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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Asset 2
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Asset 3
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Model Simulation Results (Jan 1985 - Dec 2018) Save

Tactical asset allocation model results from Jan 1985 to Dec 2018 are based on the Shiller PE10 ratio market valuation. The tactical asset allocation model 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 RatioMarket Correlation
Valuation Model$10,000$243,2209.84%8.46%31.69%-2.98%-19.36% 0.761.180.83
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Valuation Model-3.96%-1.51%-1.51%4.55%5.10%8.89%9.84%4.45%4.63%
Trailing return and volatility are as of last full calendar month ending December 2018
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The results for both valuation based model and buy-and-hold comparison portfolios assume annual 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.
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationValuation Model ReturnValuation Model Balance
19853.80%30.99%$13,099
19861.10%15.93%$15,185
19874.43%0.51%$15,263
19884.42%15.23%$17,588
19894.65%24.01%$21,811
19906.11%-0.57%$21,687
19913.06%27.00%$27,542
19922.90%8.36%$29,844
19932.75%11.56%$33,295
19942.67%-2.98%$32,303
19952.54%31.69%$42,540
19963.32%8.38%$46,107
19971.70%19.58%$55,133
19981.61%18.09%$65,106
19992.68%4.83%$68,250
20003.39%6.14%$72,438
20011.55%-1.15%$71,608
20022.38%0.89%$72,242
20031.88%12.63%$81,369
20043.26%7.70%$87,638
20053.42%4.20%$91,319
20062.54%7.52%$98,186
20074.08%8.45%$106,483
20080.09%-2.49%$103,826
20092.72%13.15%$117,479
20101.50%13.42%$133,250
20112.96%10.13%$146,750
20121.74%10.84%$162,665
20131.50%16.58%$189,638
20140.76%11.35%$211,167
20150.73%0.79%$212,836
20162.07%5.62%$224,788
20172.11%9.86%$246,946
20181.91%-1.51%$243,220
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthValuation Model ReturnValuation Model Balance
198517.95%$10,795
198520.81%$10,882
198530.14%$10,898
198540.32%$10,933
198555.98%$11,586
198561.58%$11,769
19857-0.24%$11,741
19858-0.05%$11,736
19859-3.13%$11,368
1985104.08%$11,832
1985116.15%$12,559
1985124.30%$13,099
198610.71%$13,192
198627.11%$14,130
198635.81%$14,952
19864-0.54%$14,872
198653.12%$15,335
198662.12%$15,661
19867-4.61%$14,940
198685.79%$15,805
19869-6.91%$14,713
1986104.05%$15,308
1986111.53%$15,542
198612-2.29%$15,185
198718.09%$16,414
198723.20%$16,939
198730.85%$17,083
19874-2.41%$16,672
19875-0.10%$16,655
198763.24%$17,194
198772.63%$17,647
198782.05%$18,009
19879-2.44%$17,569
198710-13.52%$15,193
198711-4.41%$14,522
1987125.10%$15,263
198814.41%$15,936
198824.44%$16,644
19883-1.54%$16,388
198840.66%$16,495
19885-0.31%$16,443
198864.61%$17,201
19887-0.75%$17,073
19888-2.29%$16,681
198893.62%$17,286
1988101.75%$17,588
198811-1.64%$17,300
1988121.67%$17,588
198914.61%$18,399
19892-1.60%$18,105
198931.64%$18,402
198943.95%$19,129
198953.74%$19,845
198961.43%$20,129
198975.66%$21,268
198980.52%$21,379
19899-0.02%$21,375
198910-0.54%$21,261
1989111.43%$21,564
1989121.14%$21,811
19901-5.28%$20,659
199021.01%$20,869
199031.38%$21,156
19904-2.43%$20,643
199056.71%$22,028
199060.40%$22,116
19907-0.20%$22,072
19908-6.42%$20,655
19909-2.59%$20,120
1990100.11%$20,142
1990115.05%$21,158
1990122.50%$21,687
199113.38%$22,420
199124.50%$23,430
199131.97%$23,892
199140.57%$24,028
199152.64%$24,664
19916-3.04%$23,914
199173.38%$24,723
199182.88%$25,436
199190.37%$25,531
1991101.30%$25,864
199111-1.93%$25,365
1991128.58%$27,542
19921-1.46%$27,139
199221.13%$27,446
19923-1.96%$26,909
199240.92%$27,156
199251.33%$27,517
19926-0.35%$27,421
199273.76%$28,452
19928-0.72%$28,247
199291.61%$28,701
199210-0.37%$28,594
1992112.29%$29,249
1992122.03%$29,844
199311.74%$30,362
199321.57%$30,838
199331.66%$31,350
19934-1.50%$30,879
199351.65%$31,389
199361.63%$31,900
19937-0.05%$31,884
199383.71%$33,066
199390.35%$33,181
1993101.05%$33,530
199311-2.00%$32,861
1993121.32%$33,295
199412.43%$34,105
19942-2.48%$33,259
19943-4.24%$31,848
19944-0.05%$31,831
199450.52%$31,997
19946-1.90%$31,389
199472.72%$32,243
199482.72%$33,119
19949-2.05%$32,441
1994100.71%$32,671
199411-2.30%$31,921
1994121.20%$32,303
199512.24%$33,028
199523.75%$34,267
199531.89%$34,915
199542.12%$35,655
199554.56%$37,280
199562.27%$38,125
199571.95%$38,869
199581.35%$39,392
199592.74%$40,472
199510-0.14%$40,416
1995113.54%$41,846
1995121.66%$42,540
199611.25%$43,073
19962-1.40%$42,472
19963-0.12%$42,421
19964-0.01%$42,418
199650.70%$42,714
199660.43%$42,896
19967-2.31%$41,906
199680.98%$42,315
199693.63%$43,853
1996102.38%$44,896
1996114.56%$46,943
199612-1.78%$46,107
199712.07%$47,061
199720.15%$47,130
19973-3.02%$45,705
199743.02%$47,087
199753.47%$48,719
199762.85%$50,107
199775.74%$52,981
19978-2.67%$51,567
199793.73%$53,492
199710-0.06%$53,459
1997111.62%$54,327
1997121.48%$55,133
199811.47%$55,942
199822.77%$57,494
199832.15%$58,729
199840.69%$59,136
19985-0.36%$58,921
199862.28%$60,265
19987-0.96%$59,686
19988-4.21%$57,172
199895.81%$60,493
1998102.01%$61,710
1998112.16%$63,042
1998123.27%$65,106
199911.64%$66,176
19992-4.16%$63,423
199932.05%$64,726
199941.72%$65,836
19995-1.81%$64,644
199961.75%$65,776
19997-1.60%$64,721
19998-0.37%$64,479
19999-0.44%$64,198
1999102.44%$65,764
1999111.13%$66,506
1999122.62%$68,250
20001-2.35%$66,649
200022.49%$68,308
200034.32%$71,257
20004-2.66%$69,364
20005-1.27%$68,482
200063.20%$70,674
20007-0.48%$70,331
200084.52%$73,508
20009-1.84%$72,155
200010-0.33%$71,918
200011-1.97%$70,500
2000122.75%$72,438
200111.46%$73,497
20012-2.35%$71,770
20013-2.35%$70,086
200141.17%$70,907
200150.29%$71,113
20016-0.32%$70,888
200171.29%$71,802
20018-0.90%$71,156
20019-1.65%$69,982
2001102.71%$71,878
2001110.20%$72,022
200112-0.57%$71,608
20021-0.24%$71,434
200220.34%$71,680
20023-0.59%$71,257
20024-0.29%$71,049
20025-0.07%$71,001
20026-1.38%$70,024
20027-0.85%$69,431
200282.43%$71,116
20029-0.22%$70,958
2002100.74%$71,485
2002110.54%$71,869
2002120.52%$72,242
20031-1.66%$71,044
200320.98%$71,743
200330.00%$71,744
200343.10%$73,965
200355.28%$77,871
20036-0.08%$77,810
20037-3.25%$75,281
200381.45%$76,370
200391.91%$77,829
2003101.15%$78,728
2003110.78%$79,342
2003122.55%$81,369
200411.64%$82,705
200421.61%$84,039
200430.41%$84,383
20044-3.87%$81,121
200450.15%$81,244
200461.27%$82,276
20047-0.77%$81,641
200482.16%$83,402
200490.84%$84,103
2004101.31%$85,209
2004110.55%$85,682
2004122.28%$87,638
20051-0.37%$87,312
20052-0.06%$87,262
20053-1.15%$86,258
200540.72%$86,880
200552.72%$89,245
200560.82%$89,977
200570.12%$90,084
200581.10%$91,072
20059-1.01%$90,149
200510-1.63%$88,682
2005112.21%$90,639
2005120.75%$91,319
200610.95%$92,187
200620.13%$92,305
20063-0.47%$91,868
20064-0.25%$91,641
20065-1.35%$90,401
200660.18%$90,568
200670.92%$91,405
200682.36%$93,560
200691.63%$95,087
2006101.83%$96,827
2006111.86%$98,625
200612-0.45%$98,186
200710.42%$98,599
200720.86%$99,448
200730.24%$99,684
200741.93%$101,608
200750.48%$102,094
20076-1.05%$101,020
20077-0.03%$100,985
200781.96%$102,968
200791.43%$104,442
2007101.50%$106,012
2007110.83%$106,891
200712-0.38%$106,483
20081-0.39%$106,072
20082-0.24%$105,819
200830.40%$106,240
200840.32%$106,580
20085-0.48%$106,072
20086-2.64%$103,276
20087-0.07%$103,201
200881.63%$104,879
20089-3.28%$101,439
200810-6.68%$94,663
2008114.34%$98,771
2008125.12%$103,826
20091-7.02%$96,536
20092-6.61%$90,151
200936.19%$95,730
200944.65%$100,180
200952.40%$102,585
200960.14%$102,727
200975.09%$107,956
200982.81%$110,993
200993.13%$114,465
200910-1.89%$112,301
2009114.38%$117,216
2009120.22%$117,479
20101-1.24%$116,025
201022.16%$118,536
201033.07%$122,176
201041.94%$124,542
20105-3.54%$120,131
20106-1.98%$117,750
201074.16%$122,645
20108-0.89%$121,550
201095.12%$127,770
2010102.00%$130,327
201011-0.21%$130,052
2010122.46%$133,250
201110.43%$133,828
201121.63%$136,014
201130.11%$136,160
201142.15%$139,093
201151.01%$140,504
20116-1.24%$138,767
201171.07%$140,251
201180.96%$141,598
20119-0.96%$140,244
2011102.57%$143,854
2011110.51%$144,594
2011121.49%$146,750
201213.33%$151,638
201222.13%$154,866
201231.13%$156,618
201240.58%$157,523
20125-2.61%$153,408
201262.12%$156,663
201271.26%$158,635
201281.36%$160,785
201291.37%$162,984
201210-1.29%$160,882
2012110.86%$162,266
2012120.25%$162,665
201312.49%$166,721
201321.30%$168,895
201332.53%$173,163
201341.71%$176,116
20135-0.04%$176,052
20136-1.89%$172,726
201373.36%$178,530
20138-2.32%$174,392
201392.90%$179,451
2013103.07%$184,956
2013111.47%$187,674
2013121.05%$189,638
201410.85%$191,243
201422.01%$195,086
20143-0.03%$195,024
201440.48%$195,957
201452.00%$199,885
201460.86%$201,612
20147-0.93%$199,732
201483.02%$205,768
20149-1.64%$202,402
2014102.13%$206,706
2014112.00%$210,831
2014120.16%$211,167
201511.70%$214,747
201520.51%$215,836
201530.01%$215,851
20154-0.33%$215,137
201550.28%$215,749
20156-1.80%$211,864
201571.57%$215,200
20158-2.39%$210,052
20159-0.21%$209,603
2015102.54%$214,920
2015110.06%$215,041
201512-1.03%$212,836
20161-0.27%$212,264
201620.91%$214,192
201632.59%$219,733
201640.15%$220,063
201650.64%$221,480
201661.95%$225,801
201671.69%$229,623
20168-0.50%$228,465
201690.20%$228,927
201610-1.78%$224,843
201611-0.76%$223,135
2016120.74%$224,788
201710.90%$226,801
201721.93%$231,179
201730.08%$231,354
201741.08%$233,862
201750.90%$235,968
201760.08%$236,154
201770.99%$238,501
201780.91%$240,668
201790.18%$241,091
2017100.81%$243,039
2017111.15%$245,835
2017120.45%$246,946
201810.83%$249,002
20182-2.09%$243,786
20183-0.14%$243,448
20184-0.61%$241,965
201851.72%$246,130
201860.40%$247,104
201871.07%$249,741
201882.04%$254,833
20189-0.62%$253,250
201810-3.36%$244,733
2018111.63%$248,727
201812-2.21%$243,220
Portfolio return and risk metrics
MetricValuation Model
Arithmetic Mean (monthly)0.82%
Arithmetic Mean (annualized)10.23%
Geometric Mean (monthly)0.79%
Geometric Mean (annualized)9.84%
Standard Deviation (monthly)2.44%
Standard Deviation (annualized)8.46%
Downside Deviation (monthly)1.44%
Maximum Drawdown-19.36%
Stock Market Correlation0.83
Beta(*)0.47
Alpha (annualized)4.55%
R269.11%
Sharpe Ratio0.76
Sortino Ratio1.18
Treynor Ratio (%)13.67
Calmar Ratio1.00
Active Return-0.64%
Tracking Error9.24%
Information Ratio-0.07
Skewness-0.55
Excess Kurtosis3.51
Historical Value-at-Risk (5%)-2.66%
Analytical Value-at-Risk (5%)-3.20%
Conditional Value-at-Risk (5%)-4.92%
Upside Capture Ratio (%)56.02
Downside Capture Ratio (%)38.43
Safe Withdrawal Rate9.68%
Perpetual Withdrawal Rate6.60%
Positive Periods273 out of 408 (66.91%)
Gain/Loss Ratio1.22
* 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 PeriodStartEndValuation Model
Black Monday PeriodSep 1987Nov 1987-19.36%
Asian CrisisJul 1997Jan 1998-2.67%
Russian Debt DefaultJul 1998Oct 1998-5.13%
Dotcom CrashMar 2000Oct 2002-5.55%
Subprime CrisisNov 2007Mar 2009-15.66%

Drawdowns for Valuation Model

Drawdowns for Valuation Model (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
Rolling returns summary
Roll PeriodAverageHighLow
1 year10.10%37.20%-14.81%
3 years9.58%19.76%-0.78%
5 years9.65%16.88%1.41%
7 years9.61%15.57%3.33%
10 years9.36%14.10%3.58%
15 years9.01%13.66%6.87%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsStock AllocationBond AllocationValuation Model
10Jan 2019Dec 20191240%60%-
9Jan 2014Dec 20186040%60%28.25%
8Jan 2012Dec 20132460%40%29.23%
7Jan 2011Dec 20111240%60%10.13%
6Jan 2009Dec 20102460%40%28.34%
5Jan 1996Dec 200815640%60%144.06%
4Jan 1989Dec 19958460%40%141.87%
3Jan 1988Dec 19881280%20%15.23%
2Jan 1987Dec 19871260%40%0.51%
1Jan 1985Dec 19862480%20%51.85%