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.
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].
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 based on 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% |