Test Market Timing Models

Tactical Allocation Overview

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 Configuration

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

Leveraged Benchmark

Compared Allocation

Benchmark

Benchmark Ticker

Timing Periods

Length

Unit

Weight

Time Period #1

Time Period #2

Time Period #3

Time Period #4

Time Period #5

Volatility Period

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Total

Model Simulation Results (Jan 1996 - Dec 2017) Save

Tactical asset allocation model results from Jan 1996 to Dec 2017 for Vanguard LifeStrategy Growth Inv (VASGX) are based on 10 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 Vanguard Total Bond Market Index Inv (VBMFX). Tactical asset allocation model trades are executed using the first trading day's close price each month based on the end of month signals.

Performance Summary

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	$80,159	9.92%	8.75%	26.34%	-4.74%	-14.03%	0.88	1.36	0.68
Buy & Hold Portfolio	$10,000	$49,182	7.51%	12.61%	28.52%	-34.39%	-47.55%	0.46	0.65	0.99

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
Moving Average Model	4.67%	19.21%	19.21%	7.86%	10.26%	7.48%	9.92%	5.78%	6.45%
Buy & Hold Portfolio	4.67%	19.21%	19.21%	8.47%	10.64%	5.75%	7.51%	7.98%	7.71%
Trailing return and volatility are as of last full calendar month ending December 2017

Notes and Disclosures

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.
Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. 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

Annual returns for the timing portfolio and various benchmark portfolios
Year	Inflation	Moving Average Model		Buy & Hold Portfolio		Vanguard LifeStrategy Growth Inv (VASGX)	Vanguard Total Bond Market Index Inv (VBMFX)
Year	Inflation	Return	Balance	Return	Balance	Vanguard LifeStrategy Growth Inv (VASGX)	Vanguard Total Bond Market Index Inv (VBMFX)
1996	3.32%	14.76%	$11,476	15.41%	$11,541	15.41%	3.58%
1997	1.70%	22.26%	$14,031	22.26%	$14,110	22.26%	9.44%
1998	1.61%	11.20%	$15,602	21.40%	$17,131	21.40%	8.58%
1999	2.68%	17.32%	$18,305	17.32%	$20,098	17.32%	-0.76%
2000	3.39%	2.14%	$18,695	-5.44%	$19,005	-5.44%	11.39%
2001	1.55%	8.43%	$20,271	-8.86%	$17,321	-8.86%	8.43%
2002	2.38%	0.29%	$20,330	-15.84%	$14,578	-15.84%	8.26%
2003	1.88%	26.34%	$25,686	28.52%	$18,736	28.52%	3.97%
2004	3.26%	13.70%	$29,206	12.57%	$21,092	12.57%	4.24%
2005	3.42%	6.88%	$31,217	6.88%	$22,544	6.88%	2.40%
2006	2.54%	16.13%	$36,251	16.13%	$26,180	16.13%	4.27%
2007	4.08%	7.46%	$38,954	7.46%	$28,131	7.46%	6.92%
2008	0.09%	-1.46%	$38,386	-34.39%	$18,456	-34.39%	5.05%
2009	2.72%	18.31%	$45,413	24.99%	$23,069	24.99%	5.93%
2010	1.50%	1.14%	$45,931	15.06%	$26,544	15.06%	6.42%
2011	2.96%	-1.74%	$45,134	-2.28%	$25,938	-2.28%	7.56%
2012	1.74%	8.97%	$49,182	14.38%	$29,667	14.38%	4.05%
2013	1.50%	21.20%	$59,608	21.20%	$35,956	21.20%	-2.26%
2014	0.76%	7.18%	$63,886	7.18%	$38,537	7.18%	5.76%
2015	0.73%	-4.74%	$60,855	-1.17%	$38,084	-1.17%	0.30%
2016	2.07%	10.49%	$67,240	8.33%	$41,256	8.33%	2.50%
2017	2.11%	19.21%	$80,159	19.21%	$49,182	19.21%	3.46%

Monthly Returns

Monthly returns for the timing portfolio and various benchmark portfolios
Year	Month	Moving Average Model		Buy & Hold Portfolio		Vanguard LifeStrategy Growth Inv (VASGX)	Vanguard Total Bond Market Index Inv (VBMFX)
Year	Month	Return	Balance	Return	Balance	Vanguard LifeStrategy Growth Inv (VASGX)	Vanguard Total Bond Market Index Inv (VBMFX)
1996	1	1.53%	$10,153	2.10%	$10,210	2.10%	0.63%
1996	2	0.55%	$10,209	0.55%	$10,267	0.55%	-1.76%
1996	3	0.95%	$10,306	0.95%	$10,364	0.95%	-0.77%
1996	4	1.56%	$10,467	1.56%	$10,526	1.56%	-0.49%
1996	5	1.38%	$10,611	1.38%	$10,672	1.38%	-0.17%
1996	6	0.08%	$10,620	0.08%	$10,680	0.08%	1.27%
1996	7	-3.74%	$10,222	-3.74%	$10,280	-3.74%	0.25%
1996	8	1.75%	$10,401	1.75%	$10,460	1.75%	-0.16%
1996	9	4.45%	$10,863	4.45%	$10,925	4.45%	1.70%
1996	10	1.49%	$11,026	1.49%	$11,088	1.49%	2.21%
1996	11	5.59%	$11,642	5.59%	$11,708	5.59%	1.76%
1996	12	-1.43%	$11,476	-1.43%	$11,541	-1.43%	-0.85%
1997	1	3.14%	$11,837	3.14%	$11,904	3.14%	0.25%
1997	2	0.28%	$11,870	0.28%	$11,938	0.28%	0.11%
1997	3	-3.18%	$11,493	-3.18%	$11,558	-3.18%	-0.97%
1997	4	3.58%	$11,904	3.58%	$11,971	3.58%	1.49%
1997	5	5.64%	$12,575	5.64%	$12,646	5.64%	0.87%
1997	6	3.93%	$13,070	3.93%	$13,144	3.93%	1.16%
1997	7	6.08%	$13,864	6.08%	$13,943	6.08%	2.80%
1997	8	-4.33%	$13,264	-4.33%	$13,339	-4.33%	-0.85%
1997	9	4.91%	$13,915	4.91%	$13,994	4.91%	1.45%
1997	10	-2.92%	$13,509	-2.92%	$13,586	-2.92%	1.45%
1997	11	2.25%	$13,814	2.25%	$13,892	2.25%	0.33%
1997	12	1.57%	$14,031	1.57%	$14,110	1.57%	1.04%
1998	1	1.31%	$14,215	1.31%	$14,295	1.31%	1.32%
1998	2	5.78%	$15,037	5.78%	$15,122	5.78%	-0.10%
1998	3	3.84%	$15,614	3.84%	$15,703	3.84%	0.33%
1998	4	0.95%	$15,763	0.95%	$15,852	0.95%	0.51%
1998	5	-1.50%	$15,527	-1.50%	$15,615	-1.50%	1.02%
1998	6	2.59%	$15,930	2.59%	$16,020	2.59%	0.81%
1998	7	-1.11%	$15,754	-1.11%	$15,843	-1.11%	0.23%
1998	8	-11.85%	$13,887	-11.85%	$13,965	-11.85%	1.90%
1998	9	4.69%	$14,538	4.57%	$14,603	4.57%	1.96%
1998	10	-0.55%	$14,457	6.79%	$15,595	6.79%	-0.55%
1998	11	3.21%	$14,921	5.05%	$16,383	5.05%	0.49%
1998	12	4.56%	$15,602	4.56%	$17,131	4.56%	0.38%
1999	1	2.50%	$15,993	2.50%	$17,559	2.50%	0.79%
1999	2	-3.32%	$15,461	-3.32%	$16,976	-3.32%	-1.77%
1999	3	3.38%	$15,984	3.38%	$17,550	3.38%	0.56%
1999	4	3.74%	$16,582	3.74%	$18,207	3.74%	0.40%
1999	5	-2.35%	$16,192	-2.35%	$17,778	-2.35%	-0.88%
1999	6	3.77%	$16,802	3.77%	$18,448	3.77%	-0.50%
1999	7	-1.79%	$16,501	-1.79%	$18,117	-1.79%	-0.39%
1999	8	-0.51%	$16,417	-0.51%	$18,025	-0.51%	-0.08%
1999	9	-1.22%	$16,216	-1.22%	$17,805	-1.22%	1.26%
1999	10	4.54%	$16,953	4.54%	$18,613	4.54%	0.33%
1999	11	2.37%	$17,355	2.37%	$19,055	2.37%	0.02%
1999	12	5.47%	$18,305	5.47%	$20,098	5.47%	-0.48%
2000	1	-3.32%	$17,698	-3.32%	$19,431	-3.32%	-0.17%
2000	2	2.08%	$18,065	2.08%	$19,835	2.08%	1.18%
2000	3	4.96%	$18,961	4.96%	$20,819	4.96%	1.40%
2000	4	-3.85%	$18,230	-3.85%	$20,016	-3.85%	-0.49%
2000	5	-2.36%	$17,800	-2.36%	$19,544	-2.36%	-0.16%
2000	6	3.59%	$18,439	3.59%	$20,245	3.59%	2.15%
2000	7	-1.46%	$18,169	-1.46%	$19,949	-1.46%	0.88%
2000	8	4.97%	$19,073	4.97%	$20,941	4.97%	1.40%
2000	9	-3.83%	$18,343	-3.83%	$20,140	-3.83%	0.76%
2000	10	-1.28%	$18,109	-1.28%	$19,882	-1.28%	0.57%
2000	11	1.43%	$18,367	-6.19%	$18,652	-6.19%	1.58%
2000	12	1.79%	$18,695	1.89%	$19,005	1.89%	1.79%
2001	1	1.76%	$19,024	2.86%	$19,548	2.86%	1.76%
2001	2	0.91%	$19,197	-7.44%	$18,093	-7.44%	0.91%
2001	3	0.54%	$19,301	-5.57%	$17,084	-5.57%	0.54%
2001	4	-0.46%	$19,211	6.61%	$18,214	6.61%	-0.46%
2001	5	0.73%	$19,352	0.27%	$18,262	0.27%	0.73%
2001	6	0.52%	$19,454	-1.65%	$17,961	-1.65%	0.52%
2001	7	2.23%	$19,887	-0.71%	$17,833	-0.71%	2.23%
2001	8	1.11%	$20,108	-4.19%	$17,087	-4.19%	1.11%
2001	9	0.89%	$20,288	-7.30%	$15,840	-7.30%	0.89%
2001	10	1.86%	$20,665	2.67%	$16,262	2.67%	1.86%
2001	11	-1.34%	$20,389	5.37%	$17,136	5.37%	-1.34%
2001	12	-0.58%	$20,271	1.08%	$17,321	1.08%	-0.58%
2002	1	-1.97%	$19,871	-1.32%	$17,093	-1.32%	0.69%
2002	2	0.19%	$19,908	-1.10%	$16,904	-1.10%	0.85%
2002	3	-1.46%	$19,617	3.23%	$17,451	3.23%	-1.46%
2002	4	-3.06%	$19,017	-3.02%	$16,924	-3.02%	1.69%
2002	5	1.29%	$19,262	-0.41%	$16,854	-0.41%	0.80%
2002	6	0.29%	$19,318	-5.42%	$15,941	-5.42%	0.29%
2002	7	0.48%	$19,412	-6.79%	$14,858	-6.79%	0.48%
2002	8	1.66%	$19,734	0.61%	$14,948	0.61%	1.66%
2002	9	1.53%	$20,036	-9.26%	$13,565	-9.26%	1.53%
2002	10	-0.61%	$19,913	6.80%	$14,487	6.80%	-0.61%
2002	11	0.02%	$19,918	5.19%	$15,239	5.19%	0.02%
2002	12	2.07%	$20,330	-4.33%	$14,578	-4.33%	2.07%
2003	1	0.05%	$20,341	-2.44%	$14,223	-2.44%	0.05%
2003	2	1.38%	$20,621	-1.43%	$14,020	-1.43%	1.38%
2003	3	-0.13%	$20,595	0.43%	$14,081	0.43%	-0.13%
2003	4	0.87%	$20,773	7.71%	$15,167	7.71%	0.87%
2003	5	5.52%	$21,921	5.42%	$15,990	5.42%	1.82%
2003	6	1.45%	$22,238	1.45%	$16,221	1.45%	-0.13%
2003	7	1.57%	$22,588	1.57%	$16,477	1.57%	-3.34%
2003	8	2.05%	$23,050	2.05%	$16,814	2.05%	0.61%
2003	9	0.18%	$23,092	0.18%	$16,844	0.18%	2.71%
2003	10	5.03%	$24,255	5.03%	$17,692	5.03%	-0.96%
2003	11	1.27%	$24,563	1.27%	$17,917	1.27%	0.27%
2003	12	4.57%	$25,686	4.57%	$18,736	4.57%	0.88%
2004	1	1.87%	$26,167	1.87%	$19,087	1.87%	0.86%
2004	2	1.57%	$26,577	1.57%	$19,386	1.57%	1.03%
2004	3	-0.59%	$26,422	-0.59%	$19,273	-0.59%	0.80%
2004	4	-2.36%	$25,799	-2.36%	$18,819	-2.36%	-2.61%
2004	5	0.93%	$26,040	0.93%	$18,994	0.93%	-0.43%
2004	6	1.85%	$26,521	1.85%	$19,345	1.85%	0.56%
2004	7	-2.85%	$25,766	-2.85%	$18,794	-2.85%	0.96%
2004	8	2.12%	$26,313	0.77%	$18,940	0.77%	1.94%
2004	9	1.26%	$26,644	1.59%	$19,241	1.59%	0.16%
2004	10	1.78%	$27,119	1.78%	$19,584	1.78%	0.85%
2004	11	4.19%	$28,256	4.19%	$20,405	4.19%	-0.81%
2004	12	3.36%	$29,206	3.36%	$21,092	3.36%	0.92%
2005	1	-2.00%	$28,623	-2.00%	$20,671	-2.00%	0.65%
2005	2	2.19%	$29,250	2.19%	$21,123	2.19%	-0.63%
2005	3	-1.79%	$28,725	-1.79%	$20,744	-1.79%	-0.49%
2005	4	-1.83%	$28,201	-1.83%	$20,366	-1.83%	1.35%
2005	5	2.79%	$28,988	2.79%	$20,934	2.79%	1.05%
2005	6	0.65%	$29,177	0.65%	$21,071	0.65%	0.55%
2005	7	3.42%	$30,176	3.42%	$21,792	3.42%	-0.99%
2005	8	-0.10%	$30,147	-0.10%	$21,771	-0.10%	1.36%
2005	9	1.22%	$30,514	1.22%	$22,036	1.22%	-1.10%
2005	10	-1.97%	$29,912	-1.97%	$21,601	-1.97%	-0.81%
2005	11	3.39%	$30,925	3.39%	$22,333	3.39%	0.48%
2005	12	0.94%	$31,217	0.94%	$22,544	0.94%	0.99%
2006	1	3.43%	$32,287	3.43%	$23,317	3.43%	-0.11%
2006	2	-0.05%	$32,272	-0.05%	$23,306	-0.05%	0.37%
2006	3	1.61%	$32,793	1.61%	$23,682	1.61%	-1.00%
2006	4	1.63%	$33,328	1.63%	$24,068	1.63%	-0.21%
2006	5	-2.90%	$32,362	-2.90%	$23,370	-2.90%	-0.09%
2006	6	0.11%	$32,398	0.11%	$23,397	0.11%	0.10%
2006	7	0.37%	$32,518	0.37%	$23,484	0.37%	1.35%
2006	8	2.31%	$33,268	2.31%	$24,025	2.31%	1.64%
2006	9	1.85%	$33,883	1.85%	$24,469	1.85%	0.81%
2006	10	3.23%	$34,978	3.23%	$25,260	3.23%	0.72%
2006	11	2.27%	$35,773	2.27%	$25,834	2.27%	1.11%
2006	12	1.34%	$36,251	1.34%	$26,180	1.34%	-0.48%
2007	1	1.42%	$36,768	1.42%	$26,552	1.42%	-0.08%
2007	2	-1.07%	$36,373	-1.07%	$26,267	-1.07%	1.50%
2007	3	1.25%	$36,829	1.25%	$26,596	1.25%	0.02%
2007	4	3.63%	$38,165	3.63%	$27,561	3.63%	0.51%
2007	5	2.98%	$39,304	2.98%	$28,384	2.98%	-0.78%
2007	6	-1.08%	$38,879	-1.08%	$28,077	-1.08%	-0.39%
2007	7	-2.36%	$37,960	-2.36%	$27,414	-2.36%	0.84%
2007	8	1.05%	$38,359	1.05%	$27,701	1.05%	1.34%
2007	9	3.59%	$39,737	3.59%	$28,697	3.59%	0.72%
2007	10	2.39%	$40,687	2.39%	$29,383	2.39%	0.93%
2007	11	-3.54%	$39,247	-3.54%	$28,343	-3.54%	1.91%
2007	12	-0.75%	$38,954	-0.75%	$28,131	-0.75%	0.22%
2008	1	-5.58%	$36,779	-5.58%	$26,560	-5.58%	1.69%
2008	2	1.22%	$37,228	-2.32%	$25,943	-2.32%	0.19%
2008	3	0.30%	$37,338	-0.48%	$25,820	-0.48%	0.30%
2008	4	-0.30%	$37,226	4.56%	$26,998	4.56%	-0.30%
2008	5	-0.79%	$36,933	1.54%	$27,413	1.54%	-0.79%
2008	6	-0.01%	$36,931	-7.57%	$25,338	-7.57%	-0.01%
2008	7	0.00%	$36,931	-1.16%	$25,044	-1.16%	0.00%
2008	8	0.70%	$37,189	0.45%	$25,157	0.45%	0.70%
2008	9	-1.10%	$36,779	-8.92%	$22,913	-8.92%	-1.10%
2008	10	-2.53%	$35,847	-16.62%	$19,106	-16.62%	-2.53%
2008	11	3.64%	$37,152	-5.93%	$17,972	-5.93%	3.64%
2008	12	3.32%	$38,386	2.69%	$18,456	2.69%	3.32%
2009	1	-0.70%	$38,119	-8.06%	$16,968	-8.06%	-0.70%
2009	2	-0.42%	$37,958	-9.18%	$15,411	-9.18%	-0.42%
2009	3	1.48%	$38,520	8.08%	$16,657	8.08%	1.48%
2009	4	0.36%	$38,657	9.21%	$18,191	9.21%	0.36%
2009	5	0.85%	$38,985	5.83%	$19,252	5.83%	0.85%
2009	6	-2.68%	$37,940	0.11%	$19,273	0.11%	0.54%
2009	7	7.13%	$40,645	7.13%	$20,647	7.13%	1.43%
2009	8	3.27%	$41,975	3.27%	$21,322	3.27%	1.01%
2009	9	3.88%	$43,603	3.88%	$22,149	3.88%	1.19%
2009	10	-1.89%	$42,777	-1.89%	$21,730	-1.89%	0.41%
2009	11	4.77%	$44,818	4.77%	$22,766	4.77%	1.36%
2009	12	1.33%	$45,413	1.33%	$23,069	1.33%	-1.68%
2010	1	-2.76%	$44,160	-2.76%	$22,432	-2.76%	1.57%
2010	2	2.26%	$45,158	2.26%	$22,939	2.26%	0.20%
2010	3	5.09%	$47,457	5.09%	$24,107	5.09%	-0.08%
2010	4	1.42%	$48,130	1.42%	$24,449	1.42%	1.06%
2010	5	-6.61%	$44,949	-6.61%	$22,833	-6.61%	0.87%
2010	6	-3.59%	$43,333	-3.59%	$22,013	-3.59%	1.61%
2010	7	0.72%	$43,645	6.52%	$23,448	6.52%	0.94%
2010	8	-5.19%	$41,378	-3.24%	$22,689	-3.24%	1.48%
2010	9	2.82%	$42,546	7.90%	$24,481	7.90%	-0.01%
2010	10	2.70%	$43,696	3.15%	$25,252	3.15%	0.36%
2010	11	-0.56%	$43,450	-0.56%	$25,110	-0.56%	-0.57%
2010	12	5.71%	$45,931	5.71%	$26,544	5.71%	-1.15%
2011	1	1.45%	$46,597	1.45%	$26,929	1.45%	0.08%
2011	2	2.86%	$47,930	2.86%	$27,699	2.86%	0.16%
2011	3	0.17%	$48,013	0.17%	$27,747	0.17%	-0.01%
2011	4	3.34%	$49,617	3.34%	$28,674	3.34%	1.32%
2011	5	-1.22%	$49,013	-1.22%	$28,325	-1.22%	1.30%
2011	6	-1.50%	$48,276	-1.50%	$27,899	-1.50%	-0.39%
2011	7	-1.61%	$47,501	-1.61%	$27,451	-1.61%	1.58%
2011	8	-5.56%	$44,861	-5.56%	$25,925	-5.56%	1.46%
2011	9	-0.32%	$44,718	-7.29%	$24,036	-7.29%	0.89%
2011	10	0.16%	$44,789	8.87%	$26,168	8.87%	0.16%
2011	11	-0.30%	$44,653	-0.93%	$25,925	-0.93%	-0.30%
2011	12	1.08%	$45,134	0.05%	$25,938	0.05%	1.08%
2012	1	0.87%	$45,528	4.79%	$27,180	4.79%	0.87%
2012	2	2.51%	$46,668	3.57%	$28,151	3.57%	-0.05%
2012	3	1.44%	$47,341	1.44%	$28,557	1.44%	-0.58%
2012	4	-0.56%	$47,076	-0.56%	$28,397	-0.56%	1.14%
2012	5	-5.97%	$44,264	-5.97%	$26,700	-5.97%	0.95%
2012	6	3.58%	$45,849	3.58%	$27,656	3.58%	0.04%
2012	7	0.99%	$46,300	0.99%	$27,929	0.99%	1.39%
2012	8	2.08%	$47,265	2.08%	$28,511	2.08%	0.03%
2012	9	2.30%	$48,354	2.30%	$29,167	2.30%	0.11%
2012	10	-0.81%	$47,964	-0.81%	$28,932	-0.81%	0.11%
2012	11	0.90%	$48,395	0.90%	$29,192	0.90%	0.19%
2012	12	1.63%	$49,182	1.63%	$29,667	1.63%	-0.20%
2013	1	3.73%	$51,018	3.73%	$30,775	3.73%	-0.71%
2013	2	0.54%	$51,293	0.54%	$30,940	0.54%	0.54%
2013	3	2.39%	$52,517	2.39%	$31,679	2.39%	0.08%
2013	4	1.97%	$53,551	1.97%	$32,303	1.97%	0.91%
2013	5	0.24%	$53,678	0.24%	$32,379	0.24%	-1.71%
2013	6	-1.89%	$52,666	-1.89%	$31,769	-1.89%	-1.65%
2013	7	4.21%	$54,883	4.21%	$33,106	4.21%	0.20%
2013	8	-2.10%	$53,732	-2.10%	$32,412	-2.10%	-0.64%
2013	9	3.97%	$55,864	3.97%	$33,698	3.97%	0.96%
2013	10	3.32%	$57,719	3.32%	$34,817	3.32%	0.78%
2013	11	1.59%	$58,636	1.59%	$35,370	1.59%	-0.35%
2013	12	1.66%	$59,608	1.66%	$35,956	1.66%	-0.65%
2014	1	-2.57%	$58,075	-2.57%	$35,032	-2.57%	1.54%
2014	2	4.01%	$60,406	4.01%	$36,438	4.01%	0.48%
2014	3	0.39%	$60,644	0.39%	$36,581	0.39%	-0.15%
2014	4	0.50%	$60,946	0.50%	$36,763	0.50%	0.77%
2014	5	1.84%	$62,068	1.84%	$37,440	1.84%	1.05%
2014	6	1.89%	$63,239	1.89%	$38,146	1.89%	0.11%
2014	7	-1.48%	$62,301	-1.48%	$37,581	-1.48%	-0.26%
2014	8	2.80%	$64,045	2.80%	$38,633	2.80%	1.13%
2014	9	-2.52%	$62,432	-2.52%	$37,659	-2.52%	-0.72%
2014	10	1.71%	$63,500	1.71%	$38,304	1.71%	0.94%
2014	11	1.44%	$64,416	1.44%	$38,856	1.44%	0.65%
2014	12	-0.82%	$63,886	-0.82%	$38,537	-0.82%	0.09%
2015	1	-1.08%	$63,199	-1.08%	$38,122	-1.08%	2.31%
2015	2	4.32%	$65,926	4.32%	$39,767	4.32%	-1.08%
2015	3	-0.84%	$65,372	-0.84%	$39,433	-0.84%	0.41%
2015	4	1.36%	$66,259	1.36%	$39,968	1.36%	-0.36%
2015	5	0.44%	$66,547	0.44%	$40,142	0.44%	-0.45%
2015	6	-1.81%	$65,341	-1.81%	$39,414	-1.81%	-1.01%
2015	7	0.82%	$65,879	0.82%	$39,739	0.82%	0.76%
2015	8	-5.27%	$62,408	-5.27%	$37,645	-5.27%	-0.36%
2015	9	-1.87%	$61,242	-2.51%	$36,700	-2.51%	0.76%
2015	10	0.01%	$61,250	5.78%	$38,820	5.78%	0.01%
2015	11	-0.27%	$61,087	-0.17%	$38,753	-0.17%	-0.27%
2015	12	-0.38%	$60,855	-1.73%	$38,084	-1.73%	-0.38%
2016	1	1.43%	$61,725	-4.18%	$36,491	-4.18%	1.43%
2016	2	0.66%	$62,132	-0.57%	$36,282	-0.57%	0.66%
2016	3	0.94%	$62,719	6.16%	$38,517	6.16%	0.94%
2016	4	1.18%	$63,459	1.09%	$38,936	1.09%	0.38%
2016	5	0.57%	$63,824	0.57%	$39,160	0.57%	0.01%
2016	6	0.19%	$63,948	0.19%	$39,236	0.19%	1.94%
2016	7	3.45%	$66,157	3.45%	$40,591	3.45%	0.64%
2016	8	0.35%	$66,387	0.35%	$40,733	0.35%	-0.17%
2016	9	0.52%	$66,732	0.52%	$40,944	0.52%	-0.09%
2016	10	-1.83%	$65,513	-1.83%	$40,196	-1.83%	-0.81%
2016	11	0.98%	$66,157	0.98%	$40,591	0.98%	-2.64%
2016	12	1.64%	$67,240	1.64%	$41,256	1.64%	0.24%
2017	1	2.15%	$68,684	2.15%	$42,142	2.15%	0.29%
2017	2	2.41%	$70,338	2.41%	$43,157	2.41%	0.66%
2017	3	0.93%	$70,990	0.93%	$43,557	0.93%	-0.07%
2017	4	1.35%	$71,945	1.35%	$44,143	1.35%	0.76%
2017	5	1.55%	$73,063	1.55%	$44,829	1.55%	0.67%
2017	6	0.60%	$73,504	0.60%	$45,099	0.60%	0.01%
2017	7	2.05%	$75,009	2.05%	$46,023	2.05%	0.39%
2017	8	0.44%	$75,339	0.44%	$46,225	0.44%	0.85%
2017	9	1.66%	$76,586	1.66%	$46,990	1.66%	-0.54%
2017	10	1.72%	$77,903	1.72%	$47,799	1.72%	0.11%
2017	11	1.69%	$79,221	1.69%	$48,607	1.69%	-0.17%
2017	12	1.18%	$80,159	1.18%	$49,182	1.18%	0.44%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Moving Average Model	Buy & Hold Portfolio
Arithmetic Mean (monthly)	0.82%	0.67%
Arithmetic Mean (annualized)	10.34%	8.37%
Geometric Mean (monthly)	0.79%	0.61%
Geometric Mean (annualized)	9.92%	7.51%
Standard Deviation (monthly)	2.53%	3.64%
Standard Deviation (annualized)	8.75%	12.61%
Downside Deviation (monthly)	1.54%	2.50%
Maximum Drawdown	-14.03%	-47.55%
Stock Market Correlation	0.68	0.99
Beta^(*)	0.39	0.82
Alpha (annualized)	6.04%	0.04%
R²	46.39%	97.30%
Sharpe Ratio	0.88	0.46
Sortino Ratio	1.36	0.65
Treynor Ratio (%)	19.53	7.14
Calmar Ratio	0.92	0.88
Active Return	0.95%	-1.47%
Tracking Error	11.23%	3.44%
Information Ratio	0.08	-0.43
Skewness	-0.71	-0.85
Excess Kurtosis	2.13	2.07
Historical Value-at-Risk (5%)	3.32%	5.97%
Analytical Value-at-Risk (5%)	3.33%	5.32%
Conditional Value-at-Risk (5%)	5.16%	8.50%
Upside Capture Ratio (%)	59.24	80.09
Downside Capture Ratio (%)	39.63	82.12
Safe Withdrawal Rate	10.54%	7.96%
Perpetual Withdrawal Rate	7.05%	4.96%
Positive Periods	183 out of 264 (69.32%)	172 out of 264 (65.15%)
Gain/Loss Ratio	1.02	0.86
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Moving Average Model	Buy & Hold Portfolio
Asian Crisis	Jul 1997	Jan 1998	-4.33%	-4.33%
Russian Debt Default	Jul 1998	Oct 1998	-12.82%	-12.82%
Dotcom Crash	Mar 2000	Oct 2002	-7.98%	-35.22%
Subprime Crisis	Nov 2007	Mar 2009	-11.90%	-47.55%

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 2010	Aug 2010	4 months	Apr 2011	8 months	1 year	-14.03%
2	Jul 1998	Aug 1998	2 months	Jan 1999	5 months	7 months	-12.82%
3	Nov 2007	Oct 2008	1 year	Aug 2009	10 months	1 year 10 months	-11.90%
4	May 2011	May 2012	1 year 1 month	Jan 2013	8 months	1 year 9 months	-10.79%
5	Jun 2015	Dec 2015	7 months	Sep 2016	9 months	1 year 4 months	-8.55%
6	Nov 2001	Apr 2002	6 months	Apr 2003	1 year	1 year 6 months	-7.98%
7	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-6.12%
8	Sep 2000	Oct 2000	2 months	Feb 2001	4 months	6 months	-5.05%
9	Aug 1997	Aug 1997	1 month	Sep 1997	1 month	2 months	-4.33%
10	Jul 1996	Jul 1996	1 month	Sep 1996	2 months	3 months	-3.74%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Dec 2012	3 years 10 months	5 years 2 months	-47.55%
2	Sep 2000	Sep 2002	2 years 1 month	Dec 2004	2 years 3 months	4 years 4 months	-35.22%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-12.82%
4	Jun 2015	Feb 2016	9 months	Jul 2016	5 months	1 year 2 months	-9.62%
5	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-6.12%
6	Aug 1997	Aug 1997	1 month	Sep 1997	1 month	2 months	-4.33%
7	Jul 1996	Jul 1996	1 month	Sep 1996	2 months	3 months	-3.74%
8	Mar 2005	Apr 2005	2 months	Jul 2005	3 months	5 months	-3.59%
9	Jul 1999	Sep 1999	3 months	Oct 1999	1 month	4 months	-3.49%
10	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-3.42%
Worst 10 drawdowns included above

Rolling Returns

Rolling returns summary
Roll Period	Moving Average Model			Buy & Hold Portfolio
Roll Period	Average	High	Low	Average	High	Low
1 year	10.05%	35.86%	-11.90%	8.30%	48.85%	-40.60%
3 years	9.25%	18.16%	2.30%	6.67%	22.24%	-12.88%
5 years	9.16%	15.36%	2.41%	5.85%	18.78%	-4.49%
7 years	9.12%	12.75%	5.72%	5.63%	13.01%	-1.31%
10 years	9.15%	12.36%	6.34%	5.37%	8.70%	-0.96%
15 years	9.12%	10.93%	8.00%	5.62%	8.64%	3.99%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Timing Periods

Timing periods and related holdings for the timing portfolio
#	Start	End	Months	Assets	Asset Performance	Moving Average Model	Buy & Hold Portfolio
22	Jan 2018	Jan 2018	1	Please sign-in for forward signals	-	-	-
21	Apr 2016	Dec 2017	21	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 27.69%	27.81%	27.69%
20	Sep 2015	Mar 2016	7	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 3.19%	0.50%	2.32%
19	Feb 2012	Aug 2015	43	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 38.50%	37.08%	38.50%
18	Sep 2011	Jan 2012	5	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 2.72%	1.49%	4.84%
17	Oct 2010	Aug 2011	11	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 5.90%	5.44%	5.90%
16	Sep 2010	Sep 2010	1	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: -0.01%	2.82%	7.90%
15	Aug 2010	Aug 2010	1	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: -3.24%	-5.19%	-3.24%
14	Jul 2010	Jul 2010	1	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 0.94%	0.72%	6.52%
13	Jun 2009	Jun 2010	13	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 14.34%	11.15%	14.34%
12	Feb 2008	May 2009	16	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 4.92%	6.00%	-27.52%
11	Sep 2004	Jan 2008	41	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 40.24%	39.78%	40.24%
10	Aug 2004	Aug 2004	1	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 1.94%	2.12%	0.77%
9	May 2003	Jul 2004	15	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 23.91%	24.03%	23.91%
8	May 2002	Apr 2003	12	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 8.71%	9.24%	-10.38%
7	Apr 2002	Apr 2002	1	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: -3.02%	-3.06%	-3.02%
6	Feb 2002	Mar 2002	2	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: -0.62%	-1.28%	2.09%
5	Jan 2002	Jan 2002	1	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: -1.32%	-1.97%	-1.32%
4	Nov 2000	Dec 2001	14	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 12.11%	11.94%	-12.88%
3	Nov 1998	Oct 2000	24	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 27.49%	25.26%	27.49%
2	Sep 1998	Oct 1998	2	100.00% Vanguard Total Bond Market Index Inv (VBMFX)	VBMFX: 1.40%	4.11%	11.67%
1	Jan 1996	Aug 1998	32	100.00% Vanguard LifeStrategy Growth Inv (VASGX)	VASGX: 39.65%	38.87%	39.65%
Timing model trades are executed at the close price of the first trading day of each month, and the assets held on the first trading day will differ from the assets held for the rest of the month.