Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Model Simulation Results (Jan 2004 - Dec 2019) Save

Tactical asset allocation model results from Jan 2004 to Dec 2019 are based on relative strength model holding the best performing asset. The model uses a single performance window of 3 calendar month(s). 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 iShares MSCI Emerging Markets ETF (EEM) [May 2003 - Jun 2022].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Momentum Model$10,000$140,09217.94%17.09%39.80%-7.82%-23.07% 0.981.740.32
SPDR S&P 500 ETF Trust$10,000$39,8229.02%13.47%32.31%-36.81%-50.80% 0.610.891.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Momentum Model2.31%8.30%8.30%14.65%5.80%13.81%17.94%14.12%14.20%
SPDR S&P 500 ETF Trust8.99%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
Notes on results:
  • 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. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. 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.
  • 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.
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationMomentum ModelSPDR S&P 500 ETF TrustiShares MSCI Emerging Markets ETF (EEM)Invesco QQQ Trust (QQQ)SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20043.26%15.54%$11,55410.70%$11,07024.63%10.54%10.70%8.71%
20053.42%22.95%$14,2064.83%$11,60532.62%1.57%4.83%8.61%
20062.54%14.94%$16,32915.85%$13,44431.19%7.14%15.85%0.71%
20074.08%33.31%$21,7675.14%$14,13433.31%19.02%5.14%10.29%
20080.09%26.29%$27,489-36.81%$8,932-48.88%-41.73%-36.81%33.93%
20092.72%39.80%$38,42926.36%$11,28768.93%54.68%26.36%-21.80%
20101.50%18.22%$45,43115.06%$12,98616.51%20.14%15.06%9.05%
20112.96%38.45%$62,9001.89%$13,231-18.82%3.47%1.89%33.96%
20121.74%10.01%$69,19415.99%$15,34719.10%18.12%15.99%2.63%
20131.50%27.88%$88,48632.31%$20,305-3.69%36.63%32.31%-13.37%
20140.76%19.43%$105,68113.46%$23,039-3.93%19.18%13.46%27.30%
20150.73%-7.82%$97,4151.25%$23,327-16.18%9.45%1.25%-1.79%
20162.07%-4.58%$92,95712.00%$26,12710.87%7.10%12.00%1.18%
20172.11%28.56%$119,50421.70%$31,79637.28%32.66%21.70%9.18%
20181.91%8.24%$129,354-4.56%$30,347-15.31%-0.12%-4.56%-1.61%
20192.29%8.30%$140,09231.22%$39,82218.20%38.96%31.22%14.12%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMomentum ModelSPDR S&P 500 ETF TrustiShares MSCI Emerging Markets ETF (EEM)Invesco QQQ Trust (QQQ)SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
200412.42%$10,2421.98%$10,1982.42%1.67%1.98%1.86%
200423.95%$10,6471.36%$10,3363.95%-1.35%1.36%2.28%
200430.55%$10,706-1.32%$10,2000.55%-2.00%-1.32%1.41%
20044-9.80%$9,657-1.89%$10,007-9.80%-2.99%-1.89%-6.23%
200451.71%$9,8221.71%$10,1781.17%5.12%1.71%-0.26%
200463.26%$10,1421.85%$10,3660.92%3.26%1.85%1.06%
20047-7.55%$9,376-3.22%$10,032-3.64%-7.55%-3.22%1.53%
200484.17%$9,7660.24%$10,0573.53%-2.49%0.24%4.17%
200490.95%$9,8591.00%$10,1586.98%3.29%1.00%0.95%
2004101.77%$10,0331.29%$10,2882.85%5.01%1.29%1.77%
2004119.95%$11,0314.45%$10,7469.95%6.02%4.45%-2.39%
2004124.74%$11,5543.02%$11,0704.74%3.02%3.02%2.66%
20051-0.53%$11,493-2.24%$10,822-0.53%-6.31%-2.24%3.57%
200529.68%$12,6062.09%$11,0489.68%-0.48%2.09%-1.47%
20053-7.91%$11,608-1.83%$10,846-7.91%-1.75%-1.83%-0.45%
200543.86%$12,057-1.87%$10,643-1.25%-4.35%-1.87%3.86%
200553.14%$12,4353.22%$10,9863.16%8.86%3.22%3.14%
200562.16%$12,7040.15%$11,0033.97%-3.32%0.15%2.16%
20057-3.38%$12,2753.83%$11,4247.68%7.61%3.83%-3.38%
200581.32%$12,437-0.94%$11,3171.32%-1.52%-0.94%3.48%
200598.65%$13,5140.80%$11,4078.65%1.23%0.80%-3.61%
200510-6.34%$12,657-2.37%$11,137-6.34%-1.50%-2.37%-2.24%
2005115.79%$13,3894.40%$11,6275.79%6.10%4.40%0.69%
2005126.10%$14,206-0.19%$11,6056.10%-1.77%-0.19%2.98%
2006114.20%$16,2232.40%$11,88314.20%3.93%2.40%-1.34%
20062-3.85%$15,5980.57%$11,951-3.85%-2.14%0.57%1.11%
200632.17%$15,9361.65%$12,1492.17%2.09%1.65%-4.57%
200646.52%$16,9751.26%$12,3026.52%-0.19%1.26%-2.75%
20065-11.14%$15,083-3.01%$11,932-11.14%-7.24%-3.01%-0.19%
200660.26%$15,1230.26%$11,9630.21%-0.06%0.26%1.18%
200670.45%$15,1910.45%$12,0172.34%-4.31%0.45%2.16%
200683.06%$15,6552.18%$12,2791.58%4.77%2.18%3.06%
200691.91%$15,9552.70%$12,610-0.87%4.64%2.70%1.91%
2006100.85%$16,0903.15%$13,0087.06%4.75%3.15%0.85%
2006113.43%$16,6411.99%$13,2665.98%3.43%1.99%2.31%
200612-1.88%$16,3291.34%$13,4445.44%-1.88%1.34%-2.69%
200710.11%$16,3471.50%$13,6460.11%2.11%1.50%-1.00%
20072-3.24%$15,818-1.96%$13,378-3.24%-1.68%-1.96%3.39%
200735.33%$16,6621.16%$13,5335.33%0.52%1.16%-1.70%
200743.73%$17,2834.43%$14,1333.73%5.58%4.43%0.90%
200755.06%$18,1583.39%$14,6125.06%3.15%3.39%-2.31%
200763.68%$18,826-1.46%$14,3983.68%0.48%-1.46%-1.01%
200770.71%$18,960-3.13%$13,9470.71%-0.15%-3.13%3.32%
200781.04%$19,1581.28%$14,1261.04%2.82%1.28%1.79%
2007911.57%$21,3753.87%$14,67311.57%5.25%3.87%0.23%
20071011.87%$23,9121.36%$14,87211.87%7.04%1.36%1.81%
200711-7.65%$22,082-3.87%$14,296-7.65%-6.76%-3.87%5.35%
200712-1.43%$21,767-1.13%$14,134-1.43%-0.07%-1.13%-0.64%
200812.10%$22,223-6.05%$13,280-8.92%-11.89%-6.05%2.10%
20082-0.46%$22,122-2.58%$12,9361.99%-4.83%-2.58%-0.46%
200832.14%$22,595-0.90%$12,820-3.75%1.87%-0.90%2.14%
20084-2.48%$22,0354.77%$13,4319.14%7.98%4.77%-2.48%
200853.16%$22,7321.51%$13,6343.16%5.93%1.51%-2.69%
20086-9.61%$20,547-8.35%$12,495-9.29%-9.61%-8.35%2.65%
200870.64%$20,679-0.90%$12,383-5.50%0.64%-0.90%-0.37%
200882.74%$21,2451.55%$12,574-6.32%1.45%1.55%2.74%
200891.47%$21,558-9.44%$11,388-14.68%-15.58%-9.44%1.47%
200810-1.86%$21,156-16.52%$9,507-25.58%-15.47%-16.52%-1.86%
20081114.34%$24,190-6.96%$8,845-9.75%-11.46%-6.96%14.34%
20081213.64%$27,4890.98%$8,93210.35%2.28%0.98%13.64%
20091-13.07%$23,896-8.21%$8,198-9.29%-2.29%-8.21%-13.07%
20092-1.54%$23,529-10.74%$7,317-6.27%-5.26%-10.74%-1.54%
200934.04%$24,4808.35%$7,92816.86%10.32%8.35%4.04%
2009413.06%$27,6779.93%$8,71615.56%13.06%9.93%-6.95%
2009515.94%$32,0895.85%$9,22515.94%3.21%5.85%-3.69%
20096-2.25%$31,365-0.07%$9,219-2.25%2.95%-0.07%0.76%
2009711.01%$34,8207.46%$9,90711.01%8.44%7.46%0.58%
20098-1.31%$34,3633.69%$10,273-1.31%1.47%3.69%2.24%
200995.65%$36,3033.55%$10,63710.20%5.65%3.55%2.46%
200910-3.44%$35,053-1.92%$10,433-3.44%-3.05%-1.92%-2.62%
2009116.16%$37,2136.16%$11,0757.85%6.35%6.16%1.21%
2009123.27%$38,4291.91%$11,2873.27%5.20%1.91%-6.34%
20101-6.47%$35,942-3.63%$10,876-7.76%-6.47%-3.63%2.69%
201024.60%$37,5973.12%$11,2161.78%4.60%3.12%-0.34%
201037.71%$40,4966.09%$11,8998.11%7.71%6.09%-2.06%
201041.55%$41,1231.55%$12,083-0.17%2.24%1.55%3.32%
20105-7.39%$38,083-7.95%$11,123-9.39%-7.39%-7.95%5.11%
201065.80%$40,290-5.17%$10,547-1.40%-5.98%-5.17%5.80%
20107-0.95%$39,9086.83%$11,26810.93%7.26%6.83%-0.95%
201088.40%$43,259-4.50%$10,761-3.24%-5.13%-4.50%8.40%
20109-2.51%$42,1718.96%$11,72411.76%13.17%8.96%-2.51%
2010103.02%$43,4433.82%$12,1723.02%6.34%3.82%-4.47%
201011-0.17%$43,3680.00%$12,172-2.91%-0.17%0.00%-1.69%
2010124.76%$45,4316.68%$12,9867.27%4.76%6.68%-3.68%
201112.83%$46,7162.33%$13,289-3.84%2.83%2.33%-3.08%
201123.47%$48,3393.47%$13,750-0.04%3.16%3.47%1.65%
201130.01%$48,3440.01%$13,7526.29%-0.45%0.01%0.03%
201142.90%$49,7442.90%$14,1502.73%2.87%2.90%2.34%
20115-2.94%$48,281-1.12%$13,991-2.94%-1.22%-1.12%3.42%
20116-0.93%$47,834-1.69%$13,755-0.93%-2.02%-1.69%-2.33%
201174.42%$49,946-2.00%$13,480-1.03%1.67%-2.00%4.42%
201189.66%$54,773-5.50%$12,739-9.25%-5.07%-5.50%9.66%
2011913.20%$62,003-6.94%$11,854-17.89%-4.49%-6.94%13.20%
201110-3.84%$59,62410.91%$13,14816.27%10.40%10.91%-3.84%
2011111.98%$60,805-0.41%$13,094-1.96%-2.69%-0.41%1.98%
2011123.44%$62,9001.04%$13,231-4.30%-0.62%1.04%3.44%
201214.64%$65,8174.64%$13,84510.99%8.42%4.64%-0.33%
201224.34%$68,6744.34%$14,4465.27%6.41%4.34%-2.59%
201235.05%$72,1443.22%$14,910-3.11%5.05%3.22%-4.23%
20124-1.17%$71,300-0.67%$14,811-1.70%-1.17%-0.67%4.83%
20125-7.04%$66,280-6.01%$13,921-10.71%-7.04%-6.01%9.03%
20126-1.68%$65,1654.05%$14,4855.08%3.62%4.05%-1.68%
201273.82%$67,6511.18%$14,657-0.03%1.00%1.18%3.82%
20128-1.32%$66,7592.51%$15,0240.41%5.19%2.51%-1.32%
201290.89%$67,3532.54%$15,4055.22%0.89%2.54%-2.53%
201210-5.28%$63,797-1.82%$15,125-0.44%-5.28%-1.82%-0.48%
2012111.56%$64,7890.57%$15,2101.56%1.31%0.57%1.38%
2012126.80%$69,1940.90%$15,3476.80%-0.46%0.90%-2.49%
20131-0.29%$68,9915.12%$16,133-0.29%2.67%5.12%-3.19%
20132-2.28%$67,4151.28%$16,338-2.28%0.34%1.28%1.24%
201333.80%$69,9763.80%$16,959-1.02%3.03%3.80%-0.42%
201341.92%$71,3201.92%$17,2851.22%2.54%1.92%4.68%
201352.36%$73,0042.36%$17,693-4.83%3.58%2.36%-6.76%
20136-2.39%$71,256-1.34%$17,456-5.35%-2.39%-1.34%-3.27%
201376.31%$75,7565.17%$18,3591.32%6.31%5.17%-2.26%
20138-0.40%$75,456-3.00%$17,808-2.54%-0.40%-3.00%-1.34%
201394.83%$79,1033.17%$18,3727.21%4.83%3.17%0.66%
2013104.96%$83,0244.63%$19,2234.17%4.96%4.63%1.43%
2013113.55%$85,9722.96%$19,793-0.26%3.55%2.96%-2.70%
2013122.92%$88,4862.59%$20,305-0.42%2.92%2.59%-1.87%
20141-1.92%$86,786-3.52%$19,589-8.64%-1.92%-3.52%6.30%
201425.15%$91,2554.55%$20,4813.38%5.15%4.55%0.52%
20143-2.73%$88,7630.83%$20,6513.88%-2.73%0.83%0.73%
201442.10%$90,6240.70%$20,7950.78%-0.32%0.70%2.10%
201452.95%$93,2992.32%$21,2772.95%4.49%2.32%2.95%
201462.40%$95,5392.06%$21,7162.40%3.12%2.06%-0.25%
201471.18%$96,668-1.34%$21,4251.36%1.18%-1.34%0.67%
201485.01%$101,5113.95%$22,2702.83%5.01%3.95%4.72%
20149-0.76%$100,743-1.38%$21,963-7.77%-0.76%-1.38%-2.11%
2014102.64%$103,4042.36%$22,4801.42%2.64%2.36%2.81%
2014114.55%$108,1052.75%$23,098-1.54%4.55%2.75%2.97%
201412-2.24%$105,681-0.26%$23,039-3.99%-2.24%-0.26%3.25%
201519.82%$116,055-2.96%$22,356-0.69%-2.08%-2.96%9.82%
20152-6.14%$108,9325.62%$23,6134.41%7.22%5.62%-6.14%
201531.10%$110,126-1.57%$23,241-1.50%-2.36%-1.57%1.10%
20154-3.43%$106,3510.98%$23,4696.85%1.92%0.98%-3.43%
20155-4.10%$101,9861.29%$23,771-4.10%2.25%1.29%-2.37%
20156-2.48%$99,453-2.03%$23,289-2.93%-2.48%-2.03%-4.07%
201574.56%$103,9862.26%$23,815-6.31%4.56%2.26%4.55%
20158-6.82%$96,890-6.10%$22,363-8.84%-6.82%-6.10%-0.69%
201591.97%$98,794-2.54%$21,795-3.13%-2.20%-2.54%1.97%
201510-0.41%$98,3898.51%$23,6486.38%11.37%8.51%-0.41%
2015110.61%$98,9880.37%$23,735-2.52%0.61%0.37%-0.87%
201512-1.59%$97,415-1.72%$23,327-3.83%-1.59%-1.72%-0.30%
20161-6.91%$90,683-4.98%$22,166-5.03%-6.91%-4.98%5.57%
201623.09%$93,482-0.08%$22,147-0.82%-1.57%-0.08%3.09%
20163-0.09%$93,3986.72%$23,63712.96%6.85%6.72%-0.09%
20164-0.74%$92,7100.39%$23,7300.41%-3.19%0.39%-0.74%
20165-3.69%$89,2861.70%$24,134-3.69%4.37%1.70%0.81%
201664.56%$93,3550.35%$24,2184.56%-2.27%0.35%6.93%
201672.10%$95,3153.65%$25,1015.38%7.15%3.65%2.10%
20168-1.01%$94,3510.12%$25,1310.88%1.05%0.12%-1.01%
201692.52%$96,7280.01%$25,1332.52%2.21%0.01%-1.51%
201610-1.46%$95,318-1.73%$24,697-0.83%-1.46%-1.73%-4.38%
201611-4.42%$91,1093.68%$25,607-4.42%0.44%3.68%-8.21%
2016122.03%$92,9572.03%$26,127-0.25%1.13%2.03%-0.46%
201711.79%$94,6211.79%$26,5946.66%5.14%1.79%0.81%
201723.93%$98,3383.93%$27,6391.74%4.38%3.93%1.59%
201732.03%$100,3320.13%$27,6743.69%2.03%0.13%-0.65%
201741.70%$102,0380.99%$27,9491.70%2.73%0.99%1.57%
201753.90%$106,0151.41%$28,3432.85%3.90%1.41%1.89%
20176-2.32%$103,5590.64%$28,5240.93%-2.32%0.64%0.79%
201775.82%$109,5892.06%$29,1105.82%4.06%2.06%-0.66%
201782.35%$112,1660.29%$29,1952.35%2.07%0.29%3.41%
20179-0.04%$112,1162.01%$29,783-0.04%-0.29%2.01%-2.32%
2017103.28%$115,7942.36%$30,4853.28%4.61%2.36%-0.04%
2017111.97%$118,0773.06%$31,417-0.39%1.97%3.06%0.74%
2017121.21%$119,5041.21%$31,7963.77%0.60%1.21%1.81%
201818.76%$129,9695.64%$33,5888.30%8.76%5.64%-3.26%
20182-5.90%$122,303-3.64%$32,367-5.90%-1.29%-3.64%-3.04%
20183-4.08%$117,318-2.74%$31,4800.54%-4.08%-2.74%2.86%
201840.51%$117,9120.52%$31,642-2.82%0.51%0.52%-2.09%
201852.01%$120,2762.43%$32,412-2.62%5.67%2.43%2.01%
201860.65%$121,0540.58%$32,598-4.54%1.15%0.58%0.65%
201872.80%$124,4403.70%$33,8063.53%2.80%3.70%-1.44%
201885.78%$131,6333.19%$34,885-3.77%5.78%3.19%1.31%
20189-0.28%$131,2620.59%$35,092-0.58%-0.28%0.59%-2.86%
201810-8.60%$119,979-6.91%$32,667-8.76%-8.60%-6.91%-2.93%
2018111.85%$122,2041.85%$33,2734.90%-0.26%1.85%1.79%
2018125.85%$129,354-8.79%$30,347-3.50%-8.65%-8.79%5.85%
201910.38%$129,8438.01%$32,77710.34%9.01%8.01%0.38%
20192-1.53%$127,8553.24%$33,840-1.53%2.99%3.24%-1.38%
201931.13%$129,3011.81%$34,4511.13%3.92%1.81%5.57%
201945.50%$136,4124.09%$35,8592.35%5.50%4.09%-1.99%
20195-8.23%$125,191-6.38%$33,572-7.33%-8.23%-6.38%6.84%
201960.95%$126,3796.96%$35,9086.20%7.59%6.96%0.95%
201970.26%$126,7041.51%$36,451-2.66%2.33%1.51%0.26%
2019811.04%$140,698-1.67%$35,841-3.78%-1.90%-1.67%11.04%
20199-2.68%$136,9271.95%$36,5391.69%0.92%1.95%-2.68%
201910-1.11%$135,4022.21%$37,3474.18%4.38%2.21%-1.11%
201911-0.41%$134,8523.62%$38,699-0.09%4.07%3.62%-0.41%
2019123.89%$140,0922.90%$39,8227.71%3.89%2.90%-3.20%
Portfolio return and risk metrics
MetricMomentum ModelSPDR 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 Correlation0.321.00
Beta(*)0.421.00
Alpha (annualized)14.05%-0.00%
R210.77%100.00%
Sharpe Ratio0.980.61
Sortino Ratio1.740.89
Treynor Ratio (%)40.208.28
Calmar Ratio1.511.12
Active Return8.92%N/A
Tracking Error17.95%N/A
Information Ratio0.50N/A
Skewness0.08-0.80
Excess Kurtosis0.802.18
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 (%)91.72100.00
Downside Capture Ratio (%)32.72100.00
Safe Withdrawal Rate19.81%8.41%
Perpetual Withdrawal Rate13.43%6.35%
Positive Periods125 out of 192 (65.10%)130 out of 192 (67.71%)
Gain/Loss Ratio1.200.80
* SPDR S&P 500 ETF Trust 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 ModelSPDR S&P 500 ETF Trust
Subprime CrisisNov 2007Mar 2009-14.41%-50.80%

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015May 20161 year 4 monthsNov 20171 year 6 months2 years 10 months-23.07%
2Jan 2009Feb 20092 monthsApr 20092 months4 months-14.41%
3Nov 2007Jun 20088 monthsNov 20085 months1 year 1 month-14.07%
4Apr 2004Jul 20044 monthsNov 20044 months8 months-12.42%
5Apr 2012Oct 20127 monthsMay 20137 months1 year 2 months-11.57%
6May 2006May 20061 monthApr 200711 months1 year-11.14%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-9.73%
8Sep 2018Oct 20182 monthsApr 20196 months8 months-8.85%
9May 2019May 20191 monthAug 20193 months4 months-8.23%
10Mar 2005Mar 20051 monthJun 20053 months4 months-7.91%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5May 2019May 20191 monthJun 20191 month2 months-6.38%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-3.86%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
10Jul 2004Jul 20041 monthNov 20044 months5 months-3.22%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelSPDR S&P 500 ETF Trust
AverageHighLowAverageHighLow
1 year19.83%68.40%-21.86%9.90%53.27%-43.44%
3 years19.34%43.37%1.66%8.88%25.45%-15.09%
5 years20.00%34.13%4.52%8.48%22.86%-6.67%
7 years20.47%30.04%8.69%9.45%17.14%2.23%
10 years20.24%26.38%13.74%9.11%16.55%6.36%
15 years18.62%19.46%18.02%8.60%8.98%7.68%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMomentum ModelSPDR S&P 500 ETF Trust
70Jan 2020Jan 20201Please sign-in for forward signals---
69Dec 2019Dec 20191100.00% Invesco QQQ Trust (QQQ)QQQ: 3.89%3.89%2.90%
68Jun 2019Nov 20196100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 7.72%7.72%15.27%
67Apr 2019May 20192100.00% Invesco QQQ Trust (QQQ)QQQ: -3.18%-3.18%-2.55%
66Feb 2019Mar 20192100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -0.42%-0.42%5.11%
65Dec 2018Jan 20192100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 6.25%6.25%-1.49%
64Nov 2018Nov 20181100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 1.85%1.85%1.85%
63Jul 2018Oct 20184100.00% Invesco QQQ Trust (QQQ)QQQ: -0.89%-0.89%0.21%
62May 2018Jun 20182100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.67%2.67%3.02%
61Mar 2018Apr 20182100.00% Invesco QQQ Trust (QQQ)QQQ: -3.59%-3.59%-2.24%
60Feb 2018Feb 20181100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -5.90%-5.90%-3.64%
59Jan 2018Jan 20181100.00% Invesco QQQ Trust (QQQ)QQQ: 8.76%8.76%5.64%
58Dec 2017Dec 20171100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 1.21%1.21%1.21%
57Nov 2017Nov 20171100.00% Invesco QQQ Trust (QQQ)QQQ: 1.97%1.97%3.06%
56Jul 2017Oct 20174100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 11.81%11.81%6.88%
55May 2017Jun 20172100.00% Invesco QQQ Trust (QQQ)QQQ: 1.49%1.49%2.06%
54Apr 2017Apr 20171100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 1.70%1.70%0.99%
53Mar 2017Mar 20171100.00% Invesco QQQ Trust (QQQ)QQQ: 2.03%2.03%0.13%
52Dec 2016Feb 20173100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 7.93%7.93%7.93%
51Nov 2016Nov 20161100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -4.42%-4.42%3.68%
50Oct 2016Oct 20161100.00% Invesco QQQ Trust (QQQ)QQQ: -1.46%-1.46%-1.73%
49Sep 2016Sep 20161100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 2.52%2.52%0.01%
48Jul 2016Aug 20162100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.07%1.07%3.77%
47May 2016Jun 20162100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 0.70%0.70%2.06%
46Feb 2016Apr 20163100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.23%2.23%7.06%
45Nov 2015Jan 20163100.00% Invesco QQQ Trust (QQQ)QQQ: -7.83%-7.83%-6.27%
44Sep 2015Oct 20152100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.55%1.55%5.75%
43Jun 2015Aug 20153100.00% Invesco QQQ Trust (QQQ)QQQ: -5.00%-5.00%-5.92%
42May 2015May 20151100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -4.10%-4.10%1.29%
41Jan 2015Apr 20154100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.63%0.63%1.87%
40Jul 2014Dec 20146100.00% Invesco QQQ Trust (QQQ)QQQ: 10.62%10.62%6.09%
39May 2014Jun 20142100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 5.42%5.42%4.43%
38Apr 2014Apr 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.10%2.10%0.70%
37Jun 2013Mar 201410100.00% Invesco QQQ Trust (QQQ)QQQ: 21.59%21.59%16.72%
36Mar 2013May 20133100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 8.29%8.29%8.29%
35Nov 2012Feb 20134100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 5.67%5.67%8.03%
34Sep 2012Oct 20122100.00% Invesco QQQ Trust (QQQ)QQQ: -4.44%-4.44%0.67%
33Jun 2012Aug 20123100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.72%0.72%7.92%
32Mar 2012May 20123100.00% Invesco QQQ Trust (QQQ)QQQ: -3.48%-3.48%-3.63%
31Jan 2012Feb 20122100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 9.18%9.18%9.18%
30Jul 2011Dec 20116100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 31.49%31.49%-3.81%
29May 2011Jun 20112100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.84%-3.84%-2.79%
28Feb 2011Apr 20113100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 6.48%6.48%6.48%
27Nov 2010Jan 20113100.00% Invesco QQQ Trust (QQQ)QQQ: 7.53%7.53%9.17%
26Oct 2010Oct 20101100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 3.02%3.02%3.82%
25Jun 2010Sep 20104100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 10.74%10.74%5.41%
24May 2010May 20101100.00% Invesco QQQ Trust (QQQ)QQQ: -7.39%-7.39%-7.95%
23Apr 2010Apr 20101100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 1.55%1.55%1.55%
22Jan 2010Mar 20103100.00% Invesco QQQ Trust (QQQ)QQQ: 5.38%5.38%5.42%
21Dec 2009Dec 20091100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 3.27%3.27%1.91%
20Nov 2009Nov 20091100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 6.16%6.16%6.16%
19Oct 2009Oct 20091100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.44%-3.44%-1.92%
18Sep 2009Sep 20091100.00% Invesco QQQ Trust (QQQ)QQQ: 5.65%5.65%3.55%
17May 2009Aug 20094100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 24.16%24.16%17.86%
16Apr 2009Apr 20091100.00% Invesco QQQ Trust (QQQ)QQQ: 13.06%13.06%9.93%
15Aug 2008Mar 20098100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 18.38%18.38%-35.97%
14Jun 2008Jul 20082100.00% Invesco QQQ Trust (QQQ)QQQ: -9.03%-9.03%-9.17%
13May 2008May 20081100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 3.16%3.16%1.51%
12Jan 2008Apr 20084100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.23%1.23%-4.98%
11Jan 2007Dec 200712100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 33.31%33.31%5.14%
10Nov 2006Dec 20062100.00% Invesco QQQ Trust (QQQ)QQQ: 1.49%1.49%3.35%
9Aug 2006Oct 20063100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.92%5.92%8.25%
8Jun 2006Jul 20062100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 0.71%0.71%0.71%
7Aug 2005May 200610100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 22.88%22.88%4.45%
6Apr 2005Jul 20054100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.74%5.74%5.32%
5Nov 2004Mar 20055100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 15.70%15.70%5.42%
4Aug 2004Oct 20043100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 7.01%7.01%2.55%
3Jun 2004Jul 20042100.00% Invesco QQQ Trust (QQQ)QQQ: -4.54%-4.54%-1.43%
2May 2004May 20041100.00% SPDR S&P 500 ETF Trust (SPY)SPY: 1.71%1.71%1.71%
1Jan 2004Apr 20044100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.43%-3.43%0.07%