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:

Shiller PE Ratio Market Valuation
Seasonal Model
Moving Averages - Single Asset
Moving Averages - Portfolio Assets
Momentum - Relative Strength
Momentum - Dual Momentum
Momentum - Adaptive Allocation
Target Volatility

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.

Timing Model

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Ticker

Tickers

Single absolute momentum

Absolute momentum asset

Target Volatility

Use Downside Volatility

Out Of Market Start Month

Out Of Market End Month

Out of Market Asset

Specify out of market asset

Buy Signal

Type of Moving Average

Performance Periods

Period Weighting

Timing Period

Timing period in trading days

Type of Moving Average #2

Timing Period #2

Timing period #2 in trading days

Exclude Previous Month

Normalize Returns

Volatility Period

Volatility window in trading days

Assets to hold

Allocation Weights

Risk Control

Risk Window Period

Risk window in trading days

Specify signal asset

Stop Loss

Stop Loss Threshold

Stop Loss Asset

Specify stop-loss asset

Trading Frequency

Signal Asset

Specify signal asset

Trade Execution

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraraged Benchmark

Compared Allocation

Benchmark

Benchmark Ticker

Timing Periods

Length

Unit

Weight

Time Period #1

Period 1 length

Period 1 time unit

Period 1 weight %

Time Period #2

Period 2 length

Period 2 time unit

Period 2 weight %

Time Period #3

Period 3 length

Period 3 time unit

Period 3 weight %

Time Period #4

Period 4 length

Period 4 time unit

Period 4 weight %

Time Period #5

Period 5 length

Period 5 time unit

Period 5 weight %

Volatility Period

Volatility period length

Volatility period time unit

Volatility period weight %

Asset 1

Select asset 1

Enter percentage allocation for asset 1 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 %

Total

Total allocation for portfolio %

Model Simulation Results (Jan 2008 - Dec 2019) Save

Tactical asset allocation model results from Jan 2008 to Dec 2019 for ProShares Ultra S&P500 (SSO) are based on 200 trading day simple moving average. The tactical asset allocation model is invested in the asset when the adjusted close price is greater than or equal to the moving average, otherwise the portfolio is invested in Cash (CASHX). Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for ProShares Ultra S&P500 (SSO) [Jul 2006 - Aug 2021].

Performance statistics for the timing portfolio and benchmark portfolios
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	$65,526	16.96%	18.05%	70.46%	-10.93%	-21.52%	0.93	1.48	0.58
Vanguard 500 Index Investor	$10,000	$28,013	8.96%	14.95%	32.18%	-37.02%	-48.47%	0.61	0.88	1.00

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Moving Average Model	17.64%	17.24%	19.56%	12.77%	17.53%	16.96%	18.27%	17.66%
Vanguard 500 Index Investor	9.03%	31.33%	15.12%	11.55%	13.40%	8.96%	12.10%	11.98%
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows.

Notes on results:

Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Out of market returns are based on 3-month treasury bill returns for cash or the selected alternative asset
The moving average signal is based on total return and accounts for splits and dividends
Monthly moving average period calculations are based on end-of-month samples
Additional trading costs and taxes for tactical asset allocation models are not reflected in the results
CAGR = Compound Annual Growth Rate
Stdev = Annualized standard deviation of monthly returns
Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdowns are calculated based on monthly returns excluding cashflows
Refer to the FAQ section regarding the data sources and methodology descriptions

Annual returns for the timing portfolio and various benchmark portfolios
Year	Inflation	Moving Average Model		Vanguard 500 Index Investor		ProShares Ultra S&P500 (SSO)	Cash (CASHX)
Year	Inflation	Return	Balance	Return	Balance	ProShares Ultra S&P500 (SSO)	Cash (CASHX)
2008	0.09%	1.53%	$10,153	-37.02%	$6,298	-67.94%	1.53%
2009	2.72%	28.31%	$13,028	26.49%	$7,966	47.26%	0.16%
2010	1.50%	16.20%	$15,139	14.91%	$9,154	26.83%	0.14%
2011	2.96%	-7.77%	$13,963	1.97%	$9,334	-2.92%	0.07%
2012	1.74%	20.25%	$16,791	15.82%	$10,811	31.04%	0.08%
2013	1.50%	70.46%	$28,623	32.18%	$14,290	70.46%	0.05%
2014	0.76%	25.53%	$35,931	13.51%	$16,220	25.53%	0.03%
2015	0.73%	-10.93%	$32,003	1.25%	$16,422	-1.19%	0.05%
2016	2.07%	19.79%	$38,337	11.82%	$18,363	21.55%	0.30%
2017	2.11%	44.35%	$55,340	21.67%	$22,342	44.35%	0.88%
2018	1.91%	0.99%	$55,889	-4.52%	$21,331	-14.62%	1.90%
2019	2.29%	17.24%	$65,526	31.33%	$28,013	63.45%	2.13%

Monthly returns for the timing portfolio and various benchmark portfolios
Year	Month	Moving Average Model		Vanguard 500 Index Investor		ProShares Ultra S&P500 (SSO)	Cash (CASHX)
Year	Month	Return	Balance	Return	Balance	ProShares Ultra S&P500 (SSO)	Cash (CASHX)
2008	1	0.28%	$10,028	-6.02%	$9,398	-12.86%	0.28%
2008	2	0.16%	$10,044	-3.25%	$9,093	-5.42%	0.16%
2008	3	0.15%	$10,059	-0.44%	$9,053	-3.07%	0.15%
2008	4	0.11%	$10,070	4.85%	$9,492	9.35%	0.11%
2008	5	0.12%	$10,082	1.29%	$9,615	2.36%	0.12%
2008	6	0.15%	$10,098	-8.44%	$8,804	-16.28%	0.15%
2008	7	0.16%	$10,114	-0.83%	$8,730	-2.55%	0.16%
2008	8	0.14%	$10,127	1.45%	$8,857	2.25%	0.14%
2008	9	0.14%	$10,142	-8.91%	$8,068	-19.63%	0.14%
2008	10	0.08%	$10,149	-16.79%	$6,713	-34.93%	0.08%
2008	11	0.04%	$10,153	-7.17%	$6,231	-16.98%	0.04%
2008	12	0.00%	$10,153	1.07%	$6,298	-1.00%	0.00%
2009	1	0.01%	$10,154	-8.41%	$5,768	-16.48%	0.01%
2009	2	0.02%	$10,156	-10.66%	$5,153	-21.10%	0.02%
2009	3	0.02%	$10,158	8.76%	$5,605	14.58%	0.02%
2009	4	0.02%	$10,160	9.56%	$6,141	20.32%	0.02%
2009	5	0.01%	$10,161	5.62%	$6,486	11.20%	0.01%
2009	6	0.01%	$10,163	0.22%	$6,500	-0.64%	0.01%
2009	7	0.02%	$10,164	7.58%	$6,992	14.46%	0.02%
2009	8	7.39%	$10,915	3.60%	$7,244	7.39%	0.02%
2009	9	7.10%	$11,690	3.72%	$7,513	7.10%	0.01%
2009	10	-4.28%	$11,189	-1.87%	$7,373	-4.28%	0.01%
2009	11	12.33%	$12,569	5.98%	$7,814	12.33%	0.00%
2009	12	3.66%	$13,028	1.95%	$7,966	3.66%	0.01%
2010	1	-7.51%	$12,050	-3.60%	$7,679	-7.51%	0.01%
2010	2	6.11%	$12,786	3.09%	$7,916	6.11%	0.01%
2010	3	12.38%	$14,369	6.01%	$8,392	12.38%	0.01%
2010	4	2.81%	$14,772	1.58%	$8,525	2.81%	0.01%
2010	5	-16.09%	$12,395	-8.01%	$7,842	-16.09%	0.01%
2010	6	0.01%	$12,397	-5.24%	$7,431	-10.92%	0.01%
2010	7	0.02%	$12,399	7.00%	$7,951	14.06%	0.02%
2010	8	0.01%	$12,400	-4.53%	$7,591	-9.25%	0.01%
2010	9	0.01%	$12,402	8.92%	$8,268	18.44%	0.01%
2010	10	7.57%	$13,340	3.79%	$8,581	7.57%	0.01%
2010	11	-0.40%	$13,287	0.00%	$8,581	-0.40%	0.01%
2010	12	13.94%	$15,139	6.67%	$9,154	13.94%	0.01%
2011	1	4.33%	$15,794	2.36%	$9,370	4.33%	0.01%
2011	2	6.94%	$16,891	3.42%	$9,690	6.94%	0.01%
2011	3	-0.39%	$16,825	0.03%	$9,692	-0.39%	0.01%
2011	4	5.74%	$17,791	2.95%	$9,978	5.74%	0.01%
2011	5	-2.38%	$17,368	-1.15%	$9,864	-2.38%	0.00%
2011	6	-3.74%	$16,719	-1.67%	$9,699	-3.74%	0.01%
2011	7	-4.22%	$16,014	-2.05%	$9,500	-4.22%	0.00%
2011	8	-12.81%	$13,962	-5.45%	$8,983	-12.81%	0.01%
2011	9	0.00%	$13,963	-7.04%	$8,350	-13.86%	0.00%
2011	10	0.00%	$13,963	10.91%	$9,262	21.81%	0.00%
2011	11	0.00%	$13,963	-0.23%	$9,240	-1.56%	0.00%
2011	12	0.00%	$13,963	1.02%	$9,334	1.91%	0.00%
2012	1	0.00%	$13,963	4.46%	$9,751	8.97%	0.00%
2012	2	8.45%	$15,143	4.31%	$10,171	8.45%	0.01%
2012	3	6.71%	$16,159	3.28%	$10,504	6.71%	0.01%
2012	4	-1.61%	$15,899	-0.64%	$10,437	-1.61%	0.01%
2012	5	-11.37%	$14,091	-6.02%	$9,809	-11.37%	0.01%
2012	6	7.27%	$15,115	4.11%	$10,212	7.27%	0.01%
2012	7	2.53%	$15,497	1.37%	$10,352	2.53%	0.01%
2012	8	4.61%	$16,212	2.24%	$10,584	4.61%	0.01%
2012	9	4.87%	$17,001	2.58%	$10,857	4.87%	0.01%
2012	10	-4.15%	$16,296	-1.86%	$10,655	-4.15%	0.01%
2012	11	0.94%	$16,449	0.56%	$10,714	0.94%	0.01%
2012	12	2.08%	$16,791	0.90%	$10,811	2.08%	0.01%
2013	1	10.27%	$18,516	5.18%	$11,371	10.27%	0.00%
2013	2	2.16%	$18,917	1.34%	$11,523	2.16%	0.01%
2013	3	7.39%	$20,314	3.74%	$11,954	7.39%	0.01%
2013	4	3.86%	$21,099	1.91%	$12,182	3.86%	0.01%
2013	5	4.55%	$22,060	2.33%	$12,465	4.55%	0.00%
2013	6	-3.11%	$21,373	-1.35%	$12,297	-3.11%	0.00%
2013	7	10.41%	$23,599	5.07%	$12,921	10.41%	0.00%
2013	8	-6.08%	$22,164	-2.91%	$12,545	-6.08%	0.00%
2013	9	6.48%	$23,600	3.12%	$12,936	6.48%	0.00%
2013	10	9.07%	$25,741	4.59%	$13,529	9.07%	0.00%
2013	11	5.77%	$27,228	3.03%	$13,939	5.77%	0.00%
2013	12	5.13%	$28,623	2.51%	$14,290	5.13%	0.01%
2014	1	-7.23%	$26,552	-3.47%	$13,794	-7.23%	0.01%
2014	2	9.06%	$28,958	4.56%	$14,423	9.06%	0.00%
2014	3	1.52%	$29,399	0.82%	$14,542	1.52%	0.00%
2014	4	1.23%	$29,762	0.72%	$14,647	1.23%	0.00%
2014	5	4.41%	$31,074	2.33%	$14,989	4.41%	0.00%
2014	6	4.10%	$32,348	2.05%	$15,297	4.10%	0.00%
2014	7	-2.88%	$31,417	-1.39%	$15,084	-2.88%	0.00%
2014	8	7.87%	$33,890	3.98%	$15,685	7.87%	0.00%
2014	9	-2.93%	$32,895	-1.41%	$15,463	-2.93%	0.00%
2014	10	4.38%	$34,335	2.42%	$15,838	4.38%	0.00%
2014	11	5.54%	$36,236	2.68%	$16,263	5.54%	0.00%
2014	12	-0.84%	$35,931	-0.26%	$16,220	-0.84%	0.00%
2015	1	-6.15%	$33,721	-3.02%	$15,730	-6.15%	0.00%
2015	2	11.40%	$37,566	5.74%	$16,633	11.40%	0.00%
2015	3	-3.43%	$36,277	-1.59%	$16,368	-3.43%	0.00%
2015	4	1.84%	$36,945	0.95%	$16,524	1.84%	0.00%
2015	5	2.31%	$37,798	1.27%	$16,734	2.31%	0.00%
2015	6	-4.09%	$36,252	-1.93%	$16,410	-4.09%	0.00%
2015	7	4.22%	$37,780	2.08%	$16,752	4.22%	0.00%
2015	8	-12.48%	$33,067	-6.05%	$15,739	-12.48%	0.01%
2015	9	0.01%	$33,069	-2.48%	$15,348	-5.54%	0.01%
2015	10	0.00%	$33,069	8.42%	$16,640	17.45%	0.00%
2015	11	0.60%	$33,267	0.29%	$16,688	0.60%	0.01%
2015	12	-3.80%	$32,003	-1.59%	$16,422	-3.80%	0.02%
2016	1	0.01%	$32,007	-4.98%	$15,605	-10.37%	0.01%
2016	2	0.03%	$32,016	-0.15%	$15,582	-0.62%	0.03%
2016	3	0.03%	$32,025	6.78%	$16,638	13.98%	0.03%
2016	4	0.60%	$32,215	0.37%	$16,700	0.60%	0.02%
2016	5	3.18%	$33,239	1.78%	$16,998	3.18%	0.02%
2016	6	0.16%	$33,293	0.25%	$17,041	0.16%	0.03%
2016	7	7.40%	$35,755	3.68%	$17,667	7.40%	0.02%
2016	8	0.10%	$35,790	0.13%	$17,690	0.10%	0.02%
2016	9	-0.28%	$35,690	0.01%	$17,691	-0.28%	0.03%
2016	10	-3.68%	$34,378	-1.83%	$17,367	-3.68%	0.02%
2016	11	7.23%	$36,862	3.70%	$18,009	7.23%	0.03%
2016	12	4.00%	$38,337	1.96%	$18,363	4.00%	0.04%
2017	1	3.47%	$39,666	1.88%	$18,709	3.47%	0.04%
2017	2	7.83%	$42,772	3.96%	$19,450	7.83%	0.04%
2017	3	-0.02%	$42,762	0.10%	$19,470	-0.02%	0.04%
2017	4	1.85%	$43,554	1.02%	$19,668	1.85%	0.06%
2017	5	2.55%	$44,663	1.39%	$19,942	2.55%	0.07%
2017	6	1.04%	$45,127	0.61%	$20,064	1.04%	0.08%
2017	7	3.95%	$46,908	2.04%	$20,474	3.95%	0.08%
2017	8	0.31%	$47,054	0.29%	$20,534	0.31%	0.09%
2017	9	3.82%	$48,850	2.06%	$20,957	3.82%	0.08%
2017	10	4.53%	$51,062	2.32%	$21,442	4.53%	0.09%
2017	11	5.87%	$54,062	3.06%	$22,098	5.87%	0.09%
2017	12	2.36%	$55,340	1.10%	$22,342	2.36%	0.10%
2018	1	11.17%	$61,519	5.71%	$23,618	11.17%	0.11%
2018	2	-8.07%	$56,553	-3.69%	$22,745	-8.07%	0.12%
2018	3	-5.54%	$53,419	-2.56%	$22,164	-5.54%	0.14%
2018	4	0.20%	$53,525	0.37%	$22,247	0.20%	0.14%
2018	5	4.41%	$55,885	2.39%	$22,780	4.41%	0.15%
2018	6	1.02%	$56,453	0.61%	$22,918	1.02%	0.16%
2018	7	7.09%	$60,456	3.71%	$23,768	7.09%	0.16%
2018	8	6.15%	$64,174	3.25%	$24,539	6.15%	0.17%
2018	9	0.89%	$64,748	0.55%	$24,675	0.89%	0.17%
2018	10	-14.01%	$55,674	-6.85%	$22,985	-14.01%	0.18%
2018	11	0.19%	$55,781	2.03%	$23,451	3.15%	0.19%
2018	12	0.19%	$55,889	-9.04%	$21,331	-17.72%	0.19%
2019	1	0.20%	$56,001	8.00%	$23,038	15.73%	0.20%
2019	2	0.20%	$56,112	3.20%	$23,775	6.21%	0.20%
2019	3	3.45%	$58,045	1.94%	$24,236	3.45%	0.20%
2019	4	7.72%	$62,525	4.04%	$25,215	7.72%	0.20%
2019	5	-12.77%	$54,537	-6.36%	$23,610	-12.77%	0.20%
2019	6	0.19%	$54,642	7.03%	$25,271	14.09%	0.19%
2019	7	2.52%	$56,017	1.43%	$25,631	2.52%	0.17%
2019	8	-4.04%	$53,753	-1.59%	$25,223	-4.04%	0.17%
2019	9	3.62%	$55,700	1.86%	$25,692	3.62%	0.16%
2019	10	4.00%	$57,929	2.15%	$26,246	4.00%	0.15%
2019	11	7.07%	$62,022	3.62%	$27,196	7.07%	0.13%
2019	12	5.65%	$65,526	3.01%	$28,013	5.65%	0.13%

Portfolio return and risk metrics
Metric	Moving Average Model	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	1.45%	0.81%
Arithmetic Mean (annualized)	18.86%	10.19%
Geometric Mean (monthly)	1.31%	0.72%
Geometric Mean (annualized)	16.96%	8.96%
Volatility (monthly)	5.21%	4.32%
Volatility (annualized)	18.05%	14.95%
Downside Deviation (monthly)	3.25%	2.98%
Max. Drawdown	-21.52%	-48.47%
US Market Correlation	0.58	1.00
Beta^(*)	0.71	1.00
Alpha (annualized)	10.44%	0.00%
R²	35.07%	100.00%
Sharpe Ratio	0.93	0.61
Sortino Ratio	1.48	0.88
Treynor Ratio (%)	23.50	9.14
Calmar Ratio	1.15	1.12
Active Return	8.00%	N/A
Tracking Error	15.16%	N/A
Information Ratio	0.53	N/A
Skewness	-0.60	-0.80
Excess Kurtosis	1.41	1.65
Historical Value-at-Risk (5%)	-7.46%	-7.15%
Analytical Value-at-Risk (5%)	-7.12%	-6.29%
Conditional Value-at-Risk (5%)	-11.89%	-9.68%
Upside Capture Ratio (%)	127.54	100.00
Downside Capture Ratio (%)	92.48	100.00
Safe Withdrawal Rate	17.10%	9.54%
Perpetual Withdrawal Rate	13.05%	6.67%
Positive Periods	113 out of 144 (78.47%)	98 out of 144 (68.06%)
Gain/Loss Ratio	0.61	0.75
^* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Moving Average Model

Drawdowns for Moving Average Model (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	May 2011	Aug 2011	4 months	Jan 2013	1 year 5 months	1 year 9 months	-21.52%
2	Oct 2018	Aug 2019	11 months	Dec 2019	4 months	1 year 3 months	-16.98%
3	May 2010	May 2010	1 month	Dec 2010	7 months	8 months	-16.09%
4	Jun 2015	Dec 2015	7 months	Dec 2016	1 year	1 year 7 months	-15.33%
5	Feb 2018	Mar 2018	2 months	Aug 2018	5 months	7 months	-13.17%
6	Jan 2010	Jan 2010	1 month	Mar 2010	2 months	3 months	-7.51%
7	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-7.23%
8	Dec 2014	Jan 2015	2 months	Feb 2015	1 month	3 months	-6.94%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-6.08%
10	Oct 2009	Oct 2009	1 month	Nov 2009	1 month	2 months	-4.28%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2008	Feb 2009	1 year 2 months	Feb 2012	3 years	4 years 2 months	-48.47%
2	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
3	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
4	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-6.62%
5	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
6	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
7	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-3.47%
8	Dec 2014	Jan 2015	2 months	Feb 2015	1 month	3 months	-3.27%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-2.91%
10	Jun 2015	Jun 2015	1 month	Jul 2015	1 month	2 months	-1.93%
Worst 10 drawdowns included above

Rolling returns summary
Roll Period	Moving Average Model			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low
1 year	18.69%	70.46%	-18.87%	11.48%	53.61%	-43.32%
3 years	19.10%	38.95%	8.83%	12.86%	25.43%	-2.90%
5 years	19.63%	27.14%	9.66%	13.08%	22.85%	1.57%
7 years	19.66%	24.50%	16.62%	13.08%	17.12%	7.15%
10 years	18.62%	20.37%	16.90%	12.38%	16.52%	8.37%

Timing periods and related holdings for the timing portfolio
#	Start	End	Months	Assets	Asset Performance	Moving Average Model	Vanguard 500 Index Investor
15	Jan 2020	Jan 2020	1	Please sign-in for forward signals	-	-	-
14	Jul 2019	Dec 2019	6	100.00% ProShares Ultra S&P500 (SSO)	SSO: 19.92%	19.92%	10.85%
13	Jun 2019	Jun 2019	1	100.00% Cash (CASHX)	CASHX: 0.19%	0.19%	7.03%
12	Mar 2019	May 2019	3	100.00% ProShares Ultra S&P500 (SSO)	SSO: -2.81%	-2.81%	-0.69%
11	Nov 2018	Feb 2019	4	100.00% Cash (CASHX)	CASHX: 0.79%	0.79%	3.44%
10	Apr 2016	Oct 2018	31	100.00% ProShares Ultra S&P500 (SSO)	SSO: 73.85%	73.85%	38.15%
9	Jan 2016	Mar 2016	3	100.00% Cash (CASHX)	CASHX: 0.07%	0.07%	1.31%
8	Nov 2015	Dec 2015	2	100.00% ProShares Ultra S&P500 (SSO)	SSO: -3.22%	-3.22%	-1.31%
7	Sep 2015	Oct 2015	2	100.00% Cash (CASHX)	CASHX: 0.01%	0.01%	5.73%
6	Feb 2012	Aug 2015	43	100.00% ProShares Ultra S&P500 (SSO)	SSO: 136.81%	136.81%	61.41%
5	Sep 2011	Jan 2012	5	100.00% Cash (CASHX)	CASHX: 0.01%	0.01%	8.55%
4	Oct 2010	Aug 2011	11	100.00% ProShares Ultra S&P500 (SSO)	SSO: 12.58%	12.58%	8.64%
3	Jun 2010	Sep 2010	4	100.00% Cash (CASHX)	CASHX: 0.05%	0.05%	5.43%
2	Aug 2009	May 2010	10	100.00% ProShares Ultra S&P500 (SSO)	SSO: 21.95%	21.95%	12.16%
1	Jan 2008	Jul 2009	19	100.00% Cash (CASHX)	CASHX: 1.64%	1.64%	-30.08%