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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Time Period #5
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Asset 2
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Asset 6
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Market Timing Results (Jan 2008 - Sep 2020) Save

Tactical asset allocation model results from Jan 2008 to Sep 2020 are based on relative strength model holding the top 3 best performing assets. The model uses a single performance window of 4 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 SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL) [Jun 2007 - Sep 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Momentum Model$10,000$30,9299.26%10.78%35.70%-7.82%-13.57% 0.821.410.50
Equal Weight Portfolio$10,000$17,6154.54%11.84%22.18%-22.73%-36.53% 0.380.530.89
Vanguard 500 Index Investor$10,000$29,5458.87%15.81%32.18%-37.02%-48.47% 0.580.831.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Momentum Model9.40%6.22%6.32%4.61%5.64%7.34%9.26%
Equal Weight Portfolio4.74%0.63%5.67%5.17%7.08%5.48%4.54%
Vanguard 500 Index Investor8.89%5.47%15.00%12.13%14.00%13.58%8.87%
Trailing returns are for full months ending in September 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to September
  • 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
  • Additional trading costs and taxes for tactical asset allocation models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceInvesco DB Commodity Tracking (DBC)iShares MSCI Emerging Markets ETF (EEM)iShares Russell 2000 ETF (IWM)SPDR S&P 500 ETF Trust (SPY)iShares MSCI EAFE ETF (EFA)SPDR Gold Shares (GLD)Vanguard Real Estate ETF (VNQ)SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)iShares 20+ Year Treasury Bond ETF (TLT)
Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
20080.09%0.58%-22.73%-37.02%$10,058$7,727$6,298-31.77%-48.88%-34.13%-36.81%-41.04%4.92%-37.00%1.59%33.93%
20092.72%35.70%22.18%26.49%$13,649$9,441$7,96616.19%68.93%28.51%26.36%26.95%24.03%30.08%0.27%-21.80%
20101.50%16.31%16.87%14.91%$15,875$11,033$9,15411.90%16.51%26.93%15.06%8.15%29.27%28.37%-0.04%9.05%
20112.96%17.13%2.09%1.97%$18,595$11,263$9,334-2.58%-18.82%-4.44%1.89%-12.25%9.57%8.62%-0.04%33.96%
20121.74%6.52%11.59%15.82%$19,808$12,568$10,8113.50%19.10%16.70%15.99%18.82%6.60%17.63%-0.04%2.63%
20131.50%17.81%3.18%32.18%$23,336$12,968$14,290-7.63%-3.69%38.69%32.31%21.40%-28.33%2.31%-0.09%-13.37%
20140.76%11.34%3.06%13.51%$25,983$13,364$16,220-28.10%-3.93%5.03%13.46%-6.20%-2.19%30.36%-0.07%27.30%
20150.73%-7.82%-6.20%1.25%$23,952$12,536$16,422-27.59%-16.18%-4.47%1.25%-1.00%-10.67%2.42%-0.13%-1.79%
20162.07%2.64%9.72%11.82%$24,585$13,755$18,36318.56%10.87%21.60%12.00%1.37%8.03%8.60%0.11%1.18%
20172.11%15.53%14.28%21.67%$28,403$15,719$22,3424.86%37.28%14.59%21.70%25.10%12.81%4.91%0.69%9.18%
20181.91%-2.68%-6.73%-4.52%$27,642$14,661$21,331-11.62%-15.31%-11.11%-4.56%-13.81%-1.94%-6.02%1.74%-1.61%
20192.29%5.34%19.40%31.33%$29,119$17,506$28,01311.84%18.20%25.39%31.22%22.03%17.86%28.87%2.03%14.12%
20201.29%6.22%0.63%5.47%$30,929$17,615$29,545-18.12%-1.16%-8.58%5.58%-7.04%23.95%-12.77%0.40%21.78%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceInvesco DB Commodity Tracking (DBC)iShares MSCI Emerging Markets ETF (EEM)iShares Russell 2000 ETF (IWM)SPDR S&P 500 ETF Trust (SPY)iShares MSCI EAFE ETF (EFA)SPDR Gold Shares (GLD)Vanguard Real Estate ETF (VNQ)SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)iShares 20+ Year Treasury Bond ETF (TLT)
Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
200811.61%-1.54%-6.02%$10,161$9,846$9,3982.92%-8.92%-6.53%-6.05%-7.85%10.84%-0.78%0.39%2.10%
200825.31%0.93%-3.25%$10,700$9,937$9,09311.15%1.99%-2.93%-2.58%-1.02%5.23%-3.18%0.16%-0.46%
20083-1.59%-0.33%-0.44%$10,530$9,904$9,053-0.91%-3.75%-0.67%-0.90%0.42%-6.00%6.48%0.23%2.14%
20084-0.20%3.29%4.85%$10,509$10,230$9,4926.04%9.14%4.55%4.77%5.44%-4.16%6.38%-0.07%-2.48%
200852.54%1.72%1.29%$10,776$10,406$9,6156.91%3.16%4.58%1.51%1.19%0.92%-0.21%0.10%-2.69%
20086-3.16%-2.97%-8.44%$10,436$10,097$8,80410.43%-9.29%-7.53%-8.35%-8.80%4.52%-10.62%0.23%2.65%
20087-2.16%-1.59%-0.83%$10,210$9,936$8,730-9.78%-5.50%3.68%-0.90%-3.32%-1.44%3.12%0.19%-0.37%
20088-0.96%-1.79%1.45%$10,112$9,759$8,857-6.53%-6.32%3.58%1.55%-4.25%-9.29%2.37%0.08%2.74%
20089-1.92%-5.29%-8.91%$9,918$9,243$8,068-10.25%-14.68%-7.75%-9.44%-11.44%4.11%-0.11%0.51%1.47%
200810-6.08%-17.66%-16.79%$9,315$7,610$6,713-25.08%-25.58%-20.96%-16.52%-20.83%-16.14%-31.73%-0.23%-1.86%
2008110.79%-4.80%-7.17%$9,388$7,245$6,231-12.37%-9.75%-11.93%-6.96%-6.37%12.57%-22.72%-0.05%14.34%
2008127.13%6.65%1.07%$10,058$7,727$6,298-3.22%10.35%4.82%0.98%8.88%7.73%16.67%0.03%13.64%
20091-2.45%-7.80%-8.41%$9,812$7,124$5,768-4.44%-9.29%-9.67%-8.21%-13.73%5.54%-17.53%0.20%-13.07%
20092-0.03%-7.29%-10.66%$9,809$6,605$5,153-5.63%-6.27%-11.98%-10.74%-10.39%1.45%-20.53%-0.00%-1.54%
200930.50%5.68%8.76%$9,858$6,980$5,6054.66%16.86%7.77%8.35%8.39%-2.54%3.61%-0.01%4.04%
200941.76%8.08%9.56%$10,031$7,544$6,141-0.10%15.56%15.39%9.93%11.52%-3.33%30.68%0.06%-6.95%
200958.73%7.09%5.62%$10,907$8,079$6,48616.27%15.94%3.40%5.85%13.19%10.23%2.62%0.01%-3.69%
20096-2.10%-1.36%0.22%$10,677$7,969$6,500-2.63%-2.25%1.81%-0.07%-1.43%-5.22%-3.23%-0.01%0.76%
2009710.61%5.91%7.58%$11,810$8,440$6,9921.86%11.01%9.18%7.46%10.04%2.38%10.77%-0.06%0.58%
200985.84%2.50%3.60%$12,499$8,651$7,244-4.04%-1.31%2.93%3.69%4.50%0.05%14.32%0.07%2.24%
200996.87%4.20%3.72%$13,359$9,014$7,513-0.23%10.20%5.56%3.55%3.80%5.84%6.63%0.03%2.46%
200910-4.80%-1.20%-1.87%$12,717$8,906$7,3736.94%-3.44%-6.49%-1.92%-2.52%3.72%-4.46%0.00%-2.62%
2009116.11%5.12%5.98%$13,495$9,363$7,8144.54%7.85%3.12%6.16%3.92%12.79%6.57%-0.04%1.21%
2009121.14%0.83%1.95%$13,649$9,441$7,966-0.16%3.27%7.92%1.91%0.70%-7.20%7.37%0.03%-6.34%
20101-4.85%-3.57%-3.60%$12,988$9,104$7,679-7.84%-7.76%-3.73%-3.63%-5.07%-1.26%-5.52%0.00%2.69%
201024.33%2.48%3.09%$13,551$9,329$7,9164.14%1.78%4.48%3.12%0.27%3.27%5.58%-0.02%-0.34%
201038.17%4.00%6.01%$14,658$9,703$8,392-0.47%8.11%8.23%6.09%6.39%-0.44%10.18%0.00%-2.06%
201044.79%2.72%1.58%$15,360$9,967$8,5253.91%-0.17%5.68%1.55%-2.80%5.88%7.15%-0.04%3.32%
20105-3.27%-4.82%-8.01%$14,857$9,486$7,842-10.15%-9.39%-7.54%-7.95%-11.19%3.05%-5.33%0.04%5.11%
20106-3.53%-1.69%-5.24%$14,333$9,326$7,431-1.78%-1.40%-7.74%-5.17%-2.07%2.36%-5.19%0.02%5.80%
201071.19%5.08%7.00%$14,503$9,800$7,9516.12%10.93%6.73%6.83%11.61%-5.09%9.59%-0.04%-0.95%
201084.28%-1.02%-4.53%$15,123$9,701$7,591-3.01%-3.24%-7.44%-4.50%-3.80%5.71%-1.28%0.00%8.40%
201090.75%6.49%8.92%$15,237$10,331$8,2688.60%11.76%12.45%8.96%9.97%4.78%4.45%0.00%-2.51%
2010100.78%2.58%3.79%$15,357$10,597$8,5814.44%3.02%4.15%3.82%3.81%3.68%4.74%0.02%-4.47%
201011-3.19%-0.68%0.00%$14,866$10,525$8,581-0.44%-2.91%3.49%0.00%-4.82%2.11%-1.85%0.00%-1.69%
2010126.79%4.83%6.67%$15,875$11,033$9,1549.89%7.27%8.03%6.68%8.30%2.44%4.54%-0.02%-3.68%
201111.84%-0.27%2.36%$16,167$11,003$9,3703.56%-3.84%-0.37%2.33%2.10%-6.38%3.25%0.00%-3.08%
201124.40%3.23%3.42%$16,878$11,358$9,6904.17%-0.04%5.54%3.47%3.55%6.00%4.71%0.00%1.65%
201131.73%1.01%0.03%$17,170$11,473$9,6922.66%6.29%2.52%0.01%-2.39%1.60%-1.62%0.00%0.03%
201143.36%3.94%2.95%$17,748$11,925$9,9784.56%2.73%2.64%2.90%5.63%8.94%5.75%0.00%2.34%
20115-1.86%-1.13%-1.15%$17,417$11,790$9,864-5.17%-2.94%-1.79%-1.12%-2.21%-1.79%1.37%0.02%3.42%
20116-2.71%-2.06%-1.67%$16,944$11,547$9,699-4.26%-0.93%-2.40%-1.69%-1.19%-2.43%-3.30%0.00%-2.33%
201173.93%1.13%-2.05%$17,611$11,677$9,5004.56%-1.03%-3.41%-2.00%-2.38%8.42%1.56%0.00%4.42%
201185.44%-1.83%-5.45%$18,569$11,464$8,983-0.40%-9.25%-8.89%-5.50%-8.75%12.27%-5.62%0.00%9.66%
201190.70%-7.80%-7.04%$18,700$10,570$8,350-14.62%-17.89%-11.15%-6.94%-10.81%-11.06%-10.85%-0.02%13.20%
2011100.66%8.43%10.91%$18,824$11,461$9,2627.65%16.27%15.10%10.91%9.63%5.87%14.29%-0.04%-3.84%
2011111.22%-0.59%-0.23%$19,054$11,393$9,240-0.29%-1.96%-0.38%-0.41%-2.18%1.67%-3.80%0.02%1.98%
201112-2.41%-1.14%1.02%$18,595$11,263$9,334-2.89%-4.30%0.51%1.04%-2.21%-10.66%4.85%-0.02%3.44%
201213.56%5.46%4.46%$19,257$11,878$9,7513.69%10.99%7.15%4.64%5.27%11.40%6.38%-0.02%-0.33%
201222.23%1.74%4.31%$19,687$12,085$10,1715.35%5.27%2.57%4.34%4.83%-2.96%-1.15%0.02%-2.59%
201230.86%0.09%3.28%$19,856$12,097$10,504-1.77%-3.11%2.48%3.22%0.42%-1.32%5.19%-0.02%-4.23%
201240.19%0.02%-0.64%$19,894$12,099$10,437-1.35%-1.70%-1.62%-0.67%-2.08%-0.15%2.86%0.02%4.83%
20125-7.07%-5.27%-6.02%$18,487$11,461$9,809-11.16%-10.71%-6.58%-6.01%-11.14%-6.34%-4.51%0.00%9.03%
201262.63%3.27%4.11%$18,974$11,837$10,2122.02%5.08%5.05%4.05%7.11%2.35%5.52%-0.04%-1.68%
201272.33%1.36%1.37%$19,416$11,997$10,3525.83%-0.03%-1.52%1.18%0.08%0.84%2.00%0.00%3.82%
20128-0.44%2.10%2.24%$19,330$12,249$10,5845.65%0.41%3.54%2.51%3.20%4.94%-0.01%0.00%-1.32%
201290.09%1.51%2.58%$19,348$12,434$10,857-0.38%5.22%3.26%2.54%2.71%4.67%-1.86%0.00%-2.53%
201210-1.92%-1.28%-1.86%$18,977$12,275$10,655-3.91%-0.44%-2.17%-1.82%1.09%-2.94%-0.91%0.02%-0.48%
2012111.42%0.89%0.56%$19,247$12,384$10,7141.96%1.56%0.55%0.57%2.78%-0.47%-0.26%-0.02%1.38%
2012122.91%1.48%0.90%$19,808$12,568$10,811-1.14%6.80%3.62%0.90%4.37%-2.43%3.72%0.00%-2.49%
201313.22%1.92%5.18%$20,447$12,810$11,3712.48%-0.29%6.24%5.12%3.73%-0.51%3.74%0.00%-3.19%
20132-0.86%-0.96%1.34%$20,272$12,687$11,523-4.71%-2.28%1.00%1.28%-1.29%-5.09%1.22%0.00%1.24%
201332.94%1.42%3.74%$20,868$12,868$11,9540.66%-1.02%4.66%3.80%1.31%0.95%2.87%0.00%-0.42%
201342.77%0.87%1.91%$21,446$12,980$12,182-3.81%1.22%-0.35%1.92%5.02%-7.56%6.73%-0.02%4.68%
201350.11%-2.45%2.33%$21,469$12,662$12,465-1.56%-4.83%3.93%2.36%-3.02%-6.20%-5.98%0.02%-6.76%
20136-1.38%-3.26%-1.35%$21,173$12,249$12,297-2.82%-5.35%-0.82%-1.34%-2.70%-11.06%-1.98%-0.02%-3.27%
201374.47%3.16%5.07%$22,119$12,636$12,9213.18%1.32%7.33%5.17%5.32%7.43%0.90%0.00%-2.26%
20138-2.71%-1.22%-2.91%$21,520$12,482$12,5452.82%-2.54%-3.16%-3.00%-1.96%5.20%-6.98%0.00%-1.34%
201392.09%2.29%3.12%$21,971$12,768$12,936-3.38%7.21%6.49%3.17%7.82%-4.78%3.49%-0.02%0.66%
2013103.44%2.23%4.59%$22,726$13,052$13,529-0.04%4.17%2.42%4.63%3.26%-0.34%4.52%-0.02%1.43%
2013111.41%-0.80%3.03%$23,048$12,948$13,939-0.93%-0.26%3.96%2.96%0.55%-5.51%-5.25%-0.02%-2.70%
2013121.25%0.15%2.51%$23,336$12,968$14,2900.59%-0.42%2.02%2.59%2.16%-3.79%0.10%0.00%-1.87%
20141-3.83%-1.02%-3.47%$22,442$12,835$13,794-3.04%-8.64%-2.77%-3.52%-5.20%3.42%4.28%0.00%6.30%
201424.80%3.97%4.56%$23,518$13,345$14,4235.02%3.38%4.78%4.55%6.13%6.27%5.07%0.02%0.52%
201430.19%0.17%0.82%$23,563$13,368$14,542-0.04%3.88%-0.75%0.83%-0.46%-3.14%0.49%-0.02%0.73%
201442.03%0.71%0.72%$24,041$13,462$14,6471.11%0.78%-3.75%0.70%1.67%0.49%3.29%0.00%2.10%
201450.77%0.95%2.33%$24,225$13,590$14,989-1.44%2.95%0.79%2.32%1.60%-3.05%2.40%0.00%2.95%
201461.49%2.22%2.05%$24,584$13,891$15,2972.11%2.40%5.27%2.06%0.92%6.32%1.13%-0.02%-0.25%
201470.03%-1.81%-1.39%$24,593$13,640$15,084-4.74%1.36%-6.05%-1.34%-2.60%-3.63%0.08%-0.02%0.67%
201483.53%2.09%3.98%$25,461$13,925$15,685-1.15%2.83%4.83%3.95%0.18%0.38%3.04%0.02%4.72%
20149-3.75%-4.50%-1.41%$24,506$13,298$15,463-7.23%-7.77%-5.93%-1.38%-3.88%-6.18%-6.04%0.00%-2.11%
2014101.72%1.77%2.42%$24,927$13,533$15,838-3.88%1.42%6.59%2.36%-0.27%-3.05%9.94%-0.02%2.81%
2014112.57%-0.29%2.68%$25,568$13,493$16,263-8.51%-1.54%0.11%2.75%0.06%-0.49%2.00%0.00%2.97%
2014121.63%-0.95%-0.26%$25,983$13,364$16,220-9.65%-3.99%2.89%-0.26%-4.00%1.31%1.88%-0.02%3.25%
201514.57%1.48%-3.02%$27,170$13,562$15,730-5.69%-0.69%-3.28%-2.96%0.62%8.69%6.85%-0.02%9.82%
20152-5.24%1.22%5.74%$25,747$13,728$16,6334.43%4.41%5.95%5.62%6.34%-5.91%-3.67%0.00%-6.14%
201531.54%-0.90%-1.59%$26,143$13,605$16,368-6.05%-1.50%1.78%-1.57%-1.43%-2.15%1.74%0.00%1.10%
20154-3.95%0.73%0.95%$25,111$13,705$16,5247.15%6.85%-2.56%0.98%3.65%-0.17%-5.85%-0.02%-3.43%
20155-0.87%-0.63%1.27%$24,892$13,618$16,734-3.17%-4.10%2.24%1.29%0.20%0.56%-0.30%-0.02%-2.37%
20156-1.45%-1.77%-1.93%$24,529$13,377$16,4101.64%-2.93%0.78%-2.03%-3.12%-1.52%-4.68%0.00%-4.07%
201570.31%-1.34%2.08%$24,606$13,198$16,752-12.61%-6.31%-1.10%2.26%2.03%-6.62%5.77%0.00%4.55%
20158-4.51%-3.58%-6.04%$23,497$12,726$15,740-0.25%-8.84%-6.31%-6.10%-7.43%3.71%-6.29%0.00%-0.69%
201590.04%-1.70%-2.49%$23,506$12,510$15,348-3.44%-3.13%-4.93%-2.54%-4.42%-1.80%3.05%-0.04%1.97%
2015101.78%3.90%8.42%$23,923$12,997$16,6400.33%6.38%5.62%8.51%6.61%2.28%5.76%-0.02%-0.41%
201511-0.38%-1.61%0.29%$23,834$12,788$16,688-6.64%-2.52%3.26%0.37%-0.75%-6.75%-0.63%0.02%-0.87%
2015120.50%-1.97%-1.59%$23,952$12,536$16,422-5.85%-3.83%-5.03%-1.72%-2.34%-0.45%1.82%-0.02%-0.30%
20161-0.95%-2.32%-4.98%$23,725$12,245$15,605-4.34%-5.03%-8.58%-4.98%-5.52%5.41%-3.44%0.02%5.57%
201620.88%1.00%-0.15%$23,934$12,367$15,582-0.23%-0.82%-0.22%-0.08%-3.33%10.93%-0.36%0.00%3.09%
20163-0.31%5.34%6.78%$23,860$13,027$16,6384.24%12.96%8.02%6.72%6.58%-0.84%10.48%0.00%-0.09%
201640.67%1.83%0.37%$24,020$13,266$16,7009.71%0.41%1.67%0.39%2.22%5.11%-2.35%0.04%-0.74%
20165-1.48%-0.23%1.78%$23,665$13,236$16,9980.89%-3.69%2.24%1.70%-0.09%-6.14%2.25%0.00%0.81%
201663.75%3.29%0.25%$24,553$13,671$17,0414.35%4.56%-0.02%0.35%-2.42%8.97%6.92%-0.02%6.93%
201670.89%2.26%3.68%$24,772$13,980$17,667-6.97%5.38%5.87%3.65%3.98%1.98%4.26%0.04%2.10%
20168-1.75%-0.44%0.13%$24,340$13,919$17,6900.77%0.88%1.78%0.12%0.53%-3.26%-3.76%0.00%-1.01%
20169-0.75%0.74%0.01%$24,157$14,021$17,6914.31%2.52%1.08%0.01%1.34%0.69%-1.82%0.02%-1.51%
201610-2.79%-2.53%-1.83%$23,483$13,667$17,367-0.33%-0.83%-4.60%-1.73%-2.22%-2.94%-5.74%0.02%-4.38%
2016111.62%-0.90%3.70%$23,864$13,544$18,0091.67%-4.42%11.06%3.68%-1.78%-8.36%-1.68%-0.04%-8.21%
2016123.02%1.55%1.96%$24,585$13,755$18,3634.14%-0.25%2.89%2.03%2.71%-1.91%4.82%0.02%-0.46%
201710.50%1.95%1.88%$24,708$14,023$18,709-0.57%6.66%0.28%1.79%3.29%5.42%-0.19%0.04%0.81%
201721.89%1.88%3.96%$25,175$14,286$19,450-0.19%1.74%1.93%3.93%1.19%3.18%3.51%0.05%1.59%
20173-0.76%0.03%0.10%$24,984$14,291$19,470-3.24%3.69%0.03%0.13%3.23%-0.43%-2.42%-0.02%-0.65%
201741.71%0.80%1.02%$25,411$14,405$19,668-2.70%1.70%1.15%0.99%2.42%1.73%0.24%0.07%1.57%
201752.09%0.61%1.39%$25,941$14,493$19,942-1.42%2.85%-1.97%1.41%3.54%-0.12%-0.72%0.02%1.89%
201760.63%0.58%0.61%$26,104$14,578$20,064-0.96%0.93%3.37%0.64%0.31%-2.16%2.23%0.10%0.79%
201772.61%2.04%2.04%$26,784$14,876$20,4744.08%5.82%0.86%2.06%2.65%2.31%1.24%0.03%-0.66%
201780.87%1.02%0.29%$27,016$15,028$20,5340.40%2.35%-1.26%0.29%-0.04%4.20%-0.26%0.11%3.41%
20179-0.00%0.77%2.06%$27,015$15,143$20,9571.99%-0.04%6.30%2.01%2.36%-3.37%-0.11%0.07%-2.32%
2017102.66%1.14%2.32%$27,733$15,315$21,4423.96%3.28%0.73%2.36%1.68%-0.75%-1.07%0.07%-0.04%
2017111.20%1.23%3.06%$28,066$15,503$22,0980.94%-0.39%2.94%3.06%0.69%0.36%2.66%0.05%0.74%
2017121.20%1.40%1.10%$28,403$15,719$22,3422.78%3.77%-0.40%1.21%1.35%2.11%-0.14%0.07%1.81%
201813.71%2.26%5.71%$29,458$16,074$23,6182.95%8.30%2.56%5.64%5.02%3.23%-4.25%0.13%-3.26%
20182-4.15%-3.76%-3.69%$28,234$15,470$22,745-2.92%-5.90%-3.84%-3.64%-4.83%-2.08%-7.68%0.08%-3.04%
201830.03%0.89%-2.56%$28,243$15,607$22,1642.29%0.54%1.22%-2.74%-0.84%0.63%3.88%0.13%2.86%
20184-0.12%0.17%0.37%$28,209$15,633$22,2473.42%-2.82%0.98%0.52%1.52%-0.95%0.82%0.10%-2.09%
201852.55%1.27%2.39%$28,928$15,831$22,7802.68%-2.62%6.16%2.43%-1.89%-1.20%3.68%0.15%2.01%
20186-0.39%-0.61%0.61%$28,814$15,734$22,918-1.94%-4.54%0.61%0.58%-1.57%-3.61%4.20%0.15%0.65%
20187-0.06%0.71%3.71%$28,797$15,846$23,768-2.43%3.53%1.65%3.70%2.85%-2.24%0.60%0.14%-1.44%
201883.36%0.46%3.25%$29,764$15,919$24,5390.75%-3.77%4.31%3.19%-2.24%-2.14%2.58%0.16%1.31%
20189-1.46%-0.44%0.55%$29,331$15,849$24,6753.39%-0.58%-2.32%0.59%0.97%-0.66%-2.64%0.14%-2.86%
201810-6.94%-4.89%-6.85%$27,295$15,074$22,985-5.62%-8.76%-10.99%-6.91%-8.13%2.12%-2.93%0.17%-2.93%
2018112.24%0.68%2.03%$27,906$15,177$23,451-9.85%4.90%1.73%1.85%0.50%0.34%4.67%0.19%1.79%
201812-0.94%-3.40%-9.04%$27,642$14,661$21,331-3.99%-3.50%-11.97%-8.79%-5.35%4.94%-7.96%0.18%5.85%
201911.15%6.52%8.00%$27,959$15,617$23,0387.11%10.34%11.32%8.01%6.63%2.89%11.85%0.17%0.38%
20192-0.43%1.24%3.20%$27,839$15,811$23,7752.84%-1.53%5.18%3.24%2.54%-0.61%0.70%0.18%-1.38%
201931.25%1.08%1.94%$28,187$15,982$24,236-0.38%1.13%-2.09%1.81%0.92%-1.60%4.21%0.17%5.57%
201940.07%1.26%4.04%$28,206$16,184$25,2151.19%2.35%3.40%4.09%2.93%-0.66%-0.16%0.19%-1.99%
20195-4.70%-2.62%-6.36%$26,881$15,759$23,610-5.97%-7.33%-7.85%-6.38%-5.03%1.76%0.14%0.21%6.84%
201963.15%4.52%7.03%$27,728$16,472$25,2713.97%6.20%6.98%6.96%5.91%8.00%1.54%0.18%0.95%
201970.59%-0.16%1.43%$27,892$16,446$25,631-1.14%-2.66%0.68%1.51%-1.95%0.01%1.70%0.18%0.26%
201985.76%0.66%-1.59%$29,499$16,554$25,223-4.63%-3.78%-4.93%-1.67%-1.92%7.91%3.75%0.17%11.04%
20199-1.38%0.70%1.86%$29,091$16,670$25,6921.42%1.69%2.04%1.95%3.16%-3.39%1.93%0.16%-2.68%
2019100.86%1.91%2.15%$29,341$16,988$26,2461.93%4.18%2.72%2.21%3.39%2.56%1.13%0.16%-1.11%
201911-1.64%0.42%3.62%$28,860$17,059$27,196-0.13%-0.09%4.07%3.62%1.13%-3.21%-1.30%0.11%-0.41%
2019120.90%2.62%3.01%$29,119$17,506$28,0135.85%7.71%2.78%2.90%2.98%3.66%0.76%0.11%-3.20%
20201-3.10%-0.80%-0.05%$28,216$17,366$27,999-8.59%-6.15%-3.10%-0.04%-2.82%4.50%1.23%0.12%7.69%
20202-5.80%-3.99%-8.24%$26,580$16,674$25,692-6.65%-3.78%-8.85%-7.92%-7.77%-0.64%-7.03%0.12%6.63%
202032.12%-10.47%-12.37%$27,144$14,928$22,513-17.34%-15.77%-21.48%-12.46%-14.11%-0.22%-19.42%0.20%6.38%
202042.82%6.00%12.81%$27,909$15,825$25,398-3.11%7.35%13.85%12.70%5.82%7.26%8.96%-0.02%1.22%
202050.27%3.37%4.76%$27,984$16,359$26,6068.07%2.97%6.59%4.76%5.43%2.59%1.73%-0.02%-1.76%
202061.03%2.81%1.98%$28,271$16,818$27,1324.50%6.61%3.42%1.78%3.51%2.74%2.41%0.00%0.34%
202077.04%4.78%5.63%$30,261$17,622$28,6595.12%8.25%2.92%5.89%1.94%10.79%3.64%0.01%4.44%
202085.11%2.20%7.18%$31,808$18,009$30,7164.64%2.89%5.48%6.98%4.72%-0.32%0.44%0.00%-5.05%
20209-2.77%-2.19%-3.81%$30,929$17,615$29,545-3.55%-1.01%-3.25%-3.74%-2.05%-4.17%-2.68%-0.02%0.77%
Portfolio return and risk metrics
MetricMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.79%0.43%0.82%
Arithmetic Mean (annualized)9.88%5.29%10.24%
Geometric Mean (monthly)0.74%0.37%0.71%
Geometric Mean (annualized)9.26%4.54%8.87%
Volatility (monthly)3.11%3.42%4.56%
Volatility (annualized)10.78%11.84%15.81%
Downside Deviation (monthly)1.78%2.44%3.15%
Max. Drawdown-13.57%-36.53%-48.47%
US Market Correlation0.500.891.00
Beta(*)0.340.661.00
Alpha (annualized)6.13%-1.30%0.00%
R224.93%77.65%100.00%
Sharpe Ratio0.820.380.58
Sortino Ratio1.410.530.83
Treynor Ratio (%)26.036.919.19
Calmar Ratio0.430.350.62
Active Return0.39%-4.33%N/A
Tracking Error14.00%7.76%N/A
Information Ratio0.03-0.56N/A
Skewness0.10-1.14-0.71
Excess Kurtosis0.505.081.44
Historical Value-at-Risk (5%)-4.73%-5.00%-8.29%
Analytical Value-at-Risk (5%)-4.33%-5.19%-6.69%
Conditional Value-at-Risk (5%)-5.83%-8.80%-10.66%
Upside Capture Ratio (%)50.7557.47100.00
Downside Capture Ratio (%)29.0866.30100.00
Safe Withdrawal Rate15.05%9.23%9.54%
Perpetual Withdrawal Rate7.34%2.89%6.99%
Positive Periods99 out of 153 (64.71%)93 out of 153 (60.78%)103 out of 153 (67.32%)
Gain/Loss Ratio1.060.920.76
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Oct 20161 year 9 monthsOct 20171 year2 years 9 months-13.57%
2Jun 2008Oct 20085 monthsMay 20097 months1 year-13.56%
3Sep 2018Feb 20201 year 6 monthsJul 20205 months1 year 11 months-10.70%
4May 2012May 20121 monthJan 20138 months9 months-7.07%
5May 2010Jun 20102 monthsDec 20106 months8 months-6.68%
6Jan 2010Jan 20101 monthMar 20102 months3 months-4.85%
7Oct 2009Oct 20091 monthNov 20091 month2 months-4.80%
8May 2011Jun 20112 monthsAug 20112 months4 months-4.53%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-4.24%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.83%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsOct 20101 year 8 months2 years 5 months-36.53%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-14.72%
3Sep 2014Jan 20161 year 5 monthsJul 20166 months1 year 11 months-12.06%
4May 2011Sep 20115 monthsFeb 20125 months10 months-11.37%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.79%
6May 2013Jun 20132 monthsOct 20134 months6 months-5.63%
7May 2012May 20121 monthAug 20123 months4 months-5.27%
8Oct 2016Nov 20162 monthsJan 20172 months4 months-3.40%
9May 2019May 20191 monthJun 20191 month2 months-2.62%
10Sep 2020Sep 20201 month-2.19%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20123 years4 years 2 months-48.47%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Sep 2020Sep 20201 month-3.81%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year9.87%35.70%-7.82%5.56%22.18%-22.73%10.78%32.18%-37.02%
3 years10.01%22.73%1.75%5.93%13.38%-0.09%11.72%20.22%-2.90%
5 years9.28%18.33%2.30%5.26%10.91%2.49%12.13%17.81%1.57%
7 years9.46%14.62%5.66%5.13%7.16%3.84%12.53%14.67%7.15%
10 years9.84%11.00%7.87%5.87%6.61%4.63%11.58%13.40%8.37%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
1Jan 2008Jan 2008133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
DBC: 2.92%
EEM: -8.92%
GLD: 10.84%
1.61%-1.54%-6.02%
2Feb 2008Apr 2008333.33% Invesco DB Commodity Tracking (DBC)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
DBC: 16.78%
GLD: -5.20%
TLT: -0.85%
3.42%3.91%1.00%
3May 2008May 2008133.33% Invesco DB Commodity Tracking (DBC)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: 6.91%
GLD: 0.92%
VNQ: -0.21%
2.54%1.72%1.29%
4Jun 2008Jun 2008133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: 10.43%
EEM: -9.29%
VNQ: -10.62%
-3.16%-2.97%-8.44%
5Jul 2008Jul 2008133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% Invesco DB Commodity Tracking (DBC)
33.33% Vanguard Real Estate ETF (VNQ)
BIL: 0.19%
DBC: -9.78%
VNQ: 3.12%
-2.16%-1.59%-0.83%
6Aug 2008Aug 2008133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
BIL: 0.08%
DBC: -6.53%
IWM: 3.58%
-0.96%-1.79%1.45%
7Sep 2008Sep 2008133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares Russell 2000 ETF (IWM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: 0.51%
IWM: -7.75%
TLT: 1.47%
-1.92%-5.29%-8.91%
8Oct 2008Oct 2008133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: -0.23%
GLD: -16.14%
TLT: -1.86%
-6.08%-17.66%-16.79%
9Nov 2008Nov 2008133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares Russell 2000 ETF (IWM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: -0.05%
IWM: -11.93%
TLT: 14.34%
0.79%-4.80%-7.17%
10Dec 2008Mar 2009433.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: 0.22%
GLD: 12.41%
TLT: 1.20%
5.00%-3.66%-10.06%
11Apr 2009Apr 2009133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: 15.56%
GLD: -3.33%
TLT: -6.95%
1.76%8.08%9.56%
12May 2009May 2009133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
BIL: 0.01%
EEM: 15.94%
GLD: 10.23%
8.73%7.09%5.62%
13Jun 2009Jun 2009133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
DBC: -2.63%
EEM: -2.25%
EFA: -1.43%
-2.10%-1.36%0.22%
14Jul 2009Sep 2009333.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 20.73%
EFA: 19.36%
VNQ: 35.04%
25.11%13.12%15.59%
15Oct 2009Oct 2009133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: -3.44%
IWM: -6.49%
VNQ: -4.46%
-4.80%-1.20%-1.87%
16Nov 2009Nov 2009133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 7.85%
EFA: 3.92%
VNQ: 6.57%
6.11%5.12%5.98%
17Dec 2009Jan 2010233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: -4.74%
GLD: -8.37%
VNQ: 1.44%
-3.76%-2.77%-1.73%
18Feb 2010Feb 2010133.33% Invesco DB Commodity Tracking (DBC)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: 4.14%
GLD: 3.27%
VNQ: 5.58%
4.33%2.48%3.09%
19Mar 2010Apr 2010233.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: 14.38%
SPY: 7.73%
VNQ: 18.06%
13.35%6.83%7.69%
20May 2010Jun 2010233.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: 5.48%
IWM: -14.70%
VNQ: -10.25%
-6.68%-6.42%-12.83%
21Jul 2010Aug 2010233.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: 0.33%
TLT: 7.37%
VNQ: 8.20%
5.51%4.01%2.15%
22Sep 2010Sep 2010133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: 0.00%
GLD: 4.78%
TLT: -2.51%
0.75%6.49%8.92%
23Oct 2010Oct 2010133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: 3.02%
EFA: 3.81%
TLT: -4.47%
0.78%2.58%3.79%
24Nov 2010Nov 2010133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: -2.91%
EFA: -4.82%
VNQ: -1.85%
-3.19%-0.68%0.00%
25Dec 2010Dec 2010133.33% Invesco DB Commodity Tracking (DBC)
33.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
DBC: 9.89%
GLD: 2.44%
IWM: 8.03%
6.79%4.83%6.67%
26Jan 2011Apr 2011433.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: 15.79%
IWM: 10.65%
SPY: 8.96%
11.79%8.09%9.00%
27May 2011May 2011133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: -5.17%
IWM: -1.79%
VNQ: 1.37%
-1.86%-1.13%-1.15%
28Jun 2011Jun 2011133.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: -2.43%
IWM: -2.40%
VNQ: -3.30%
-2.71%-2.06%-1.67%
29Jul 2011Jul 2011133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: -1.03%
GLD: 8.42%
TLT: 4.42%
3.93%1.13%-2.05%
30Aug 2011Aug 2011133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: 12.27%
TLT: 9.66%
VNQ: -5.62%
5.44%-1.83%-5.45%
31Sep 2011Dec 2011433.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: -0.06%
GLD: -14.48%
TLT: 14.84%
0.14%-1.75%3.91%
32Jan 2012Jan 2012133.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: 4.64%
TLT: -0.33%
VNQ: 6.38%
3.56%5.46%4.46%
33Feb 2012Feb 2012133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 5.27%
IWM: 2.57%
VNQ: -1.15%
2.23%1.74%4.31%
34Mar 2012Mar 2012133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: -3.11%
IWM: 2.48%
SPY: 3.22%
0.86%0.09%3.28%
35Apr 2012Apr 2012133.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: -1.62%
SPY: -0.67%
VNQ: 2.86%
0.19%0.02%-0.64%
36May 2012May 2012133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: -10.71%
SPY: -6.01%
VNQ: -4.51%
-7.07%-5.27%-6.02%
37Jun 2012Jul 2012233.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: 5.28%
TLT: 2.07%
VNQ: 7.63%
5.03%4.67%5.54%
38Aug 2012Aug 2012133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
BIL: 0.00%
TLT: -1.32%
VNQ: -0.01%
-0.44%2.10%2.24%
39Sep 2012Sep 2012133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: 4.67%
TLT: -2.53%
VNQ: -1.86%
0.09%1.51%2.58%
40Oct 2012Nov 2012233.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR Gold Shares (GLD)
DBC: -2.02%
EFA: 3.91%
GLD: -3.40%
-0.52%-0.40%-1.31%
41Dec 2012Dec 2012133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR Gold Shares (GLD)
EEM: 6.80%
EFA: 4.37%
GLD: -2.43%
2.91%1.48%0.90%
42Jan 2013Feb 2013233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
EEM: -2.57%
EFA: 2.39%
IWM: 7.31%
2.34%0.95%6.58%
43Mar 2013Mar 2013133.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
EFA: 1.31%
IWM: 4.66%
VNQ: 2.87%
2.94%1.42%3.74%
44Apr 2013Jul 2013433.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: 10.26%
SPY: 8.25%
VNQ: -0.74%
5.99%-1.80%8.09%
45Aug 2013Aug 2013133.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EFA: -1.96%
IWM: -3.16%
SPY: -3.00%
-2.71%-1.22%-2.91%
46Sep 2013Sep 2013133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: -3.38%
IWM: 6.49%
SPY: 3.17%
2.09%2.29%3.12%
47Oct 2013Oct 2013133.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EFA: 3.26%
IWM: 2.42%
SPY: 4.63%
3.44%2.23%4.59%
48Nov 2013Dec 2013233.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
EEM: -0.68%
EFA: 2.72%
IWM: 6.05%
2.68%-0.65%5.62%
49Jan 2014Jan 2014133.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EFA: -5.20%
IWM: -2.77%
SPY: -3.52%
-3.83%-1.02%-3.47%
50Feb 2014Mar 2014233.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: 3.99%
SPY: 5.42%
VNQ: 5.58%
5.00%4.15%5.42%
51Apr 2014Apr 2014133.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: 0.70%
TLT: 2.10%
VNQ: 3.29%
2.03%0.71%0.72%
52May 2014May 2014133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: -3.05%
TLT: 2.95%
VNQ: 2.40%
0.77%0.95%2.33%
53Jun 2014Jun 2014133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 2.40%
EFA: 0.92%
VNQ: 1.13%
1.49%2.22%2.05%
54Jul 2014Jul 2014133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 1.36%
SPY: -1.34%
VNQ: 0.08%
0.03%-1.81%-1.39%
55Aug 2014Aug 2014133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 2.83%
TLT: 4.72%
VNQ: 3.04%
3.53%2.09%3.98%
56Sep 2014Sep 2014133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: -7.77%
SPY: -1.38%
TLT: -2.11%
-3.75%-4.50%-1.41%
57Oct 2014Oct 2014133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: -0.02%
SPY: 2.36%
TLT: 2.81%
1.72%1.77%2.42%
58Nov 2014Jan 2015333.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: -0.55%
TLT: 16.75%
VNQ: 11.04%
9.00%0.22%-0.68%
59Feb 2015Feb 2015133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: -5.91%
TLT: -6.14%
VNQ: -3.67%
-5.24%1.22%5.74%
60Mar 2015Apr 2015233.33% iShares Russell 2000 ETF (IWM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: -0.83%
TLT: -2.37%
VNQ: -4.21%
-2.47%-0.17%-0.66%
61May 2015May 2015133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: -4.10%
EFA: 0.20%
SPY: 1.29%
-0.87%-0.63%1.27%
62Jun 2015Jun 2015133.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EFA: -3.12%
IWM: 0.78%
SPY: -2.03%
-1.45%-1.77%-1.93%
63Jul 2015Jul 2015133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
BIL: 0.00%
EFA: 2.03%
IWM: -1.10%
0.31%-1.34%2.08%
64Aug 2015Aug 2015133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR S&P 500 ETF Trust (SPY)
BIL: 0.00%
EFA: -7.43%
SPY: -6.10%
-4.51%-3.58%-6.04%
65Sep 2015Sep 2015133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: -0.04%
GLD: -1.80%
TLT: 1.97%
0.04%-1.70%-2.49%
66Oct 2015Oct 2015133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
BIL: -0.02%
TLT: -0.41%
VNQ: 5.76%
1.78%3.90%8.42%
67Nov 2015Nov 2015133.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: 0.37%
TLT: -0.87%
VNQ: -0.63%
-0.38%-1.61%0.29%
68Dec 2015Dec 2015133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
BIL: -0.02%
TLT: -0.30%
VNQ: 1.82%
0.50%-1.97%-1.59%
69Jan 2016Feb 2016233.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: -5.06%
TLT: 8.83%
VNQ: -3.79%
-0.08%-1.35%-5.11%
70Mar 2016Mar 2016133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: 0.00%
GLD: -0.84%
TLT: -0.09%
-0.31%5.34%6.78%
71Apr 2016Apr 2016133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: 5.11%
TLT: -0.74%
VNQ: -2.35%
0.67%1.83%0.37%
72May 2016May 2016133.33% Invesco DB Commodity Tracking (DBC)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
DBC: 0.89%
GLD: -6.14%
TLT: 0.81%
-1.48%-0.23%1.78%
73Jun 2016Jun 2016133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: 4.35%
IWM: -0.02%
VNQ: 6.92%
3.75%3.29%0.25%
74Jul 2016Jul 2016133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: -6.97%
EEM: 5.38%
VNQ: 4.26%
0.89%2.26%3.68%
75Aug 2016Aug 2016133.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: -3.26%
IWM: 1.78%
VNQ: -3.76%
-1.75%-0.44%0.13%
76Sep 2016Sep 2016133.33% iShares Russell 2000 ETF (IWM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: 1.08%
TLT: -1.51%
VNQ: -1.82%
-0.75%0.74%0.01%
77Oct 2016Oct 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
EEM: -0.83%
GLD: -2.94%
IWM: -4.60%
-2.79%-2.53%-1.83%
78Nov 2016Nov 2016133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares Russell 2000 ETF (IWM)
EEM: -4.42%
EFA: -1.78%
IWM: 11.06%
1.62%-0.90%3.70%
79Dec 2016Feb 2017333.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: 3.35%
IWM: 5.17%
SPY: 7.93%
5.49%5.48%8.00%
80Mar 2017Mar 2017133.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: 0.03%
SPY: 0.13%
VNQ: -2.42%
-0.76%0.03%0.10%
81Apr 2017Apr 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: 1.70%
EFA: 2.42%
SPY: 0.99%
1.71%0.80%1.02%
82May 2017May 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR Gold Shares (GLD)
EEM: 2.85%
EFA: 3.54%
GLD: -0.12%
2.09%0.61%1.39%
83Jun 2017Jun 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: 0.93%
EFA: 0.31%
SPY: 0.64%
0.63%0.58%0.61%
84Jul 2017Jul 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: 5.82%
EFA: 2.65%
TLT: -0.66%
2.61%2.04%2.04%
85Aug 2017Aug 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: 2.35%
EFA: -0.04%
SPY: 0.29%
0.87%1.02%0.29%
86Sep 2017Sep 2017133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares MSCI EAFE ETF (EFA)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EEM: -0.04%
EFA: 2.36%
TLT: -2.32%
-0.00%0.77%2.06%
87Oct 2017Oct 2017133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares Russell 2000 ETF (IWM)
DBC: 3.96%
EEM: 3.28%
IWM: 0.73%
2.66%1.14%2.32%
88Nov 2017Nov 2017133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: 0.94%
EEM: -0.39%
SPY: 3.06%
1.20%1.23%3.06%
89Dec 2017Jan 2018233.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: 5.82%
IWM: 2.15%
SPY: 6.91%
4.96%3.69%6.88%
90Feb 2018Mar 2018233.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: -0.70%
EEM: -5.39%
SPY: -6.28%
-4.12%-2.91%-6.16%
91Apr 2018Apr 2018133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
DBC: 3.42%
EEM: -2.82%
GLD: -0.95%
-0.12%0.17%0.37%
92May 2018May 2018133.33% Invesco DB Commodity Tracking (DBC)
33.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
DBC: 2.68%
GLD: -1.20%
IWM: 6.16%
2.55%1.27%2.39%
93Jun 2018Jun 2018133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
BIL: 0.15%
DBC: -1.94%
IWM: 0.61%
-0.39%-0.61%0.61%
94Jul 2018Jul 2018133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares Russell 2000 ETF (IWM)
33.33% Vanguard Real Estate ETF (VNQ)
DBC: -2.43%
IWM: 1.65%
VNQ: 0.60%
-0.06%0.71%3.71%
95Aug 2018Oct 2018333.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: -9.31%
SPY: -3.37%
VNQ: -3.05%
-5.22%-4.87%-3.29%
96Nov 2018Nov 2018133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
BIL: 0.19%
SPY: 1.85%
VNQ: 4.67%
2.24%0.68%2.03%
97Dec 2018Dec 2018133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Real Estate ETF (VNQ)
BIL: 0.18%
GLD: 4.94%
VNQ: -7.96%
-0.94%-3.40%-9.04%
98Jan 2019Jan 2019133.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: 0.17%
GLD: 2.89%
TLT: 0.38%
1.15%6.52%8.00%
99Feb 2019Feb 2019133.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: -0.61%
TLT: -1.38%
VNQ: 0.70%
-0.43%1.24%3.20%
100Mar 2019Mar 2019133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR Gold Shares (GLD)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 1.13%
GLD: -1.60%
VNQ: 4.21%
1.25%1.08%1.94%
101Apr 2019Apr 2019133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
EEM: 2.35%
TLT: -1.99%
VNQ: -0.16%
0.07%1.26%4.04%
102May 2019May 2019133.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% Vanguard Real Estate ETF (VNQ)
IWM: -7.85%
SPY: -6.38%
VNQ: 0.14%
-4.70%-2.62%-6.36%
103Jun 2019Jun 2019133.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
SPY: 6.96%
TLT: 0.95%
VNQ: 1.54%
3.15%4.52%7.03%
104Jul 2019Aug 2019233.33% SPDR Gold Shares (GLD)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: 7.92%
SPY: -0.19%
TLT: 11.33%
6.39%0.50%-0.19%
105Sep 2019Nov 2019333.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
33.33% Vanguard Real Estate ETF (VNQ)
GLD: -4.10%
TLT: -4.16%
VNQ: 1.73%
-2.17%3.05%7.82%
106Dec 2019Dec 2019133.33% iShares MSCI EAFE ETF (EFA)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
EFA: 2.98%
SPY: 2.90%
TLT: -3.20%
0.90%2.62%3.01%
107Jan 2020Jan 2020133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: -6.15%
IWM: -3.10%
SPY: -0.04%
-3.10%-0.80%-0.05%
108Feb 2020Feb 2020133.33% SPDR Gold Shares (GLD)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
GLD: -0.64%
IWM: -8.85%
SPY: -7.92%
-5.80%-3.99%-8.24%
109Mar 2020Jun 2020433.33% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)
33.33% SPDR Gold Shares (GLD)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
BIL: 0.17%
GLD: 12.80%
TLT: 6.13%
6.36%0.87%5.61%
110Jul 2020Jul 2020133.33% SPDR Gold Shares (GLD)
33.33% SPDR S&P 500 ETF Trust (SPY)
33.33% iShares 20+ Year Treasury Bond ETF (TLT)
GLD: 10.79%
SPY: 5.89%
TLT: 4.44%
7.04%4.78%5.63%
111Aug 2020Aug 2020133.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% iShares Russell 2000 ETF (IWM)
33.33% SPDR S&P 500 ETF Trust (SPY)
EEM: 2.89%
IWM: 5.48%
SPY: 6.98%
5.11%2.20%7.18%
112Sep 2020Sep 2020133.33% Invesco DB Commodity Tracking (DBC)
33.33% iShares MSCI Emerging Markets ETF (EEM)
33.33% SPDR S&P 500 ETF Trust (SPY)
DBC: -3.55%
EEM: -1.01%
SPY: -3.74%
-2.77%-2.19%-3.81%
113Oct 2020Oct 20201Please sign-in for forward signals----