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 #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Market Timing Results (Jan 2008 - Oct 2020) Save

Tactical asset allocation model results from Jan 2008 to Oct 2020 are based on relative strength model holding the best performing asset. The model uses multiple weighted performance windows to rank the assets by weighted average of rank orders including negative ranking by volatility. 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 Vanguard FTSE All-Wld ex-US ETF (VEU) [Apr 2007 - Oct 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Momentum Model$10,000$94,52519.13%15.87%36.88%-3.01%-17.79% 1.152.140.29
Vanguard Target Retirement 2030 Inv$10,000$20,6015.79%12.96%26.72%-32.91%-43.48% 0.450.630.98
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Momentum Model1.35%18.39%28.00%17.40%15.04%17.14%19.13%
Vanguard Target Retirement 2030 Inv0.24%1.67%5.83%5.95%7.61%8.33%5.79%
Trailing returns are for full months ending in October 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 October
  • 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
YearInflationReturnBalanceVanguard Mid-Cap ETF (VO)Vanguard FTSE All-Wld ex-US ETF (VEU)Invesco QQQ Trust (QQQ)iShares 20+ Year Treasury Bond ETF (TLT)
Momentum ModelVanguard Target Retirement 2030 InvMomentum ModelVanguard Target Retirement 2030 Inv
20080.09%26.73%-32.91%$12,673$6,709-41.56%-43.45%-41.73%33.93%
20092.72%32.09%26.72%$16,739$8,50340.44%37.59%54.68%-21.80%
20101.50%21.44%14.43%$20,328$9,73025.68%11.81%20.14%9.05%
20112.96%36.88%-1.27%$27,825$9,606-2.08%-14.02%3.47%33.96%
20121.74%9.40%14.24%$30,440$10,97416.22%18.90%18.12%2.63%
20131.50%33.01%20.49%$40,490$13,22335.04%14.18%36.63%-13.37%
20140.76%18.30%7.17%$47,900$14,17013.75%-4.54%19.18%27.30%
20150.73%-3.01%-1.03%$46,457$14,024-1.35%-4.78%9.45%-1.79%
20162.07%-0.74%7.85%$46,115$15,12511.26%4.91%7.10%1.18%
20172.11%30.53%17.52%$60,192$17,77619.27%27.39%32.66%9.18%
20181.91%14.03%-5.86%$68,635$16,735-9.22%-14.19%-0.12%-1.61%
20192.29%16.33%21.07%$79,840$20,26230.97%21.83%38.96%14.12%
20201.29%18.39%1.67%$94,525$20,6010.12%-6.66%27.19%17.66%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard Mid-Cap ETF (VO)Vanguard FTSE All-Wld ex-US ETF (VEU)Invesco QQQ Trust (QQQ)iShares 20+ Year Treasury Bond ETF (TLT)
Momentum ModelVanguard Target Retirement 2030 InvMomentum ModelVanguard Target Retirement 2030 Inv
200812.10%-5.41%$10,210$9,459-6.67%-7.75%-11.89%2.10%
20082-0.46%-2.04%$10,163$9,267-1.50%-0.22%-4.83%-0.46%
200832.14%-0.41%$10,380$9,229-2.39%-0.09%1.87%2.14%
20084-2.48%4.41%$10,123$9,6356.81%5.92%7.98%-2.48%
200851.42%1.57%$10,267$9,7864.53%1.42%5.93%-2.69%
20086-7.74%-7.15%$9,472$9,086-7.74%-8.38%-9.61%2.65%
200870.64%-1.15%$9,533$8,982-3.94%-3.68%0.64%-0.37%
200882.74%0.33%$9,794$9,0111.62%-5.11%1.45%2.74%
200891.47%-8.70%$9,938$8,227-12.97%-12.48%-15.58%1.47%
200810-1.86%-16.05%$9,753$6,907-21.98%-22.76%-15.47%-1.86%
20081114.34%-5.83%$11,152$6,505-9.13%-6.77%-11.46%14.34%
20081213.64%3.15%$12,673$6,7094.97%8.45%2.28%13.64%
20091-13.07%-7.66%$11,016$6,196-6.87%-13.00%-2.29%-13.07%
20092-1.54%-8.78%$10,847$5,652-9.54%-9.21%-5.26%-1.54%
2009310.32%7.79%$11,966$6,0928.47%10.14%10.32%4.04%
2009413.06%9.36%$13,529$6,66214.25%13.23%13.06%-6.95%
200953.21%6.16%$13,963$7,0724.39%15.17%3.21%-3.69%
20096-2.07%0.12%$13,674$7,081-0.51%-2.07%2.95%0.76%
2009710.61%7.20%$15,124$7,5908.95%10.61%8.44%0.58%
200982.92%3.19%$15,566$7,8324.96%2.92%1.47%2.24%
200995.68%3.86%$16,450$8,1346.30%5.68%5.65%2.46%
200910-4.43%-1.91%$15,721$7,979-4.43%-3.17%-3.05%-2.62%
2009111.21%4.60%$15,912$8,3465.08%4.85%6.35%1.21%
2009125.20%1.88%$16,739$8,5036.12%1.39%5.20%-6.34%
20101-6.47%-2.90%$15,656$8,256-3.57%-5.76%-6.47%2.69%
201025.28%2.35%$16,482$8,4505.28%1.31%4.60%-0.34%
201037.02%5.21%$17,639$8,8907.02%6.72%7.71%-2.06%
201043.62%1.34%$18,278$9,0093.62%-1.76%2.24%3.32%
20105-7.29%-6.89%$16,945$8,388-7.29%-10.90%-7.39%5.11%
201065.80%-3.67%$17,927$8,080-6.20%-1.34%-5.98%5.80%
20107-0.95%6.49%$17,758$8,6046.92%10.76%7.26%-0.95%
201088.40%-3.38%$19,249$8,313-4.53%-3.43%-5.13%8.40%
20109-2.51%7.84%$18,765$8,96510.70%10.60%13.17%-2.51%
2010103.59%3.24%$19,438$9,2554.09%3.59%6.34%-4.47%
201011-0.17%-0.48%$19,405$9,2112.14%-4.10%-0.17%-1.69%
2010124.76%5.63%$20,328$9,7306.86%8.12%4.76%-3.68%
201112.16%1.48%$20,767$9,8732.16%0.80%2.83%-3.08%
201124.13%2.73%$21,625$10,1434.13%2.74%3.16%1.65%
201131.71%0.18%$21,995$10,1611.71%-0.22%-0.45%0.03%
201142.71%3.22%$22,590$10,4882.71%5.45%2.87%2.34%
20115-0.42%-1.11%$22,494$10,372-0.42%-3.17%-1.22%3.42%
20116-2.33%-1.43%$21,971$10,224-2.38%-1.09%-2.02%-2.33%
201174.42%-1.27%$22,941$10,093-3.43%-2.37%1.67%4.42%
201189.66%-5.11%$25,158$9,577-6.97%-8.47%-5.07%9.66%
2011913.20%-7.17%$28,478$8,891-9.90%-13.01%-4.49%13.20%
201110-3.84%8.99%$27,386$9,68913.09%11.49%10.40%-3.84%
2011111.98%-0.93%$27,928$9,600-0.61%-2.57%-2.69%1.98%
201112-0.37%0.07%$27,825$9,606-0.37%-2.43%-0.62%3.44%
201216.67%4.73%$29,681$10,0616.67%6.86%8.42%-0.33%
201226.41%3.61%$31,584$10,4244.33%5.31%6.41%-2.59%
201231.91%1.41%$32,187$10,5711.91%-0.90%5.05%-4.23%
20124-1.17%-0.56%$31,810$10,511-0.63%-1.81%-1.17%4.83%
20125-7.04%-5.94%$29,571$9,886-7.10%-11.40%-7.04%9.03%
20126-1.68%3.58%$29,073$10,2402.51%6.52%3.62%-1.68%
201273.82%0.99%$30,182$10,3410.04%0.49%1.00%3.82%
20128-1.32%2.04%$29,784$10,5523.06%2.65%5.19%-1.32%
201290.89%2.31%$30,049$10,7961.97%3.49%0.89%-2.53%
201210-5.28%-0.81%$28,463$10,708-1.15%0.77%-5.28%-0.48%
2012111.80%0.90%$28,975$10,8051.61%1.80%1.31%1.38%
2012125.06%1.57%$30,440$10,9742.55%5.06%-0.46%-2.49%
201312.43%3.64%$31,179$11,3736.57%2.43%2.67%-3.19%
201321.22%0.54%$31,559$11,4341.22%-1.39%0.34%1.24%
201334.47%2.34%$32,971$11,7024.47%0.62%3.03%-0.42%
201341.73%1.97%$33,542$11,9321.73%3.75%2.54%4.68%
201351.85%0.20%$34,163$11,9551.85%-3.31%3.58%-6.76%
20136-2.39%-1.88%$33,346$11,730-1.15%-3.58%-2.39%-3.27%
201376.31%4.08%$35,451$12,2095.72%4.70%6.31%-2.26%
20138-2.60%-2.04%$34,528$11,960-2.60%-1.99%-0.40%-1.34%
201394.83%3.85%$36,196$12,4204.61%7.58%4.83%0.66%
2013104.96%3.25%$37,991$12,8243.35%3.33%4.96%1.43%
2013113.55%1.54%$39,340$13,0212.06%0.34%3.55%-2.70%
2013122.92%1.55%$40,490$13,2232.97%1.47%2.92%-1.87%
20141-1.92%-2.42%$39,712$12,902-2.39%-5.80%-1.92%6.30%
201425.15%3.89%$41,757$13,4046.06%5.63%5.15%0.52%
20143-0.26%0.36%$41,649$13,452-0.26%0.46%-2.73%0.73%
201442.10%0.50%$42,522$13,519-0.85%1.47%-0.32%2.10%
201451.92%1.84%$43,338$13,7682.33%1.92%4.49%2.95%
20146-0.25%1.81%$43,230$14,0172.99%1.68%3.12%-0.25%
201471.18%-1.43%$43,741$13,816-2.48%-1.47%1.18%0.67%
201485.01%2.74%$45,933$14,1944.70%1.01%5.01%4.72%
20149-0.76%-2.43%$45,585$13,849-3.19%-4.88%-0.76%-2.11%
2014102.81%1.66%$46,868$14,0793.40%0.20%2.64%2.81%
2014114.55%1.43%$48,998$14,2802.84%-0.32%4.55%2.97%
201412-2.24%-0.77%$47,900$14,1700.31%-3.96%-2.24%3.25%
201519.82%-0.86%$52,602$14,048-2.01%-0.02%-2.08%9.82%
20152-6.14%3.99%$49,373$14,6106.03%5.85%7.22%-6.14%
201533.39%-0.77%$51,045$14,4973.39%-1.41%-2.36%1.10%
20154-3.40%1.28%$49,310$14,683-3.40%4.74%1.92%-3.43%
20155-1.04%0.33%$48,798$14,7321.12%-1.04%2.25%-2.37%
20156-2.81%-1.82%$47,428$14,463-1.70%-2.81%-2.48%-4.07%
201574.56%0.81%$49,590$14,5801.17%-0.29%4.56%4.55%
20158-6.82%-4.92%$46,206$13,863-5.15%-7.75%-6.82%-0.69%
201591.97%-2.25%$47,114$13,551-3.68%-4.04%-2.20%1.97%
201510-0.41%5.37%$46,921$14,2785.97%6.69%11.37%-0.41%
2015110.61%-0.17%$47,207$14,2530.30%-1.32%0.61%-0.87%
201512-1.59%-1.61%$46,457$14,024-2.66%-2.52%-1.59%-0.30%
20161-6.91%-3.75%$43,246$13,498-7.61%-5.60%-6.91%5.57%
201623.09%-0.45%$44,581$13,4371.37%-2.44%-1.57%3.09%
20163-0.09%5.72%$44,541$14,2068.03%8.31%6.85%-0.09%
20164-0.74%1.03%$44,213$14,3530.52%2.11%-3.19%-0.74%
201651.84%0.53%$45,025$14,4291.84%-0.79%4.37%0.81%
201660.00%0.35%$45,027$14,4790.00%-0.72%-2.27%6.93%
201672.10%3.21%$45,973$14,9454.57%4.25%7.15%2.10%
201681.05%0.30%$46,455$14,9900.11%0.69%1.05%-1.01%
201692.21%0.47%$47,484$15,0610.42%1.58%2.21%-1.51%
201610-1.46%-1.75%$46,792$14,798-3.07%-1.69%-1.46%-4.38%
201611-2.13%0.72%$45,796$14,9044.69%-2.13%0.44%-8.21%
2016120.70%1.48%$46,115$15,1250.70%1.93%1.13%-0.46%
201712.96%1.95%$47,478$15,4212.96%4.14%5.14%0.81%
201724.38%2.25%$49,555$15,7683.05%1.26%4.38%1.59%
201732.03%0.82%$50,559$15,8970.04%2.99%2.03%-0.65%
201742.73%1.27%$51,938$16,0991.17%2.09%2.73%1.57%
201753.90%1.48%$53,962$16,3370.91%3.05%3.90%1.89%
20176-2.32%0.51%$52,712$16,4200.59%0.51%-2.32%0.79%
201773.38%1.89%$54,492$16,7311.80%3.38%4.06%-0.66%
201780.64%0.50%$54,840$16,814-0.61%0.64%2.07%3.41%
201791.84%1.45%$55,849$17,0572.29%1.84%-0.29%-2.32%
2017104.61%1.55%$58,421$17,3221.45%1.95%4.61%-0.04%
2017111.97%1.50%$59,573$17,5813.15%0.63%1.97%0.74%
2017121.04%1.11%$60,192$17,7761.04%2.05%0.60%1.81%
201818.76%3.54%$65,463$18,4054.26%5.70%8.76%-3.26%
20182-1.29%-3.16%$64,617$17,824-4.02%-5.31%-1.29%-3.04%
20183-4.08%-0.83%$61,984$17,676-0.11%-0.44%-4.08%2.86%
201840.51%0.24%$62,297$17,718-0.19%0.57%0.51%-2.09%
201852.01%0.78%$63,546$17,8551.82%-1.99%5.67%2.01%
201861.15%-0.24%$64,274$17,8130.95%-2.14%1.15%0.65%
201872.80%2.11%$66,072$18,1882.53%2.89%2.80%-1.44%
201885.78%0.93%$69,891$18,3572.49%-2.34%5.78%1.31%
20189-0.28%0.03%$69,694$18,363-0.43%0.44%-0.28%-2.86%
201810-8.60%-5.58%$63,703$17,337-8.36%-8.30%-8.60%-2.93%
2018111.79%1.37%$64,841$17,5752.34%1.47%-0.26%1.79%
2018125.85%-4.78%$68,635$16,735-9.79%-4.94%-8.65%5.85%
201910.38%5.97%$68,895$17,73410.47%7.57%9.01%0.38%
20192-1.38%1.93%$67,947$18,0764.26%1.63%2.99%-1.38%
201935.57%1.41%$71,735$18,3311.35%1.00%3.92%5.57%
201943.71%2.40%$74,399$18,7713.71%2.85%5.50%-1.99%
20195-8.23%-3.70%$68,279$18,076-6.06%-5.54%-8.23%6.84%
201960.95%4.87%$68,927$18,9567.10%5.89%7.59%0.95%
201970.26%0.26%$69,104$19,0051.31%-1.80%2.33%0.26%
2019811.04%-0.66%$76,737$18,880-2.76%-2.44%-1.90%11.04%
20199-2.68%1.29%$74,680$19,1242.10%2.82%0.92%-2.68%
201910-1.11%1.79%$73,848$19,4661.11%3.45%4.38%-1.11%
2019114.07%1.81%$76,853$19,8193.22%1.05%4.07%-0.41%
2019123.89%2.23%$79,840$20,2622.43%4.17%3.89%-3.20%
202013.04%-0.25%$82,266$20,212-0.25%-3.40%3.04%7.69%
20202-6.06%-4.68%$77,282$19,267-8.77%-6.61%-6.06%6.63%
202036.38%-10.36%$82,211$17,271-18.42%-15.13%-7.29%6.38%
202041.22%8.05%$83,212$18,66114.23%6.80%14.97%1.22%
20205-1.76%3.63%$81,745$19,3397.27%4.68%6.60%-1.76%
202066.28%2.33%$86,882$19,7892.02%4.36%6.28%0.34%
202077.35%3.85%$93,265$20,5516.33%3.93%7.35%4.44%
2020810.94%3.71%$103,472$21,3123.18%4.41%10.94%-5.05%
20209-5.78%-1.85%$97,493$20,918-1.61%-1.68%-5.78%0.77%
202010-3.04%-1.51%$94,525$20,601-0.07%-2.06%-3.04%-3.39%
Portfolio return and risk metrics
MetricMomentum ModelVanguard Target Retirement 2030 Inv
Arithmetic Mean (monthly)1.57%0.54%
Arithmetic Mean (annualized)20.59%6.69%
Geometric Mean (monthly)1.47%0.47%
Geometric Mean (annualized)19.13%5.79%
Volatility (monthly)4.58%3.74%
Volatility (annualized)15.87%12.96%
Downside Deviation (monthly)2.44%2.65%
Max. Drawdown-17.79%-43.48%
US Market Correlation0.290.98
Beta(*)0.381.00
Alpha (annualized)16.39%-0.00%
R29.67%100.00%
Sharpe Ratio1.150.45
Sortino Ratio2.140.63
Treynor Ratio (%)47.985.90
Calmar Ratio1.960.40
Active Return13.34%N/A
Tracking Error17.09%N/A
Information Ratio0.78N/A
Skewness0.08-0.87
Excess Kurtosis0.852.53
Historical Value-at-Risk (5%)-6.85%-6.96%
Analytical Value-at-Risk (5%)-5.97%-5.61%
Conditional Value-at-Risk (5%)-8.41%-9.41%
Upside Capture Ratio (%)98.16100.00
Downside Capture Ratio (%)13.53100.00
Safe Withdrawal Rate23.90%9.04%
Perpetual Withdrawal Rate15.57%4.15%
Positive Periods100 out of 154 (64.94%)101 out of 154 (65.58%)
Gain/Loss Ratio1.330.78
* Vanguard Target Retirement 2030 Inv 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 2015Jan 20161 yearMay 20171 year 4 months2 years 4 months-17.79%
2Jan 2009Feb 20092 monthsApr 20092 months4 months-14.41%
3Apr 2012Oct 20127 monthsMar 20135 months1 year-11.57%
4Sep 2018Oct 20182 monthsMar 20195 months7 months-8.85%
5Apr 2008Jun 20083 monthsNov 20085 months8 months-8.75%
6Sep 2020Oct 20202 months-8.65%
7May 2019May 20191 monthAug 20193 months4 months-8.23%
8May 2010May 20101 monthAug 20103 months4 months-7.29%
9Jan 2010Jan 20101 monthMar 20102 months3 months-6.47%
10Feb 2020Feb 20201 monthApr 20202 months3 months-6.06%
Worst 10 drawdowns included above

Drawdowns for Vanguard Target Retirement 2030 Inv

Drawdowns for Vanguard Target Retirement 2030 Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20112 years3 years 2 months-43.48%
2May 2011Sep 20115 monthsMar 20126 months11 months-15.23%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-14.76%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.07%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-8.79%
6Apr 2012May 20122 monthsSep 20124 months6 months-6.47%
7May 2019May 20191 monthJun 20191 month2 months-3.70%
8Sep 2020Oct 20202 months-3.34%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.43%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.42%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelVanguard Target Retirement 2030 Inv
AverageHighLowAverageHighLow
1 year19.58%36.88%-3.01%7.37%26.72%-32.91%
3 years18.58%29.97%4.43%8.25%13.84%-0.91%
5 years17.45%26.15%10.63%8.33%14.53%1.88%
7 years17.73%25.08%13.77%8.53%11.11%5.11%
10 years18.32%19.66%16.91%8.19%9.57%5.92%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMomentum ModelVanguard Target Retirement 2030 Inv
1Jan 2008Apr 20084100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.23%1.23%-3.65%
2May 2008May 20081100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.42%1.42%1.57%
3Jun 2008Jun 20081100.00% Vanguard Mid-Cap ETF (VO)VO: -7.74%-7.74%-7.15%
4Jul 2008Jul 20081100.00% Invesco QQQ Trust (QQQ)QQQ: 0.64%0.64%-1.15%
5Aug 2008Feb 20097100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 13.78%13.78%-37.07%
6Mar 2009May 20093100.00% Invesco QQQ Trust (QQQ)QQQ: 28.73%28.73%25.13%
7Jun 2009Sep 20094100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 17.81%17.81%15.02%
8Oct 2009Oct 20091100.00% Vanguard Mid-Cap ETF (VO)VO: -4.43%-4.43%-1.91%
9Nov 2009Nov 20091100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.21%1.21%4.60%
10Dec 2009Jan 20102100.00% Invesco QQQ Trust (QQQ)QQQ: -1.61%-1.61%-1.08%
11Feb 2010May 20104100.00% Vanguard Mid-Cap ETF (VO)VO: 8.23%8.23%1.60%
12Jun 2010Sep 20104100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 10.74%10.74%6.88%
13Oct 2010Oct 20101100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 3.59%3.59%3.24%
14Nov 2010Dec 20102100.00% Invesco QQQ Trust (QQQ)QQQ: 4.58%4.58%5.13%
15Jan 2011May 20115100.00% Vanguard Mid-Cap ETF (VO)VO: 10.66%10.66%6.60%
16Jun 2011Nov 20116100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 24.16%24.16%-7.44%
17Dec 2011Jan 20122100.00% Vanguard Mid-Cap ETF (VO)VO: 6.28%6.28%4.80%
18Feb 2012Feb 20121100.00% Invesco QQQ Trust (QQQ)QQQ: 6.41%6.41%3.61%
19Mar 2012Mar 20121100.00% Vanguard Mid-Cap ETF (VO)VO: 1.91%1.91%1.41%
20Apr 2012May 20122100.00% Invesco QQQ Trust (QQQ)QQQ: -8.13%-8.13%-6.47%
21Jun 2012Aug 20123100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.72%0.72%6.73%
22Sep 2012Oct 20122100.00% Invesco QQQ Trust (QQQ)QQQ: -4.44%-4.44%1.48%
23Nov 2012Jan 20133100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 9.54%9.54%6.21%
24Feb 2013May 20134100.00% Vanguard Mid-Cap ETF (VO)VO: 9.57%9.57%5.12%
25Jun 2013Jul 20132100.00% Invesco QQQ Trust (QQQ)QQQ: 3.77%3.77%2.12%
26Aug 2013Aug 20131100.00% Vanguard Mid-Cap ETF (VO)VO: -2.60%-2.60%-2.04%
27Sep 2013Feb 20146100.00% Invesco QQQ Trust (QQQ)QQQ: 20.94%20.94%12.08%
28Mar 2014Mar 20141100.00% Vanguard Mid-Cap ETF (VO)VO: -0.26%-0.26%0.36%
29Apr 2014Apr 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.10%2.10%0.50%
30May 2014May 20141100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.92%1.92%1.84%
31Jun 2014Jun 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -0.25%-0.25%1.81%
32Jul 2014Sep 20143100.00% Invesco QQQ Trust (QQQ)QQQ: 5.45%5.45%-1.19%
33Oct 2014Oct 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.81%2.81%1.66%
34Nov 2014Dec 20142100.00% Invesco QQQ Trust (QQQ)QQQ: 2.20%2.20%0.65%
35Jan 2015Feb 20152100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 3.08%3.08%3.10%
36Mar 2015Apr 20152100.00% Vanguard Mid-Cap ETF (VO)VO: -0.13%-0.13%0.50%
37May 2015Jun 20152100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -3.82%-3.82%-1.50%
38Jul 2015Aug 20152100.00% Invesco QQQ Trust (QQQ)QQQ: -2.58%-2.58%-4.15%
39Sep 2015Oct 20152100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.55%1.55%2.99%
40Nov 2015Jan 20163100.00% Invesco QQQ Trust (QQQ)QQQ: -7.83%-7.83%-5.46%
41Feb 2016Apr 20163100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.23%2.23%6.33%
42May 2016Jun 20162100.00% Vanguard Mid-Cap ETF (VO)VO: 1.84%1.84%0.88%
43Jul 2016Jul 20161100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.10%2.10%3.21%
44Aug 2016Oct 20163100.00% Invesco QQQ Trust (QQQ)QQQ: 1.78%1.78%-0.98%
45Nov 2016Nov 20161100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -2.13%-2.13%0.72%
46Dec 2016Jan 20172100.00% Vanguard Mid-Cap ETF (VO)VO: 3.67%3.67%3.46%
47Feb 2017Jun 20175100.00% Invesco QQQ Trust (QQQ)QQQ: 11.02%11.02%6.48%
48Jul 2017Sep 20173100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 5.95%5.95%3.88%
49Oct 2017Nov 20172100.00% Invesco QQQ Trust (QQQ)QQQ: 6.67%6.67%3.07%
50Dec 2017Dec 20171100.00% Vanguard Mid-Cap ETF (VO)VO: 1.04%1.04%1.11%
51Jan 2018Apr 20184100.00% Invesco QQQ Trust (QQQ)QQQ: 3.50%3.50%-0.33%
52May 2018May 20181100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.01%2.01%0.78%
53Jun 2018Oct 20185100.00% Invesco QQQ Trust (QQQ)QQQ: 0.25%0.25%-2.90%
54Nov 2018Mar 20195100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 12.61%12.61%5.73%
55Apr 2019Apr 20191100.00% Vanguard Mid-Cap ETF (VO)VO: 3.71%3.71%2.40%
56May 2019May 20191100.00% Invesco QQQ Trust (QQQ)QQQ: -8.23%-8.23%-3.70%
57Jun 2019Oct 20195100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 8.16%8.16%7.69%
58Nov 2019Feb 20204100.00% Invesco QQQ Trust (QQQ)QQQ: 4.65%4.65%-1.02%
59Mar 2020May 20203100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.77%5.77%0.38%
60Jun 2020Oct 20205100.00% Invesco QQQ Trust (QQQ)QQQ: 15.63%15.63%6.52%
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