.20%2.24%2.31%$33,028$35,521$32,739$28,468
199523.75%4.04%3.75%3.31%$34,267$36,958$33,967$29,410
199531.89%2.65%1.89%0.74%$34,915$37,938$34,609$29,628
199542.12%2.51%2.12%1.52%$35,655$38,891$35,343$30,079
199554.56%3.48%4.56%6.24%$37,280$40,242$36,954$31,955
199562.27%2.98%2.27%1.19%$38,125$41,441$37,791$32,335
199571.95%4.02%1.95%-1.23%$38,869$43,107$38,529$31,937
199581.35%1.07%1.35%1.79%$39,392$43,570$39,047$32,507
199592.74%3.61%2.74%1.34%$40,472$45,145$40,117$32,941
199510-0.14%-1.17%-0.14%1.55%$40,416$44,618$40,062$33,453
1995113.54%4.17%3.54%2.53%$41,846$46,477$41,480$34,301
1995121.66%1.54%1.66%1.85%$42,540$47,195$42,168$34,934
199611.25%2.66%1.72%0.31%$43,073$48,450$42,894$35,043
19962-1.40%1.62%-0.38%-3.45%$42,472$49,234$42,730$33,833
19963-0.12%1.14%0.31%-1.03%$42,421$49,798$42,864$33,486
19964-0.01%2.41%0.83%-1.78%$42,418$50,997$43,219$32,890
199650.70%2.66%1.39%-0.80%$42,714$52,354$43,819$32,625
199660.43%-0.84%-0.02%1.43%$42,896$51,913$43,808$33,093
19967-2.31%-5.37%-3.39%0.06%$41,906$49,126$42,324$33,112
199680.98%3.09%1.71%-0.57%$42,315$50,646$43,047$32,923
199693.63%5.38%4.25%2.31%$43,853$53,371$44,875$33,682
1996102.38%1.43%2.04%3.12%$44,896$54,134$45,791$34,733
1996114.56%6.81%5.35%2.83%$46,943$57,821$48,242$35,716
199612-1.78%-1.27%-1.60%-2.19%$46,107$57,088$47,471$34,933
199712.07%5.46%3.20%-0.19%$47,061$60,204$48,990$34,866
199720.15%-0.11%0.06%0.33%$47,130$60,140$49,019$34,980
19973-3.02%-4.45%-3.51%-2.02%$45,705$57,461$47,299$34,274
199743.02%4.50%3.52%2.02%$47,087$60,045$48,964$34,965
199753.47%7.10%4.70%0.92%$48,719$64,308$51,266$35,286
199762.85%4.37%3.38%1.72%$50,107$67,118$52,997$35,893
199775.74%7.77%6.45%4.18%$52,981$72,333$56,415$37,395
19978-2.67%-3.72%-3.04%-1.84%$51,567$69,645$54,700$36,706
199793.73%5.77%4.45%2.16%$53,492$73,662$57,134$37,497
199710-0.06%-3.40%-1.25%2.61%$53,459$71,161$56,418$38,475
1997111.62%3.33%2.22%0.34%$54,327$73,532$57,672$38,605
1997121.48%1.70%1.56%1.32%$55,133$74,782$58,571$39,113
199811.47%0.44%1.13%2.15%$55,942$75,112$59,230$39,955
199822.77%7.34%4.29%-0.22%$57,494$80,628$61,770$39,866
199832.15%5.06%3.14%0.09%$58,729$84,709$63,709$39,903
199840.69%1.10%0.83%0.40%$59,136$85,638$64,241$40,061
19985-0.36%-2.71%-1.18%1.38%$58,921$83,316$63,482$40,616
199862.28%3.54%2.71%1.38%$60,265$86,269$65,205$41,176
19987-0.96%-2.27%-1.41%-0.00%$59,686$84,308$64,283$41,174
19988-4.21%-15.65%-8.13%3.96%$57,172$71,110$59,056$42,804
199895.81%6.68%6.08%5.30%$60,493$75,859$62,648$45,074
1998102.01%7.51%3.75%-1.22%$61,710$81,558$64,998$44,526
1998112.16%6.17%3.47%-0.40%$63,042$86,591$67,256$44,347
1998123.27%6.45%4.34%1.11%$65,106$92,179$70,176$44,838
199911.64%3.65%2.31%0.31%$66,176$95,541$71,798$44,977
19992-4.16%-3.73%-4.01%-4.46%$63,423$91,977$68,916$42,973
199932.05%3.93%2.69%0.75%$64,726$95,595$70,770$43,295
199941.72%4.68%2.73%-0.41%$65,836$100,066$72,703$43,119
19995-1.81%-2.00%-1.88%-1.67%$64,644$98,068$71,338$42,398
199961.75%5.16%2.94%-0.81%$65,776$103,128$73,436$42,057
19997-1.60%-3.20%-2.17%-0.34%$64,721$99,832$71,842$41,915
19998-0.37%-0.92%-0.57%0.05%$64,479$98,915$71,435$41,934
19999-0.44%-2.44%-1.14%1.10%$64,198$96,503$70,621$42,394
1999102.44%6.29%3.77%-0.40%$65,764$102,569$73,286$42,224
1999111.13%3.42%1.94%-0.68%$66,506$106,079$74,710$41,938
1999122.62%7.59%4.41%-1.45%$68,250$114,130$78,006$41,329
20001-2.35%-4.18%-2.96%-1.12%$66,649$109,354$75,698$40,866
200022.49%2.54%2.51%2.45%$68,308$112,137$77,596$41,868
200034.32%5.69%4.77%3.43%$71,257$118,514$81,296$43,305
20004-2.66%-5.21%-3.50%-0.97%$69,364$112,341$78,448$42,885
20005-1.27%-3.41%-1.97%0.08%$68,482$108,514$76,904$42,919
200063.20%4.42%3.59%2.46%$70,674$113,310$79,666$43,973
20007-0.48%-1.95%-0.96%0.43%$70,331$111,098$78,901$44,161
200084.52%7.28%5.40%2.84%$73,508$119,186$83,164$45,415
20009-1.84%-4.67%-2.76%-0.05%$72,155$113,620$80,865$45,393
200010-0.33%-2.04%-0.88%0.71%$71,918$111,297$80,156$45,715
200011-1.97%-9.90%-4.48%2.69%$70,500$100,275$76,564$46,945
2000122.75%1.78%2.46%3.25%$72,438$102,061$78,447$48,469
200111.46%3.83%2.25%-0.11%$73,497$105,968$80,213$48,414
20012-2.35%-9.41%-4.74%2.54%$71,770$95,992$76,410$49,646
20013-2.35%-6.72%-3.75%0.33%$70,086$89,541$73,542$49,811
200141.17%8.16%3.35%-2.81%$70,907$96,851$76,007$48,411
200150.29%1.01%0.53%-0.17%$71,113$97,831$76,407$48,331
20016-0.32%-1.64%-0.75%0.53%$70,888$96,230$75,835$48,587
200171.29%-1.71%0.31%3.17%$71,802$94,583$76,072$50,128
20018-0.90%-6.00%-2.53%2.15%$71,156$88,904$74,151$51,205
20019-1.65%-9.00%-3.91%2.39%$69,982$80,905$71,254$52,429
2001102.71%2.52%2.65%2.80%$71,878$82,945$73,146$53,897
2001110.20%7.63%2.36%-3.42%$72,022$89,277$74,872$52,053
200112-0.57%1.78%0.15%-1.85%$71,608$90,869$74,981$51,088
20021-0.24%-1.24%-0.58%0.42%$71,434$89,739$74,548$51,303
200220.34%-2.05%-0.45%1.91%$71,680$87,904$74,215$52,284
20023-0.59%4.38%1.03%-3.72%$71,257$91,752$74,979$50,339
20024-0.29%-4.90%-1.84%2.86%$71,049$87,256$73,597$51,777
20025-0.07%-1.22%-0.44%0.66%$71,001$86,194$73,271$52,118
20026-1.38%-7.06%-3.22%2.15%$70,024$80,106$70,915$53,238
20027-0.85%-8.02%-3.08%3.20%$69,431$73,682$68,733$54,940
200282.43%0.53%1.87%3.38%$71,116$74,072$70,017$56,797
20029-0.22%-10.07%-3.09%4.59%$70,958$66,616$67,856$59,404
2002100.74%7.65%2.61%-2.16%$71,485$71,710$69,625$58,122
2002110.54%6.06%2.10%-2.02%$71,869$76,056$71,088$56,949
2002120.52%-5.57%-1.27%3.57%$72,242$71,822$70,185$58,980
20031-1.66%-2.54%-1.95%-1.07%$71,044$69,997$68,814$58,349
200320.98%-1.69%0.10%2.74%$71,743$68,816$68,882$59,946
200330.00%1.09%0.35%-0.68%$71,744$69,564$69,126$59,538
200343.10%8.21%4.77%-0.17%$73,965$75,274$72,425$59,435
200355.28%6.11%5.56%4.71%$77,871$79,871$76,452$62,233
20036-0.08%1.43%0.44%-1.14%$77,810$81,016$76,785$61,523
20037-3.25%2.36%-1.32%-7.29%$75,281$82,925$75,769$57,037
200381.45%2.39%1.78%0.69%$76,370$84,906$77,120$57,433
200391.91%-1.15%0.81%4.38%$77,829$83,934$77,748$59,951
2003101.15%6.12%2.90%-2.65%$78,728$89,066$80,002$58,364
2003110.78%1.38%1.00%0.28%$79,342$90,296$80,801$58,528
2003122.55%4.48%3.26%0.93%$81,369$94,341$83,431$59,070
200411.64%2.23%1.84%1.25%$82,705$96,447$84,965$59,808
200421.61%1.43%1.55%1.74%$84,039$97,826$86,283$60,847
200430.41%-1.07%-0.09%1.40%$84,383$96,779$86,210$61,700
20044-3.87%-2.11%-3.28%-5.02%$81,121$94,740$83,379$58,604
200450.15%1.35%0.55%-0.65%$81,244$96,014$83,839$58,221
200461.27%2.09%1.55%0.71%$82,276$98,019$85,135$58,632
20047-0.77%-3.80%-1.80%1.34%$81,641$94,292$83,602$59,420
200482.16%0.31%1.54%3.38%$83,402$94,585$84,892$61,429
200490.84%1.74%1.14%0.26%$84,103$96,230$85,857$61,590
2004101.31%1.68%1.43%1.08%$85,209$97,843$87,088$62,255
2004110.55%4.68%1.92%-2.15%$85,682$102,426$88,762$60,914
2004122.28%3.63%2.74%1.33%$87,638$106,149$91,197$61,726
20051-0.37%-2.68%-1.14%1.17%$87,312$103,308$90,157$62,446
20052-0.06%2.07%0.64%-1.42%$87,262$105,448$90,735$61,557
20053-1.15%-1.75%-1.35%-0.75%$86,258$103,606$89,511$61,093
200540.72%-2.32%-0.29%2.72%$86,880$101,199$89,253$62,756
200552.72%3.77%3.06%2.07%$89,245$105,013$91,986$64,054
200560.82%0.81%0.82%0.83%$89,977$105,865$92,738$64,582
200570.12%4.11%1.42%-2.41%$90,084$110,212$94,057$63,023
200581.10%-0.94%0.41%2.48%$91,072$109,171$94,445$64,586
20059-1.01%0.86%-0.39%-2.24%$90,149$110,107$94,072$63,140
200510-1.63%-1.86%-1.71%-1.47%$88,682$108,054$92,467$62,213
2005112.21%3.97%2.80%1.02%$90,639$112,345$95,054$62,848
2005120.75%0.14%0.54%1.18%$91,319$112,497$95,569$63,587
200610.95%3.50%1.80%-0.75%$92,187$116,434$97,289$63,110
200620.13%0.00%0.09%0.22%$92,305$116,434$97,372$63,248
20063-0.47%1.80%0.30%-2.05%$91,868$118,533$97,661$61,949
20064-0.25%1.11%0.22%-1.23%$91,641$119,851$97,876$61,190
20065-1.35%-3.23%-2.01%0.04%$90,401$115,974$95,912$61,211
200660.18%0.17%0.18%0.19%$90,568$116,173$96,085$61,330
200670.92%-0.13%0.56%1.68%$91,405$116,022$96,627$62,358
200682.36%2.31%2.34%2.39%$93,560$118,705$98,890$63,848
200691.63%2.27%1.85%1.19%$95,087$121,395$100,717$64,606
2006101.83%3.53%2.41%0.62%$96,827$125,682$103,145$65,010
2006111.86%2.23%1.99%1.58%$98,625$128,489$105,195$66,040
200612-0.45%1.13%0.10%-1.60%$98,186$129,947$105,301$64,980
200710.42%1.88%0.91%-0.55%$98,599$132,386$106,255$64,623
200720.86%-1.61%0.03%2.55%$99,448$130,252$106,286$66,272
200730.24%1.11%0.53%-0.33%$99,684$131,695$106,845$66,051
200741.93%4.01%2.62%0.55%$101,608$136,977$109,646$66,412
200750.48%3.69%1.56%-1.73%$102,094$142,029$111,358$65,264
20076-1.05%-1.67%-1.27%-0.60%$101,020$139,656$109,949$64,870
20077-0.03%-3.41%-1.19%2.39%$100,985$134,893$108,638$66,419
200781.96%1.45%1.79%2.31%$102,968$136,852$110,585$67,953
200791.43%3.59%2.15%-0.02%$104,442$141,769$112,967$67,940
2007101.50%1.85%1.62%1.26%$106,012$144,392$114,798$68,797
2007110.83%-4.49%-0.98%4.55%$106,891$137,912$113,676$71,927
200712-0.38%-0.60%-0.45%-0.24%$106,483$137,080$113,160$71,754
20081-0.39%-6.08%-2.28%3.41%$106,072$128,745$110,575$74,201
20082-0.24%-3.07%-1.15%1.48%$105,819$124,791$109,308$75,297
200830.40%-0.58%0.09%0.97%$106,240$124,064$109,406$76,024
200840.32%5.02%1.79%-2.36%$106,580$130,294$111,361$74,232
20085-0.48%2.09%0.35%-2.05%$106,072$133,020$111,752$72,710
20086-2.64%-8.19%-4.46%0.91%$103,276$122,123$106,772$73,372
20087-0.07%-0.77%-0.29%0.33%$103,201$121,184$106,461$73,616
200881.63%1.58%1.61%1.65%$104,879$123,101$108,177$74,832
20089-3.28%-9.26%-5.15%0.15%$101,439$111,698$102,602$74,947
200810-6.68%-17.63%-9.96%-0.99%$94,663$92,007$92,383$74,208
2008114.34%-7.90%0.99%9.64%$98,771$84,736$93,293$81,360
2008125.12%1.86%4.30%6.30%$103,826$86,309$97,307$86,488
20091-7.02%-8.26%-7.02%-5.17%$96,536$79,182$90,474$82,017
20092-6.61%-10.45%-6.61%-1.05%$90,151$70,908$84,490$81,158
200936.19%8.65%6.19%2.95%$95,730$77,044$89,719$83,553
200944.65%10.61%4.65%-3.61%$100,180$85,215$93,890$80,540
200952.40%5.38%2.40%-2.34%$102,585$89,799$96,144$78,657
200960.14%0.34%0.14%-0.21%$102,727$90,106$96,277$78,490
200975.09%7.82%5.09%0.38%$107,956$97,155$101,178$78,787
200982.81%3.63%2.81%1.30%$110,993$100,679$104,024$79,814
200993.13%4.23%3.13%1.04%$114,465$104,934$107,278$80,647
200910-1.89%-2.57%-1.89%-0.57%$112,301$102,239$105,249$80,191
2009114.38%5.63%4.38%1.98%$117,216$107,991$109,856$81,781
2009120.22%2.86%0.22%-5.00%$117,479$111,078$110,103$77,690
20101-1.24%-3.50%-1.24%2.15%$116,025$107,193$108,740$79,362
201022.16%3.36%2.16%0.47%$118,536$110,794$111,093$79,734
201033.07%6.27%3.07%-1.59%$122,176$117,743$114,505$78,463
201041.94%2.17%1.94%1.56%$124,542$120,301$116,723$79,691
20105-3.54%-8.00%-3.54%3.52%$120,131$110,676$112,588$82,496
20106-1.98%-5.66%-1.98%3.20%$117,750$104,409$110,357$85,135
201074.16%6.99%4.16%0.51%$122,645$111,712$114,945$85,566
20108-0.89%-4.75%-0.89%4.39%$121,550$106,408$113,918$89,319
201095.12%9.47%5.12%-0.32%$127,770$116,484$119,748$89,032
2010102.00%3.94%2.00%-0.66%$130,327$121,076$122,144$88,442
201011-0.21%0.58%-0.21%-1.34%$130,052$121,773$121,887$87,256
2010122.46%6.81%2.46%-3.91%$133,250$130,065$124,883$83,844
201110.43%2.19%1.02%-0.73%$133,828$132,909$126,155$83,228
201121.63%3.60%2.30%0.29%$136,014$137,689$129,050$83,465
201130.11%0.45%0.22%-0.13%$136,160$138,308$129,340$83,353
201142.15%2.99%2.44%1.56%$139,093$142,445$132,496$84,651
201151.01%-1.16%0.27%2.59%$140,504$140,790$132,849$86,842
20116-1.24%-1.79%-1.42%-0.85%$138,767$138,274$130,958$86,102
201171.07%-2.28%-0.06%3.38%$140,251$135,117$130,875$89,015
201180.96%-5.99%-1.34%5.50%$141,598$127,017$129,124$93,908
20119-0.96%-7.75%-3.10%2.99%$140,244$117,169$125,126$96,720
2011102.57%11.51%5.25%-2.08%$143,854$130,652$131,697$94,712
2011110.51%-0.29%0.26%0.99%$144,594$130,276$132,039$95,649
2011121.49%0.80%1.27%1.90%$146,750$131,316$133,719$97,464
201213.33%5.08%3.33%0.70%$151,638$137,989$138,172$98,149
201222.13%4.26%2.13%-1.20%$154,866$143,864$141,114$96,969
201231.13%3.07%1.13%-2.06%$156,618$148,275$142,711$94,967
201240.58%-0.65%0.58%2.72%$157,523$147,306$143,535$97,549
20125-2.61%-6.24%-2.61%3.48%$153,408$138,121$139,785$100,942
201262.12%3.91%2.12%-0.60%$156,663$143,520$142,751$100,335
201271.26%1.03%1.26%1.62%$158,635$145,002$144,548$101,960
201281.36%2.48%1.36%-0.43%$160,785$148,601$146,508$101,524
201291.37%2.58%1.37%-0.60%$162,984$152,431$148,511$100,911
201210-1.29%-1.76%-1.29%-0.50%$160,882$149,752$146,596$100,403
2012110.86%0.74%0.86%1.06%$162,266$150,857$147,857$101,471
2012120.25%1.19%0.25%-1.32%$162,665$152,659$148,220$100,126
201312.49%5.50%2.49%-2.02%$166,721$161,055$151,916$98,109
201321.30%1.28%1.30%1.35%$168,895$163,111$153,897$99,431
201332.53%3.88%2.53%0.34%$173,163$169,444$157,786$99,768
201341.71%1.70%1.71%1.71%$176,116$172,326$160,477$101,477
20135-0.04%2.32%-0.04%-3.98%$176,052$176,326$160,419$97,443
20136-1.89%-1.27%-1.89%-2.98%$172,726$174,080$157,388$94,535
201373.36%5.49%3.36%-0.49%$178,530$183,629$162,676$94,071
20138-2.32%-2.82%-2.32%-1.35%$174,392$178,444$158,906$92,805
201392.90%3.66%2.90%1.46%$179,451$184,984$163,516$94,156
2013103.07%4.22%3.07%0.83%$184,956$192,796$168,532$94,941
2013111.47%2.88%1.47%-1.35%$187,674$198,352$171,009$93,659
2013121.05%2.63%1.05%-2.26%$189,638$203,571$172,799$91,547
201410.85%-3.11%-0.47%3.48%$191,243$197,246$171,984$94,734
201422.01%4.73%2.89%0.31%$195,086$206,580$176,960$95,027
20143-0.03%0.51%0.15%-0.39%$195,024$207,642$177,222$94,659
201440.48%0.06%0.34%0.75%$195,957$207,773$177,826$95,370
201452.00%2.17%2.06%1.90%$199,885$212,284$181,489$97,179
201460.86%2.54%1.42%-0.23%$201,612$217,672$184,062$96,952
20147-0.93%-1.98%-1.28%-0.23%$199,732$213,363$181,701$96,732
201483.02%4.18%3.41%2.25%$205,768$222,288$187,893$98,912
20149-1.64%-2.14%-1.80%-1.30%$202,402$217,538$184,504$97,628
2014102.13%2.74%2.33%1.72%$206,706$223,499$188,806$99,304
2014112.00%2.41%2.13%1.72%$210,831$228,886$192,835$101,008
2014120.16%-0.01%0.10%0.27%$211,167$228,873$193,036$101,282
201511.70%-2.77%0.21%4.67%$214,747$222,528$193,434$106,016
201520.51%5.76%2.21%-2.75%$215,836$235,351$197,703$103,104
201530.01%-1.04%-0.34%0.71%$215,851$232,910$197,025$103,835
20154-0.33%0.42%-0.08%-0.83%$215,137$233,890$196,865$102,975
201550.28%1.39%0.65%-0.46%$215,749$237,144$198,153$102,505
20156-1.80%-1.71%-1.77%-1.86%$211,864$233,088$194,645$100,596
201571.57%1.63%1.59%1.54%$215,200$236,892$197,748$102,140
20158-2.38%-6.01%-3.60%0.09%$210,069$222,662$190,620$102,236
20159-0.22%-2.95%-1.12%1.53%$209,603$216,087$188,488$103,804
2015102.54%7.84%4.25%-0.72%$214,920$233,038$196,494$103,053
2015110.06%0.54%0.22%-0.27%$215,041$234,297$196,921$102,779
201512-1.03%-2.03%-1.36%-0.35%$212,836$229,540$194,240$102,419
20161-0.27%-5.67%-2.07%3.33%$212,264$216,522$190,221$105,833
201620.91%-0.04%0.60%1.49%$214,192$216,432$191,368$107,407
201632.59%7.01%4.00%-0.06%$219,733$231,606$199,019$107,337
201640.15%0.63%0.31%-0.16%$220,063$233,058$199,630$107,169
201650.64%1.79%1.02%-0.10%$221,480$237,236$201,670$107,063
201661.95%0.23%1.38%3.09%$225,801$237,772$204,450$110,369
201671.69%3.95%2.43%0.25%$229,623$247,164$209,425$110,641
20168-0.50%0.26%-0.25%-1.01%$228,465$247,802$208,901$109,522
201690.20%0.15%0.18%0.24%$228,927$248,174$209,287$109,782
201610-1.78%-2.21%-1.93%-1.49%$224,843$242,678$205,251$108,141
201611-0.76%4.44%0.97%-4.23%$223,135$253,442$207,249$103,570
2016120.74%1.92%1.15%-0.12%$224,788$258,309$209,628$103,448
Portfolio return and risk metrics
MetricTiming PortfolioStock PortfolioBalanced PortfolioBond Portfolio
Arithmetic Mean (monthly)0.84%0.95%0.83%0.64%
Arithmetic Mean (annualized)10.62%11.99%10.47%7.89%
Geometric Mean (monthly)0.81%0.85%0.80%0.61%
Geometric Mean (annualized)10.22%10.70%9.98%7.57%
Volatility (monthly)2.49%4.38%2.73%2.24%
Volatility (annualized)8.63%15.18%9.46%7.76%
Downside Deviation (monthly)1.46%2.94%1.67%1.24%
Max. Drawdown-19.36%-50.89%-26.40%-10.87%
US Market Correlation0.831.000.94-0.06
Beta(*)0.471.000.59-0.03
Alpha (annualized)4.76%-0.00%3.34%7.95%
R269.16%100.00%88.11%0.31%
Sharpe Ratio0.780.530.700.55
Sortino Ratio1.220.751.060.90
Treynor Ratio (%)14.247.9811.27-147.99
Information Ratio-0.13N/A-0.20-0.22
Skewness-0.56-0.90-0.670.13
Excess Kurtosis3.362.762.410.92
Historical Value-at-Risk (5%)-2.94%-7.05%-3.53%-2.96%
Analytical Value-at-Risk (5%)-3.25%-6.26%-3.66%-3.05%
Conditional Value-at-Risk (5%)-5.12%-10.15%-5.75%-4.13%
Upside Capture Ratio (%)56.71100.0064.9515.69
Downside Capture Ratio (%)38.58100.0053.19-19.17
Positive Periods255 out of 384 (66.41%)245 out of 384 (63.80%)257 out of 384 (66.93%)239 out of 384 (62.24%)
Gain/Loss Ratio1.260.981.091.27
* 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 PeriodStartEndTiming PortfolioStock PortfolioBalanced PortfolioBond Portfolio
Black Monday PeriodSep 1987Nov 1987-19.36%-29.34%-19.36%-3.24%
Asian CrisisJul 1997Jan 1998-2.67%-3.72%-3.04%-1.84%
Russian Debt DefaultJul 1998Oct 1998-5.13%-17.57%-9.43%-1.22%
Dotcom CrashMar 2000Oct 2002-5.55%-44.11%-18.41%-6.60%
Subprime CrisisNov 2007Mar 2009-15.66%-50.89%-26.40%-6.16%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-19.36%
2Dec 2007Feb 20091 year 3 monthsJul 20095 months1 year 8 months-15.66%
3Jul 1990Sep 19903 monthsJan 19914 months7 months-9.02%
4Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.96%
5Sep 1986Sep 19861 monthJan 19874 months5 months-6.91%
6Sep 2000Jul 20021 year 11 monthsApr 20039 months2 years 8 months-5.55%
7May 2010Jun 20102 monthsSep 20103 months5 months-5.45%
8Jan 1990Apr 19904 monthsMay 19901 month5 months-5.35%
9Jul 1998Aug 19982 monthsSep 19981 month3 months-5.13%
10Jul 1986Jul 19861 monthAug 19861 month2 months-4.61%
Worst 10 drawdowns included above

Drawdowns for Stock Portfolio

Drawdowns for Stock Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.34%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.20%
6Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
7Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
8Sep 1986Sep 19861 monthJan 19874 months5 months-7.92%
9Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
10Jan 1990Jan 19901 monthMay 19904 months5 months-7.01%
Worst 10 drawdowns included above

Drawdowns for Balanced Portfolio

Drawdowns for Balanced Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-26.40%
2Sep 1987Nov 19873 monthsJan 19891 year 2 months1 year 5 months-19.36%
3Sep 2000Sep 20022 years 1 monthDec 20031 year 3 months3 years 4 months-18.41%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-9.43%
5Jul 1990Sep 19903 monthsJan 19914 months7 months-9.02%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.96%
7Sep 1986Sep 19861 monthJan 19874 months5 months-5.91%
8Jun 2011Sep 20114 monthsDec 20113 months7 months-5.81%
9May 2010Jun 20102 monthsSep 20103 months5 months-5.45%
10Apr 2000May 20002 monthsAug 20003 months5 months-5.40%
Worst 10 drawdowns included above

Drawdowns for Bond Portfolio

Drawdowns for Bond Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 1987Sep 19877 monthsJan 19884 months11 months-10.87%
2Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-10.21%
3Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-10.17%
4Nov 1993Nov 19941 year 1 monthMay 19956 months1 year 7 months-10.14%
5Oct 1998Jan 20001 year 4 monthsAug 20007 months1 year 11 months-9.34%
6Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-8.35%
7Feb 1996May 19964 monthsNov 19966 months10 months-6.90%
8Sep 2010Jan 20115 monthsAug 20117 months1 year-6.82%
9Nov 2001Mar 20025 monthsJul 20024 months9 months-6.60%
10Aug 2016Dec 20165 months-6.50%
Worst 10 drawdowns included above
Timing periods and related holdings for the timing portfolio
#StartEndMonthsStock AllocationBond AllocationTiming PortfolioStock PortfolioBalanced PortfolioBond Portfolio
1Jan 1985Dec 19862480%20%51.85%50.40%53.29%57.57%
2Jan 1987Dec 19871260%40%0.51%2.61%0.51%-2.64%
3Jan 1988Dec 19881280%20%15.23%17.32%13.15%6.90%
4Jan 1989Dec 19958460%40%141.87%160.66%141.87%113.02%
5Jan 1996Dec 200815640%60%144.06%82.88%130.76%147.58%
6Jan 2009Dec 20102460%40%28.34%50.70%28.34%-3.06%
7Jan 2011Dec 20111240%60%10.13%0.96%7.07%16.24%
8Jan 2012Dec 20132460%40%29.23%55.02%29.23%-6.07%
9Jan 2014Dec 20163640%60%18.54%26.89%21.31%13.00%