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.
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Momentum Model | $10,000 | $140,092 | 17.94% | 17.09% | 39.80% | -7.82% | -23.07% | 0.98 | 1.74 | 0.32 |
SPDR S&P 500 ETF Trust | $10,000 | $39,822 | 9.02% | 13.47% | 32.31% | -36.81% | -50.80% | 0.61 | 0.89 | 1.00 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Momentum Model | 2.31% | 8.30% | 8.30% | 14.65% | 5.80% | 13.81% | 17.94% | 14.12% | 14.20% |
SPDR S&P 500 ETF Trust | 8.99% | 31.22% | 31.22% | 15.08% | 11.57% | 13.44% | 9.02% | 12.03% | 11.94% |
Trailing return and volatility are as of last full calendar month ending December 2019 |
Year | Inflation | Momentum Model | SPDR S&P 500 ETF Trust | iShares MSCI Emerging Markets ETF (EEM) | Invesco QQQ Trust (QQQ) | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | ||
---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | ||||||
2004 | 3.26% | 15.54% | $11,554 | 10.70% | $11,070 | 24.63% | 10.54% | 10.70% | 8.71% |
2005 | 3.42% | 22.95% | $14,206 | 4.83% | $11,605 | 32.62% | 1.57% | 4.83% | 8.61% |
2006 | 2.54% | 14.94% | $16,329 | 15.85% | $13,444 | 31.19% | 7.14% | 15.85% | 0.71% |
2007 | 4.08% | 33.31% | $21,767 | 5.14% | $14,134 | 33.31% | 19.02% | 5.14% | 10.29% |
2008 | 0.09% | 26.29% | $27,489 | -36.81% | $8,932 | -48.88% | -41.73% | -36.81% | 33.93% |
2009 | 2.72% | 39.80% | $38,429 | 26.36% | $11,287 | 68.93% | 54.68% | 26.36% | -21.80% |
2010 | 1.50% | 18.22% | $45,431 | 15.06% | $12,986 | 16.51% | 20.14% | 15.06% | 9.05% |
2011 | 2.96% | 38.45% | $62,900 | 1.89% | $13,231 | -18.82% | 3.47% | 1.89% | 33.96% |
2012 | 1.74% | 10.01% | $69,194 | 15.99% | $15,347 | 19.10% | 18.12% | 15.99% | 2.63% |
2013 | 1.50% | 27.88% | $88,486 | 32.31% | $20,305 | -3.69% | 36.63% | 32.31% | -13.37% |
2014 | 0.76% | 19.43% | $105,681 | 13.46% | $23,039 | -3.93% | 19.18% | 13.46% | 27.30% |
2015 | 0.73% | -7.82% | $97,415 | 1.25% | $23,327 | -16.18% | 9.45% | 1.25% | -1.79% |
2016 | 2.07% | -4.58% | $92,957 | 12.00% | $26,127 | 10.87% | 7.10% | 12.00% | 1.18% |
2017 | 2.11% | 28.56% | $119,504 | 21.70% | $31,796 | 37.28% | 32.66% | 21.70% | 9.18% |
2018 | 1.91% | 8.24% | $129,354 | -4.56% | $30,347 | -15.31% | -0.12% | -4.56% | -1.61% |
2019 | 2.29% | 8.30% | $140,092 | 31.22% | $39,822 | 18.20% | 38.96% | 31.22% | 14.12% |
Year | Month | Momentum Model | SPDR S&P 500 ETF Trust | iShares MSCI Emerging Markets ETF (EEM) | Invesco QQQ Trust (QQQ) | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | ||
---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | ||||||
2004 | 1 | 2.42% | $10,242 | 1.98% | $10,198 | 2.42% | 1.67% | 1.98% | 1.86% |
2004 | 2 | 3.95% | $10,647 | 1.36% | $10,336 | 3.95% | -1.35% | 1.36% | 2.28% |
2004 | 3 | 0.55% | $10,706 | -1.32% | $10,200 | 0.55% | -2.00% | -1.32% | 1.41% |
2004 | 4 | -9.80% | $9,657 | -1.89% | $10,007 | -9.80% | -2.99% | -1.89% | -6.23% |
2004 | 5 | 1.71% | $9,822 | 1.71% | $10,178 | 1.17% | 5.12% | 1.71% | -0.26% |
2004 | 6 | 3.26% | $10,142 | 1.85% | $10,366 | 0.92% | 3.26% | 1.85% | 1.06% |
2004 | 7 | -7.55% | $9,376 | -3.22% | $10,032 | -3.64% | -7.55% | -3.22% | 1.53% |
2004 | 8 | 4.17% | $9,766 | 0.24% | $10,057 | 3.53% | -2.49% | 0.24% | 4.17% |
2004 | 9 | 0.95% | $9,859 | 1.00% | $10,158 | 6.98% | 3.29% | 1.00% | 0.95% |
2004 | 10 | 1.77% | $10,033 | 1.29% | $10,288 | 2.85% | 5.01% | 1.29% | 1.77% |
2004 | 11 | 9.95% | $11,031 | 4.45% | $10,746 | 9.95% | 6.02% | 4.45% | -2.39% |
2004 | 12 | 4.74% | $11,554 | 3.02% | $11,070 | 4.74% | 3.02% | 3.02% | 2.66% |
2005 | 1 | -0.53% | $11,493 | -2.24% | $10,822 | -0.53% | -6.31% | -2.24% | 3.57% |
2005 | 2 | 9.68% | $12,606 | 2.09% | $11,048 | 9.68% | -0.48% | 2.09% | -1.47% |
2005 | 3 | -7.91% | $11,608 | -1.83% | $10,846 | -7.91% | -1.75% | -1.83% | -0.45% |
2005 | 4 | 3.86% | $12,057 | -1.87% | $10,643 | -1.25% | -4.35% | -1.87% | 3.86% |
2005 | 5 | 3.14% | $12,435 | 3.22% | $10,986 | 3.16% | 8.86% | 3.22% | 3.14% |
2005 | 6 | 2.16% | $12,704 | 0.15% | $11,003 | 3.97% | -3.32% | 0.15% | 2.16% |
2005 | 7 | -3.38% | $12,275 | 3.83% | $11,424 | 7.68% | 7.61% | 3.83% | -3.38% |
2005 | 8 | 1.32% | $12,437 | -0.94% | $11,317 | 1.32% | -1.52% | -0.94% | 3.48% |
2005 | 9 | 8.65% | $13,514 | 0.80% | $11,407 | 8.65% | 1.23% | 0.80% | -3.61% |
2005 | 10 | -6.34% | $12,657 | -2.37% | $11,137 | -6.34% | -1.50% | -2.37% | -2.24% |
2005 | 11 | 5.79% | $13,389 | 4.40% | $11,627 | 5.79% | 6.10% | 4.40% | 0.69% |
2005 | 12 | 6.10% | $14,206 | -0.19% | $11,605 | 6.10% | -1.77% | -0.19% | 2.98% |
2006 | 1 | 14.20% | $16,223 | 2.40% | $11,883 | 14.20% | 3.93% | 2.40% | -1.34% |
2006 | 2 | -3.85% | $15,598 | 0.57% | $11,951 | -3.85% | -2.14% | 0.57% | 1.11% |
2006 | 3 | 2.17% | $15,936 | 1.65% | $12,149 | 2.17% | 2.09% | 1.65% | -4.57% |
2006 | 4 | 6.52% | $16,975 | 1.26% | $12,302 | 6.52% | -0.19% | 1.26% | -2.75% |
2006 | 5 | -11.14% | $15,083 | -3.01% | $11,932 | -11.14% | -7.24% | -3.01% | -0.19% |
2006 | 6 | 0.26% | $15,123 | 0.26% | $11,963 | 0.21% | -0.06% | 0.26% | 1.18% |
2006 | 7 | 0.45% | $15,191 | 0.45% | $12,017 | 2.34% | -4.31% | 0.45% | 2.16% |
2006 | 8 | 3.06% | $15,655 | 2.18% | $12,279 | 1.58% | 4.77% | 2.18% | 3.06% |
2006 | 9 | 1.91% | $15,955 | 2.70% | $12,610 | -0.87% | 4.64% | 2.70% | 1.91% |
2006 | 10 | 0.85% | $16,090 | 3.15% | $13,008 | 7.06% | 4.75% | 3.15% | 0.85% |
2006 | 11 | 3.43% | $16,641 | 1.99% | $13,266 | 5.98% | 3.43% | 1.99% | 2.31% |
2006 | 12 | -1.88% | $16,329 | 1.34% | $13,444 | 5.44% | -1.88% | 1.34% | -2.69% |
2007 | 1 | 0.11% | $16,347 | 1.50% | $13,646 | 0.11% | 2.11% | 1.50% | -1.00% |
2007 | 2 | -3.24% | $15,818 | -1.96% | $13,378 | -3.24% | -1.68% | -1.96% | 3.39% |
2007 | 3 | 5.33% | $16,662 | 1.16% | $13,533 | 5.33% | 0.52% | 1.16% | -1.70% |
2007 | 4 | 3.73% | $17,283 | 4.43% | $14,133 | 3.73% | 5.58% | 4.43% | 0.90% |
2007 | 5 | 5.06% | $18,158 | 3.39% | $14,612 | 5.06% | 3.15% | 3.39% | -2.31% |
2007 | 6 | 3.68% | $18,826 | -1.46% | $14,398 | 3.68% | 0.48% | -1.46% | -1.01% |
2007 | 7 | 0.71% | $18,960 | -3.13% | $13,947 | 0.71% | -0.15% | -3.13% | 3.32% |
2007 | 8 | 1.04% | $19,158 | 1.28% | $14,126 | 1.04% | 2.82% | 1.28% | 1.79% |
2007 | 9 | 11.57% | $21,375 | 3.87% | $14,673 | 11.57% | 5.25% | 3.87% | 0.23% |
2007 | 10 | 11.87% | $23,912 | 1.36% | $14,872 | 11.87% | 7.04% | 1.36% | 1.81% |
2007 | 11 | -7.65% | $22,082 | -3.87% | $14,296 | -7.65% | -6.76% | -3.87% | 5.35% |
2007 | 12 | -1.43% | $21,767 | -1.13% | $14,134 | -1.43% | -0.07% | -1.13% | -0.64% |
2008 | 1 | 2.10% | $22,223 | -6.05% | $13,280 | -8.92% | -11.89% | -6.05% | 2.10% |
2008 | 2 | -0.46% | $22,122 | -2.58% | $12,936 | 1.99% | -4.83% | -2.58% | -0.46% |
2008 | 3 | 2.14% | $22,595 | -0.90% | $12,820 | -3.75% | 1.87% | -0.90% | 2.14% |
2008 | 4 | -2.48% | $22,035 | 4.77% | $13,431 | 9.14% | 7.98% | 4.77% | -2.48% |
2008 | 5 | 3.16% | $22,732 | 1.51% | $13,634 | 3.16% | 5.93% | 1.51% | -2.69% |
2008 | 6 | -9.61% | $20,547 | -8.35% | $12,495 | -9.29% | -9.61% | -8.35% | 2.65% |
2008 | 7 | 0.64% | $20,679 | -0.90% | $12,383 | -5.50% | 0.64% | -0.90% | -0.37% |
2008 | 8 | 2.74% | $21,245 | 1.55% | $12,574 | -6.32% | 1.45% | 1.55% | 2.74% |
2008 | 9 | 1.47% | $21,558 | -9.44% | $11,388 | -14.68% | -15.58% | -9.44% | 1.47% |
2008 | 10 | -1.86% | $21,156 | -16.52% | $9,507 | -25.58% | -15.47% | -16.52% | -1.86% |
2008 | 11 | 14.34% | $24,190 | -6.96% | $8,845 | -9.75% | -11.46% | -6.96% | 14.34% |
2008 | 12 | 13.64% | $27,489 | 0.98% | $8,932 | 10.35% | 2.28% | 0.98% | 13.64% |
2009 | 1 | -13.07% | $23,896 | -8.21% | $8,198 | -9.29% | -2.29% | -8.21% | -13.07% |
2009 | 2 | -1.54% | $23,529 | -10.74% | $7,317 | -6.27% | -5.26% | -10.74% | -1.54% |
2009 | 3 | 4.04% | $24,480 | 8.35% | $7,928 | 16.86% | 10.32% | 8.35% | 4.04% |
2009 | 4 | 13.06% | $27,677 | 9.93% | $8,716 | 15.56% | 13.06% | 9.93% | -6.95% |
2009 | 5 | 15.94% | $32,089 | 5.85% | $9,225 | 15.94% | 3.21% | 5.85% | -3.69% |
2009 | 6 | -2.25% | $31,365 | -0.07% | $9,219 | -2.25% | 2.95% | -0.07% | 0.76% |
2009 | 7 | 11.01% | $34,820 | 7.46% | $9,907 | 11.01% | 8.44% | 7.46% | 0.58% |
2009 | 8 | -1.31% | $34,363 | 3.69% | $10,273 | -1.31% | 1.47% | 3.69% | 2.24% |
2009 | 9 | 5.65% | $36,303 | 3.55% | $10,637 | 10.20% | 5.65% | 3.55% | 2.46% |
2009 | 10 | -3.44% | $35,053 | -1.92% | $10,433 | -3.44% | -3.05% | -1.92% | -2.62% |
2009 | 11 | 6.16% | $37,213 | 6.16% | $11,075 | 7.85% | 6.35% | 6.16% | 1.21% |
2009 | 12 | 3.27% | $38,429 | 1.91% | $11,287 | 3.27% | 5.20% | 1.91% | -6.34% |
2010 | 1 | -6.47% | $35,942 | -3.63% | $10,876 | -7.76% | -6.47% | -3.63% | 2.69% |
2010 | 2 | 4.60% | $37,597 | 3.12% | $11,216 | 1.78% | 4.60% | 3.12% | -0.34% |
2010 | 3 | 7.71% | $40,496 | 6.09% | $11,899 | 8.11% | 7.71% | 6.09% | -2.06% |
2010 | 4 | 1.55% | $41,123 | 1.55% | $12,083 | -0.17% | 2.24% | 1.55% | 3.32% |
2010 | 5 | -7.39% | $38,083 | -7.95% | $11,123 | -9.39% | -7.39% | -7.95% | 5.11% |
2010 | 6 | 5.80% | $40,290 | -5.17% | $10,547 | -1.40% | -5.98% | -5.17% | 5.80% |
2010 | 7 | -0.95% | $39,908 | 6.83% | $11,268 | 10.93% | 7.26% | 6.83% | -0.95% |
2010 | 8 | 8.40% | $43,259 | -4.50% | $10,761 | -3.24% | -5.13% | -4.50% | 8.40% |
2010 | 9 | -2.51% | $42,171 | 8.96% | $11,724 | 11.76% | 13.17% | 8.96% | -2.51% |
2010 | 10 | 3.02% | $43,443 | 3.82% | $12,172 | 3.02% | 6.34% | 3.82% | -4.47% |
2010 | 11 | -0.17% | $43,368 | 0.00% | $12,172 | -2.91% | -0.17% | 0.00% | -1.69% |
2010 | 12 | 4.76% | $45,431 | 6.68% | $12,986 | 7.27% | 4.76% | 6.68% | -3.68% |
2011 | 1 | 2.83% | $46,716 | 2.33% | $13,289 | -3.84% | 2.83% | 2.33% | -3.08% |
2011 | 2 | 3.47% | $48,339 | 3.47% | $13,750 | -0.04% | 3.16% | 3.47% | 1.65% |
2011 | 3 | 0.01% | $48,344 | 0.01% | $13,752 | 6.29% | -0.45% | 0.01% | 0.03% |
2011 | 4 | 2.90% | $49,744 | 2.90% | $14,150 | 2.73% | 2.87% | 2.90% | 2.34% |
2011 | 5 | -2.94% | $48,281 | -1.12% | $13,991 | -2.94% | -1.22% | -1.12% | 3.42% |
2011 | 6 | -0.93% | $47,834 | -1.69% | $13,755 | -0.93% | -2.02% | -1.69% | -2.33% |
2011 | 7 | 4.42% | $49,946 | -2.00% | $13,480 | -1.03% | 1.67% | -2.00% | 4.42% |
2011 | 8 | 9.66% | $54,773 | -5.50% | $12,739 | -9.25% | -5.07% | -5.50% | 9.66% |
2011 | 9 | 13.20% | $62,003 | -6.94% | $11,854 | -17.89% | -4.49% | -6.94% | 13.20% |
2011 | 10 | -3.84% | $59,624 | 10.91% | $13,148 | 16.27% | 10.40% | 10.91% | -3.84% |
2011 | 11 | 1.98% | $60,805 | -0.41% | $13,094 | -1.96% | -2.69% | -0.41% | 1.98% |
2011 | 12 | 3.44% | $62,900 | 1.04% | $13,231 | -4.30% | -0.62% | 1.04% | 3.44% |
2012 | 1 | 4.64% | $65,817 | 4.64% | $13,845 | 10.99% | 8.42% | 4.64% | -0.33% |
2012 | 2 | 4.34% | $68,674 | 4.34% | $14,446 | 5.27% | 6.41% | 4.34% | -2.59% |
2012 | 3 | 5.05% | $72,144 | 3.22% | $14,910 | -3.11% | 5.05% | 3.22% | -4.23% |
2012 | 4 | -1.17% | $71,300 | -0.67% | $14,811 | -1.70% | -1.17% | -0.67% | 4.83% |
2012 | 5 | -7.04% | $66,280 | -6.01% | $13,921 | -10.71% | -7.04% | -6.01% | 9.03% |
2012 | 6 | -1.68% | $65,165 | 4.05% | $14,485 | 5.08% | 3.62% | 4.05% | -1.68% |
2012 | 7 | 3.82% | $67,651 | 1.18% | $14,657 | -0.03% | 1.00% | 1.18% | 3.82% |
2012 | 8 | -1.32% | $66,759 | 2.51% | $15,024 | 0.41% | 5.19% | 2.51% | -1.32% |
2012 | 9 | 0.89% | $67,353 | 2.54% | $15,405 | 5.22% | 0.89% | 2.54% | -2.53% |
2012 | 10 | -5.28% | $63,797 | -1.82% | $15,125 | -0.44% | -5.28% | -1.82% | -0.48% |
2012 | 11 | 1.56% | $64,789 | 0.57% | $15,210 | 1.56% | 1.31% | 0.57% | 1.38% |
2012 | 12 | 6.80% | $69,194 | 0.90% | $15,347 | 6.80% | -0.46% | 0.90% | -2.49% |
2013 | 1 | -0.29% | $68,991 | 5.12% | $16,133 | -0.29% | 2.67% | 5.12% | -3.19% |
2013 | 2 | -2.28% | $67,415 | 1.28% | $16,338 | -2.28% | 0.34% | 1.28% | 1.24% |
2013 | 3 | 3.80% | $69,976 | 3.80% | $16,959 | -1.02% | 3.03% | 3.80% | -0.42% |
2013 | 4 | 1.92% | $71,320 | 1.92% | $17,285 | 1.22% | 2.54% | 1.92% | 4.68% |
2013 | 5 | 2.36% | $73,004 | 2.36% | $17,693 | -4.83% | 3.58% | 2.36% | -6.76% |
2013 | 6 | -2.39% | $71,256 | -1.34% | $17,456 | -5.35% | -2.39% | -1.34% | -3.27% |
2013 | 7 | 6.31% | $75,756 | 5.17% | $18,359 | 1.32% | 6.31% | 5.17% | -2.26% |
2013 | 8 | -0.40% | $75,456 | -3.00% | $17,808 | -2.54% | -0.40% | -3.00% | -1.34% |
2013 | 9 | 4.83% | $79,103 | 3.17% | $18,372 | 7.21% | 4.83% | 3.17% | 0.66% |
2013 | 10 | 4.96% | $83,024 | 4.63% | $19,223 | 4.17% | 4.96% | 4.63% | 1.43% |
2013 | 11 | 3.55% | $85,972 | 2.96% | $19,793 | -0.26% | 3.55% | 2.96% | -2.70% |
2013 | 12 | 2.92% | $88,486 | 2.59% | $20,305 | -0.42% | 2.92% | 2.59% | -1.87% |
2014 | 1 | -1.92% | $86,786 | -3.52% | $19,589 | -8.64% | -1.92% | -3.52% | 6.30% |
2014 | 2 | 5.15% | $91,255 | 4.55% | $20,481 | 3.38% | 5.15% | 4.55% | 0.52% |
2014 | 3 | -2.73% | $88,763 | 0.83% | $20,651 | 3.88% | -2.73% | 0.83% | 0.73% |
2014 | 4 | 2.10% | $90,624 | 0.70% | $20,795 | 0.78% | -0.32% | 0.70% | 2.10% |
2014 | 5 | 2.95% | $93,299 | 2.32% | $21,277 | 2.95% | 4.49% | 2.32% | 2.95% |
2014 | 6 | 2.40% | $95,539 | 2.06% | $21,716 | 2.40% | 3.12% | 2.06% | -0.25% |
2014 | 7 | 1.18% | $96,668 | -1.34% | $21,425 | 1.36% | 1.18% | -1.34% | 0.67% |
2014 | 8 | 5.01% | $101,511 | 3.95% | $22,270 | 2.83% | 5.01% | 3.95% | 4.72% |
2014 | 9 | -0.76% | $100,743 | -1.38% | $21,963 | -7.77% | -0.76% | -1.38% | -2.11% |
2014 | 10 | 2.64% | $103,404 | 2.36% | $22,480 | 1.42% | 2.64% | 2.36% | 2.81% |
2014 | 11 | 4.55% | $108,105 | 2.75% | $23,098 | -1.54% | 4.55% | 2.75% | 2.97% |
2014 | 12 | -2.24% | $105,681 | -0.26% | $23,039 | -3.99% | -2.24% | -0.26% | 3.25% |
2015 | 1 | 9.82% | $116,055 | -2.96% | $22,356 | -0.69% | -2.08% | -2.96% | 9.82% |
2015 | 2 | -6.14% | $108,932 | 5.62% | $23,613 | 4.41% | 7.22% | 5.62% | -6.14% |
2015 | 3 | 1.10% | $110,126 | -1.57% | $23,241 | -1.50% | -2.36% | -1.57% | 1.10% |
2015 | 4 | -3.43% | $106,351 | 0.98% | $23,469 | 6.85% | 1.92% | 0.98% | -3.43% |
2015 | 5 | -4.10% | $101,986 | 1.29% | $23,771 | -4.10% | 2.25% | 1.29% | -2.37% |
2015 | 6 | -2.48% | $99,453 | -2.03% | $23,289 | -2.93% | -2.48% | -2.03% | -4.07% |
2015 | 7 | 4.56% | $103,986 | 2.26% | $23,815 | -6.31% | 4.56% | 2.26% | 4.55% |
2015 | 8 | -6.82% | $96,890 | -6.10% | $22,363 | -8.84% | -6.82% | -6.10% | -0.69% |
2015 | 9 | 1.97% | $98,794 | -2.54% | $21,795 | -3.13% | -2.20% | -2.54% | 1.97% |
2015 | 10 | -0.41% | $98,389 | 8.51% | $23,648 | 6.38% | 11.37% | 8.51% | -0.41% |
2015 | 11 | 0.61% | $98,988 | 0.37% | $23,735 | -2.52% | 0.61% | 0.37% | -0.87% |
2015 | 12 | -1.59% | $97,415 | -1.72% | $23,327 | -3.83% | -1.59% | -1.72% | -0.30% |
2016 | 1 | -6.91% | $90,683 | -4.98% | $22,166 | -5.03% | -6.91% | -4.98% | 5.57% |
2016 | 2 | 3.09% | $93,482 | -0.08% | $22,147 | -0.82% | -1.57% | -0.08% | 3.09% |
2016 | 3 | -0.09% | $93,398 | 6.72% | $23,637 | 12.96% | 6.85% | 6.72% | -0.09% |
2016 | 4 | -0.74% | $92,710 | 0.39% | $23,730 | 0.41% | -3.19% | 0.39% | -0.74% |
2016 | 5 | -3.69% | $89,286 | 1.70% | $24,134 | -3.69% | 4.37% | 1.70% | 0.81% |
2016 | 6 | 4.56% | $93,355 | 0.35% | $24,218 | 4.56% | -2.27% | 0.35% | 6.93% |
2016 | 7 | 2.10% | $95,315 | 3.65% | $25,101 | 5.38% | 7.15% | 3.65% | 2.10% |
2016 | 8 | -1.01% | $94,351 | 0.12% | $25,131 | 0.88% | 1.05% | 0.12% | -1.01% |
2016 | 9 | 2.52% | $96,728 | 0.01% | $25,133 | 2.52% | 2.21% | 0.01% | -1.51% |
2016 | 10 | -1.46% | $95,318 | -1.73% | $24,697 | -0.83% | -1.46% | -1.73% | -4.38% |
2016 | 11 | -4.42% | $91,109 | 3.68% | $25,607 | -4.42% | 0.44% | 3.68% | -8.21% |
2016 | 12 | 2.03% | $92,957 | 2.03% | $26,127 | -0.25% | 1.13% | 2.03% | -0.46% |
2017 | 1 | 1.79% | $94,621 | 1.79% | $26,594 | 6.66% | 5.14% | 1.79% | 0.81% |
2017 | 2 | 3.93% | $98,338 | 3.93% | $27,639 | 1.74% | 4.38% | 3.93% | 1.59% |
2017 | 3 | 2.03% | $100,332 | 0.13% | $27,674 | 3.69% | 2.03% | 0.13% | -0.65% |
2017 | 4 | 1.70% | $102,038 | 0.99% | $27,949 | 1.70% | 2.73% | 0.99% | 1.57% |
2017 | 5 | 3.90% | $106,015 | 1.41% | $28,343 | 2.85% | 3.90% | 1.41% | 1.89% |
2017 | 6 | -2.32% | $103,559 | 0.64% | $28,524 | 0.93% | -2.32% | 0.64% | 0.79% |
2017 | 7 | 5.82% | $109,589 | 2.06% | $29,110 | 5.82% | 4.06% | 2.06% | -0.66% |
2017 | 8 | 2.35% | $112,166 | 0.29% | $29,195 | 2.35% | 2.07% | 0.29% | 3.41% |
2017 | 9 | -0.04% | $112,116 | 2.01% | $29,783 | -0.04% | -0.29% | 2.01% | -2.32% |
2017 | 10 | 3.28% | $115,794 | 2.36% | $30,485 | 3.28% | 4.61% | 2.36% | -0.04% |
2017 | 11 | 1.97% | $118,077 | 3.06% | $31,417 | -0.39% | 1.97% | 3.06% | 0.74% |
2017 | 12 | 1.21% | $119,504 | 1.21% | $31,796 | 3.77% | 0.60% | 1.21% | 1.81% |
2018 | 1 | 8.76% | $129,969 | 5.64% | $33,588 | 8.30% | 8.76% | 5.64% | -3.26% |
2018 | 2 | -5.90% | $122,303 | -3.64% | $32,367 | -5.90% | -1.29% | -3.64% | -3.04% |
2018 | 3 | -4.08% | $117,318 | -2.74% | $31,480 | 0.54% | -4.08% | -2.74% | 2.86% |
2018 | 4 | 0.51% | $117,912 | 0.52% | $31,642 | -2.82% | 0.51% | 0.52% | -2.09% |
2018 | 5 | 2.01% | $120,276 | 2.43% | $32,412 | -2.62% | 5.67% | 2.43% | 2.01% |
2018 | 6 | 0.65% | $121,054 | 0.58% | $32,598 | -4.54% | 1.15% | 0.58% | 0.65% |
2018 | 7 | 2.80% | $124,440 | 3.70% | $33,806 | 3.53% | 2.80% | 3.70% | -1.44% |
2018 | 8 | 5.78% | $131,633 | 3.19% | $34,885 | -3.77% | 5.78% | 3.19% | 1.31% |
2018 | 9 | -0.28% | $131,262 | 0.59% | $35,092 | -0.58% | -0.28% | 0.59% | -2.86% |
2018 | 10 | -8.60% | $119,979 | -6.91% | $32,667 | -8.76% | -8.60% | -6.91% | -2.93% |
2018 | 11 | 1.85% | $122,204 | 1.85% | $33,273 | 4.90% | -0.26% | 1.85% | 1.79% |
2018 | 12 | 5.85% | $129,354 | -8.79% | $30,347 | -3.50% | -8.65% | -8.79% | 5.85% |
2019 | 1 | 0.38% | $129,843 | 8.01% | $32,777 | 10.34% | 9.01% | 8.01% | 0.38% |
2019 | 2 | -1.53% | $127,855 | 3.24% | $33,840 | -1.53% | 2.99% | 3.24% | -1.38% |
2019 | 3 | 1.13% | $129,301 | 1.81% | $34,451 | 1.13% | 3.92% | 1.81% | 5.57% |
2019 | 4 | 5.50% | $136,412 | 4.09% | $35,859 | 2.35% | 5.50% | 4.09% | -1.99% |
2019 | 5 | -8.23% | $125,191 | -6.38% | $33,572 | -7.33% | -8.23% | -6.38% | 6.84% |
2019 | 6 | 0.95% | $126,379 | 6.96% | $35,908 | 6.20% | 7.59% | 6.96% | 0.95% |
2019 | 7 | 0.26% | $126,704 | 1.51% | $36,451 | -2.66% | 2.33% | 1.51% | 0.26% |
2019 | 8 | 11.04% | $140,698 | -1.67% | $35,841 | -3.78% | -1.90% | -1.67% | 11.04% |
2019 | 9 | -2.68% | $136,927 | 1.95% | $36,539 | 1.69% | 0.92% | 1.95% | -2.68% |
2019 | 10 | -1.11% | $135,402 | 2.21% | $37,347 | 4.18% | 4.38% | 2.21% | -1.11% |
2019 | 11 | -0.41% | $134,852 | 3.62% | $38,699 | -0.09% | 4.07% | 3.62% | -0.41% |
2019 | 12 | 3.89% | $140,092 | 2.90% | $39,822 | 7.71% | 3.89% | 2.90% | -3.20% |
Metric | Momentum Model | SPDR S&P 500 ETF Trust |
---|---|---|
Arithmetic Mean (monthly) | 1.50% | 0.80% |
Arithmetic Mean (annualized) | 19.61% | 10.02% |
Geometric Mean (monthly) | 1.38% | 0.72% |
Geometric Mean (annualized) | 17.94% | 9.02% |
Standard Deviation (monthly) | 4.93% | 3.89% |
Standard Deviation (annualized) | 17.09% | 13.47% |
Downside Deviation (monthly) | 2.73% | 2.64% |
Maximum Drawdown | -23.07% | -50.80% |
Stock Market Correlation | 0.32 | 1.00 |
Beta(*) | 0.42 | 1.00 |
Alpha (annualized) | 14.05% | -0.00% |
R2 | 10.77% | 100.00% |
Sharpe Ratio | 0.98 | 0.61 |
Sortino Ratio | 1.74 | 0.89 |
Treynor Ratio (%) | 40.20 | 8.28 |
Calmar Ratio | 1.51 | 1.12 |
Active Return | 8.92% | N/A |
Tracking Error | 17.95% | N/A |
Information Ratio | 0.50 | N/A |
Skewness | 0.08 | -0.80 |
Excess Kurtosis | 0.80 | 2.18 |
Historical Value-at-Risk (5%) | 7.20% | 6.62% |
Analytical Value-at-Risk (5%) | 6.61% | 5.60% |
Conditional Value-at-Risk (5%) | 9.10% | 9.08% |
Upside Capture Ratio (%) | 91.72 | 100.00 |
Downside Capture Ratio (%) | 32.72 | 100.00 |
Safe Withdrawal Rate | 19.81% | 8.41% |
Perpetual Withdrawal Rate | 13.43% | 6.35% |
Positive Periods | 125 out of 192 (65.10%) | 130 out of 192 (67.71%) |
Gain/Loss Ratio | 1.20 | 0.80 |
* SPDR S&P 500 ETF Trust is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Momentum Model | SPDR S&P 500 ETF Trust |
---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -14.41% | -50.80% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Feb 2015 | May 2016 | 1 year 4 months | Nov 2017 | 1 year 6 months | 2 years 10 months | -23.07% |
2 | Jan 2009 | Feb 2009 | 2 months | Apr 2009 | 2 months | 4 months | -14.41% |
3 | Nov 2007 | Jun 2008 | 8 months | Nov 2008 | 5 months | 1 year 1 month | -14.07% |
4 | Apr 2004 | Jul 2004 | 4 months | Nov 2004 | 4 months | 8 months | -12.42% |
5 | Apr 2012 | Oct 2012 | 7 months | May 2013 | 7 months | 1 year 2 months | -11.57% |
6 | May 2006 | May 2006 | 1 month | Apr 2007 | 11 months | 1 year | -11.14% |
7 | Feb 2018 | Mar 2018 | 2 months | Aug 2018 | 5 months | 7 months | -9.73% |
8 | Sep 2018 | Oct 2018 | 2 months | Apr 2019 | 6 months | 8 months | -8.85% |
9 | May 2019 | May 2019 | 1 month | Aug 2019 | 3 months | 4 months | -8.23% |
10 | Mar 2005 | Mar 2005 | 1 month | Jun 2005 | 3 months | 4 months | -7.91% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2012 | 3 years 1 month | 4 years 5 months | -50.80% |
2 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.52% |
3 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.48% |
4 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.63% |
5 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.38% |
6 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.28% |
7 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.55% |
8 | Jan 2005 | Apr 2005 | 4 months | Jul 2005 | 3 months | 7 months | -3.86% |
9 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.52% |
10 | Jul 2004 | Jul 2004 | 1 month | Nov 2004 | 4 months | 5 months | -3.22% |
Worst 10 drawdowns included above |
Roll Period | Momentum Model | SPDR S&P 500 ETF Trust | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 19.83% | 68.40% | -21.86% | 9.90% | 53.27% | -43.44% |
3 years | 19.34% | 43.37% | 1.66% | 8.88% | 25.45% | -15.09% |
5 years | 20.00% | 34.13% | 4.52% | 8.48% | 22.86% | -6.67% |
7 years | 20.47% | 30.04% | 8.69% | 9.45% | 17.14% | 2.23% |
10 years | 20.24% | 26.38% | 13.74% | 9.11% | 16.55% | 6.36% |
15 years | 18.62% | 19.46% | 18.02% | 8.60% | 8.98% | 7.68% |
# | Start | End | Months | Assets | Asset Performance | Momentum Model | SPDR S&P 500 ETF Trust |
---|---|---|---|---|---|---|---|
70 | Jan 2020 | Jan 2020 | 1 | Please sign-in for forward signals | - | - | - |
69 | Dec 2019 | Dec 2019 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 3.89% | 3.89% | 2.90% |
68 | Jun 2019 | Nov 2019 | 6 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 7.72% | 7.72% | 15.27% |
67 | Apr 2019 | May 2019 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -3.18% | -3.18% | -2.55% |
66 | Feb 2019 | Mar 2019 | 2 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -0.42% | -0.42% | 5.11% |
65 | Dec 2018 | Jan 2019 | 2 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 6.25% | 6.25% | -1.49% |
64 | Nov 2018 | Nov 2018 | 1 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 1.85% | 1.85% | 1.85% |
63 | Jul 2018 | Oct 2018 | 4 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -0.89% | -0.89% | 0.21% |
62 | May 2018 | Jun 2018 | 2 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 2.67% | 2.67% | 3.02% |
61 | Mar 2018 | Apr 2018 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -3.59% | -3.59% | -2.24% |
60 | Feb 2018 | Feb 2018 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -5.90% | -5.90% | -3.64% |
59 | Jan 2018 | Jan 2018 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 8.76% | 8.76% | 5.64% |
58 | Dec 2017 | Dec 2017 | 1 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 1.21% | 1.21% | 1.21% |
57 | Nov 2017 | Nov 2017 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 1.97% | 1.97% | 3.06% |
56 | Jul 2017 | Oct 2017 | 4 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 11.81% | 11.81% | 6.88% |
55 | May 2017 | Jun 2017 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 1.49% | 1.49% | 2.06% |
54 | Apr 2017 | Apr 2017 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 1.70% | 1.70% | 0.99% |
53 | Mar 2017 | Mar 2017 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 2.03% | 2.03% | 0.13% |
52 | Dec 2016 | Feb 2017 | 3 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 7.93% | 7.93% | 7.93% |
51 | Nov 2016 | Nov 2016 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -4.42% | -4.42% | 3.68% |
50 | Oct 2016 | Oct 2016 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -1.46% | -1.46% | -1.73% |
49 | Sep 2016 | Sep 2016 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 2.52% | 2.52% | 0.01% |
48 | Jul 2016 | Aug 2016 | 2 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 1.07% | 1.07% | 3.77% |
47 | May 2016 | Jun 2016 | 2 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 0.70% | 0.70% | 2.06% |
46 | Feb 2016 | Apr 2016 | 3 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 2.23% | 2.23% | 7.06% |
45 | Nov 2015 | Jan 2016 | 3 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -7.83% | -7.83% | -6.27% |
44 | Sep 2015 | Oct 2015 | 2 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 1.55% | 1.55% | 5.75% |
43 | Jun 2015 | Aug 2015 | 3 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -5.00% | -5.00% | -5.92% |
42 | May 2015 | May 2015 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -4.10% | -4.10% | 1.29% |
41 | Jan 2015 | Apr 2015 | 4 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 0.63% | 0.63% | 1.87% |
40 | Jul 2014 | Dec 2014 | 6 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 10.62% | 10.62% | 6.09% |
39 | May 2014 | Jun 2014 | 2 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 5.42% | 5.42% | 4.43% |
38 | Apr 2014 | Apr 2014 | 1 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 2.10% | 2.10% | 0.70% |
37 | Jun 2013 | Mar 2014 | 10 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 21.59% | 21.59% | 16.72% |
36 | Mar 2013 | May 2013 | 3 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 8.29% | 8.29% | 8.29% |
35 | Nov 2012 | Feb 2013 | 4 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 5.67% | 5.67% | 8.03% |
34 | Sep 2012 | Oct 2012 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -4.44% | -4.44% | 0.67% |
33 | Jun 2012 | Aug 2012 | 3 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 0.72% | 0.72% | 7.92% |
32 | Mar 2012 | May 2012 | 3 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -3.48% | -3.48% | -3.63% |
31 | Jan 2012 | Feb 2012 | 2 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 9.18% | 9.18% | 9.18% |
30 | Jul 2011 | Dec 2011 | 6 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 31.49% | 31.49% | -3.81% |
29 | May 2011 | Jun 2011 | 2 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -3.84% | -3.84% | -2.79% |
28 | Feb 2011 | Apr 2011 | 3 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 6.48% | 6.48% | 6.48% |
27 | Nov 2010 | Jan 2011 | 3 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 7.53% | 7.53% | 9.17% |
26 | Oct 2010 | Oct 2010 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 3.02% | 3.02% | 3.82% |
25 | Jun 2010 | Sep 2010 | 4 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 10.74% | 10.74% | 5.41% |
24 | May 2010 | May 2010 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -7.39% | -7.39% | -7.95% |
23 | Apr 2010 | Apr 2010 | 1 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 1.55% | 1.55% | 1.55% |
22 | Jan 2010 | Mar 2010 | 3 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 5.38% | 5.38% | 5.42% |
21 | Dec 2009 | Dec 2009 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 3.27% | 3.27% | 1.91% |
20 | Nov 2009 | Nov 2009 | 1 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 6.16% | 6.16% | 6.16% |
19 | Oct 2009 | Oct 2009 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -3.44% | -3.44% | -1.92% |
18 | Sep 2009 | Sep 2009 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 5.65% | 5.65% | 3.55% |
17 | May 2009 | Aug 2009 | 4 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 24.16% | 24.16% | 17.86% |
16 | Apr 2009 | Apr 2009 | 1 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 13.06% | 13.06% | 9.93% |
15 | Aug 2008 | Mar 2009 | 8 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 18.38% | 18.38% | -35.97% |
14 | Jun 2008 | Jul 2008 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -9.03% | -9.03% | -9.17% |
13 | May 2008 | May 2008 | 1 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 3.16% | 3.16% | 1.51% |
12 | Jan 2008 | Apr 2008 | 4 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 1.23% | 1.23% | -4.98% |
11 | Jan 2007 | Dec 2007 | 12 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 33.31% | 33.31% | 5.14% |
10 | Nov 2006 | Dec 2006 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: 1.49% | 1.49% | 3.35% |
9 | Aug 2006 | Oct 2006 | 3 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 5.92% | 5.92% | 8.25% |
8 | Jun 2006 | Jul 2006 | 2 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 0.71% | 0.71% | 0.71% |
7 | Aug 2005 | May 2006 | 10 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 22.88% | 22.88% | 4.45% |
6 | Apr 2005 | Jul 2005 | 4 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 5.74% | 5.74% | 5.32% |
5 | Nov 2004 | Mar 2005 | 5 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: 15.70% | 15.70% | 5.42% |
4 | Aug 2004 | Oct 2004 | 3 | 100.00% iShares 20+ Year Treasury Bond ETF (TLT) | TLT: 7.01% | 7.01% | 2.55% |
3 | Jun 2004 | Jul 2004 | 2 | 100.00% Invesco QQQ Trust (QQQ) | QQQ: -4.54% | -4.54% | -1.43% |
2 | May 2004 | May 2004 | 1 | 100.00% SPDR S&P 500 ETF Trust (SPY) | SPY: 1.71% | 1.71% | 1.71% |
1 | Jan 2004 | Apr 2004 | 4 | 100.00% iShares MSCI Emerging Markets ETF (EEM) | EEM: -3.43% | -3.43% | 0.07% |