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 adjusts 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.
$ .00
$ .00
%
%
Timing Periods
Length
Unit
Weight
Time Period #1
%
Time Period #2
%
Time Period #3
%
Time Period #4
%
Time Period #5
%
Volatility Period
%
Asset 1
%
Asset 2
%
Asset 3
%
Asset 4
%
Asset 5
%
Asset 6
%
Asset 7
%
Asset 8
%
Asset 9
%
Asset 10
%
Total
%

Market Timing Results (Jan 1994 - Dec 2018)

Market timing results from 1994 to 2018 for Vanguard Total Stock Mkt Idx Inv (VTSMX) are based on 200 trading day simple moving average. The timing portfolio 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. Timing model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for Vanguard Total Stock Mkt Idx Inv (VTSMX) [May 1992 - Sep 2019].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$123,15310.57%10.54%35.79%-7.00%-17.57% 0.791.210.72
Buy & Hold Portfolio$10,000$85,0928.94%14.79%35.79%-37.04%-50.89% 0.500.701.00
Save timing model »
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • Out of market returns are based on 1-month treasury bill returns for cash or the selected alternative asset
  • The moving average signal is based on total return and accounts for splits and dividends
  • Monthly moving average period calculations are based on end-of-month samples
  • Additional trading costs and taxes for 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 excluding cashflows
  • 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
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Cash (CASHX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
19942.67%-5.68%-0.17%$9,432$9,983-0.17%3.90%
19952.54%35.79%35.79%$12,808$13,55635.79%5.60%
19963.32%20.96%20.96%$15,492$16,39720.96%5.20%
19971.70%30.99%30.99%$20,294$21,47930.99%5.25%
19981.61%8.31%23.26%$21,981$26,47623.26%4.85%
19992.68%16.95%23.81%$25,706$32,78123.81%4.69%
20003.39%-1.49%-10.57%$25,322$29,315-10.57%5.88%
20011.55%3.82%-10.97%$26,290$26,100-10.97%3.82%
20022.38%-3.49%-20.96%$25,372$20,629-20.96%1.63%
20031.88%25.82%31.35%$31,923$27,09731.35%1.02%
20043.26%10.49%12.51%$35,272$30,48812.51%1.19%
20053.42%5.98%5.98%$37,382$32,3125.98%2.98%
20062.54%15.51%15.51%$43,180$37,32415.51%4.81%
20074.08%5.49%5.49%$45,550$39,3725.49%4.67%
20080.09%1.59%-37.04%$46,275$24,790-37.04%1.59%
20092.72%23.75%28.70%$57,263$31,90428.70%0.09%
20101.50%4.99%17.09%$60,119$37,35817.09%0.10%
20112.96%-2.34%0.96%$58,710$37,7170.96%0.04%
20121.74%16.25%16.25%$68,252$43,84716.25%0.06%
20131.50%33.35%33.35%$91,014$58,47033.35%0.00%
20140.76%12.43%12.43%$102,327$65,73712.43%0.00%
20150.73%-4.19%0.29%$98,038$65,9300.29%0.01%
20162.07%11.59%12.53%$109,397$74,19412.53%0.21%
20172.11%21.05%21.05%$132,426$89,81321.05%0.79%
20181.91%-7.00%-5.26%$123,153$85,092-5.26%1.80%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Cash (CASHX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
199413.08%3.08%$10,308$10,3083.08%0.25%
19942-2.24%-2.24%$10,077$10,077-2.24%0.21%
19943-4.44%-4.44%$9,629$9,629-4.44%0.27%
199440.27%0.89%$9,655$9,7150.89%0.27%
199450.31%0.97%$9,685$9,8100.97%0.31%
199460.31%-2.73%$9,715$9,542-2.73%0.31%
199470.28%3.08%$9,743$9,8363.08%0.28%
199480.37%4.39%$9,779$10,2694.39%0.37%
19949-1.85%-1.85%$9,598$10,079-1.85%0.37%
1994101.55%1.55%$9,747$10,2351.55%0.38%
199411-3.65%-3.65%$9,391$9,861-3.65%0.37%
1994120.44%1.23%$9,432$9,9831.23%0.44%
199512.20%2.20%$9,640$10,2032.20%0.42%
199524.04%4.04%$10,030$10,6154.04%0.40%
199532.65%2.65%$10,296$10,8972.65%0.46%
199542.51%2.51%$10,554$11,1702.51%0.44%
199553.48%3.48%$10,921$11,5593.48%0.54%
199562.98%2.98%$11,246$11,9032.98%0.47%
199574.02%4.02%$11,698$12,3824.02%0.45%
199581.07%1.07%$11,824$12,5151.07%0.47%
199593.61%3.61%$12,251$12,9673.61%0.43%
199510-1.17%-1.17%$12,108$12,815-1.17%0.47%
1995114.17%4.17%$12,613$13,3494.17%0.42%
1995121.54%1.54%$12,808$13,5561.54%0.49%
199612.66%2.66%$13,148$13,9162.66%0.43%
199621.62%1.62%$13,361$14,1411.62%0.39%
199631.14%1.14%$13,514$14,3031.14%0.39%
199642.41%2.41%$13,839$14,6482.41%0.46%
199652.66%2.66%$14,208$15,0382.66%0.42%
19966-0.84%-0.84%$14,088$14,911-0.84%0.40%
19967-5.37%-5.37%$13,332$14,110-5.37%0.45%
199683.09%3.09%$13,744$14,5473.09%0.41%
199695.38%5.38%$14,484$15,3305.38%0.44%
1996101.43%1.43%$14,691$15,5491.43%0.42%
1996116.81%6.81%$15,691$16,6086.81%0.41%
199612-1.27%-1.27%$15,492$16,397-1.27%0.46%
199715.46%5.46%$16,338$17,2925.46%0.45%
19972-0.11%-0.11%$16,321$17,274-0.11%0.39%
19973-4.45%-4.45%$15,594$16,504-4.45%0.43%
199744.50%4.50%$16,295$17,2474.50%0.43%
199757.10%7.10%$17,452$18,4717.10%0.49%
199764.37%4.37%$18,214$19,2784.37%0.37%
199777.77%7.77%$19,630$20,7767.77%0.43%
19978-3.72%-3.72%$18,900$20,004-3.72%0.41%
199795.77%5.77%$19,990$21,1585.77%0.44%
199710-3.40%-3.40%$19,312$20,440-3.40%0.42%
1997113.33%3.33%$19,955$21,1213.33%0.39%
1997121.70%1.70%$20,294$21,4791.70%0.48%
199810.44%0.44%$20,384$21,5740.44%0.43%
199827.34%7.34%$21,881$23,1597.34%0.39%
199835.06%5.06%$22,988$24,3315.06%0.39%
199841.10%1.10%$23,240$24,5981.10%0.43%
19985-2.71%-2.71%$22,610$23,931-2.71%0.40%
199863.54%3.54%$23,411$24,7793.54%0.41%
19987-2.27%-2.27%$22,879$24,215-2.27%0.40%
19988-15.65%-15.65%$19,298$20,425-15.65%0.43%
199890.46%6.68%$19,386$21,7896.68%0.46%
1998100.32%7.51%$19,448$23,4267.51%0.32%
1998116.17%6.17%$20,648$24,8716.17%0.31%
1998126.45%6.45%$21,981$26,4766.45%0.38%
199913.65%3.65%$22,783$27,4423.65%0.35%
19992-3.73%-3.73%$21,933$26,418-3.73%0.35%
199933.93%3.93%$22,795$27,4573.93%0.43%
199944.68%4.68%$23,862$28,7424.68%0.37%
19995-2.00%-2.00%$23,385$28,168-2.00%0.34%
199965.16%5.16%$24,592$29,6215.16%0.40%
19997-3.20%-3.20%$23,806$28,675-3.20%0.38%
19998-0.92%-0.92%$23,587$28,411-0.92%0.39%
19999-2.44%-2.44%$23,012$27,718-2.44%0.39%
1999100.39%6.29%$23,102$29,4616.29%0.39%
1999113.42%3.42%$23,892$30,4693.42%0.36%
1999127.59%7.59%$25,706$32,7817.59%0.44%
20001-4.18%-4.18%$24,630$31,410-4.18%0.41%
200022.54%2.54%$25,257$32,2092.54%0.43%
200035.69%5.69%$26,693$34,0405.69%0.47%
20004-5.21%-5.21%$25,303$32,268-5.21%0.46%
20005-3.41%-3.41%$24,441$31,168-3.41%0.50%
200064.42%4.42%$25,521$32,5464.42%0.40%
20007-1.95%-1.95%$25,023$31,910-1.95%0.48%
200087.28%7.28%$26,845$34,2347.28%0.50%
20009-4.67%-4.67%$25,591$32,635-4.67%0.51%
200010-2.04%-2.04%$25,068$31,968-2.04%0.56%
2000110.51%-9.90%$25,196$28,802-9.90%0.51%
2000120.50%1.78%$25,322$29,3151.78%0.50%
200110.54%3.83%$25,458$30,4373.83%0.54%
200120.38%-9.41%$25,555$27,571-9.41%0.38%
200130.42%-6.72%$25,662$25,719-6.72%0.42%
200140.39%8.16%$25,763$27,8188.16%0.39%
200150.32%1.01%$25,845$28,1001.01%0.32%
200160.28%-1.64%$25,917$27,640-1.64%0.28%
200170.30%-1.71%$25,995$27,167-1.71%0.30%
200180.31%-6.00%$26,076$25,536-6.00%0.31%
200190.28%-9.00%$26,149$23,238-9.00%0.28%
2001100.22%2.52%$26,206$23,8242.52%0.22%
2001110.17%7.63%$26,251$25,6437.63%0.17%
2001120.15%1.78%$26,290$26,1001.78%0.15%
200210.14%-1.24%$26,327$25,776-1.24%0.14%
200220.13%-2.05%$26,361$25,248-2.05%0.13%
200230.13%4.38%$26,395$26,3544.38%0.13%
20024-4.90%-4.90%$25,102$25,062-4.90%0.15%
200250.14%-1.22%$25,137$24,757-1.22%0.14%
200260.13%-7.06%$25,170$23,009-7.06%0.13%
200270.15%-8.02%$25,208$21,163-8.02%0.15%
200280.14%0.53%$25,243$21,2750.53%0.14%
200290.14%-10.07%$25,278$19,134-10.07%0.14%
2002100.14%7.65%$25,314$20,5977.65%0.14%
2002110.12%6.06%$25,344$21,8456.06%0.12%
2002120.11%-5.57%$25,372$20,629-5.57%0.11%
200310.10%-2.54%$25,397$20,105-2.54%0.10%
200320.09%-1.69%$25,420$19,766-1.69%0.09%
200330.10%1.09%$25,446$19,9811.09%0.10%
200340.10%8.21%$25,471$21,6218.21%0.10%
200356.11%6.11%$27,027$22,9416.11%0.09%
200361.43%1.43%$27,414$23,2701.43%0.10%
200372.36%2.36%$28,060$23,8182.36%0.07%
200382.39%2.39%$28,730$24,3872.39%0.07%
20039-1.15%-1.15%$28,401$24,108-1.15%0.08%
2003106.12%6.12%$30,138$25,5826.12%0.07%
2003111.38%1.38%$30,554$25,9351.38%0.07%
2003124.48%4.48%$31,923$27,0974.48%0.08%
200412.23%2.23%$32,635$27,7022.23%0.07%
200421.43%1.43%$33,102$28,0981.43%0.06%
20043-1.07%-1.07%$32,747$27,797-1.07%0.09%
20044-2.11%-2.11%$32,058$27,211-2.11%0.08%
200451.35%1.35%$32,489$27,5771.35%0.06%
200462.09%2.09%$33,167$28,1532.09%0.08%
20047-3.80%-3.80%$31,906$27,083-3.80%0.10%
200480.11%0.31%$31,941$27,1670.31%0.11%
200490.11%1.74%$31,976$27,6401.74%0.11%
2004101.68%1.68%$32,512$28,1031.68%0.11%
2004114.68%4.68%$34,035$29,4194.68%0.15%
2004123.63%3.63%$35,272$30,4883.63%0.16%
20051-2.68%-2.68%$34,328$29,672-2.68%0.16%
200522.07%2.07%$35,039$30,2872.07%0.16%
20053-1.75%-1.75%$34,427$29,758-1.75%0.21%
20054-2.32%-2.32%$33,627$29,067-2.32%0.21%
200553.77%3.77%$34,895$30,1623.77%0.24%
200560.81%0.81%$35,178$30,4070.81%0.23%
200574.11%4.11%$36,622$31,6554.11%0.24%
20058-0.94%-0.94%$36,277$31,357-0.94%0.30%
200590.86%0.86%$36,587$31,6250.86%0.29%
200510-1.86%-1.86%$35,905$31,036-1.86%0.27%
2005113.97%3.97%$37,331$32,2683.97%0.31%
2005120.14%0.14%$37,382$32,3120.14%0.32%
200613.50%3.50%$38,690$33,4433.50%0.35%
200620.00%0.00%$38,690$33,4430.00%0.34%
200631.80%1.80%$39,387$34,0451.80%0.37%
200641.11%1.11%$39,825$34,4241.11%0.36%
20065-3.23%-3.23%$38,537$33,310-3.23%0.43%
200660.17%0.17%$38,603$33,3670.17%0.40%
20067-0.13%-0.13%$38,553$33,324-0.13%0.40%
200682.31%2.31%$39,444$34,0952.31%0.42%
200692.27%2.27%$40,338$34,8672.27%0.41%
2006103.53%3.53%$41,763$36,0993.53%0.41%
2006112.23%2.23%$42,696$36,9052.23%0.42%
2006121.13%1.13%$43,180$37,3241.13%0.40%
200711.88%1.88%$43,990$38,0241.88%0.44%
20072-1.61%-1.61%$43,281$37,411-1.61%0.38%
200731.11%1.11%$43,761$37,8261.11%0.43%
200744.01%4.01%$45,516$39,3434.01%0.44%
200753.69%3.69%$47,194$40,7943.69%0.41%
20076-1.67%-1.67%$46,406$40,112-1.67%0.40%
20077-3.41%-3.41%$44,823$38,744-3.41%0.40%
200781.45%1.45%$45,474$39,3071.45%0.42%
200793.59%3.59%$47,108$40,7193.59%0.32%
2007101.85%1.85%$47,980$41,4721.85%0.32%
200711-4.49%-4.49%$45,827$39,611-4.49%0.34%
200712-0.60%-0.60%$45,550$39,372-0.60%0.27%
200810.21%-6.08%$45,646$36,979-6.08%0.21%
200820.13%-3.07%$45,705$35,843-3.07%0.13%
200830.17%-0.58%$45,783$35,634-0.58%0.17%
200840.18%5.02%$45,865$37,4235.02%0.18%
200850.18%2.09%$45,948$38,2062.09%0.18%
200860.17%-8.19%$46,026$35,076-8.19%0.17%
200870.15%-0.77%$46,095$34,807-0.77%0.15%
200880.13%1.58%$46,155$35,3571.58%0.13%
200890.15%-9.26%$46,224$32,082-9.26%0.15%
2008100.08%-17.63%$46,261$26,426-17.63%0.08%
2008110.03%-7.90%$46,275$24,338-7.90%0.03%
2008120.00%1.86%$46,275$24,7901.86%0.00%
200910.00%-8.26%$46,275$22,743-8.26%0.00%
200920.01%-10.45%$46,280$20,366-10.45%0.01%
200930.02%8.65%$46,289$22,1298.65%0.02%
200940.01%10.61%$46,294$24,47610.61%0.01%
200950.00%5.38%$46,294$25,7925.38%0.00%
200960.34%0.34%$46,452$25,8810.34%0.01%
200977.82%7.82%$50,086$27,9057.82%0.01%
200983.63%3.63%$51,903$28,9173.63%0.01%
200994.23%4.23%$54,096$30,1394.23%0.01%
200910-2.57%-2.57%$52,707$29,365-2.57%0.00%
2009115.63%5.63%$55,672$31,0175.63%0.00%
2009122.86%2.86%$57,263$31,9042.86%0.01%
20101-3.50%-3.50%$55,261$30,788-3.50%0.00%
201023.36%3.36%$57,117$31,8233.36%0.00%
201036.27%6.27%$60,699$33,8186.27%0.01%
201042.17%2.17%$62,018$34,5532.17%0.01%
20105-8.00%-8.00%$57,056$31,788-8.00%0.01%
20106-5.66%-5.66%$53,825$29,989-5.66%0.01%
201070.01%6.99%$53,831$32,0866.99%0.01%
201080.01%-4.75%$53,836$30,563-4.75%0.01%
201090.01%9.47%$53,842$33,4579.47%0.01%
2010103.94%3.94%$55,964$34,7763.94%0.01%
2010110.58%0.58%$56,286$34,9760.58%0.01%
2010126.81%6.81%$60,119$37,3586.81%0.01%
201112.19%2.19%$61,433$38,1742.19%0.01%
201123.60%3.60%$63,643$39,5473.60%0.01%
201130.45%0.45%$63,929$39,7250.45%0.01%
201142.99%2.99%$65,841$40,9132.99%0.00%
20115-1.16%-1.16%$65,076$40,438-1.16%0.00%
20116-1.79%-1.79%$63,913$39,715-1.79%0.00%
20117-2.28%-2.28%$62,454$38,809-2.28%0.00%
20118-5.99%-5.99%$58,710$36,482-5.99%0.01%
201190.00%-7.75%$58,710$33,654-7.75%0.00%
2011100.00%11.51%$58,710$37,52611.51%0.00%
2011110.00%-0.29%$58,710$37,418-0.29%0.00%
2011120.00%0.80%$58,710$37,7170.80%0.00%
201215.08%5.08%$61,694$39,6345.08%0.00%
201224.26%4.26%$64,320$41,3214.26%0.00%
201233.07%3.07%$66,293$42,5883.07%0.00%
20124-0.65%-0.65%$65,859$42,310-0.65%0.00%
20125-6.24%-6.24%$61,752$39,671-6.24%0.01%
201263.91%3.91%$64,167$41,2223.91%0.00%
201271.03%1.03%$64,829$41,6481.03%0.00%
201282.48%2.48%$66,438$42,6812.48%0.01%
201292.58%2.58%$68,150$43,7822.58%0.01%
201210-1.76%-1.76%$66,952$43,012-1.76%0.01%
2012110.74%0.74%$67,447$43,3300.74%0.01%
2012121.19%1.19%$68,252$43,8471.19%0.01%
201315.50%5.50%$72,006$46,2585.50%0.00%
201321.28%1.28%$72,925$46,8491.28%0.00%
201333.88%3.88%$75,756$48,6683.88%0.00%
201341.70%1.70%$77,045$49,4961.70%0.00%
201352.32%2.32%$78,834$50,6452.32%0.00%
20136-1.27%-1.27%$77,830$50,000-1.27%0.00%
201375.49%5.49%$82,099$52,7425.49%0.00%
20138-2.82%-2.82%$79,781$51,253-2.82%0.00%
201393.66%3.66%$82,704$53,1313.66%0.00%
2013104.22%4.22%$86,197$55,3754.22%0.00%
2013112.88%2.88%$88,681$56,9712.88%0.00%
2013122.63%2.63%$91,014$58,4702.63%0.00%
20141-3.11%-3.11%$88,187$56,653-3.11%0.00%
201424.73%4.73%$92,360$59,3344.73%0.00%
201430.51%0.51%$92,835$59,6390.51%0.00%
201440.06%0.06%$92,893$59,6770.06%0.00%
201452.17%2.17%$94,910$60,9732.17%0.00%
201462.54%2.54%$97,319$62,5202.54%0.00%
20147-1.98%-1.98%$95,392$61,283-1.98%0.00%
201484.18%4.18%$99,383$63,8464.18%0.00%
20149-2.14%-2.14%$97,259$62,482-2.14%0.00%
2014102.74%2.74%$99,924$64,1942.74%0.00%
2014112.41%2.41%$102,332$65,7412.41%0.00%
201412-0.01%-0.01%$102,327$65,737-0.01%0.00%
20151-2.77%-2.77%$99,490$63,915-2.77%0.00%
201525.76%5.76%$105,223$67,5985.76%0.00%
20153-1.04%-1.04%$104,132$66,897-1.04%0.00%
201540.42%0.42%$104,570$67,1780.42%0.00%
201551.39%1.39%$106,024$68,1131.39%0.00%
20156-1.71%-1.71%$104,211$66,948-1.71%0.00%
201571.63%1.63%$105,912$68,0401.63%0.00%
20158-6.03%-6.03%$99,530$63,941-6.03%0.00%
201590.00%-2.93%$99,530$62,065-2.93%0.00%
2015100.00%7.84%$99,530$66,9337.84%0.00%
2015110.54%0.54%$100,068$67,2950.54%0.00%
201512-2.03%-2.03%$98,038$65,930-2.03%0.01%
201610.01%-5.67%$98,048$62,191-5.67%0.01%
201620.02%-0.04%$98,068$62,165-0.04%0.02%
201630.02%7.01%$98,087$66,5247.01%0.02%
201640.63%0.63%$98,703$66,9410.63%0.01%
201651.79%1.79%$100,472$68,1411.79%0.01%
201660.23%0.23%$100,699$68,2950.23%0.02%
201673.95%3.95%$104,676$70,9923.95%0.02%
201680.26%0.26%$104,947$71,1760.26%0.02%
201690.15%0.15%$105,104$71,2820.15%0.02%
201610-2.21%-2.21%$102,776$69,704-2.21%0.02%
2016114.44%4.44%$107,335$72,7954.44%0.01%
2016121.92%1.92%$109,397$74,1941.92%0.03%
201711.91%1.91%$111,485$75,6101.91%0.04%
201723.71%3.71%$115,622$78,4153.71%0.04%
201730.07%0.07%$115,698$78,4680.07%0.03%
201741.05%1.05%$116,913$79,2921.05%0.05%
201751.01%1.01%$118,089$80,0891.01%0.06%
201760.92%0.92%$119,177$80,8270.92%0.06%
201771.87%1.87%$121,401$82,3351.87%0.07%
201780.15%0.15%$121,578$82,4550.15%0.09%
201792.45%2.45%$124,561$84,4782.45%0.09%
2017102.16%2.16%$127,249$86,3012.16%0.09%
2017113.04%3.04%$131,122$88,9283.04%0.08%
2017120.99%0.99%$132,426$89,8130.99%0.09%
201815.31%5.31%$139,455$94,5795.31%0.11%
20182-3.72%-3.72%$134,273$91,065-3.72%0.11%
20183-1.99%-1.99%$131,596$89,249-1.99%0.12%
201840.38%0.38%$132,094$89,5870.38%0.14%
201852.79%2.79%$135,781$92,0882.79%0.14%
201860.68%0.68%$136,702$92,7120.68%0.14%
201873.34%3.34%$141,264$95,8063.34%0.16%
201883.44%3.44%$146,126$99,1043.44%0.16%
201890.16%0.16%$146,360$99,2620.16%0.15%
201810-7.40%-7.40%$135,526$91,915-7.40%0.19%
2018110.18%2.06%$135,770$93,8102.06%0.18%
201812-9.29%-9.29%$123,153$85,092-9.29%0.19%
Portfolio return and risk metrics
MetricTiming PortfolioBuy & Hold Portfolio
Arithmetic Mean (monthly)0.89%0.81%
Arithmetic Mean (annualized)11.18%10.15%
Geometric Mean (monthly)0.84%0.72%
Geometric Mean (annualized)10.57%8.94%
Volatility (monthly)3.04%4.27%
Volatility (annualized)10.54%14.79%
Downside Deviation (monthly)1.88%2.92%
Max. Drawdown-17.57%-50.89%
US Market Correlation0.721.00
Beta(*)0.511.00
Alpha (annualized)5.69%0.00%
R251.26%100.00%
Sharpe Ratio0.790.50
Sortino Ratio1.210.70
Treynor Ratio (%)16.247.34
Calmar Ratio0.500.62
Active Return1.62%-0.00%
Tracking Error10.33%0.00%
Information Ratio0.16-0.01
Skewness-0.72-0.77
Excess Kurtosis2.871.45
Historical Value-at-Risk (5%)-4.43%-7.74%
Analytical Value-at-Risk (5%)-4.12%-6.22%
Conditional Value-at-Risk (5%)-6.52%-9.92%
Upside Capture Ratio (%)72.47100.00
Downside Capture Ratio (%)54.60100.00
Safe Withdrawal Rate10.49%9.19%
Perpetual Withdrawal Rate7.57%6.19%
Positive Periods220 out of 300 (73.33%)196 out of 300 (65.33%)
Gain/Loss Ratio0.710.85
* 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 PortfolioBuy & Hold Portfolio
Asian CrisisJul 1997Jan 1998-3.72%-3.72%
Russian Debt DefaultJul 1998Oct 1998-17.57%-17.57%
Dotcom CrashMar 2000Oct 2002-8.44%-44.11%
Subprime CrisisNov 2007Mar 2009-5.06%-50.89%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1998Aug 19982 monthsApr 19998 months10 months-17.57%
2Oct 2018Dec 20183 months-15.86%
3May 2010Jun 20102 monthsFeb 20118 months10 months-13.21%
4May 2011Aug 20114 monthsMar 20127 months11 months-10.83%
5Feb 1994Nov 199410 monthsApr 19955 months1 year 3 months-8.90%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Jun 2015Dec 20157 monthsNov 201611 months1 year 6 months-7.53%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
9Sep 2000Oct 20002 monthsMay 20032 years 7 months2 years 9 months-6.62%
10Jul 1999Sep 19993 monthsDec 19993 months6 months-6.42%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
10Jun 1996Jul 19962 monthsSep 19962 months4 months-6.17%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year11.24%35.79%-7.00%10.53%35.79%-37.04%
3 years11.32%29.10%-0.43%9.70%29.10%-14.31%
5 years10.87%22.20%4.57%8.79%26.84%-1.76%
7 years10.42%15.77%7.55%7.62%16.61%-0.73%
10 years10.28%14.10%7.73%6.97%13.13%-0.66%
15 years10.20%12.78%8.42%6.64%10.30%4.75%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioBuy & Hold Portfolio
1Jan 1994Mar 19943100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -3.71%-3.71%-3.71%
2Apr 1994Aug 19945100.00% Cash (CASHX)CASHX: 1.55%1.55%6.64%
3Sep 1994Nov 19943100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -3.96%-3.96%-3.96%
4Dec 1994Dec 19941100.00% Cash (CASHX)CASHX: 0.44%0.44%1.23%
5Jan 1995Aug 199844100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 104.59%104.59%104.59%
6Sep 1998Oct 19982100.00% Cash (CASHX)CASHX: 0.78%0.78%14.69%
7Nov 1998Sep 199911100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 18.32%18.32%18.32%
8Oct 1999Oct 19991100.00% Cash (CASHX)CASHX: 0.39%0.39%6.29%
9Nov 1999Oct 200012100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 8.51%8.51%8.51%
10Nov 2000Mar 200217100.00% Cash (CASHX)CASHX: 5.30%5.30%-17.56%
11Apr 2002Apr 20021100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -4.90%-4.90%-4.90%
12May 2002Apr 200312100.00% Cash (CASHX)CASHX: 1.47%1.47%-13.73%
13May 2003Jul 200415100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 25.26%25.26%25.26%
14Aug 2004Sep 20042100.00% Cash (CASHX)CASHX: 0.22%0.22%2.06%
15Oct 2004Dec 200739100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 42.45%42.45%42.45%
16Jan 2008May 200917100.00% Cash (CASHX)CASHX: 1.63%1.63%-34.49%
17Jun 2009Jun 201013100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 16.27%16.27%16.27%
18Jul 2010Sep 20103100.00% Cash (CASHX)CASHX: 0.03%0.03%11.57%
19Oct 2010Aug 201111100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 9.04%9.04%9.04%
20Sep 2011Dec 20114100.00% Cash (CASHX)CASHX: 0.00%0.00%3.38%
21Jan 2012Aug 201544100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 69.53%69.53%69.53%
22Sep 2015Oct 20152100.00% Cash (CASHX)CASHX: 0.00%0.00%4.68%
23Nov 2015Dec 20152100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -1.50%-1.50%-1.50%
24Jan 2016Mar 20163100.00% Cash (CASHX)CASHX: 0.05%0.05%0.90%
25Apr 2016Oct 201831100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 38.17%38.17%38.17%
26Nov 2018Nov 20181100.00% Cash (CASHX)CASHX: 0.18%0.18%2.06%
27Dec 2018Dec 20181100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -9.29%-9.29%-9.29%
28Jan 2019Jan 20191100.00% Cash (CASHX)---