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.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds 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 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.
$ .00
$ .00
%
%
Timing Periods
Length
Unit
Weight
Time Period #1
%
Time Period #2
%
Time Period #3
%
Time Period #4
%
Time Period #5
%
Volatility Period
%
Asset 1
%
Asset 2
%
Asset 3
%
Asset 4
%
Asset 5
%
Asset 6
%
Asset 7
%
Asset 8
%
Asset 9
%
Asset 10
%
Total
%

Market Timing Results (Jan 1998 - Dec 2017)

Market timing results from 1998 to 2017 are based on relative strength model holding the best performing asset. The model uses a single performance window of 12 calendar month(s). Timing 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 Total Intl Stock Index Inv (VGTSX) [May 1996 - Sep 2019].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$44,3617.73%15.90%32.10%-38.88%-53.17% 0.430.610.96
Save timing model »
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • An equal-weight allocation is used for the assets held by the momentum model
  • The results for the timing portfolio assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for timing 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 (1-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 regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationTiming Portfolio ReturnTiming Portfolio BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)
19981.61%23.26%$12,32623.26%15.60%
19992.68%22.85%$15,14323.81%29.92%
20003.39%-15.92%$12,732-10.57%-15.61%
20011.55%-15.97%$10,699-10.97%-20.15%
20022.38%-22.06%$8,339-20.96%-15.08%
20031.88%32.10%$11,01631.35%40.34%
20043.26%20.84%$13,31112.51%20.84%
20053.42%15.57%$15,3845.98%15.57%
20062.54%26.64%$19,48215.51%26.64%
20074.08%15.52%$22,5065.49%15.52%
20080.09%-38.88%$13,757-37.04%-44.10%
20092.72%26.54%$17,40728.70%36.73%
20101.50%7.89%$18,78117.09%11.12%
20112.96%-0.50%$18,6870.96%-14.56%
20121.74%16.25%$21,72416.25%18.14%
20131.50%30.62%$28,37633.35%15.04%
20140.76%12.43%$31,90312.43%-4.24%
20150.73%0.29%$31,9960.29%-4.37%
20162.07%12.53%$36,00712.53%4.65%
20172.11%23.20%$44,36121.05%27.40%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTiming Portfolio ReturnTiming Portfolio BalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)
199810.44%$10,0440.44%3.04%
199827.34%$10,7827.34%6.88%
199835.06%$11,3285.06%3.22%
199841.10%$11,4521.10%0.53%
19985-2.71%$11,141-2.71%-1.51%
199863.54%$11,5363.54%-0.27%
19987-2.27%$11,274-2.27%1.08%
19988-15.65%$9,509-15.65%-13.66%
199896.68%$10,1446.68%-2.07%
1998107.51%$10,9067.51%10.77%
1998116.17%$11,5796.17%5.34%
1998126.45%$12,3266.45%3.26%
199913.65%$12,7763.65%-0.63%
19992-3.73%$12,299-3.73%-2.16%
199933.93%$12,7833.93%4.97%
199944.68%$13,3814.68%5.08%
19995-2.00%$13,114-2.00%-5.00%
199965.16%$13,7915.16%4.39%
19997-3.20%$13,350-3.20%2.27%
19998-0.92%$13,227-0.92%0.33%
19999-2.44%$12,905-2.44%0.82%
1999103.74%$13,3876.29%3.74%
1999113.42%$13,8453.42%4.08%
1999129.37%$15,1437.59%9.37%
20001-6.22%$14,202-4.18%-6.22%
200022.83%$14,6042.54%2.83%
200033.48%$15,1115.69%3.48%
20004-5.41%$14,294-5.21%-5.41%
20005-2.67%$13,912-3.41%-2.67%
200064.27%$14,5074.42%4.27%
20007-4.46%$13,859-1.95%-4.46%
200087.28%$14,8687.28%1.00%
20009-4.67%$14,174-4.67%-5.00%
200010-2.04%$13,884-2.04%-3.03%
200011-9.90%$12,509-9.90%-4.44%
2000121.78%$12,7321.78%3.72%
200113.83%$13,2193.83%1.10%
20012-9.41%$11,975-9.41%-7.61%
20013-6.72%$11,170-6.72%-7.15%
200148.16%$12,0828.16%7.89%
200151.01%$12,2041.01%-3.52%
20016-1.64%$12,005-1.64%-3.84%
20017-1.71%$11,799-1.71%-2.43%
20018-6.00%$11,091-6.00%-2.30%
20019-10.73%$9,901-9.00%-10.73%
2001102.52%$10,1512.52%2.97%
2001113.56%$10,5127.63%3.56%
2001121.78%$10,6991.78%1.35%
20021-1.24%$10,566-1.24%-4.63%
20022-2.05%$10,350-2.05%0.90%
200234.38%$10,8034.38%5.71%
20024-4.90%$10,274-4.90%0.42%
20025-1.22%$10,149-1.22%1.16%
20026-4.28%$9,715-7.06%-4.28%
20027-9.80%$8,762-8.02%-9.80%
20028-0.12%$8,7520.53%-0.12%
20029-10.88%$7,799-10.07%-10.88%
2002105.70%$8,2447.65%5.70%
2002114.75%$8,6356.06%4.75%
200212-3.43%$8,339-5.57%-3.43%
20031-3.76%$8,026-2.54%-3.76%
20032-2.42%$7,832-1.69%-2.42%
20033-1.93%$7,6801.09%-1.93%
200349.70%$8,4268.21%9.70%
200356.11%$8,9406.11%6.15%
200361.43%$9,0681.43%2.66%
200372.36%$9,2822.36%3.18%
200382.39%$9,5042.39%2.51%
20039-1.15%$9,395-1.15%2.78%
2003106.49%$10,0056.12%6.49%
2003112.13%$10,2191.38%2.13%
2003127.80%$11,0164.48%7.80%
200411.60%$11,1922.23%1.60%
200422.50%$11,4721.43%2.50%
200430.45%$11,523-1.07%0.45%
20044-3.14%$11,161-2.11%-3.14%
200450.46%$11,2131.35%0.46%
200462.40%$11,4822.09%2.40%
20047-3.34%$11,099-3.80%-3.34%
200480.75%$11,1820.31%0.75%
200492.96%$11,5131.74%2.96%
2004103.24%$11,8861.68%3.24%
2004117.23%$12,7454.68%7.23%
2004124.44%$13,3113.63%4.44%
20051-1.67%$13,090-2.68%-1.67%
200524.68%$13,7022.07%4.68%
20053-2.93%$13,301-1.75%-2.93%
20054-2.07%$13,026-2.32%-2.07%
200550.08%$13,0373.77%0.08%
200561.30%$13,2060.81%1.30%
200573.68%$13,6924.11%3.68%
200582.85%$14,083-0.94%2.85%
200594.73%$14,7480.86%4.73%
200510-3.37%$14,252-1.86%-3.37%
2005112.67%$14,6323.97%2.67%
2005125.14%$15,3840.14%5.14%
200616.87%$16,4413.50%6.87%
20062-0.72%$16,3220.00%-0.72%
200633.17%$16,8401.80%3.17%
200645.12%$17,7021.11%5.12%
20065-4.45%$16,915-3.23%-4.45%
20066-0.38%$16,8500.17%-0.38%
200671.15%$17,044-0.13%1.15%
200682.53%$17,4762.31%2.53%
200690.25%$17,5192.27%0.25%
2006104.00%$18,2203.53%4.00%
2006113.73%$18,8992.23%3.73%
2006123.09%$19,4821.13%3.09%
200710.96%$19,6691.88%0.96%
200720.06%$19,681-1.61%0.06%
200732.80%$20,2321.11%2.80%
200743.92%$21,0264.01%3.92%
200753.09%$21,6763.69%3.09%
200760.61%$21,808-1.67%0.61%
20077-1.06%$21,577-3.41%-1.06%
20078-0.72%$21,4231.45%-0.72%
200796.38%$22,7903.59%6.38%
2007105.90%$24,1351.85%5.90%
200711-4.57%$23,032-4.49%-4.57%
200712-2.28%$22,506-0.60%-2.28%
20081-8.55%$20,583-6.08%-8.55%
200820.33%$20,650-3.07%0.33%
20083-0.71%$20,503-0.58%-0.71%
200845.85%$21,7035.02%5.85%
200851.51%$22,0312.09%1.51%
20086-8.99%$20,051-8.19%-8.99%
20087-3.67%$19,315-0.77%-3.67%
200881.58%$19,6211.58%-5.10%
20089-9.26%$17,803-9.26%-13.09%
200810-17.63%$14,665-17.63%-22.09%
200811-7.90%$13,506-7.90%-6.29%
2008121.86%$13,7571.86%8.16%
20091-8.26%$12,621-8.26%-11.96%
20092-10.45%$11,302-10.45%-9.58%
200938.65%$12,2808.65%9.31%
2009410.61%$13,58210.61%12.78%
200955.38%$14,3135.38%14.35%
200960.34%$14,3620.34%-1.32%
200977.82%$15,4857.82%9.96%
200983.63%$16,0473.63%3.50%
200995.15%$16,8734.23%5.15%
200910-2.17%$16,507-2.57%-2.17%
2009113.86%$17,1445.63%3.86%
2009121.53%$17,4072.86%1.53%
20101-5.07%$16,525-3.50%-5.07%
201020.22%$16,5623.36%0.22%
201036.71%$17,6736.27%6.71%
20104-1.71%$17,3712.17%-1.71%
20105-8.00%$15,981-8.00%-10.78%
20106-5.66%$15,076-5.66%-1.17%
201076.99%$16,1316.99%10.33%
20108-4.75%$15,365-4.75%-3.22%
201099.47%$16,8209.47%10.41%
2010103.94%$17,4833.94%3.55%
2010110.58%$17,5830.58%-4.52%
2010126.81%$18,7816.81%8.34%
201112.19%$19,1912.19%0.70%
201123.60%$19,8823.60%2.71%
201130.45%$19,9710.45%-0.43%
201142.99%$20,5682.99%5.24%
20115-2.87%$19,978-1.16%-2.87%
20116-1.51%$19,677-1.79%-1.51%
20117-2.28%$19,228-2.28%-1.53%
20118-5.99%$18,075-5.99%-8.45%
20119-7.75%$16,674-7.75%-12.29%
20111011.51%$18,59311.51%10.22%
201111-0.29%$18,539-0.29%-2.88%
2011120.80%$18,6870.80%-2.64%
201215.08%$19,6375.08%7.27%
201224.26%$20,4734.26%5.14%
201233.07%$21,1013.07%-0.75%
20124-0.65%$20,963-0.65%-1.78%
20125-6.24%$19,655-6.24%-11.14%
201263.91%$20,4243.91%6.03%
201271.03%$20,6351.03%0.44%
201282.48%$21,1472.48%2.72%
201292.58%$21,6922.58%3.62%
201210-1.76%$21,311-1.76%0.56%
2012110.74%$21,4680.74%1.82%
2012121.19%$21,7241.19%4.17%
201313.34%$22,4495.50%3.34%
201321.28%$22,7361.28%-1.23%
201333.88%$23,6193.88%0.77%
201341.70%$24,0211.70%3.58%
201352.32%$24,5782.32%-2.95%
20136-1.27%$24,265-1.27%-3.75%
201375.49%$25,5965.49%4.56%
20138-2.82%$24,873-2.82%-1.63%
201393.66%$25,7853.66%7.21%
2013104.22%$26,8744.22%3.41%
2013112.88%$27,6482.88%0.12%
2013122.63%$28,3762.63%1.25%
20141-3.11%$27,494-3.11%-4.78%
201424.73%$28,7954.73%5.39%
201430.51%$28,9430.51%0.41%
201440.06%$28,9620.06%1.31%
201452.17%$29,5902.17%1.88%
201462.54%$30,3412.54%1.74%
20147-1.98%$29,741-1.98%-1.61%
201484.18%$30,9854.18%1.05%
20149-2.14%$30,323-2.14%-5.01%
2014102.74%$31,1542.74%-0.31%
2014112.41%$31,9042.41%-0.25%
201412-0.01%$31,903-0.01%-3.65%
20151-2.77%$31,018-2.77%0.13%
201525.76%$32,8065.76%5.52%
20153-1.04%$32,465-1.04%-1.54%
201540.42%$32,6020.42%5.08%
201551.39%$33,0561.39%-0.94%
20156-1.71%$32,490-1.71%-2.69%
201571.63%$33,0201.63%-0.80%
20158-6.03%$31,031-6.03%-7.29%
20159-2.93%$30,120-2.93%-3.90%
2015107.84%$32,4837.84%6.26%
2015110.54%$32,6590.54%-1.32%
201512-2.03%$31,996-2.03%-2.07%
20161-5.67%$30,182-5.67%-5.59%
20162-0.04%$30,169-0.04%-2.27%
201637.01%$32,2847.01%8.19%
201640.63%$32,4870.63%2.22%
201651.79%$33,0691.79%-1.02%
201660.23%$33,1440.23%-0.94%
201673.95%$34,4533.95%4.41%
201680.26%$34,5420.26%0.74%
201690.15%$34,5940.15%1.37%
201610-2.21%$33,828-2.21%-1.72%
2016114.44%$35,3284.44%-2.15%
2016121.92%$36,0071.92%2.02%
201711.91%$36,6941.91%3.87%
201723.71%$38,0553.71%1.50%
201730.07%$38,0810.07%2.82%
201741.05%$38,4811.05%2.20%
201751.01%$38,8681.01%3.01%
201760.52%$39,0720.92%0.52%
201773.42%$40,4081.87%3.42%
201780.64%$40,6650.15%0.64%
201791.81%$41,4002.45%1.81%
2017101.94%$42,2022.16%1.94%
2017113.04%$43,4863.04%0.78%
2017122.01%$44,3610.99%2.01%
Portfolio return and risk metrics
MetricTiming Portfolio
Arithmetic Mean (monthly)0.73%
Arithmetic Mean (annualized)9.11%
Geometric Mean (monthly)0.62%
Geometric Mean (annualized)7.73%
Volatility (monthly)4.59%
Volatility (annualized)15.90%
Downside Deviation (monthly)3.19%
Max. Drawdown-53.17%
US Market Correlation0.96
Beta(*)1.00
Alpha (annualized)0.40%
R292.90%
Sharpe Ratio0.43
Sortino Ratio0.61
Treynor Ratio (%)6.88
Calmar Ratio1.31
Active Return0.32%
Tracking Error4.24%
Information Ratio0.08
Skewness-0.74
Excess Kurtosis1.21
Historical Value-at-Risk (5%)-8.24%
Analytical Value-at-Risk (5%)-6.82%
Conditional Value-at-Risk (5%)-10.79%
Upside Capture Ratio (%)102.40
Downside Capture Ratio (%)101.00
Safe Withdrawal Rate6.80%
Perpetual Withdrawal Rate5.19%
Positive Periods154 out of 240 (64.17%)
Gain/Loss Ratio0.84
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndTiming Portfolio
Russian Debt DefaultJul 1998Oct 1998-17.57%
Dotcom CrashMar 2000Oct 2002-48.39%
Subprime CrisisNov 2007Mar 2009-53.17%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20134 years 3 months5 years 7 months-53.17%
2Jan 2000Mar 20033 years 3 monthsDec 20052 years 9 months6 years-49.28%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
6May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
7Feb 1999Feb 19991 monthMar 19991 month2 months-3.73%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.82%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.78%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year9.66%32.10%-38.88%
3 years6.91%22.64%-18.03%
5 years6.99%21.96%-3.57%
7 years7.12%13.06%3.22%
10 years6.43%10.05%1.10%
15 years7.11%11.79%5.09%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming Portfolio
1Jan 1998Sep 199921100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 29.05%29.05%
2Oct 1999Oct 19991100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.74%3.74%
3Nov 1999Nov 19991100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 3.42%3.42%
4Dec 1999Jul 20008100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.10%0.10%
5Aug 2000Aug 200113100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -19.98%-19.98%
6Sep 2001Sep 20011100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -10.73%-10.73%
7Oct 2001Oct 20011100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 2.52%2.52%
8Nov 2001Nov 20011100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.56%3.56%
9Dec 2001May 20026100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -3.45%-3.45%
10Jun 2002Apr 200311100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -16.98%-16.98%
11May 2003Sep 20035100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 11.50%11.50%
12Oct 2003Jul 200858100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 105.59%105.59%
13Aug 2008Aug 200913100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -16.92%-16.92%
14Sep 2009Apr 20108100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 8.25%8.25%
15May 2010Apr 201112100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 18.41%18.41%
16May 2011Jun 20112100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -4.33%-4.33%
17Jul 2011Dec 201218100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 10.40%10.40%
18Jan 2013Jan 20131100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.34%3.34%
19Feb 2013May 201752100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 73.13%73.13%
20Jun 2017Oct 20175100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 8.58%8.58%
21Nov 2017Nov 20171100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 3.04%3.04%
22Dec 2017Dec 20171100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 2.01%2.01%
23Jan 2018Jan 20181100.00% Vanguard Total Intl Stock Index Inv (VGTSX)--