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.
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 - Apr 2022].
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
Market 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
Total Return
Annualized Return
Annualized Standard Deviation
3 Month
Year To Date
1 year
3 year
5 year
10 year
Full
3 year
5 year
Moving Average Model
17.64%
17.24%
17.24%
19.56%
12.77%
17.53%
16.96%
18.27%
17.66%
Vanguard 500 Index Investor
9.03%
31.33%
31.33%
15.12%
11.55%
13.40%
8.96%
12.10%
11.98%
Trailing return and volatility are as of last full calendar month ending December 2019
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.
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.
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.
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)
Return
Balance
Return
Balance
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)
Return
Balance
Return
Balance
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%
Standard Deviation (monthly)
5.21%
4.32%
Standard Deviation (annualized)
18.05%
14.95%
Downside Deviation (monthly)
3.25%
2.98%
Maximum Drawdown
-21.52%
-48.47%
Stock 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
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