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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Model Simulation Results (Jan 2011 - Dec 2019) Save

Tactical asset allocation model results from Jan 2011 to Dec 2019 for ProShares UltraPro S&P500 (UPRO) are based on 12 calendar month 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. 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 UltraPro S&P500 (UPRO) [Jul 2009 - Feb 2021].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Moving Average Model$10,000$63,89322.88%27.31%118.49%-18.19%-41.09% 0.881.350.73
Vanguard 500 Index Investor$10,000$30,60213.23%11.59%32.18%-4.52%-16.31% 1.081.781.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Moving Average Model26.85%23.84%27.52%17.04%22.88%27.97%26.96%
Vanguard 500 Index Investor9.03%31.33%15.12%11.55%13.23%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
YearInflationMoving Average ModelVanguard 500 Index InvestorProShares UltraPro S&P500 (UPRO)Cash (CASHX)
ReturnBalanceReturnBalance
20112.96%-15.24%$8,4761.97%$10,197-11.88%0.07%
20121.74%13.82%$9,64715.82%$11,81046.80%0.08%
20131.50%118.49%$21,07932.18%$15,610118.49%0.05%
20140.76%38.00%$29,09013.51%$17,71938.00%0.03%
20150.73%-18.19%$23,7971.25%$17,940-5.24%0.05%
20162.07%29.47%$30,80911.82%$20,06030.79%0.30%
20172.11%71.37%$52,79921.67%$24,40771.37%0.88%
20181.91%-2.28%$51,592-4.52%$23,302-25.15%1.90%
20192.29%23.84%$63,89331.33%$30,602102.31%2.13%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMoving Average Model ReturnVanguard 500 Index Investor ReturnProShares UltraPro S&P500 (UPRO)Cash (CASHX)
201116.56%2.36%6.56%0.01%
2011210.39%3.42%10.39%0.01%
20113-0.80%0.03%-0.80%0.01%
201148.73%2.95%8.73%0.01%
20115-3.93%-1.15%-3.93%0.00%
20116-5.87%-1.67%-5.87%0.01%
20117-6.39%-2.05%-6.39%0.00%
20118-21.09%-5.45%-21.09%0.01%
201190.00%-7.04%-20.69%0.00%
2011100.00%10.91%32.61%0.00%
2011110.00%-0.23%-3.35%0.00%
2011120.00%1.02%2.30%0.00%
201210.00%4.46%13.90%0.00%
201220.01%4.31%13.24%0.01%
201239.29%3.28%9.29%0.01%
20124-2.38%-0.64%-2.38%0.01%
20125-17.35%-6.02%-17.35%0.01%
2012611.47%4.11%11.47%0.01%
201273.52%1.37%3.52%0.01%
201286.53%2.24%6.53%0.01%
201297.52%2.58%7.52%0.01%
201210-5.96%-1.86%-5.96%0.01%
2012111.01%0.56%1.01%0.01%
2012122.82%0.90%2.82%0.01%
2013115.39%5.18%15.39%0.00%
201323.56%1.34%3.56%0.01%
2013311.03%3.74%11.03%0.01%
201345.45%1.91%5.45%0.01%
201356.80%2.33%6.80%0.00%
20136-5.23%-1.35%-5.23%0.00%
2013716.41%5.07%16.41%0.00%
20138-9.21%-2.91%-9.21%0.00%
201399.60%3.12%9.60%0.00%
20131013.76%4.59%13.76%0.00%
2013118.87%3.03%8.87%0.00%
2013127.54%2.51%7.54%0.01%
20141-10.72%-3.47%-10.72%0.01%
2014213.65%4.56%13.65%0.00%
201432.15%0.82%2.15%0.00%
201441.65%0.72%1.65%0.00%
201456.62%2.33%6.62%0.00%
201466.22%2.05%6.22%0.00%
20147-4.44%-1.39%-4.44%0.00%
2014811.95%3.98%11.95%0.00%
20149-4.44%-1.41%-4.44%0.00%
2014106.03%2.42%6.03%0.00%
2014118.34%2.68%8.34%0.00%
201412-1.54%-0.26%-1.54%0.00%
20151-9.47%-3.02%-9.47%0.00%
2015217.48%5.74%17.48%0.00%
20153-5.28%-1.59%-5.28%0.00%
201542.59%0.95%2.59%0.00%
201553.43%1.27%3.43%0.00%
20156-6.21%-1.93%-6.21%0.00%
201576.17%2.08%6.17%0.00%
20158-18.87%-6.05%-18.87%0.01%
201590.01%-2.48%-8.64%0.01%
2015100.00%8.42%26.79%0.00%
2015110.81%0.29%0.81%0.01%
201512-6.06%-1.59%-6.06%0.02%
201610.01%-4.98%-15.38%0.01%
201620.03%-0.15%-1.68%0.03%
201630.03%6.78%21.50%0.03%
201640.81%0.37%0.81%0.02%
201654.65%1.78%4.65%0.02%
20166-0.20%0.25%-0.20%0.03%
2016711.13%3.68%11.13%0.02%
201680.11%0.13%0.11%0.02%
20169-0.54%0.01%-0.54%0.03%
201610-5.62%-1.83%-5.62%0.02%
20161111.05%3.70%11.05%0.03%
2016125.96%1.96%5.96%0.04%
201715.14%1.88%5.14%0.04%
2017211.91%3.96%11.91%0.04%
20173-0.22%0.10%-0.22%0.04%
201742.77%1.02%2.77%0.06%
201753.70%1.39%3.70%0.07%
201761.51%0.61%1.51%0.08%
201775.87%2.04%5.87%0.08%
201780.21%0.29%0.21%0.09%
201795.69%2.06%5.69%0.08%
2017106.83%2.32%6.83%0.09%
2017118.87%3.06%8.87%0.09%
2017123.45%1.10%3.45%0.10%
2018118.22%5.71%18.22%0.11%
20182-13.53%-3.69%-13.53%0.12%
20183-8.69%-2.56%-8.69%0.14%
20184-0.14%0.37%-0.14%0.14%
201856.46%2.39%6.46%0.15%
201861.29%0.61%1.29%0.16%
2018710.73%3.71%10.73%0.16%
201889.09%3.25%9.09%0.17%
201891.20%0.55%1.20%0.17%
201810-20.78%-6.85%-20.78%0.18%
2018110.19%2.03%4.28%0.19%
2018120.19%-9.04%-26.25%0.19%
201910.20%8.00%23.89%0.20%
201920.20%3.20%9.28%0.20%
201934.85%1.94%4.85%0.20%
2019411.81%4.04%11.81%0.20%
20195-18.89%-6.36%-18.89%0.20%
201960.19%7.03%21.37%0.19%
201973.80%1.43%3.80%0.17%
20198-6.62%-1.59%-6.62%0.17%
201995.30%1.86%5.30%0.16%
2019105.70%2.15%5.70%0.15%
20191110.73%3.62%10.73%0.13%
2019128.38%3.01%8.38%0.13%
Portfolio return and risk metrics
MetricMoving Average ModelVanguard 500 Index Investor
Arithmetic Mean (monthly)2.05%1.10%
Arithmetic Mean (annualized)27.55%13.98%
Geometric Mean (monthly)1.73%1.04%
Geometric Mean (annualized)22.88%13.23%
Volatility (monthly)7.88%3.35%
Volatility (annualized)27.31%11.59%
Downside Deviation (monthly)5.11%2.01%
Max. Drawdown-41.09%-16.31%
US Market Correlation0.731.00
Beta(*)1.731.00
Alpha (annualized)1.76%0.00%
R254.16%100.00%
Sharpe Ratio0.881.08
Sortino Ratio1.351.78
Treynor Ratio (%)13.8212.55
Calmar Ratio1.051.12
Active Return9.65%N/A
Tracking Error20.36%N/A
Information Ratio0.47N/A
Skewness-0.73-0.40
Excess Kurtosis0.981.05
Historical Value-at-Risk (5%)-12.55%-5.82%
Analytical Value-at-Risk (5%)-10.92%-4.41%
Conditional Value-at-Risk (5%)-18.42%-6.89%
Upside Capture Ratio (%)232.55100.00
Downside Capture Ratio (%)233.62100.00
Safe Withdrawal Rate21.73%17.64%
Perpetual Withdrawal Rate17.17%10.11%
Positive Periods79 out of 108 (73.15%)78 out of 108 (72.22%)
Gain/Loss Ratio0.740.89
* 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)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011May 20121 year 1 monthMar 201310 months1 year 11 months-41.09%
2Oct 2018Aug 201911 months-26.27%
3Jun 2015Dec 20157 monthsJan 20171 year 1 month1 year 8 months-23.48%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-21.15%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-10.86%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-10.72%
7Aug 2013Aug 20131 monthOct 20132 months3 months-9.21%
8Mar 2015Mar 20151 monthMay 20152 months3 months-5.28%
9Jun 2013Jun 20131 monthJul 20131 month2 months-5.23%
10Jul 2014Jul 20141 monthAug 20141 month2 months-4.44%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMoving Average ModelVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year27.94%118.49%-38.68%13.34%32.18%-6.32%
3 years28.83%60.83%13.30%13.48%22.80%8.68%
5 years25.77%41.17%12.19%12.66%16.20%8.34%
7 years28.18%33.74%21.37%13.60%16.74%12.14%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMoving Average ModelVanguard 500 Index Investor
12Jan 2020Jan 20201Please sign-in for forward signals---
11Jul 2019Dec 20196100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 29.48%29.48%10.85%
10Jun 2019Jun 20191100.00% Cash (CASHX)CASHX: 0.19%0.19%7.03%
9Mar 2019May 20193100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -4.91%-4.91%-0.69%
8Nov 2018Feb 20194100.00% Cash (CASHX)CASHX: 0.79%0.79%3.44%
7Apr 2016Oct 201831100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 115.83%115.83%38.15%
6Jan 2016Mar 20163100.00% Cash (CASHX)CASHX: 0.07%0.07%1.31%
5Nov 2015Dec 20152100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -5.29%-5.29%-1.31%
4Sep 2015Oct 20152100.00% Cash (CASHX)CASHX: 0.01%0.01%5.73%
3Mar 2012Aug 201542100.00% ProShares UltraPro S&P500 (UPRO)UPRO: 196.41%196.41%54.75%
2Sep 2011Feb 20126100.00% Cash (CASHX)CASHX: 0.01%0.01%13.22%
1Jan 2011Aug 20118100.00% ProShares UltraPro S&P500 (UPRO)UPRO: -15.25%-15.25%-1.87%