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
Length
Unit
Weight
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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Asset 10
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Total
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Model Simulation Results (Jan 2006 - Dec 2017) Save

Tactical asset allocation model results from Jan 2006 to Dec 2017 are based on relative strength model holding the top 3 best performing assets. The model uses a single performance window of 3 calendar month(s) adjusted by daily volatility over the past 10 calendar months. Risk control based on 4 calendar month moving average on each asset is used to keep assets in cash if the price is below the moving average. 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 SPDR Gold Shares (GLD) [Dec 2004 - Feb 2021].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Momentum Model$10,000$72,14817.90%13.27%39.14%-3.43%-11.50% 1.242.560.26
Equal Weight Portfolio$10,000$27,4278.77%16.01%48.27%-34.37%-43.61% 0.540.820.85
Vanguard 500 Index Investor$10,000$27,2288.71%14.11%32.18%-37.02%-50.97% 0.590.851.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Momentum Model6.63%19.89%8.15%8.02%15.67%17.90%10.21%9.49%
Equal Weight Portfolio5.39%22.96%8.42%6.66%6.21%8.77%10.28%9.95%
Vanguard 500 Index Investor6.61%21.67%11.26%15.62%8.37%8.71%10.07%9.49%
Trailing annualized return and volatility are for full months ending in December 2017 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.
  • The selected portfolio allocation for comparison assumes monthly rebalancing
  • An equal-weight allocation is used for the assets held by the momentum model
  • The results for the tactical asset allocation model assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • The moving average signal is based on total return and accounts for splits and dividends
  • 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
YearInflationMomentum ModelEqual Weight PortfolioVanguard 500 Index InvestorInvesco S&P 500 Equal Weight ETF (RSP)Vanguard Materials ETF (VAW)SPDR Gold Shares (GLD)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalanceReturnBalance
20062.54%34.62%$13,46222.56%$12,25615.64%$11,56415.46%19.52%22.55%31.19%0.71%
20074.08%24.97%$16,82422.55%$15,0195.39%$12,1870.90%26.55%30.45%33.31%10.29%
20080.09%17.77%$19,813-34.37%$9,858-37.02%$7,675-40.07%-46.47%4.92%-48.88%33.93%
20092.72%39.14%$27,56848.27%$14,61626.49%$9,70844.64%51.44%24.03%68.93%-21.80%
20101.50%22.28%$33,71023.74%$18,08614.91%$11,15621.37%24.48%29.27%16.51%9.05%
20112.96%16.79%$39,371-4.59%$17,2561.97%$11,375-0.67%-9.55%9.57%-18.82%33.96%
20121.74%24.60%$49,05615.17%$19,87315.82%$13,17617.16%17.31%6.60%19.10%2.63%
20131.50%9.66%$53,7934.61%$20,78832.18%$17,41535.54%24.93%-28.33%-3.69%-13.37%
20140.76%6.03%$57,0353.52%$21,51913.51%$19,76714.06%5.86%-2.19%-3.93%27.30%
20150.73%-3.43%$55,077-9.48%$19,4781.25%$20,014-2.66%-10.18%-10.67%-16.18%-1.79%
20162.07%9.26%$60,17714.52%$22,30611.82%$22,37914.50%21.51%8.03%10.87%1.18%
20172.11%19.89%$72,14822.96%$27,42721.67%$27,22818.51%23.76%12.81%37.28%9.18%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMomentum Model ReturnEqual Weight Portfolio ReturnVanguard 500 Index Investor ReturnInvesco S&P 500 Equal Weight ETF (RSP)Vanguard Materials ETF (VAW)SPDR Gold Shares (GLD)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)
2006110.06%8.55%2.65%4.03%6.06%9.93%14.20%-1.34%
20062-2.15%-1.53%0.26%0.34%-1.48%-1.11%-3.85%1.11%
200632.63%3.27%1.23%2.10%5.19%3.62%2.17%-4.57%
200645.26%5.57%1.33%0.86%2.88%12.03%6.52%-2.75%
20065-2.98%-5.02%-2.90%-2.97%-4.65%-1.32%-11.14%-0.19%
20066-0.77%-1.28%0.13%-0.28%-0.37%-4.67%0.21%1.18%
200672.16%0.09%0.61%-1.33%-3.80%3.15%2.34%2.16%
200683.06%1.42%2.36%2.74%2.73%-1.38%1.58%3.06%
200691.15%-0.67%2.56%2.39%0.33%-4.53%-0.87%1.91%
2006105.68%4.58%3.25%3.76%6.22%1.29%7.06%0.85%
2006114.49%5.09%1.89%2.50%5.00%6.89%5.98%2.31%
2006122.21%1.20%1.39%0.57%0.62%-1.83%5.44%-2.69%
200712.67%2.64%1.49%2.41%5.49%2.56%0.11%-1.00%
20072-0.39%0.35%-1.97%-0.47%2.55%2.55%-3.24%3.39%
200730.55%1.75%1.11%0.82%1.94%-1.11%5.33%-1.70%
200743.20%3.33%4.42%4.41%3.14%2.05%3.73%0.90%
200754.66%2.92%3.48%3.24%5.67%-2.31%5.06%-2.31%
200760.47%-0.13%-1.68%-1.86%-0.40%-1.94%3.68%-1.01%
20077-2.18%-1.05%-3.08%-4.51%-2.75%2.37%0.71%3.32%
200781.31%0.57%1.50%0.08%0.06%1.11%1.04%1.79%
200797.44%7.91%3.72%2.49%7.06%10.51%11.57%0.23%
2007107.76%6.10%1.58%1.12%4.47%6.95%11.87%1.81%
200711-4.65%-4.65%-4.19%-4.65%-4.64%-1.65%-7.65%5.35%
2007122.36%1.34%-0.70%-1.72%1.85%6.65%-1.43%-0.64%
200812.74%-1.78%-6.02%-4.30%-4.73%10.84%-8.92%2.10%
200821.44%1.90%-3.25%-3.01%3.38%5.23%1.99%-0.46%
20083-1.93%-3.39%-0.44%-1.86%-1.93%-6.00%-3.75%2.14%
20084-3.04%4.16%4.85%5.72%5.93%-4.16%9.14%-2.48%
200853.87%3.13%1.29%2.65%5.80%0.92%3.16%-2.69%
20086-8.19%-5.02%-8.44%-9.84%-5.45%4.52%-9.29%2.65%
20087-0.73%-2.80%-0.83%-0.50%-3.76%-1.44%-5.50%-0.37%
20088-1.27%-3.84%1.45%2.96%-2.70%-9.29%-6.32%2.74%
200891.47%-10.11%-8.91%-10.91%-18.96%4.11%-14.68%1.47%
200810-1.86%-21.53%-16.79%-20.91%-23.48%-16.14%-25.58%-1.86%
20081114.34%-4.56%-7.17%-9.63%-11.44%12.57%-9.75%14.34%
20081211.67%5.72%1.07%3.08%1.70%7.73%10.35%13.64%
20091-6.87%-4.87%-8.41%-8.35%-7.38%5.54%-9.29%-13.07%
20092-0.54%-6.19%-10.66%-11.22%-8.70%1.45%-6.27%-1.54%
200931.85%9.75%8.76%10.26%14.40%-2.54%16.86%4.04%
200949.46%11.76%9.56%18.69%16.14%-3.33%15.56%-6.95%
200959.69%9.83%5.62%6.46%6.67%10.23%15.94%-3.69%
20096-2.61%-3.26%0.22%-1.20%-4.37%-5.22%-2.25%0.76%
2009710.93%8.79%7.58%9.19%12.59%2.38%11.01%0.58%
200982.40%1.81%3.60%5.65%2.85%0.05%-1.31%2.24%
200997.04%6.74%3.72%5.29%5.63%5.84%10.20%2.46%
200910-4.20%-2.22%-1.87%-3.70%-5.47%3.72%-3.44%-2.62%
2009118.73%9.35%5.98%5.54%11.20%12.79%7.85%1.21%
200912-0.39%0.86%1.95%4.61%2.77%-7.20%3.27%-6.34%
20101-5.72%-5.12%-3.60%-3.31%-8.15%-1.26%-7.76%2.69%
201021.17%3.58%3.09%4.19%5.09%3.27%1.78%-0.34%
201034.43%5.76%6.01%7.22%8.13%-0.44%8.11%-2.06%
201043.19%2.35%1.58%2.65%1.03%5.88%-0.17%3.32%
20105-4.42%-5.66%-8.01%-7.37%-8.94%3.05%-9.39%5.11%
201064.65%-3.29%-5.24%-6.31%-7.80%2.36%-1.40%5.80%
20107-2.33%6.29%7.00%7.35%11.94%-5.09%10.93%-0.95%
201080.81%-1.25%-4.53%-4.76%-2.72%5.71%-3.24%8.40%
201098.33%8.79%8.92%10.19%8.44%4.78%11.76%-2.51%
2010104.43%4.24%3.79%3.56%6.70%3.68%3.02%-4.47%
2010110.30%0.43%0.00%0.82%1.69%2.11%-2.91%-1.69%
2010126.46%6.66%6.67%7.21%9.74%2.44%7.27%-3.68%
20111-1.36%-1.98%2.36%2.11%0.19%-6.38%-3.84%-3.08%
201122.87%3.23%3.42%4.02%2.94%6.00%-0.04%1.65%
201131.14%2.82%0.03%0.83%2.55%1.60%6.29%0.03%
201142.81%4.35%2.95%3.13%2.58%8.94%2.73%2.34%
20115-1.78%-2.03%-1.15%-0.61%-2.77%-1.79%-2.94%3.42%
20116-1.72%-1.59%-1.67%-1.80%-1.22%-2.43%-0.93%-2.33%
201174.42%0.33%-2.05%-3.62%-2.46%8.42%-1.03%4.42%
2011810.53%-2.74%-5.45%-6.35%-7.61%12.27%-9.25%9.66%
201195.11%-13.72%-7.04%-9.05%-16.88%-11.06%-17.89%13.20%
201110-3.84%13.29%10.91%13.07%17.95%5.87%16.27%-3.84%
2011110.44%-0.16%-0.23%-0.88%0.54%1.67%-1.96%1.98%
201112-2.14%-4.27%1.02%0.16%-2.27%-10.66%-4.30%3.44%
201215.76%10.00%4.46%5.68%11.92%11.40%10.99%-0.33%
201223.06%1.55%4.31%4.01%-0.11%-2.96%5.27%-2.59%
20123-0.08%-0.39%3.28%2.32%0.55%-1.32%-3.11%-4.23%
20124-1.11%-0.87%-0.64%-0.75%-0.86%-0.15%-1.70%4.83%
201253.69%-8.17%-6.02%-6.99%-8.63%-6.34%-10.71%9.03%
20126-1.68%3.92%4.11%3.86%4.40%2.35%5.08%-1.68%
201273.82%0.09%1.37%0.12%-0.59%0.84%-0.03%3.82%
201282.23%2.93%2.24%3.07%3.31%4.94%0.41%-1.32%
201293.67%4.06%2.58%2.51%3.82%4.67%5.22%-2.53%
201210-1.74%-1.42%-1.86%-0.82%-1.46%-2.94%-0.44%-0.48%
2012110.75%0.95%0.56%1.28%1.43%-0.47%1.56%1.38%
2012124.20%2.55%0.90%2.27%3.54%-2.43%6.80%-2.49%
201313.39%2.41%5.18%6.51%3.94%-0.51%-0.29%-3.19%
20132-0.90%-1.94%1.34%0.97%-1.37%-5.09%-2.28%1.24%
201332.24%1.77%3.74%4.36%2.78%0.95%-1.02%-0.42%
201342.07%-1.21%1.91%1.69%-0.17%-7.56%1.22%4.68%
20135-0.61%-1.52%2.33%2.69%2.26%-6.20%-4.83%-6.76%
20136-2.99%-5.53%-1.35%-1.23%-4.47%-11.06%-5.35%-3.27%
201370.37%5.04%5.07%5.63%5.77%7.43%1.32%-2.26%
20138-1.61%-0.21%-2.91%-2.92%-0.57%5.20%-2.54%-1.34%
201391.30%2.78%3.12%4.11%4.58%-4.78%7.21%0.66%
2013102.74%3.10%4.59%4.28%4.29%-0.34%4.17%1.43%
2013111.10%-0.55%3.03%2.22%1.33%-5.51%-0.26%-2.70%
2013122.35%0.82%2.51%2.88%4.60%-3.79%-0.42%-1.87%
20141-5.31%-3.13%-3.47%-2.96%-4.34%3.42%-8.64%6.30%
201420.52%5.43%4.56%5.34%6.74%6.27%3.38%0.52%
20143-0.57%0.54%0.82%0.61%0.83%-3.14%3.88%0.73%
201440.35%0.45%0.72%0.38%0.16%0.49%0.78%2.10%
201452.55%1.15%2.33%2.16%2.55%-3.05%2.95%2.95%
201462.53%3.48%2.05%2.86%2.34%6.32%2.40%-0.25%
20147-1.15%-1.77%-1.39%-2.33%-2.49%-3.63%1.36%0.67%
201483.92%2.90%3.98%4.20%4.17%0.38%2.83%4.72%
20149-4.43%-4.87%-1.41%-2.58%-2.94%-6.18%-7.77%-2.11%
2014102.81%-0.06%2.42%3.02%-1.62%-3.05%1.42%2.81%
2014112.87%0.43%2.68%2.66%1.07%-0.49%-1.54%2.97%
2014122.26%-0.66%-0.26%0.28%-0.24%1.31%-3.99%3.25%
201515.57%0.59%-3.02%-2.92%-2.71%8.69%-0.69%9.82%
20152-6.06%3.00%5.74%5.73%7.75%-5.91%4.41%-6.14%
20153-1.15%-2.05%-1.59%-0.96%-3.58%-2.15%-1.50%1.10%
201543.20%2.36%0.95%0.41%2.34%-0.17%6.85%-3.43%
20155-0.96%-0.58%1.27%0.72%0.50%0.56%-4.10%-2.37%
20156-3.31%-2.57%-1.93%-2.27%-3.58%-1.52%-2.93%-4.07%
201574.55%-4.30%2.08%0.96%-5.22%-6.62%-6.31%4.55%
20158-0.69%-4.02%-6.05%-5.46%-5.50%3.71%-8.84%-0.69%
201591.97%-3.94%-2.48%-3.01%-7.83%-1.80%-3.13%1.97%
201510-0.41%7.14%8.42%6.99%12.92%2.28%6.38%-0.41%
201511-1.89%-2.04%0.29%0.30%0.79%-6.75%-2.52%-0.87%
201512-3.65%-2.85%-1.59%-2.48%-4.64%-0.45%-3.83%-0.30%
201615.57%-3.80%-4.98%-5.56%-10.02%5.41%-5.03%5.57%
201625.70%4.40%-0.15%0.99%6.50%10.93%-0.82%3.09%
20163-0.34%7.32%6.78%7.98%9.20%-0.84%12.96%-0.09%
201643.63%3.03%0.37%1.25%5.37%5.11%0.41%-0.74%
20165-1.68%-2.19%1.78%1.36%-0.27%-6.14%-3.69%0.81%
201661.40%3.29%0.25%-0.06%-0.31%8.97%4.56%6.93%
201673.88%4.25%3.68%4.14%5.51%1.98%5.38%2.10%
20168-0.74%-0.52%0.13%0.16%0.13%-3.26%0.88%-1.01%
201690.83%0.65%0.01%0.10%-0.70%0.69%2.52%-1.51%
201610-1.91%-2.17%-1.83%-2.44%-2.46%-2.94%-0.83%-4.38%
201611-6.95%0.21%3.70%5.24%8.37%-8.36%-4.42%-8.21%
2016120.21%-0.27%1.96%1.13%-0.03%-1.91%-0.25%-0.46%
201712.52%4.70%1.88%2.01%4.72%5.42%6.66%0.81%
201721.98%2.28%3.96%3.13%1.05%3.18%1.74%1.59%
201731.09%0.92%0.10%0.02%0.39%-0.43%3.69%-0.65%
201741.36%1.30%1.02%0.66%1.09%1.73%1.70%1.57%
201751.09%0.66%1.39%0.56%-0.66%-0.12%2.85%1.89%
20176-0.02%0.55%0.61%1.16%2.26%-2.16%0.93%0.79%
201772.96%2.80%2.04%1.60%1.46%2.31%5.82%-0.66%
201780.68%1.56%0.29%-1.00%0.67%4.20%2.35%3.41%
201790.19%0.87%2.06%2.93%3.97%-3.37%-0.04%-2.32%
2017102.69%1.83%2.32%1.09%3.69%-0.75%3.28%-0.04%
2017111.44%1.17%3.06%3.80%0.91%0.36%-0.39%0.74%
2017122.37%2.30%1.10%1.24%2.09%2.11%3.77%1.81%
Portfolio return and risk metrics
MetricMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.45%0.81%0.78%
Arithmetic Mean (annualized)18.90%10.18%9.80%
Geometric Mean (monthly)1.38%0.70%0.70%
Geometric Mean (annualized)17.90%8.77%8.71%
Volatility (monthly)3.83%4.62%4.07%
Volatility (annualized)13.27%16.01%14.11%
Downside Deviation (monthly)1.82%3.02%2.80%
Max. Drawdown-11.50%-43.61%-50.97%
US Market Correlation0.260.851.00
Beta(*)0.240.951.00
Alpha (annualized)15.14%0.78%0.00%
R26.75%70.73%100.00%
Sharpe Ratio1.240.540.59
Sortino Ratio2.560.820.85
Treynor Ratio (%)67.069.118.34
Calmar Ratio0.930.521.34
Active Return9.20%0.07%N/A
Tracking Error16.67%8.69%N/A
Information Ratio0.550.01N/A
Skewness0.42-0.68-0.84
Excess Kurtosis0.893.712.34
Historical Value-at-Risk (5%)-4.43%-5.11%-6.89%
Analytical Value-at-Risk (5%)-4.85%-6.79%-5.92%
Conditional Value-at-Risk (5%)-6.02%-9.50%-9.43%
Upside Capture Ratio (%)72.2691.90100.00
Downside Capture Ratio (%)4.7889.10100.00
Safe Withdrawal Rate23.71%12.50%9.93%
Perpetual Withdrawal Rate13.58%6.32%6.27%
Positive Periods93 out of 144 (64.58%)86 out of 144 (59.72%)98 out of 144 (68.06%)
Gain/Loss Ratio1.501.090.76
* Vanguard 500 Index Investor 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 PeriodStartEndMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-11.50%-43.61%-50.97%

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsNov 20081 month9 months-11.50%
2Oct 2016Nov 20162 monthsJul 20178 months10 months-8.72%
3Feb 2015Dec 201511 monthsFeb 20162 months1 year 1 month-8.53%
4Jan 2009Feb 20092 monthsApr 20092 months4 months-7.37%
5Dec 2009Jan 20102 monthsApr 20103 months5 months-6.09%
6Oct 2011Dec 20113 monthsFeb 20122 months5 months-5.47%
7Jan 2014Mar 20143 monthsAug 20145 months8 months-5.36%
8May 2013Aug 20134 monthsNov 20133 months7 months-4.78%
9Nov 2007Nov 20071 monthJan 20082 months3 months-4.65%
10Sep 2014Sep 20141 monthNov 20142 months3 months-4.43%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20101 year 7 months2 years 4 months-43.61%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-18.83%
3Sep 2014Jan 20161 year 5 monthsJul 20166 months1 year 11 months-17.41%
4Feb 2013Jun 20135 monthsOct 20134 months9 months-8.28%
5Nov 2007Mar 20085 monthsMay 20082 months7 months-6.56%
6May 2006Jun 20062 monthsNov 20065 months7 months-6.23%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.13%
8Oct 2016Dec 20163 monthsJan 20171 month4 months-2.23%
9Jan 2011Jan 20111 monthFeb 20111 month2 months-1.98%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.77%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
4Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
5Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
6Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
7May 2006May 20061 monthAug 20063 months4 months-2.90%
8Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
9Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year17.98%68.05%-9.98%9.36%63.27%-41.48%9.65%53.61%-43.32%
3 years18.01%38.11%3.81%6.70%29.88%-6.29%8.27%25.43%-15.18%
5 years18.35%28.41%7.31%7.82%19.27%1.11%10.09%22.85%-1.26%
7 years18.23%25.51%11.48%7.75%12.09%4.79%9.95%17.12%4.02%
10 years17.14%19.10%14.96%6.49%7.62%5.48%7.18%8.37%6.32%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
83Jan 2018Jan 20181Please sign-in for forward signals----
82Oct 2017Dec 2017333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 6.76%
RSP: 6.23%
VAW: 6.82%
6.63%5.39%6.61%
81Sep 2017Sep 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: -0.04%
GLD: -3.37%
VAW: 3.97%
0.19%0.87%2.06%
80Jul 2017Aug 2017233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 8.31%
RSP: 0.58%
VAW: 2.14%
3.65%4.40%2.34%
79Mar 2017Jun 2017433.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
EEM: 9.46%
GLD: -1.01%
RSP: 2.42%
3.57%3.46%3.16%
78Feb 2017Feb 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 1.74%
RSP: 3.13%
VAW: 1.05%
1.98%2.28%3.96%
77Dec 2016Jan 2017233.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: 3.16%
TLT: 0.35%
VAW: 4.69%
2.73%4.42%3.88%
76Nov 2016Nov 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: -4.42%
TLT: -8.21%
-6.95%0.21%3.70%
75Oct 2016Oct 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: -0.83%
RSP: -2.44%
VAW: -2.46%
-1.91%-2.17%-1.83%
74Sep 2016Sep 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: 2.52%
GLD: 0.69%
VAW: -0.70%
0.83%0.65%0.01%
73Aug 2016Aug 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
EEM: 0.88%
GLD: -3.26%
RSP: 0.16%
-0.74%-0.52%0.13%
72Jul 2016Jul 2016133.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: 1.98%
RSP: 4.14%
VAW: 5.51%
3.88%4.25%3.68%
71Jun 2016Jun 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 4.56%
RSP: -0.06%
VAW: -0.31%
1.40%3.29%0.25%
70May 2016May 2016133.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: -6.14%
RSP: 1.36%
VAW: -0.27%
-1.68%-2.19%1.78%
69Apr 2016Apr 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: 0.41%
GLD: 5.11%
VAW: 5.37%
3.63%3.03%0.37%
68Feb 2016Mar 2016233.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: 10.00%
TLT: 2.99%
5.34%12.05%6.62%
67Jan 2016Jan 20161100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.57%5.57%-3.80%-4.98%
66Dec 2015Dec 2015133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: -3.83%
RSP: -2.48%
VAW: -4.64%
-3.65%-2.85%-1.59%
65Nov 2015Nov 2015133.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: -6.75%
RSP: 0.30%
VAW: 0.79%
-1.89%-2.04%0.29%
64Jul 2015Oct 20154100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.43%5.43%-5.47%1.40%
63Jun 2015Jun 2015133.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: -2.27%
TLT: -4.07%
VAW: -3.58%
-3.31%-2.57%-1.93%
62Apr 2015May 2015233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 2.47%
RSP: 1.14%
VAW: 2.86%
2.21%1.76%2.23%
61Mar 2015Mar 2015133.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: -0.96%
TLT: 1.10%
VAW: -3.58%
-1.15%-2.05%-1.59%
60Feb 2015Feb 2015133.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: -5.91%
TLT: -6.14%
-6.06%3.00%5.74%
59Nov 2014Jan 2015333.33% Invesco S&P 500 Equal Weight ETF (RSP)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
RSP: -0.06%
TLT: 16.75%
11.05%0.35%-0.68%
58Oct 2014Oct 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.81%2.81%-0.06%2.42%
57Sep 2014Sep 2014133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: -7.77%
RSP: -2.58%
VAW: -2.94%
-4.43%-4.87%-1.41%
56Aug 2014Aug 2014133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: 2.83%
RSP: 4.20%
TLT: 4.72%
3.92%2.90%3.98%
55May 2014Jul 2014333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 6.86%
RSP: 2.63%
VAW: 2.35%
3.94%2.82%2.99%
54Mar 2014Apr 2014233.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: -2.66%
RSP: 0.99%
VAW: 1.00%
-0.22%1.00%1.55%
53Feb 2014Feb 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.52%0.52%5.43%4.56%
52Nov 2013Jan 2014333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: -9.26%
RSP: 2.05%
VAW: 1.40%
-2.02%-2.88%1.95%
51Sep 2013Oct 2013233.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: -5.11%
RSP: 8.57%
VAW: 9.07%
4.08%5.96%7.85%
50Aug 2013Aug 2013133.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: -2.92%
TLT: -1.34%
VAW: -0.57%
-1.61%-0.21%-2.91%
49Jul 2013Jul 2013133.33% Invesco S&P 500 Equal Weight ETF (RSP)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
RSP: 5.63%
TLT: -2.26%
0.37%5.04%5.07%
48Mar 2013Jun 2013433.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: 7.64%
TLT: -5.99%
VAW: 0.23%
0.62%-6.46%6.72%
47Dec 2012Feb 2013333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 4.05%
RSP: 9.98%
VAW: 6.14%
6.77%2.98%7.55%
46Sep 2012Nov 2012333.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: 1.11%
RSP: 2.97%
VAW: 3.77%
2.62%3.56%1.23%
45Aug 2012Aug 2012133.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: 4.94%
RSP: 3.07%
TLT: -1.32%
2.23%2.93%2.24%
44Jun 2012Jul 20122100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.07%2.07%4.01%5.54%
43May 2012May 2012133.33% Invesco S&P 500 Equal Weight ETF (RSP)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
RSP: -6.99%
TLT: 9.03%
3.69%-8.17%-6.02%
42Feb 2012Apr 2012333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 0.26%
RSP: 5.62%
VAW: -0.43%
1.84%0.28%7.04%
41Jan 2012Jan 2012133.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: 5.68%
TLT: -0.33%
VAW: 11.92%
5.76%10.00%4.46%
40Dec 2011Dec 2011133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: -4.30%
RSP: 0.16%
VAW: -2.27%
-2.14%-4.27%1.02%
39Nov 2011Nov 2011133.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: 1.67%
RSP: -0.88%
VAW: 0.54%
0.44%-0.16%-0.23%
38Oct 2011Oct 20111100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -3.84%-3.84%13.29%10.91%
37Aug 2011Sep 2011233.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: -0.15%
TLT: 24.14%
16.18%-16.08%-12.11%
36Jul 2011Jul 20111100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 4.42%4.42%0.33%-2.05%
35May 2011Jun 2011233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
EEM: -3.84%
GLD: -4.18%
RSP: -2.41%
-3.47%-3.59%-2.80%
34Apr 2011Apr 2011133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 2.73%
RSP: 3.13%
VAW: 2.58%
2.81%4.35%2.95%
33Feb 2011Mar 2011233.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: 4.88%
TLT: 1.68%
VAW: 5.56%
4.04%6.13%3.44%
32Dec 2010Jan 2011233.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: -4.10%
RSP: 9.48%
VAW: 9.95%
5.02%4.55%9.19%
31Nov 2010Nov 2010133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: -2.91%
GLD: 2.11%
VAW: 1.69%
0.30%0.43%0.00%
30Oct 2010Oct 2010133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 3.02%
RSP: 3.56%
VAW: 6.70%
4.43%4.24%3.79%
29Sep 2010Sep 2010133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: 11.76%
GLD: 4.78%
VAW: 8.44%
8.33%8.79%8.92%
28Aug 2010Aug 2010133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
EEM: -3.24%
TLT: 8.40%
VAW: -2.72%
0.81%-1.25%-4.53%
27Jun 2010Jul 2010233.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: -2.85%
TLT: 4.79%
2.21%2.79%1.39%
26Apr 2010May 2010233.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: 9.11%
RSP: -4.91%
VAW: -8.00%
-1.37%-3.44%-6.55%
25Mar 2010Mar 2010133.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
RSP: 7.22%
TLT: -2.06%
VAW: 8.13%
4.43%5.76%6.01%
24Feb 2010Feb 2010133.33% Invesco S&P 500 Equal Weight ETF (RSP)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
RSP: 4.19%
TLT: -0.34%
1.17%3.58%3.09%
23Dec 2009Jan 2010233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: -4.74%
GLD: -8.37%
VAW: -5.61%
-6.09%-4.30%-1.73%
22Nov 2009Nov 2009133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
EEM: 7.85%
GLD: 12.79%
RSP: 5.54%
8.73%9.35%5.98%
21May 2009Oct 2009633.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 32.10%
RSP: 23.02%
VAW: 17.94%
24.42%22.81%20.07%
20Apr 2009Apr 2009133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: 15.56%
GLD: -3.33%
VAW: 16.14%
9.46%11.76%9.56%
19Dec 2008Mar 2009433.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: 12.41%
TLT: 1.20%
5.35%3.54%-10.06%
18Sep 2008Nov 20083100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 13.86%13.86%-32.68%-29.64%
17Jul 2008Aug 2008233.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: -10.60%
TLT: 2.36%
-1.99%-6.53%0.60%
16May 2008Jun 2008233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: -6.42%
RSP: -7.45%
VAW: 0.03%
-4.64%-2.04%-7.25%
15Apr 2008Apr 2008133.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: -4.16%
TLT: -2.48%
-3.04%4.16%4.85%
14Mar 2008Mar 2008133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
GLD: -6.00%
TLT: 2.14%
VAW: -1.93%
-1.93%-3.39%-0.44%
13Feb 2008Feb 2008133.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: 5.23%
TLT: -0.46%
1.44%1.90%-3.25%
12Jan 2008Jan 2008133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Materials ETF (VAW)
GLD: 10.84%
TLT: 2.10%
VAW: -4.73%
2.74%-1.78%-6.02%
11Oct 2007Dec 2007333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: 1.84%
GLD: 12.18%
VAW: 1.47%
5.18%2.53%-3.36%
10Aug 2007Sep 2007233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: 12.73%
GLD: 11.73%
TLT: 2.02%
8.85%8.53%5.28%
9May 2007Jul 2007333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 9.71%
RSP: -3.25%
VAW: 2.36%
2.86%1.71%-1.40%
8Mar 2007Apr 2007233.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: 0.92%
RSP: 5.27%
VAW: 5.14%
3.77%5.14%5.58%
7Oct 2006Feb 2007533.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
EEM: 15.90%
RSP: 9.01%
VAW: 21.40%
15.43%14.56%6.13%
6Sep 2006Sep 2006133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: -0.87%
RSP: 2.39%
TLT: 1.91%
1.15%-0.67%2.56%
5Jul 2006Aug 20062100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.29%5.29%1.51%2.98%
4Jun 2006Jun 2006133.33% SPDR Gold Shares (GLD)
66.67% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: -4.67%
TLT: 1.18%
-0.77%-1.28%0.13%
3Apr 2006May 2006233.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
33.33% Vanguard Materials ETF (VAW)
GLD: 10.55%
RSP: -2.13%
VAW: -1.90%
2.12%0.27%-1.60%
2Mar 2006Mar 2006133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Invesco S&P 500 Equal Weight ETF (RSP)
EEM: 2.17%
GLD: 3.62%
RSP: 2.10%
2.63%3.27%1.23%
1Jan 2006Feb 2006233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Materials ETF (VAW)
EEM: 9.80%
GLD: 8.70%
VAW: 4.49%
7.70%6.90%2.92%