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.
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Timing Periods
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Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Market Timing Results (Jan 1987 - Dec 2019) Save

Market timing results from 1987 to 2019 for Vanguard 500 Index Investor (VFINX) are based on 8 calendar month simple moving average of Vanguard 500 Index Investor (VFINX). The timing portfolio is invested in the asset when the signal asset adjusted close price is greater than or equal to the moving average, otherwise the portfolio is invested in Vanguard Total Bond Market Index Inv (VBMFX). 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 Bond Market Index Inv (VBMFX) [Jan 1987 - Jan 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$402,67811.85%11.23%37.45%-9.95%-23.52% 0.781.160.74
Buy & Hold Portfolio$10,000$266,95510.47%14.75%37.45%-37.02%-50.97% 0.540.780.99
   
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 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 (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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
19874.43%8.50%4.71%$10,850$10,4714.71%1.54%
19884.42%11.68%16.22%$12,117$12,16916.22%7.35%
19894.65%31.36%31.36%$15,918$15,98631.36%13.64%
19906.11%-9.95%-3.32%$14,335$15,454-3.32%8.65%
19913.06%20.44%30.22%$17,265$20,12530.22%15.25%
19922.90%7.42%7.42%$18,547$21,6197.42%7.14%
19932.75%9.89%9.89%$20,381$23,7579.89%9.68%
19942.67%-2.26%1.18%$19,921$24,0361.18%-2.66%
19952.54%37.45%37.45%$27,380$33,03737.45%18.18%
19963.32%20.16%22.88%$32,899$40,59522.88%3.58%
19971.70%33.19%33.19%$43,818$54,06933.19%9.44%
19981.61%13.31%28.62%$49,648$69,54128.62%8.58%
19992.68%14.24%21.07%$56,720$84,19321.07%-0.76%
20003.39%2.58%-9.06%$58,182$76,568-9.06%11.39%
20011.55%8.43%-12.02%$63,085$67,362-12.02%8.43%
20022.38%-2.16%-22.15%$61,725$52,445-22.15%8.26%
20031.88%25.28%28.50%$77,330$67,39328.50%3.97%
20043.26%10.72%10.74%$85,620$74,63110.74%4.24%
20053.42%2.63%4.77%$87,869$78,1944.77%2.40%
20062.54%15.64%15.64%$101,613$90,42515.64%4.27%
20074.08%6.36%5.39%$108,075$95,2965.39%6.92%
20080.09%5.05%-37.02%$113,536$60,016-37.02%5.05%
20092.72%24.74%26.49%$141,628$75,91226.49%5.93%
20101.50%13.43%14.91%$160,647$87,23414.91%6.42%
20112.96%7.23%1.97%$172,261$88,9491.97%7.56%
20121.74%11.29%15.82%$191,717$103,02415.82%4.05%
20131.50%32.18%32.18%$253,403$136,17332.18%-2.26%
20140.76%13.51%13.51%$287,634$154,56813.51%5.76%
20150.73%-3.49%1.25%$277,582$156,4981.25%0.30%
20162.07%6.56%11.82%$295,798$174,99111.82%2.50%
20172.11%21.67%21.67%$359,891$212,90721.67%3.46%
20181.91%-5.93%-4.52%$338,561$203,275-4.52%-0.13%
20192.29%18.94%31.33%$402,678$266,95531.33%8.61%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
1987113.27%13.27%$11,327$11,32713.27%1.29%
198723.97%3.97%$11,776$11,7763.97%0.54%
198732.86%2.86%$12,113$12,1132.86%-0.64%
19874-0.99%-0.99%$11,992$11,992-0.99%-3.20%
198751.04%1.04%$12,117$12,1171.04%-0.39%
198765.02%5.02%$12,725$12,7255.02%1.42%
198774.91%4.91%$13,351$13,3514.91%-0.11%
198783.84%3.84%$13,863$13,8633.84%-0.77%
19879-2.29%-2.29%$13,547$13,547-2.29%-2.25%
198710-21.73%-21.73%$10,603$10,603-21.73%3.50%
1987110.69%-8.19%$10,677$9,735-8.19%0.69%
1987121.62%7.55%$10,850$10,4717.55%1.62%
198813.09%4.17%$11,185$10,9084.17%3.09%
198821.19%4.59%$11,319$11,4084.59%1.19%
19883-1.15%-3.04%$11,189$11,061-3.04%-1.15%
19884-0.56%1.01%$11,126$11,1731.01%-0.56%
198850.81%0.81%$11,216$11,2640.81%-0.96%
198864.56%4.56%$11,727$11,7774.56%2.68%
19887-0.37%-0.37%$11,684$11,734-0.37%-0.48%
19888-3.40%-3.40%$11,287$11,335-3.40%0.18%
198894.26%4.26%$11,767$11,8174.26%2.19%
1988102.73%2.73%$12,089$12,1402.73%1.46%
198811-1.47%-1.47%$11,910$11,961-1.47%-0.86%
1988121.74%1.74%$12,117$12,1691.74%0.45%
198917.32%7.32%$13,005$13,0607.32%0.87%
19892-2.47%-2.47%$12,684$12,737-2.47%-0.62%
198932.26%2.26%$12,970$13,0252.26%0.26%
198945.18%5.18%$13,643$13,7015.18%1.98%
198954.04%4.04%$14,193$14,2534.04%2.54%
19896-0.59%-0.59%$14,110$14,170-0.59%2.93%
198979.01%9.01%$15,381$15,4469.01%2.19%
198981.86%1.86%$15,667$15,7331.86%-1.60%
19899-0.40%-0.40%$15,603$15,670-0.40%0.47%
198910-2.34%-2.34%$15,238$15,303-2.34%2.46%
1989112.04%2.04%$15,549$15,6152.04%0.75%
1989122.38%2.38%$15,918$15,9862.38%0.74%
19901-6.72%-6.72%$14,849$14,912-6.72%-1.89%
199020.75%1.27%$14,960$15,1021.27%0.75%
199030.08%2.61%$14,972$15,4952.61%0.08%
19904-2.50%-2.50%$14,597$15,108-2.50%-0.90%
199052.86%9.69%$15,015$16,5729.69%2.86%
19906-0.66%-0.66%$14,916$16,463-0.66%1.60%
19907-0.35%-0.35%$14,864$16,405-0.35%1.27%
19908-9.03%-9.03%$13,521$14,923-9.03%-1.21%
199090.72%-4.89%$13,619$14,194-4.89%0.72%
1990101.49%-0.41%$13,822$14,135-0.41%1.49%
1990112.23%6.44%$14,130$15,0466.44%2.23%
1990121.45%2.72%$14,335$15,4542.72%1.45%
199114.35%4.35%$14,959$16,1274.35%1.12%
199127.12%7.12%$16,024$17,2757.12%0.78%
199132.41%2.41%$16,409$17,6902.41%0.69%
199140.20%0.20%$16,441$17,7250.20%0.99%
199154.27%4.27%$17,144$18,4824.27%0.68%
19916-4.56%-4.56%$16,362$17,640-4.56%-0.06%
199174.63%4.63%$17,119$18,4564.63%1.32%
199182.33%2.33%$17,519$18,8862.33%2.05%
19919-1.67%-1.67%$17,226$18,571-1.67%2.01%
1991101.33%1.33%$17,455$18,8181.33%0.96%
199111-4.01%-4.01%$16,755$18,063-4.01%0.74%
1991123.04%11.41%$17,265$20,12511.41%3.04%
19921-1.88%-1.88%$16,940$19,746-1.88%-1.39%
199221.24%1.24%$17,151$19,9921.24%0.62%
19923-1.93%-1.93%$16,821$19,607-1.93%-0.50%
199242.91%2.91%$17,311$20,1782.91%0.71%
199250.48%0.48%$17,395$20,2760.48%1.84%
19926-1.49%-1.49%$17,135$19,973-1.49%1.31%
199274.04%4.04%$17,828$20,7814.04%1.91%
19928-2.07%-2.07%$17,459$20,351-2.07%0.98%
199291.17%1.17%$17,664$20,5891.17%1.26%
1992100.33%0.33%$17,722$20,6570.33%-1.22%
1992113.40%3.40%$18,325$21,3603.40%-0.02%
1992121.21%1.21%$18,547$21,6191.21%1.48%
199310.81%0.81%$18,696$21,7930.81%1.79%
199321.36%1.36%$18,950$22,0881.36%1.96%
199332.11%2.11%$19,349$22,5542.11%0.37%
19934-2.42%-2.42%$18,880$22,007-2.42%0.74%
199352.65%2.65%$19,381$22,5912.65%0.14%
199360.27%0.27%$19,433$22,6510.27%1.80%
19937-0.42%-0.42%$19,350$22,555-0.42%0.61%
199383.79%3.79%$20,083$23,4093.79%1.69%
19939-0.79%-0.79%$19,923$23,223-0.79%0.40%
1993102.08%2.08%$20,337$23,7062.08%0.30%
199311-1.00%-1.00%$20,135$23,470-1.00%-0.97%
1993121.22%1.22%$20,381$23,7571.22%0.48%
199413.38%3.38%$21,070$24,5593.38%1.39%
19942-2.71%-2.71%$20,498$23,893-2.71%-1.78%
19943-4.39%-4.39%$19,598$22,844-4.39%-2.30%
19944-0.83%1.29%$19,435$23,1391.29%-0.83%
199450.00%1.60%$19,436$23,5101.60%0.00%
19946-0.18%-2.45%$19,400$22,935-2.45%-0.18%
199471.84%3.28%$19,758$23,6863.28%1.84%
199484.08%4.08%$20,564$24,6524.08%0.14%
19949-2.45%-2.45%$20,061$24,049-2.45%-1.44%
1994102.25%2.25%$20,511$24,5892.25%-0.07%
199411-3.65%-3.65%$19,762$23,690-3.65%-0.18%
1994120.80%1.46%$19,921$24,0361.46%0.80%
199512.58%2.58%$20,435$24,6572.58%1.90%
199523.88%3.88%$21,228$25,6143.88%2.17%
199532.95%2.95%$21,855$26,3702.95%0.67%
199542.94%2.94%$22,498$27,1462.94%1.31%
199553.95%3.95%$23,387$28,2193.95%3.95%
199562.31%2.31%$23,928$28,8722.31%0.66%
199573.30%3.30%$24,718$29,8263.30%-0.25%
199580.26%0.26%$24,784$29,9050.26%1.18%
199594.21%4.21%$25,828$31,1644.21%0.95%
199510-0.36%-0.36%$25,734$31,051-0.36%1.47%
1995114.38%4.38%$26,861$32,4114.38%1.44%
1995121.93%1.93%$27,380$33,0371.93%1.44%
199613.39%3.39%$28,307$34,1563.39%0.63%
199620.92%0.92%$28,568$34,4710.92%-1.76%
199630.98%0.98%$28,847$34,8080.98%-0.77%
199641.46%1.46%$29,267$35,3151.46%-0.49%
199652.54%2.54%$30,012$36,2132.54%-0.17%
199660.38%0.38%$30,127$36,3520.38%1.27%
19967-4.42%-4.42%$28,795$34,745-4.42%0.25%
19968-0.16%2.10%$28,748$35,4732.10%-0.16%
199695.61%5.61%$30,360$37,4625.61%1.70%
1996102.76%2.76%$31,197$38,4942.76%2.21%
1996117.56%7.56%$33,556$41,4067.56%1.76%
199612-1.96%-1.96%$32,899$40,595-1.96%-0.85%
199716.22%6.22%$34,944$43,1196.22%0.25%
199720.79%0.79%$35,220$43,4590.79%0.11%
19973-4.14%-4.14%$33,763$41,662-4.14%-0.97%
199745.96%5.96%$35,774$44,1435.96%1.49%
199756.09%6.09%$37,952$46,8306.09%0.87%
199764.45%4.45%$39,643$48,9164.45%1.16%
199777.97%7.97%$42,800$52,8127.97%2.80%
19978-5.61%-5.61%$40,400$49,850-5.61%-0.85%
199795.47%5.47%$42,609$52,5765.47%1.45%
199710-3.35%-3.35%$41,182$50,815-3.35%1.45%
1997114.60%4.60%$43,075$53,1524.60%0.33%
1997121.72%1.72%$43,818$54,0691.72%1.04%
199811.11%1.11%$44,305$54,6691.11%1.32%
199827.19%7.19%$47,491$58,6017.19%-0.10%
199835.10%5.10%$49,915$61,5925.10%0.33%
199841.01%1.01%$50,418$62,2121.01%0.51%
19985-1.74%-1.74%$49,539$61,128-1.74%1.02%
199864.07%4.07%$51,556$63,6164.07%0.81%
19987-1.05%-1.05%$51,013$62,946-1.05%0.23%
19988-14.47%-14.47%$43,629$53,835-14.47%1.90%
199891.96%6.41%$44,485$57,2876.41%1.96%
199810-0.55%8.16%$44,238$61,9648.16%-0.55%
1998116.07%6.07%$46,924$65,7266.07%0.49%
1998125.81%5.81%$49,648$69,5415.81%0.38%
199914.20%4.20%$51,735$72,4654.20%0.79%
19992-3.12%-3.12%$50,119$70,201-3.12%-1.77%
199934.00%4.00%$52,122$73,0064.00%0.56%
199943.85%3.85%$54,130$75,8183.85%0.40%
19995-2.39%-2.39%$52,836$74,007-2.39%-0.88%
199965.56%5.56%$55,772$78,1195.56%-0.50%
19997-3.13%-3.13%$54,026$75,674-3.13%-0.39%
19998-0.50%-0.50%$53,758$75,298-0.50%-0.08%
19999-2.74%-2.74%$52,286$73,235-2.74%1.26%
1999100.33%6.33%$52,460$77,8696.33%0.33%
1999112.02%2.02%$53,521$79,4442.02%0.02%
1999125.98%5.98%$56,720$84,1935.98%-0.48%
20001-5.03%-5.03%$53,866$79,956-5.03%-0.17%
20002-1.91%-1.91%$52,839$78,432-1.91%1.18%
200039.76%9.76%$57,996$86,0879.76%1.40%
20004-3.01%-3.01%$56,253$83,499-3.01%-0.49%
20005-2.04%-2.04%$55,107$81,797-2.04%-0.16%
200062.49%2.49%$56,477$83,8322.49%2.15%
20007-1.49%-1.49%$55,635$82,582-1.49%0.88%
200086.19%6.19%$59,079$87,6946.19%1.40%
20009-5.29%-5.29%$55,954$83,055-5.29%0.76%
2000100.57%-0.43%$56,271$82,698-0.43%0.57%
2000111.58%-7.88%$57,161$76,183-7.88%1.58%
2000121.79%0.50%$58,182$76,5680.50%1.79%
200111.76%3.55%$59,206$79,2833.55%1.76%
200120.91%-9.14%$59,744$72,038-9.14%0.91%
200130.54%-6.36%$60,066$67,459-6.36%0.54%
20014-0.46%7.77%$59,787$72,7017.77%-0.46%
200150.73%0.65%$60,225$73,1730.65%0.73%
200160.52%-2.45%$60,541$71,384-2.45%0.52%
200172.23%-1.00%$61,890$70,670-1.00%2.23%
200181.11%-6.27%$62,577$66,236-6.27%1.11%
200190.89%-8.09%$63,137$60,877-8.09%0.89%
2001101.86%1.90%$64,312$62,0311.90%1.86%
200111-1.34%7.65%$63,452$66,7797.65%-1.34%
200112-0.58%0.87%$63,085$67,3620.87%-0.58%
20021-1.47%-1.47%$62,156$66,370-1.47%0.69%
200220.85%-1.94%$62,686$65,085-1.94%0.85%
20023-1.46%3.74%$61,770$67,5213.74%-1.46%
20024-6.07%-6.07%$58,018$63,419-6.07%1.69%
200250.80%-0.75%$58,482$62,941-0.75%0.80%
200260.29%-7.13%$58,651$58,450-7.13%0.29%
200270.48%-7.72%$58,935$53,939-7.72%0.48%
200281.66%0.65%$59,914$54,2910.65%1.66%
200291.53%-10.87%$60,830$48,387-10.87%1.53%
200210-0.61%8.78%$60,458$52,6368.78%-0.61%
2002110.02%5.88%$60,472$55,7295.88%0.02%
2002122.07%-5.89%$61,725$52,445-5.89%2.07%
200310.05%-2.62%$61,756$51,068-2.62%0.05%
200321.38%-1.52%$62,606$50,293-1.52%1.38%
20033-0.13%0.96%$62,527$50,7740.96%-0.13%
200340.87%8.25%$63,069$54,9658.25%0.87%
200355.26%5.26%$66,389$57,8585.26%1.82%
200361.26%1.26%$67,225$58,5871.26%-0.13%
200371.74%1.74%$68,398$59,6091.74%-3.34%
200381.93%1.93%$69,720$60,7611.93%0.61%
20039-1.07%-1.07%$68,973$60,109-1.07%2.71%
2003105.64%5.64%$72,864$63,5005.64%-0.96%
2003110.86%0.86%$73,493$64,0490.86%0.27%
2003125.22%5.22%$77,330$67,3935.22%0.88%
200411.82%1.82%$78,738$68,6201.82%0.86%
200421.38%1.38%$79,823$69,5651.38%1.03%
20043-1.51%-1.51%$78,615$68,512-1.51%0.80%
20044-1.58%-1.58%$77,375$67,432-1.58%-2.61%
200451.36%1.36%$78,426$68,3481.36%-0.43%
200461.93%1.93%$79,939$69,6671.93%0.56%
20047-3.31%-3.31%$77,292$67,360-3.31%0.96%
200481.94%0.38%$78,794$67,6180.38%1.94%
200490.16%1.07%$78,921$68,3391.07%0.16%
2004100.85%1.51%$79,589$69,3741.51%0.85%
2004114.05%4.05%$82,809$72,1814.05%-0.81%
2004123.39%3.39%$85,620$74,6313.39%0.92%
20051-2.45%-2.45%$83,518$72,799-2.45%0.65%
200522.09%2.09%$85,267$74,3232.09%-0.63%
20053-1.76%-1.76%$83,766$73,015-1.76%-0.49%
20054-1.91%-1.91%$82,165$71,619-1.91%1.35%
200551.05%3.17%$83,030$73,8883.17%1.05%
200560.13%0.13%$83,136$73,9820.13%0.55%
200573.71%3.71%$86,217$76,7243.71%-0.99%
20058-0.91%-0.91%$85,430$76,023-0.91%1.36%
200590.79%0.79%$86,108$76,6270.79%-1.10%
200510-1.68%-1.68%$84,663$75,340-1.68%-0.81%
2005113.76%3.76%$87,850$78,1773.76%0.48%
2005120.02%0.02%$87,869$78,1940.02%0.99%
200612.65%2.65%$90,194$80,2622.65%-0.11%
200620.26%0.26%$90,431$80,4730.26%0.37%
200631.23%1.23%$91,543$81,4641.23%-1.00%
200641.33%1.33%$92,764$82,5501.33%-0.21%
20065-2.90%-2.90%$90,077$80,159-2.90%-0.09%
200660.13%0.13%$90,192$80,2610.13%0.10%
200670.61%0.61%$90,740$80,7480.61%1.35%
200682.36%2.36%$92,883$82,6562.36%1.64%
200692.56%2.56%$95,264$84,7742.56%0.81%
2006103.25%3.25%$98,361$87,5303.25%0.72%
2006111.89%1.89%$100,219$89,1841.89%1.11%
2006121.39%1.39%$101,613$90,4251.39%-0.48%
200711.49%1.49%$103,131$91,7751.49%-0.08%
20072-1.97%-1.97%$101,100$89,968-1.97%1.50%
200731.11%1.11%$102,224$90,9681.11%0.02%
200744.42%4.42%$106,740$94,9874.42%0.51%
200753.48%3.48%$110,451$98,2893.48%-0.78%
20076-1.68%-1.68%$108,600$96,642-1.68%-0.39%
20077-3.08%-3.08%$105,250$93,661-3.08%0.84%
200781.50%1.50%$106,827$95,0641.50%1.34%
200793.72%3.72%$110,805$98,6043.72%0.72%
2007101.58%1.58%$112,554$100,1611.58%0.93%
200711-4.19%-4.19%$107,842$95,967-4.19%1.91%
2007120.22%-0.70%$108,075$95,296-0.70%0.22%
200811.69%-6.02%$109,901$89,563-6.02%1.69%
200820.19%-3.25%$110,109$86,651-3.25%0.19%
200830.30%-0.44%$110,436$86,269-0.44%0.30%
20084-0.30%4.85%$110,103$90,4574.85%-0.30%
20085-0.79%1.29%$109,237$91,6261.29%-0.79%
20086-0.01%-8.44%$109,230$83,895-8.44%-0.01%
200870.00%-0.83%$109,231$83,197-0.83%0.00%
200880.70%1.45%$109,995$84,4001.45%0.70%
20089-1.10%-8.91%$108,781$76,883-8.91%-1.10%
200810-2.53%-16.79%$106,025$63,973-16.79%-2.53%
2008113.64%-7.17%$109,885$59,383-7.17%3.64%
2008123.32%1.07%$113,536$60,0161.07%3.32%
20091-0.70%-8.41%$112,745$54,968-8.41%-0.70%
20092-0.42%-10.66%$112,268$49,110-10.66%-0.42%
200931.48%8.76%$113,930$53,4128.76%1.48%
200940.36%9.56%$114,337$58,5179.56%0.36%
200950.85%5.62%$115,308$61,8055.62%0.85%
200960.22%0.22%$115,561$61,9400.22%0.54%
200977.58%7.58%$124,318$66,6347.58%1.43%
200983.60%3.60%$128,792$69,0323.60%1.01%
200993.72%3.72%$133,579$71,5983.72%1.19%
200910-1.87%-1.87%$131,085$70,261-1.87%0.41%
2009115.98%5.98%$138,925$74,4645.98%1.36%
2009121.95%1.95%$141,628$75,9121.95%-1.68%
20101-3.60%-3.60%$136,524$73,177-3.60%1.57%
201023.09%3.09%$140,745$75,4393.09%0.20%
201036.01%6.01%$149,209$79,9766.01%-0.08%
201041.58%1.58%$151,564$81,2381.58%1.06%
20105-8.01%-8.01%$139,431$74,734-8.01%0.87%
201061.61%-5.24%$141,676$70,819-5.24%1.61%
201070.94%7.00%$143,002$75,7737.00%0.94%
201081.48%-4.53%$145,120$72,341-4.53%1.48%
20109-0.01%8.92%$145,103$78,7938.92%-0.01%
2010103.79%3.79%$150,600$81,7783.79%0.36%
2010110.00%0.00%$150,600$81,7780.00%-0.57%
2010126.67%6.67%$160,647$87,2346.67%-1.15%
201112.36%2.36%$164,433$89,2902.36%0.08%
201123.42%3.42%$170,051$92,3403.42%0.16%
201130.03%0.03%$170,094$92,3640.03%-0.01%
201142.95%2.95%$175,109$95,0872.95%1.32%
20115-1.15%-1.15%$173,103$93,997-1.15%1.30%
20116-1.67%-1.67%$170,208$92,426-1.67%-0.39%
20117-2.05%-2.05%$166,724$90,534-2.05%1.58%
201181.46%-5.45%$169,165$85,603-5.45%1.46%
201190.89%-7.04%$170,674$79,574-7.04%0.89%
2011100.16%10.91%$170,947$88,25910.91%0.16%
201111-0.30%-0.23%$170,427$88,053-0.23%-0.30%
2011121.08%1.02%$172,261$88,9491.02%1.08%
201214.46%4.46%$179,952$92,9204.46%0.87%
201224.31%4.31%$187,703$96,9224.31%-0.05%
201233.28%3.28%$193,862$100,1023.28%-0.58%
20124-0.64%-0.64%$192,622$99,462-0.64%1.14%
20125-6.02%-6.02%$181,030$93,476-6.02%0.95%
201260.04%4.11%$181,097$97,3174.11%0.04%
201271.37%1.37%$183,578$98,6511.37%1.39%
201282.24%2.24%$187,689$100,8602.24%0.03%
201292.58%2.58%$192,525$103,4582.58%0.11%
201210-1.86%-1.86%$188,945$101,535-1.86%0.11%
2012110.56%0.56%$190,003$102,1030.56%0.19%
2012120.90%0.90%$191,717$103,0240.90%-0.20%
201315.18%5.18%$201,641$108,3575.18%-0.71%
201321.34%1.34%$204,341$109,8081.34%0.54%
201333.74%3.74%$211,980$113,9133.74%0.08%
201341.91%1.91%$216,026$116,0871.91%0.91%
201352.33%2.33%$221,054$118,7892.33%-1.71%
20136-1.35%-1.35%$218,069$117,185-1.35%-1.65%
201375.07%5.07%$229,130$123,1295.07%0.20%
20138-2.91%-2.91%$222,458$119,544-2.91%-0.64%
201393.12%3.12%$229,402$123,2753.12%0.96%
2013104.59%4.59%$239,924$128,9294.59%0.78%
2013113.03%3.03%$247,189$132,8343.03%-0.35%
2013122.51%2.51%$253,403$136,1732.51%-0.65%
20141-3.47%-3.47%$244,612$131,449-3.47%1.54%
201424.56%4.56%$255,768$137,4444.56%0.48%
201430.82%0.82%$257,875$138,5760.82%-0.15%
201440.72%0.72%$259,743$139,5800.72%0.77%
201452.33%2.33%$265,807$142,8392.33%1.05%
201462.05%2.05%$271,262$145,7702.05%0.11%
20147-1.39%-1.39%$267,496$143,746-1.39%-0.26%
201483.98%3.98%$278,147$149,4703.98%1.13%
20149-1.41%-1.41%$274,218$147,358-1.41%-0.72%
2014102.42%2.42%$280,863$150,9292.42%0.94%
2014112.68%2.68%$288,397$154,9782.68%0.65%
201412-0.26%-0.26%$287,634$154,568-0.26%0.09%
20151-3.02%-3.02%$278,955$149,904-3.02%2.31%
201525.74%5.74%$294,966$158,5085.74%-1.08%
20153-1.59%-1.59%$290,265$155,982-1.59%0.41%
201540.95%0.95%$293,020$157,4620.95%-0.36%
201551.27%1.27%$296,749$159,4661.27%-0.45%
20156-1.93%-1.93%$291,013$156,384-1.93%-1.01%
201572.08%2.08%$297,067$159,6372.08%0.76%
20158-6.04%-6.04%$279,119$149,992-6.04%-0.36%
201590.76%-2.49%$281,231$146,257-2.49%0.76%
2015100.01%8.42%$281,269$158,5768.42%0.01%
2015110.29%0.29%$282,075$159,0300.29%-0.27%
201512-1.59%-1.59%$277,582$156,498-1.59%-0.38%
20161-4.98%-4.98%$263,768$148,709-4.98%1.43%
201620.66%-0.15%$265,509$148,493-0.15%0.66%
201630.94%6.78%$268,015$158,5546.78%0.94%
201640.37%0.37%$269,016$159,1470.37%0.38%
201651.78%1.78%$273,812$161,9841.78%0.01%
201660.25%0.25%$274,497$162,3890.25%1.94%
201673.68%3.68%$284,588$168,3593.68%0.64%
201680.13%0.13%$284,957$168,5770.13%-0.17%
201690.01%0.01%$284,980$168,5910.01%-0.09%
201610-1.83%-1.83%$279,756$165,501-1.83%-0.81%
2016113.70%3.70%$290,105$171,6233.70%-2.64%
2016121.96%1.96%$295,798$174,9911.96%0.24%
201711.88%1.88%$301,368$178,2861.88%0.29%
201723.96%3.96%$313,311$185,3513.96%0.66%
201730.10%0.10%$313,624$185,5370.10%-0.07%
201741.02%1.02%$316,817$187,4261.02%0.76%
201751.39%1.39%$321,233$190,0381.39%0.67%
201760.61%0.61%$323,198$191,2000.61%0.01%
201772.04%2.04%$329,799$195,1052.04%0.39%
201780.29%0.29%$330,767$195,6780.29%0.85%
201792.06%2.06%$337,577$199,7072.06%-0.54%
2017102.32%2.32%$345,401$204,3352.32%0.11%
2017113.06%3.06%$355,968$210,5873.06%-0.17%
2017121.10%1.10%$359,891$212,9071.10%0.44%
201815.71%5.71%$380,450$225,0705.71%-1.09%
20182-3.69%-3.69%$366,394$216,754-3.69%-1.03%
20183-2.56%-2.56%$357,031$211,216-2.56%0.63%
201840.37%0.37%$358,364$212,0040.37%-0.83%
201852.39%2.39%$366,945$217,0802.39%0.61%
201860.61%0.61%$369,165$218,3940.61%0.03%
201873.71%3.71%$382,859$226,4953.71%0.03%
201883.25%3.25%$395,287$233,8473.25%0.52%
201890.55%0.55%$397,478$235,1440.55%-0.54%
201810-6.85%-6.85%$370,255$219,039-6.85%-0.73%
2018110.53%2.03%$372,209$223,4782.03%0.53%
201812-9.04%-9.04%$338,561$203,275-9.04%1.80%
201911.01%8.00%$341,970$219,5418.00%1.01%
20192-0.06%3.20%$341,757$226,5683.20%-0.06%
201931.94%1.94%$348,376$230,9561.94%1.96%
201944.04%4.04%$362,454$240,2894.04%0.04%
20195-6.36%-6.36%$339,386$224,995-6.36%1.83%
201967.03%7.03%$363,254$240,8197.03%1.15%
201971.43%1.43%$368,434$244,2531.43%0.23%
20198-1.59%-1.59%$362,572$240,367-1.59%2.78%
201991.86%1.86%$369,311$244,8351.86%-0.60%
2019102.15%2.15%$377,270$250,1112.15%0.21%
2019113.62%3.62%$390,929$259,1663.62%-0.06%
2019123.01%3.01%$402,678$266,9553.01%-0.15%
Portfolio return and risk metrics
MetricTiming PortfolioBuy & Hold Portfolio
Arithmetic Mean (monthly)0.99%0.93%
Arithmetic Mean (annualized)12.56%11.68%
Geometric Mean (monthly)0.94%0.83%
Geometric Mean (annualized)11.85%10.47%
Volatility (monthly)3.24%4.26%
Volatility (annualized)11.23%14.75%
Downside Deviation (monthly)2.08%2.85%
Max. Drawdown-23.52%-50.97%
US Market Correlation0.740.99
Beta(*)0.550.98
Alpha (annualized)5.78%0.34%
R254.46%97.85%
Sharpe Ratio0.780.54
Sortino Ratio1.160.78
Treynor Ratio (%)15.848.18
Calmar Ratio0.731.12
Active Return1.51%0.12%
Tracking Error10.09%2.19%
Information Ratio0.150.06
Skewness-1.18-0.84
Excess Kurtosis7.412.75
Historical Value-at-Risk (5%)-4.14%-6.88%
Analytical Value-at-Risk (5%)-4.34%-6.08%
Conditional Value-at-Risk (5%)-7.31%-9.93%
Upside Capture Ratio (%)73.1997.74
Downside Capture Ratio (%)53.3796.35
Safe Withdrawal Rate9.15%8.99%
Perpetual Withdrawal Rate8.28%7.13%
Positive Periods279 out of 396 (70.45%)262 out of 396 (66.16%)
Gain/Loss Ratio0.960.89
* 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
Black Monday PeriodSep 1987Nov 1987-23.52%-29.78%
Asian CrisisJul 1997Jan 1998-5.61%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-9.79%-44.82%
Subprime CrisisNov 2007Mar 2009-5.80%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Oct 19872 monthsMay 19891 year 7 months1 year 9 months-23.52%
2Jul 1998Aug 19982 monthsJan 19995 months7 months-15.38%
3Jan 1990Aug 19908 monthsFeb 19916 months1 year 2 months-15.06%
4Oct 2018Dec 20183 monthsDec 20191 year1 year 3 months-14.82%
5Aug 2015Jan 20166 monthsJan 20171 year1 year 6 months-11.21%
6Nov 2001Apr 20026 monthsMay 20031 year 1 month1 year 7 months-9.79%
7May 2010May 20101 monthDec 20107 months8 months-8.01%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.92%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
10Apr 2012May 20122 monthsJan 20138 months10 months-6.62%
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 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
7Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
8Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
10Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year12.43%37.45%-9.95%11.88%37.45%-37.02%
3 years12.12%30.05%2.86%10.80%31.03%-14.60%
5 years12.06%23.28%4.59%10.31%28.49%-2.38%
7 years12.28%17.90%8.50%10.00%21.44%-1.64%
10 years12.39%15.70%8.62%9.49%19.04%-1.46%
15 years11.96%13.97%10.34%8.28%13.56%4.13%
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 1987Oct 198710100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.03%6.03%6.03%
2Nov 1987Apr 19886100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 4.93%4.93%5.38%
3May 1988Jan 199021100.00% Vanguard 500 Index Investor (VFINX)VFINX: 33.46%33.46%33.46%
4Feb 1990Mar 19902100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.83%0.83%3.92%
5Apr 1990Apr 19901100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.50%-2.50%-2.50%
6May 1990May 19901100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 2.86%2.86%9.69%
7Jun 1990Aug 19903100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.95%-9.95%-9.95%
8Sep 1990Dec 19904100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 6.02%6.02%3.56%
9Jan 1991Nov 199111100.00% Vanguard 500 Index Investor (VFINX)VFINX: 16.88%16.88%16.88%
10Dec 1991Dec 19911100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 3.04%3.04%11.41%
11Jan 1992Mar 199427100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.51%13.51%13.51%
12Apr 1994Jul 19944100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.82%0.82%3.69%
13Aug 1994Nov 19944100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.02%0.02%0.02%
14Dec 1994Dec 19941100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.80%0.80%1.46%
15Jan 1995Jul 199619100.00% Vanguard 500 Index Investor (VFINX)VFINX: 44.55%44.55%44.55%
16Aug 1996Aug 19961100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: -0.16%-0.16%2.10%
17Sep 1996Aug 199824100.00% Vanguard 500 Index Investor (VFINX)VFINX: 51.76%51.76%51.76%
18Sep 1998Oct 19982100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.40%1.40%15.10%
19Nov 1998Sep 199911100.00% Vanguard 500 Index Investor (VFINX)VFINX: 18.19%18.19%18.19%
20Oct 1999Oct 19991100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.33%0.33%6.33%
21Nov 1999Sep 200011100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.66%6.66%6.66%
22Oct 2000Dec 200115100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 12.74%12.74%-18.89%
23Jan 2002Jan 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.47%-1.47%-1.47%
24Feb 2002Mar 20022100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: -0.62%-0.62%1.73%
25Apr 2002Apr 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.07%-6.07%-6.07%
26May 2002Apr 200312100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 8.71%8.71%-13.33%
27May 2003Jul 200415100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.55%22.55%22.55%
28Aug 2004Oct 20043100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 2.97%2.97%2.99%
29Nov 2004Apr 20056100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.24%3.24%3.24%
30May 2005May 20051100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.05%1.05%3.17%
31Jun 2005Nov 200730100.00% Vanguard 500 Index Investor (VFINX)VFINX: 29.88%29.88%29.88%
32Dec 2007May 200918100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 6.92%6.92%-35.60%
33Jun 2009May 201012100.00% Vanguard 500 Index Investor (VFINX)VFINX: 20.92%20.92%20.92%
34Jun 2010Sep 20104100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 4.07%4.07%5.43%
35Oct 2010Jul 201110100.00% Vanguard 500 Index Investor (VFINX)VFINX: 14.90%14.90%14.90%
36Aug 2011Dec 20115100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 3.32%3.32%-1.75%
37Jan 2012May 20125100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.09%5.09%5.09%
38Jun 2012Jun 20121100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.04%0.04%4.11%
39Jul 2012Aug 201538100.00% Vanguard 500 Index Investor (VFINX)VFINX: 54.13%54.13%54.13%
40Sep 2015Oct 20152100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.77%0.77%5.72%
41Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-6.22%
42Feb 2016Mar 20162100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.61%1.61%6.62%
43Apr 2016Oct 201831100.00% Vanguard 500 Index Investor (VFINX)VFINX: 38.15%38.15%38.15%
44Nov 2018Nov 20181100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.53%0.53%2.03%
45Dec 2018Dec 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.04%-9.04%-9.04%
46Jan 2019Feb 20192100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.94%0.94%11.46%
47Mar 2019Dec 201910100.00% Vanguard 500 Index Investor (VFINX)VFINX: 17.83%17.83%17.83%
48Jan 2020Jan 20201Please sign-in for forward signals---