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 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.
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Timing Periods
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Market Timing Results (Jan 1996 - May 2020) Save

Tactical asset allocation model results from Jan 1996 to May 2020 are based on relative strength model holding the top 3 best performing assets. The model uses multiple weighted performance windows to rank the assets by weighted average of asset performance. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Momentum Model$10,000$139,45211.40%10.35%28.49%-6.75%-13.04% 0.891.560.45
Equal Weight Portfolio$10,000$52,5127.03%9.43%24.65%-20.30%-28.61% 0.540.790.81
Vanguard 500 Index Investor$10,000$76,7458.70%15.20%33.19%-37.02%-50.97% 0.480.690.99
   
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 full calendar months from January to May.
  • 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 Short-Term Treasury Inv (VFISX)Vanguard Long-Term Treasury Inv (VUSTX)Gold Price Index (^GOLD)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard European Stock Index Investor (VEURX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
19963.32%10.92%9.22%22.88%$11,092$10,922$12,2884.39%-1.26%-4.59%15.83%21.26%20.96%
19971.70%20.10%5.15%33.19%$13,322$11,485$16,3666.51%13.90%-21.41%-16.82%24.23%30.99%
19981.61%12.33%9.45%28.62%$14,964$12,570$21,0507.36%13.05%-0.83%-18.12%28.86%23.26%
19992.68%21.96%14.89%21.07%$18,251$14,441$25,4841.85%-8.66%0.85%61.57%16.66%23.81%
20003.39%-5.57%-4.56%-9.06%$17,235$13,782$23,1768.83%19.72%-5.44%-27.56%-8.21%-10.57%
20011.55%1.18%-2.94%-12.02%$17,438$13,377$20,3907.80%4.31%0.75%-2.88%-20.30%-10.97%
20022.38%12.88%0.13%-22.15%$19,684$13,394$15,8758.02%16.67%25.57%-7.43%-17.95%-20.96%
20031.88%25.41%24.65%28.50%$24,685$16,696$20,3992.38%2.68%19.89%57.65%38.70%31.35%
20043.26%17.35%12.08%10.74%$28,967$18,712$22,5901.03%7.12%4.65%26.12%20.86%12.51%
20053.42%11.01%12.28%4.77%$32,155$21,010$23,6691.77%6.61%17.77%32.05%9.26%5.98%
20062.54%28.49%17.75%15.64%$41,318$24,740$27,3713.77%1.74%23.20%29.39%33.42%15.51%
20074.08%23.75%17.74%5.39%$51,132$29,129$28,8457.89%9.24%31.92%38.90%13.82%5.49%
20080.09%2.34%-20.30%-37.02%$52,330$23,216$18,1666.68%22.52%4.32%-52.81%-44.73%-37.04%
20092.72%15.47%24.03%26.49%$60,425$28,794$22,9781.44%-12.05%25.04%75.98%31.91%28.70%
20101.50%7.75%14.46%14.91%$65,109$32,959$26,4052.64%8.93%29.24%18.86%4.91%17.09%
20112.96%7.34%2.06%1.97%$69,891$33,639$26,9242.26%29.28%8.93%-18.78%-11.60%0.96%
20121.74%13.73%11.81%15.82%$79,489$37,613$31,1840.69%3.47%8.26%18.64%20.80%16.25%
20131.50%14.06%0.57%32.18%$90,664$37,829$41,218-0.10%-13.03%-27.33%-5.19%24.70%33.35%
20140.76%7.15%5.26%13.51%$97,148$39,821$46,7860.71%25.28%0.12%0.42%-6.67%12.43%
20150.73%-6.75%-4.74%1.25%$90,593$37,933$47,3700.45%-1.54%-12.11%-15.47%-2.00%0.29%
20162.07%8.81%6.12%11.82%$98,579$40,254$52,9680.99%1.20%8.10%11.50%-0.80%12.53%
20172.11%26.41%16.45%21.67%$124,614$46,876$64,4450.39%8.58%12.66%31.15%26.82%21.05%
20181.91%-5.10%-5.84%-4.52%$118,264$44,139$61,5291.35%-1.90%-0.93%-14.71%-14.86%-5.26%
20192.29%15.33%18.82%31.33%$136,390$52,448$80,8053.59%14.13%18.43%20.13%24.06%30.65%
2020-0.23%2.25%0.12%-5.02%$139,452$52,512$76,7453.38%20.97%14.12%-15.66%-15.82%-5.59%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard Short-Term Treasury Inv (VFISX)Vanguard Long-Term Treasury Inv (VUSTX)Gold Price Index (^GOLD)Vanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard European Stock Index Investor (VEURX)Vanguard Total Stock Mkt Idx Inv (VTSMX)
Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
199611.06%3.18%3.39%$10,106$10,318$10,3390.88%-0.05%4.79%10.23%0.57%2.66%
19962-1.64%-0.85%0.92%$9,940$10,230$10,434-0.70%-4.93%-1.21%-1.60%1.70%1.62%
199631.36%0.14%0.98%$10,076$10,244$10,536-0.20%-1.98%-1.07%1.54%1.40%1.14%
199641.91%0.41%1.46%$10,268$10,286$10,689-0.22%-1.78%-1.27%2.70%0.62%2.41%
199651.77%0.79%2.54%$10,450$10,368$10,9610.09%-0.46%-0.19%1.48%1.16%2.66%
199660.17%0.22%0.38%$10,468$10,391$11,0030.87%2.14%-2.19%0.00%1.35%-0.84%
19967-4.43%-2.03%-4.42%$10,004$10,179$10,5170.29%-0.05%0.86%-6.73%-1.20%-5.37%
199682.12%1.42%2.10%$10,216$10,324$10,7370.29%-1.29%0.30%3.13%2.97%3.09%
199693.21%1.91%5.61%$10,543$10,521$11,3390.97%2.79%-1.93%2.28%1.97%5.38%
1996100.71%1.24%2.76%$10,618$10,651$11,6521.28%3.88%0.13%-1.48%2.19%1.43%
1996115.08%2.86%7.56%$11,158$10,956$12,5330.87%3.24%-2.16%3.51%4.91%6.81%
199612-0.58%-0.31%-1.96%$11,092$10,922$12,288-0.10%-2.38%-0.55%0.58%1.90%-1.27%
199713.59%0.68%6.22%$11,491$10,997$13,0520.40%-0.65%-6.43%5.13%0.18%5.46%
199721.39%1.34%0.79%$11,651$11,144$13,1550.20%-0.11%3.79%3.02%1.27%-0.11%
19973-1.41%-1.60%-4.14%$11,487$10,966$12,611-0.20%-2.29%-2.91%-3.16%3.40%-4.45%
199740.80%0.56%5.96%$11,579$11,027$13,3620.88%2.35%-2.30%-1.63%-0.46%4.50%
199755.39%3.25%6.09%$12,203$11,385$14,1750.74%0.98%1.60%4.50%4.57%7.10%
199764.52%2.14%4.45%$12,755$11,628$14,8060.67%1.78%-3.20%3.93%5.26%4.37%
199774.66%3.01%7.97%$13,349$11,978$15,9861.18%5.34%-2.45%1.53%4.68%7.77%
19978-8.17%-4.56%-5.61%$12,259$11,432$15,0890.01%-2.57%-0.31%-15.10%-5.68%-3.72%
199796.03%4.36%5.47%$12,999$11,930$15,9140.78%2.63%2.07%5.23%9.70%5.77%
199710-1.79%-4.82%-3.35%$12,766$11,355$15,3810.79%2.99%-6.23%-18.11%-4.95%-3.40%
1997111.99%0.02%4.60%$13,021$11,358$16,0890.18%1.27%-4.69%-1.37%1.38%3.33%
1997122.31%1.12%1.72%$13,322$11,485$16,3660.69%1.66%-2.22%1.33%3.57%1.70%
199812.18%0.77%1.11%$13,611$11,574$16,5481.07%1.91%5.05%-8.02%4.17%0.44%
199824.79%3.95%7.19%$14,263$12,031$17,738-0.07%-0.75%-2.44%11.87%7.77%7.34%
199834.14%2.93%5.10%$14,853$12,384$18,6430.37%0.14%1.21%3.60%7.21%5.06%
199841.13%1.02%1.01%$15,022$12,511$18,8310.54%0.40%3.22%-1.03%1.90%1.10%
199850.52%-2.65%-1.74%$15,100$12,179$18,5030.56%1.83%-5.50%-12.54%2.44%-2.71%
199862.36%-0.13%4.07%$15,457$12,163$19,2560.54%2.35%0.92%-9.34%1.19%3.54%
19987-0.29%-0.20%-1.05%$15,412$12,138$19,0530.36%-0.51%-2.51%1.80%1.92%-2.27%
19988-7.77%-8.86%-14.47%$14,214$11,062$16,2951.63%4.83%-5.35%-26.12%-12.49%-15.65%
199890.35%4.10%6.41%$14,263$11,516$17,3401.79%3.29%7.48%9.39%-4.04%6.68%
199810-0.66%4.80%8.16%$14,169$12,068$18,7560.25%-1.69%-0.53%15.43%7.83%7.51%
1998112.04%3.24%6.07%$14,458$12,459$19,895-0.15%0.88%0.82%6.31%5.39%6.17%
1998123.50%0.89%5.81%$14,964$12,570$21,0500.25%-0.16%-2.34%-3.07%4.21%6.45%
199911.29%0.09%4.20%$15,158$12,582$21,9340.41%0.98%-0.83%-2.91%-0.75%3.65%
19992-3.72%-1.54%-3.12%$14,594$12,388$21,249-0.88%-4.76%0.58%2.21%-2.67%-3.73%
199931.98%2.44%4.00%$14,883$12,691$22,0980.69%-0.34%-2.65%11.72%1.31%3.93%
199947.73%4.37%3.85%$16,033$13,246$22,9490.31%0.19%2.56%15.39%3.11%4.68%
19995-3.68%-3.23%-2.39%$15,443$12,818$22,401-0.34%-1.68%-6.28%-4.15%-4.90%-2.00%
199964.42%1.94%5.56%$16,125$13,067$23,6460.16%-1.05%-2.83%7.94%2.27%5.16%
19997-2.17%-1.38%-3.13%$15,776$12,886$22,9060.13%-0.58%-2.07%-3.44%0.85%-3.20%
19998-0.59%-0.25%-0.50%$15,683$12,854$22,7920.14%-0.49%-0.31%-0.99%1.08%-0.92%
19999-1.26%2.55%-2.74%$15,486$13,182$22,1680.84%0.91%17.35%-0.50%-0.83%-2.44%
1999103.38%2.36%6.33%$16,009$13,493$23,5700.26%0.12%0.03%3.82%3.63%6.29%
1999112.98%1.91%2.02%$16,487$13,751$24,0470.16%-0.59%-2.59%8.12%2.96%3.42%
19991210.70%5.02%5.98%$18,251$14,441$25,484-0.03%-1.60%-0.38%14.31%10.20%7.59%
20001-5.41%-2.93%-5.03%$17,263$14,017$24,202-0.22%1.25%-2.39%-4.88%-7.18%-4.18%
200023.81%3.13%-1.91%$17,920$14,456$23,7410.76%2.96%3.65%3.53%5.34%2.54%
200032.40%0.88%9.76%$18,350$14,584$26,0580.70%3.14%-5.76%-0.90%2.41%5.69%
20004-5.67%-3.02%-3.01%$17,309$14,144$25,2740.19%-0.66%-0.61%-7.47%-4.34%-5.21%
20005-3.10%-1.75%-2.04%$16,772$13,897$24,7590.30%-0.46%-1.02%-5.32%-0.58%-3.41%
200062.99%3.73%2.49%$17,274$14,415$25,3751.30%2.30%5.84%6.27%2.26%4.42%
20007-1.38%-1.78%-1.49%$17,036$14,159$24,9970.61%1.49%-3.96%-5.20%-1.68%-1.95%
200082.76%1.79%6.19%$17,505$14,413$26,5440.92%2.08%0.09%1.49%-1.09%7.28%
20009-1.58%-2.82%-5.29%$17,229$14,006$25,1400.79%-0.85%-1.21%-6.14%-4.84%-4.67%
2000100.04%-1.93%-0.43%$17,236$13,735$25,0320.60%1.57%-3.34%-7.61%-0.77%-2.04%
200011-1.91%-2.96%-7.88%$16,907$13,328$23,0601.18%2.99%1.74%-9.82%-3.96%-9.90%
2000121.94%3.40%0.50%$17,235$13,782$23,1761.38%2.45%1.99%5.95%6.87%1.78%
20011-0.70%2.25%3.55%$17,115$14,092$23,9981.26%0.28%-3.63%11.76%0.00%3.83%
20012-2.06%-3.91%-9.14%$16,763$13,541$21,8050.80%1.80%0.83%-8.70%-8.77%-9.41%
20013-1.07%-4.64%-6.36%$16,584$12,913$20,4190.77%-0.60%-3.37%-10.42%-7.51%-6.72%
20014-0.13%4.03%7.77%$16,562$13,433$22,0060.06%-2.56%2.11%9.29%7.12%8.16%
200150.77%-0.00%0.65%$16,689$13,433$22,1490.44%0.21%1.65%1.47%-4.81%1.01%
200160.75%-0.88%-2.45%$16,814$13,315$21,6070.33%0.76%1.16%-2.12%-3.76%-1.64%
200171.09%-0.81%-1.00%$16,998$13,206$21,3911.40%3.61%-1.74%-6.74%0.28%-1.71%
200181.83%-0.68%-6.27%$17,308$13,116$20,0490.79%2.02%2.67%-0.98%-2.60%-6.00%
200193.31%-4.11%-8.09%$17,881$12,577$18,4271.68%0.88%7.36%-15.57%-10.00%-9.00%
2001100.45%2.26%1.90%$17,961$12,862$18,7761.13%5.12%-4.90%6.59%3.12%2.52%
200111-2.35%2.23%7.65%$17,539$13,149$20,213-0.83%-5.07%-1.17%9.34%3.49%7.63%
200112-0.57%1.73%0.87%$17,438$13,377$20,390-0.27%-1.82%0.36%7.73%2.59%1.78%
200211.50%0.05%-1.47%$17,700$13,383$20,0890.44%1.20%2.10%2.87%-5.09%-1.24%
200222.83%1.28%-1.94%$18,202$13,555$19,7010.67%1.24%5.15%2.67%0.00%-2.05%
200231.75%1.86%3.74%$18,519$13,807$20,438-0.82%-3.86%1.53%4.52%5.41%4.38%
20024-0.77%0.37%-6.07%$18,376$13,858$19,1961.54%3.73%2.26%0.32%-0.74%-4.90%
200252.04%0.90%-0.75%$18,751$13,982$19,0520.59%0.39%5.97%-0.43%0.10%-1.22%
20026-3.26%-3.09%-7.13%$18,139$13,551$17,6920.93%1.76%-2.48%-8.23%-3.43%-7.06%
200270.04%-4.58%-7.72%$18,147$12,930$16,3271.54%2.93%-4.35%-8.50%-11.11%-8.02%
200282.61%1.62%0.65%$18,620$13,139$16,4330.86%4.28%2.68%1.42%-0.06%0.53%
200292.90%-4.20%-10.87%$19,160$12,587$14,6461.21%4.02%3.48%-10.69%-13.14%-10.07%
200210-1.64%3.15%8.78%$18,846$12,983$15,9320.02%-2.84%-2.10%6.55%9.60%7.65%
200211-0.32%2.85%5.88%$18,786$13,354$16,869-0.66%-0.98%0.68%7.09%4.93%6.06%
2002124.78%0.30%-5.89%$19,684$13,394$15,8751.46%4.05%8.82%-3.27%-3.68%-5.57%
200311.76%-0.30%-2.62%$20,030$13,354$15,458-0.13%-0.45%5.85%0.13%-4.69%-2.54%
20032-0.58%-1.76%-1.52%$19,913$13,119$15,2230.68%3.03%-5.46%-3.80%-3.30%-1.69%
20033-1.51%-1.17%0.96%$19,612$12,965$15,3690.23%-1.13%-3.63%-2.04%-1.54%1.09%
200340.53%5.34%8.25%$19,715$13,658$16,6370.11%0.91%0.57%8.75%13.53%8.21%
200354.68%5.53%5.26%$20,638$14,414$17,5131.05%5.67%7.32%6.39%6.65%6.11%
20036-1.58%0.43%1.26%$20,313$14,476$17,7340.01%-1.48%-4.26%5.88%1.01%1.43%
200370.27%0.74%1.74%$20,368$14,583$18,043-0.91%-8.57%2.53%7.03%2.00%2.36%
200382.86%2.65%1.93%$20,950$14,970$18,3920.02%1.43%5.88%6.36%-0.16%2.39%
200390.56%1.86%-1.07%$21,067$15,249$18,1951.15%5.07%3.30%0.80%2.02%-1.15%
2003107.28%3.08%5.64%$22,601$15,718$19,221-0.34%-2.58%-0.45%9.09%6.63%6.12%
2003112.24%1.68%0.86%$23,108$15,983$19,387-0.07%0.31%3.13%1.09%4.26%1.38%
2003126.82%4.46%5.22%$24,685$16,696$20,3990.59%1.23%4.49%7.78%8.20%4.48%
200412.16%0.75%1.82%$25,219$16,821$20,7710.22%1.74%-3.96%3.12%1.14%2.23%
200422.84%1.68%1.38%$25,936$17,104$21,0570.58%1.96%-0.98%4.17%2.92%1.43%
20043-1.27%0.84%-1.51%$25,605$17,248$20,7380.40%1.45%7.04%0.39%-3.14%-1.07%
20044-3.61%-4.31%-1.58%$24,681$16,505$20,411-1.20%-5.52%-8.31%-7.90%-0.81%-2.11%
200450.67%0.42%1.36%$24,846$16,574$20,688-0.16%-0.56%1.22%-0.85%1.50%1.35%
200461.19%0.85%1.93%$25,141$16,715$21,0870.02%0.87%0.65%-0.09%1.57%2.09%
20047-2.78%-1.27%-3.31%$24,443$16,503$20,3890.32%1.52%-1.11%-1.80%-2.73%-3.80%
200481.49%2.12%0.38%$24,806$16,852$20,4670.80%3.39%4.05%4.10%0.05%0.31%
200493.51%2.40%1.07%$25,678$17,256$20,6860.04%0.94%2.06%5.62%3.99%1.74%
2004102.52%1.95%1.51%$26,324$17,593$20,9990.33%1.46%2.38%2.30%3.57%1.68%
2004118.01%4.31%4.05%$28,433$18,351$21,849-0.63%-2.25%6.54%10.17%7.32%4.68%
2004121.88%1.97%3.39%$28,967$18,712$22,5900.33%2.22%-3.93%5.32%4.23%3.63%
20051-1.57%-0.86%-2.45%$28,513$18,552$22,0360.04%2.59%-3.09%-0.14%-1.89%-2.68%
200525.28%2.90%2.09%$30,019$19,089$22,497-0.36%-1.24%3.15%8.87%4.90%2.07%
20053-3.64%-2.26%-1.76%$28,926$18,658$22,101-0.05%-0.76%-1.83%-6.70%-2.47%-1.75%
20054-2.40%-0.22%-1.91%$28,232$18,617$21,6780.72%3.22%1.92%-2.89%-1.99%-2.32%
20055-0.52%0.87%3.17%$28,084$18,778$22,3650.44%2.55%-4.88%3.39%-0.08%3.77%
200561.97%2.07%0.13%$28,636$19,166$22,3930.24%1.64%5.47%3.28%0.98%0.81%
200572.69%1.65%3.71%$29,408$19,483$23,223-0.41%-2.58%-1.85%6.87%3.80%4.11%
200580.67%1.10%-0.91%$29,605$19,698$23,0110.75%2.87%0.99%0.97%1.98%-0.94%
200593.89%2.97%0.79%$30,755$20,283$23,194-0.31%-2.78%9.23%8.64%2.16%0.86%
200510-3.44%-2.34%-1.68%$29,696$19,808$22,805-0.11%-1.74%-0.53%-6.57%-3.23%-1.86%
2005114.86%3.25%3.76%$31,139$20,452$23,6630.39%0.57%5.29%7.98%1.30%3.97%
2005123.27%2.73%0.02%$32,155$21,010$23,6690.41%2.33%3.50%6.16%3.82%0.14%
200619.65%5.28%2.65%$35,259$22,120$24,2950.14%-0.90%10.87%11.48%6.61%3.50%
20062-1.24%-0.49%0.26%$34,820$22,012$24,3580.01%0.81%-2.24%-1.46%-0.03%0.00%
200633.23%1.36%1.23%$35,944$22,311$24,6580.05%-3.39%4.68%1.24%3.76%1.80%
200647.64%3.74%1.33%$38,691$23,144$24,9870.33%-1.96%10.65%7.12%5.16%1.11%
20065-3.92%-2.50%-2.90%$37,174$22,567$24,2630.05%-0.03%1.40%-10.74%-2.42%-3.23%
20066-2.06%-0.84%0.13%$36,408$22,377$24,2940.25%0.71%-6.05%-0.20%0.06%0.17%
200672.01%1.42%0.61%$37,140$22,694$24,4420.76%1.84%3.10%1.19%1.75%-0.13%
200681.23%1.58%2.36%$37,597$23,053$25,0190.75%2.74%-1.42%2.05%3.06%2.31%
20069-0.79%0.33%2.56%$37,298$23,130$25,6600.55%1.58%-3.89%0.72%0.79%2.27%
2006103.27%2.43%3.25%$38,517$23,692$26,4950.46%0.77%0.75%4.75%4.30%3.53%
2006114.49%3.84%1.89%$40,247$24,602$26,9950.55%1.91%7.11%7.44%3.81%2.23%
2006122.66%0.56%1.39%$41,318$24,740$27,371-0.20%-2.14%-2.27%4.16%2.69%1.13%
200710.85%0.80%1.49%$41,669$24,938$27,7790.19%-0.85%2.93%-0.58%1.25%1.88%
20072-1.29%0.35%-1.97%$41,130$25,025$27,2320.93%2.93%2.11%-1.28%-0.99%-1.61%
200732.53%1.31%1.11%$42,171$25,353$27,5350.28%-1.13%-0.37%4.11%3.85%1.11%
200744.09%2.93%4.42%$43,895$26,096$28,7520.46%0.86%2.30%4.23%5.73%4.01%
200754.06%1.20%3.48%$45,679$26,410$29,751-0.40%-1.93%-2.64%5.96%2.55%3.69%
200760.84%0.12%-1.68%$46,064$26,441$29,2530.37%-0.88%-1.30%4.49%-0.30%-1.67%
20077-0.66%0.63%-3.08%$45,761$26,608$28,3501.06%2.39%2.31%4.30%-2.86%-3.41%
200780.15%0.76%1.50%$45,828$26,809$28,7751.15%1.97%0.98%-0.94%-0.08%1.45%
200796.53%5.18%3.72%$48,819$28,198$29,8460.74%0.21%10.57%10.75%5.23%3.59%
2007107.81%4.52%1.58%$52,629$29,473$30,3180.45%1.40%6.26%12.31%4.85%1.85%
200711-4.15%-1.70%-4.19%$50,443$28,972$29,0482.16%4.59%-0.76%-7.99%-3.71%-4.49%
2007121.36%0.54%-0.70%$51,132$29,129$28,8450.25%-0.48%6.41%-0.38%-1.94%-0.60%
200810.77%-1.82%-6.02%$51,523$28,600$27,1102.01%2.64%10.73%-11.08%-9.13%-6.08%
200822.22%1.32%-3.25%$52,669$28,979$26,2281.09%0.35%5.23%4.65%-0.30%-3.07%
20083-2.23%-1.01%-0.44%$51,495$28,686$26,1130.25%1.02%-3.91%-3.80%0.94%-0.58%
20084-3.17%1.34%4.85%$49,865$29,070$27,380-0.96%-1.84%-6.70%8.09%4.43%5.02%
200850.47%0.69%1.29%$50,098$29,270$27,734-0.51%-2.13%1.69%1.84%1.13%2.09%
20086-1.68%-3.44%-8.44%$49,257$28,264$25,3940.33%1.80%5.02%-10.39%-9.19%-8.19%
20087-0.17%-1.41%-0.83%$49,175$27,865$25,1830.52%0.30%-1.32%-4.14%-3.07%-0.77%
20088-2.30%-2.84%1.45%$48,044$27,073$25,5470.56%1.80%-9.26%-7.81%-3.93%1.58%
200892.33%-5.33%-8.91%$49,165$25,629$23,2720.53%0.28%6.18%-16.25%-13.48%-9.26%
200810-6.84%-14.60%-16.79%$45,802$21,888$19,3640.49%-3.63%-17.38%-27.67%-21.77%-17.63%
2008118.19%0.31%-7.17%$49,552$21,955$17,9751.03%12.07%11.46%-7.85%-6.96%-7.90%
2008125.61%5.74%1.07%$52,330$23,216$18,1661.17%8.87%6.78%8.30%7.47%1.86%
20091-0.95%-5.50%-8.41%$51,835$21,939$16,638-0.09%-8.47%5.72%-8.19%-13.72%-8.26%
200920.84%-4.09%-10.66%$52,270$21,041$14,865-0.01%-1.01%3.53%-6.07%-10.56%-10.45%
200930.81%5.82%8.76%$52,693$22,265$16,1670.90%5.27%-3.73%16.03%7.81%8.65%
20094-2.96%5.16%9.56%$51,136$23,414$17,713-0.25%-4.99%-3.63%16.03%13.19%10.61%
200952.66%7.61%5.62%$52,496$25,197$18,7080.21%-2.68%10.44%18.27%14.05%5.38%
20096-2.87%-1.29%0.22%$50,992$24,872$18,749-0.17%0.70%-4.20%-2.25%-2.14%0.34%
200974.08%5.27%7.58%$53,075$26,184$20,1700.22%0.80%0.48%11.55%10.77%7.82%
200982.81%2.04%3.60%$54,566$26,718$20,8950.37%1.68%1.76%-0.63%5.43%3.63%
200996.21%4.19%3.72%$57,954$27,837$21,6720.29%1.98%4.21%9.29%5.11%4.23%
200910-2.02%-0.47%-1.87%$56,784$27,705$21,2670.24%-1.45%4.44%-1.36%-2.13%-2.57%
2009117.65%5.22%5.98%$61,128$29,153$22,5390.87%1.91%13.05%5.90%4.00%5.63%
200912-1.15%-1.23%1.95%$60,425$28,794$22,978-1.13%-5.66%-7.51%3.60%0.46%2.86%
20101-5.35%-2.21%-3.60%$57,195$28,159$22,1500.95%2.66%-0.83%-6.25%-6.28%-3.50%
201021.12%1.02%3.09%$57,836$28,445$22,8350.19%-0.21%2.76%1.07%-1.07%3.36%
201036.93%3.26%6.01%$61,843$29,373$24,208-0.36%-1.51%0.65%8.15%6.36%6.27%
20104-0.15%1.40%1.58%$61,749$29,784$24,5900.39%2.76%5.71%0.26%-2.89%2.17%
20105-4.98%-3.74%-8.01%$58,677$28,670$22,6210.48%4.23%2.40%-9.32%-12.24%-8.00%
201060.68%0.24%-5.24%$59,073$28,739$21,4360.56%4.67%3.02%-0.04%-1.10%-5.66%
20107-1.94%3.89%7.00%$57,927$29,855$22,9360.38%-0.17%-6.03%9.25%12.89%6.99%
201083.81%0.46%-4.53%$60,133$29,991$21,8970.37%7.08%6.59%-2.24%-4.31%-4.75%
201094.75%5.88%8.92%$62,990$31,755$23,8500.18%-1.82%4.90%11.18%11.38%9.47%
2010100.91%1.93%3.79%$63,561$32,368$24,7530.26%-3.29%3.04%2.97%4.66%3.94%
201011-2.66%-1.55%0.00%$61,871$31,866$24,753-0.30%-1.60%2.73%-2.71%-7.99%0.58%
2010125.23%3.43%6.67%$65,109$32,959$26,405-0.48%-3.58%1.59%7.30%8.94%6.81%
20111-2.06%-0.80%2.36%$63,771$32,697$27,0270.25%-2.38%-5.59%-2.77%3.51%2.19%
201122.05%2.25%3.42%$65,076$33,432$27,950-0.22%1.24%6.33%-0.85%3.39%3.60%
201130.50%1.16%0.03%$65,403$33,820$27,958-0.13%0.02%1.98%5.57%-0.93%0.45%
201145.97%4.02%2.95%$69,307$35,180$28,7820.71%2.04%6.71%3.47%8.21%2.99%
20115-1.37%-0.52%-1.15%$68,354$34,996$28,4520.52%3.29%0.07%-2.82%-3.03%-1.16%
20116-1.86%-1.57%-1.67%$67,080$34,448$27,976-0.04%-2.00%-2.02%-1.51%-2.06%-1.79%
201170.72%1.01%-2.05%$67,566$34,795$27,4040.52%4.18%8.17%-0.82%-3.71%-2.28%
201184.68%-0.68%-5.45%$70,730$34,560$25,9110.52%8.68%11.36%-8.54%-10.08%-5.99%
20119-0.24%-6.03%-7.04%$70,558$32,478$24,086-0.22%10.16%-10.67%-16.19%-11.49%-7.75%
2011101.04%6.67%10.91%$71,291$34,643$26,7150.15%-3.34%6.30%13.51%11.88%11.51%
2011111.06%-0.64%-0.23%$72,045$34,422$26,653-0.04%1.82%1.39%-3.41%-3.31%-0.29%
201112-2.99%-2.27%1.02%$69,891$33,639$26,9240.21%3.13%-12.31%-3.32%-2.16%0.80%
201216.36%5.96%4.46%$74,334$35,643$28,1260.23%0.08%13.91%11.12%5.32%5.08%
201221.21%2.44%4.31%$75,235$36,515$29,337-0.14%-2.11%1.49%5.56%5.61%4.26%
20123-2.26%-1.60%3.28%$73,536$35,930$30,300-0.13%-3.77%-6.07%-2.86%0.16%3.07%
20124-1.03%-0.12%-0.64%$72,781$35,885$30,1060.32%4.37%-0.68%-1.75%-2.35%-0.65%
201250.54%-4.51%-6.02%$73,174$34,267$28,2940.06%7.79%-5.65%-11.08%-11.95%-6.24%
201260.78%2.92%4.11%$73,744$35,267$29,457-0.13%-1.44%2.60%4.83%7.72%3.91%
201271.94%1.24%1.37%$75,176$35,704$29,8610.29%3.32%1.47%0.64%0.70%1.03%
201280.51%1.35%2.24%$75,559$36,185$30,5290.11%-1.06%1.63%0.43%4.47%2.48%
201291.25%2.80%2.58%$76,502$37,199$31,3160.03%-2.10%7.73%5.32%3.26%2.58%
201210-1.12%-0.73%-1.86%$75,644$36,928$30,734-0.16%-0.43%-3.21%-0.42%1.60%-1.76%
2012111.52%1.07%0.56%$76,794$37,323$30,9060.12%1.35%0.41%1.33%2.47%0.74%
2012123.51%0.78%0.90%$79,489$37,613$31,1840.09%-1.99%-3.97%5.84%3.49%1.19%
201313.71%1.37%5.18%$82,442$38,130$32,799-0.06%-3.27%0.44%0.61%5.04%5.50%
20132-1.22%-1.14%1.34%$81,440$37,695$33,2380.12%1.26%-4.58%-1.74%-3.19%1.28%
201330.89%0.56%3.74%$82,165$37,905$34,4800.03%0.03%0.61%-1.54%0.33%3.88%
201342.45%0.54%1.91%$84,175$38,110$35,1390.12%3.87%-8.09%1.32%4.32%1.70%
20135-1.30%-2.18%2.33%$83,079$37,281$35,956-0.34%-6.23%-5.07%-3.73%0.00%2.32%
20136-3.90%-4.95%-1.35%$79,842$35,434$35,471-0.26%-3.26%-14.52%-6.14%-4.28%-1.27%
201374.34%3.73%5.07%$83,310$36,754$37,2700.12%-1.93%10.28%0.97%7.42%5.49%
20138-1.42%-0.44%-2.91%$82,123$36,593$36,185-0.16%-1.28%6.10%-3.18%-1.30%-2.82%
201393.65%2.35%3.12%$85,121$37,453$37,3140.40%0.88%-4.89%7.15%6.88%3.66%
2013104.33%2.37%4.59%$88,804$38,342$39,0260.13%1.32%-0.19%4.65%4.11%4.22%
2013110.66%-0.96%3.03%$89,391$37,975$40,2080.13%-2.49%-5.36%-2.02%1.12%2.88%
2013121.42%-0.38%2.51%$90,664$37,829$41,218-0.33%-2.37%-3.87%-0.96%2.60%2.63%
20141-4.81%-0.66%-3.47%$86,307$37,578$39,7880.32%6.26%3.86%-7.27%-4.04%-3.11%
201423.99%3.67%4.56%$89,747$38,957$41,6030.03%0.60%6.04%3.42%7.19%4.73%
201430.16%0.25%0.82%$89,886$39,054$41,946-0.21%0.63%-2.62%3.86%-0.67%0.51%
201441.48%0.82%0.72%$91,217$39,374$42,2490.23%1.82%-0.25%0.51%2.56%0.06%
201452.22%1.10%2.33%$93,241$39,806$43,2360.13%2.73%-2.95%3.72%0.77%2.17%
201460.79%1.76%2.05%$93,974$40,506$44,1230.04%-0.16%5.16%3.00%-0.02%2.54%
20147-1.54%-1.07%-1.39%$92,528$40,072$43,511-0.14%0.59%-2.26%1.46%-4.10%-1.98%
201483.99%2.13%3.98%$96,223$40,925$45,2430.14%4.23%0.04%3.57%0.62%4.18%
20149-3.76%-3.47%-1.41%$92,604$39,506$44,604-0.14%-1.99%-5.39%-7.16%-3.99%-2.14%
2014102.55%0.26%2.42%$94,969$39,607$45,6850.33%2.61%-4.30%2.31%-2.16%2.74%
2014111.42%1.37%2.68%$96,322$40,151$46,9100.23%2.86%1.59%-1.00%2.13%2.41%
2014120.86%-0.82%-0.26%$97,148$39,821$46,786-0.24%2.82%1.97%-4.97%-4.50%-0.01%
201512.27%2.06%-3.02%$99,352$40,641$45,3740.61%8.97%4.50%0.67%0.39%-2.77%
20152-1.19%0.94%5.74%$98,172$41,022$47,979-0.42%-5.66%-3.67%3.53%6.08%5.76%
20153-0.66%-1.06%-1.59%$97,521$40,590$47,2140.33%1.13%-2.22%-2.08%-2.45%-1.04%
201541.71%1.47%0.95%$99,192$41,188$47,6620.05%-3.07%-0.57%7.79%4.22%0.42%
20155-1.38%-0.50%1.27%$97,821$40,983$48,2690.06%-2.16%0.94%-3.38%0.16%1.39%
20156-2.61%-2.14%-1.93%$95,270$40,108$47,336-0.04%-3.73%-1.71%-2.39%-3.25%-1.71%
20157-1.67%-0.75%2.08%$93,676$39,807$48,3200.15%4.21%-6.20%-6.81%2.52%1.63%
20158-4.40%-3.32%-6.04%$89,559$38,488$45,401-0.13%-0.71%3.33%-9.32%-7.03%-6.03%
20159-0.20%-1.63%-2.49%$89,383$37,861$44,2710.43%1.91%-1.85%-3.25%-4.08%-2.93%
2015102.41%3.57%8.42%$91,540$39,213$47,999-0.13%-0.48%2.54%5.57%6.07%7.84%
201511-0.19%-2.03%0.29%$91,363$38,418$48,137-0.31%-0.81%-7.04%-3.25%-1.29%0.54%
201512-0.84%-1.26%-1.59%$90,593$37,933$47,370-0.16%-0.34%-0.18%-2.45%-2.42%-2.03%
201610.13%-1.11%-4.98%$90,708$37,512$45,0130.82%5.24%4.89%-6.05%-5.88%-5.67%
201624.69%1.73%-0.15%$94,967$38,160$44,9470.15%2.86%11.07%-0.87%-2.81%-0.04%
201630.16%4.54%6.78%$95,119$39,890$47,9930.26%0.05%0.17%13.04%6.68%7.01%
201641.31%1.25%0.37%$96,366$40,390$48,172-0.03%-0.63%3.93%0.78%2.84%0.63%
20165-1.08%-1.22%1.78%$95,324$39,899$49,031-0.10%0.69%-5.72%-3.40%-0.56%1.79%
201665.25%2.86%0.25%$100,333$41,038$49,1540.75%6.57%8.96%5.04%-4.42%0.23%
201672.52%2.66%3.68%$102,863$42,132$50,961-0.10%2.01%1.61%4.67%3.84%3.95%
20168-0.59%-0.18%0.13%$102,258$42,057$51,027-0.29%-1.00%-2.44%1.67%0.73%0.26%
201690.03%0.32%0.01%$102,293$42,192$51,0310.23%-1.32%1.01%1.27%0.57%0.15%
201610-1.80%-2.19%-1.83%$100,452$41,267$50,095-0.12%-4.23%-3.82%0.63%-3.40%-2.21%
201611-2.44%-3.01%3.70%$98,005$40,026$51,948-0.58%-7.86%-7.38%-4.36%-2.30%4.44%
2016120.59%0.57%1.96%$98,579$40,254$52,968-0.00%-0.35%-2.73%-0.16%4.75%1.92%
201713.25%2.75%1.88%$101,786$41,361$53,9650.26%0.65%5.84%4.94%2.91%1.91%
201722.54%2.13%3.96%$104,374$42,244$56,1040.07%1.57%3.53%3.28%0.64%3.71%
201732.17%0.85%0.10%$106,641$42,602$56,1600.02%-0.59%-0.86%2.25%4.20%0.07%
201742.19%1.68%1.02%$108,975$43,317$56,7320.19%1.58%1.74%1.39%4.12%1.05%
201752.34%1.47%1.39%$111,524$43,954$57,5230.09%1.73%-0.02%1.22%4.79%1.01%
201760.31%-0.07%0.61%$111,869$43,923$57,874-0.09%0.63%-1.89%0.78%-0.77%0.92%
201773.41%1.99%2.04%$115,683$44,798$59,0560.28%-0.59%2.04%5.35%3.01%1.87%
201781.11%1.71%0.29%$116,967$45,565$59,2300.19%3.27%3.49%3.05%0.13%0.15%
201791.61%0.03%2.06%$118,850$45,578$60,449-0.20%-2.27%-2.18%-0.78%3.16%2.45%
2017101.67%0.65%2.32%$120,835$45,875$61,850-0.08%-0.02%-1.01%2.44%0.42%2.16%
2017111.13%0.76%3.06%$122,198$46,222$63,742-0.27%0.63%0.79%0.21%0.13%3.04%
2017121.98%1.41%1.10%$124,614$46,876$64,445-0.07%1.78%0.84%3.49%1.45%0.99%
201816.40%3.26%5.71%$132,591$48,403$68,126-0.44%-3.40%4.19%8.39%5.51%5.31%
20182-4.85%-3.26%-3.69%$126,158$46,826$65,609-0.08%-2.89%-2.02%-4.73%-6.11%-3.72%
20183-1.19%-0.01%-2.56%$124,656$46,820$63,9330.29%2.75%0.46%-1.22%-0.36%-1.99%
201840.19%-0.43%0.37%$124,889$46,619$64,171-0.30%-2.04%-0.80%-2.03%2.21%0.38%
20185-0.91%-0.20%2.39%$123,752$46,528$65,7080.36%1.79%-0.60%-2.86%-2.66%2.79%
20186-1.61%-1.38%0.61%$121,757$45,885$66,1060.10%0.66%-4.21%-4.50%-1.01%0.68%
201872.17%1.01%3.71%$124,403$46,348$68,558-0.10%-1.28%-2.36%3.18%3.28%3.34%
201880.37%-0.46%3.25%$124,867$46,135$70,7830.37%1.18%-1.52%-3.55%-2.70%3.44%
201890.02%-0.88%0.55%$124,886$45,730$71,176-0.20%-2.74%-1.26%-1.31%0.09%0.16%
201810-5.07%-3.88%-6.85%$118,555$43,956$66,3010.10%-2.82%2.33%-7.58%-7.90%-7.40%
2018110.89%1.35%2.03%$119,606$44,548$67,6450.38%1.78%0.21%4.45%-0.83%2.06%
201812-1.12%-0.92%-9.04%$118,264$44,139$61,5290.88%5.50%5.05%-2.97%-4.67%-9.29%
201911.42%4.65%8.00%$119,940$46,193$66,4530.30%0.49%3.46%8.52%6.57%8.59%
20192-0.54%0.93%3.20%$119,289$46,622$68,580-0.01%-1.31%-0.31%0.65%3.05%3.50%
201931.48%1.42%1.94%$121,059$47,285$69,9080.78%5.47%-1.80%1.90%0.74%1.44%
201941.39%1.20%4.04%$122,746$47,851$72,7330.15%-1.88%-1.01%2.08%3.85%3.98%
20195-2.08%-1.65%-6.36%$120,191$47,060$68,1040.88%6.65%1.03%-6.45%-5.58%-6.45%
201963.41%4.84%7.03%$124,294$49,335$72,8940.48%1.01%8.76%5.42%6.38%6.97%
201970.99%-0.18%1.43%$125,526$49,246$73,933-0.09%0.22%1.32%-1.19%-2.78%1.44%
201985.24%1.87%-1.59%$132,102$50,165$72,7570.92%10.68%7.06%-3.76%-1.67%-2.03%
20199-1.25%-0.01%1.86%$130,457$50,160$74,109-0.22%-2.62%-2.82%1.33%2.55%1.70%
2019100.91%1.75%2.15%$131,639$51,039$75,7060.25%-1.10%1.73%3.87%3.68%2.10%
2019110.01%0.27%3.62%$131,646$51,175$78,447-0.05%-0.39%-3.36%0.15%1.47%3.77%
2019123.60%2.49%3.01%$136,390$52,448$80,8050.14%-3.00%3.74%6.96%4.22%2.85%
20201-2.63%0.76%-0.05%$132,802$52,848$80,7640.60%7.29%4.58%-5.05%-2.77%-0.08%
202020.01%-1.76%-8.24%$132,811$51,919$74,1081.04%6.58%1.62%-3.71%-7.90%-8.18%
202032.21%-6.95%-12.37%$135,745$48,312$64,9391.01%5.67%-0.06%-17.52%-17.01%-13.78%
202042.65%6.28%12.81%$139,347$51,348$73,2610.32%1.81%5.83%9.29%7.20%13.25%
202050.08%2.27%4.76%$139,452$52,512$76,7450.38%-1.67%1.52%2.33%5.67%5.38%
Portfolio return and risk metrics
MetricMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.95%0.60%0.80%
Arithmetic Mean (annualized)11.98%7.51%9.97%
Geometric Mean (monthly)0.90%0.57%0.70%
Geometric Mean (annualized)11.40%7.03%8.70%
Volatility (monthly)2.99%2.72%4.39%
Volatility (annualized)10.35%9.43%15.20%
Downside Deviation (monthly)1.60%1.78%2.97%
Max. Drawdown-13.04%-28.61%-50.97%
US Market Correlation0.450.810.99
Beta(*)0.300.491.00
Alpha (annualized)8.50%2.56%0.00%
R219.53%63.04%100.00%
Sharpe Ratio0.890.540.48
Sortino Ratio1.560.790.69
Treynor Ratio (%)30.5610.337.37
Calmar Ratio0.720.670.51
Active Return2.69%-1.68%N/A
Tracking Error14.11%9.61%N/A
Information Ratio0.19-0.17N/A
Skewness0.09-0.80-0.64
Excess Kurtosis0.523.161.16
Historical Value-at-Risk (5%)-3.90%-4.13%-7.77%
Analytical Value-at-Risk (5%)-3.97%-3.87%-6.42%
Conditional Value-at-Risk (5%)-5.42%-5.99%-10.09%
Upside Capture Ratio (%)56.6153.17100.00
Downside Capture Ratio (%)25.4445.26100.00
Safe Withdrawal Rate11.11%7.15%8.46%
Perpetual Withdrawal Rate8.46%4.66%6.16%
Positive Periods191 out of 293 (65.19%)185 out of 293 (63.14%)192 out of 293 (65.53%)
Gain/Loss Ratio1.211.040.83
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-8.17%-5.20%-5.61%
Russian Debt DefaultJul 1998Oct 1998-8.33%-9.05%-15.38%
Dotcom CrashMar 2000Oct 2002-9.74%-13.76%-44.82%
Subprime CrisisNov 2007Mar 2009-13.04%-28.61%-50.97%

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsMar 20095 months1 year 1 month-13.04%
2Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-10.81%
3Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-10.03%
4Apr 2000Apr 20011 year 1 monthMar 200211 months2 years-9.74%
5Jul 1998Oct 19984 monthsApr 19996 months10 months-8.33%
6Aug 1997Aug 19971 monthJan 19985 months6 months-8.17%
7Mar 2005May 20053 monthsSep 20054 months7 months-6.44%
8Dec 2009Jan 20102 monthsMar 20102 months4 months-6.43%
9Apr 2010Jul 20104 monthsSep 20102 months6 months-6.33%
10May 2006Jun 20062 monthsNov 20065 months7 months-5.90%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-28.61%
2Apr 2000Sep 20011 year 6 monthsAug 20031 year 11 months3 years 5 months-13.76%
3May 1998Aug 19984 monthsDec 19984 months8 months-11.58%
4Feb 2018Oct 20189 monthsJun 20198 months1 year 5 months-9.19%
5May 2015Jan 20169 monthsJul 20166 months1 year 3 months-8.93%
6Feb 2020Mar 20202 months-8.58%
7May 2011Sep 20115 monthsJan 20124 months9 months-7.68%
8Feb 2013Jun 20135 monthsOct 20134 months9 months-7.07%
9Mar 2012May 20123 monthsSep 20124 months7 months-6.15%
10Aug 1997Oct 19973 monthsFeb 19984 months7 months-5.20%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2020Mar 20203 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year11.93%28.49%-6.75%7.69%24.65%-20.30%10.71%33.19%-37.02%
3 years11.67%20.85%2.55%7.10%16.19%-2.48%8.54%28.16%-14.60%
5 years11.37%21.04%5.46%6.87%16.81%2.85%7.08%18.31%-2.38%
7 years11.87%17.38%7.24%7.16%11.55%3.96%6.68%14.67%-1.64%
10 years12.27%14.98%8.48%7.62%10.88%4.87%6.36%13.40%-1.46%
15 years12.25%13.30%10.88%7.60%8.71%6.70%6.29%9.79%4.13%
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 1996Jan 1996133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 0.57%
VTSMX: 2.66%
VUSTX: -0.05%
1.06%3.18%3.39%
2Feb 1996Feb 1996133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: -1.60%
VTSMX: 1.62%
VUSTX: -4.93%
-1.64%-0.85%0.92%
3Mar 1996Jul 1996533.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -1.29%
VEURX: 3.35%
VTSMX: -0.22%
0.63%-0.50%0.79%
4Aug 1996Aug 1996133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEURX: 2.97%
VFISX: 0.29%
VTSMX: 3.09%
2.12%1.42%2.10%
5Sep 1996Nov 1996333.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 4.30%
VEURX: 9.32%
VTSMX: 14.17%
9.22%6.13%16.72%
6Dec 1996Dec 1996133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 1.90%
VTSMX: -1.27%
VUSTX: -2.38%
-0.58%-0.31%-1.96%
7Jan 1997Aug 1997833.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -3.42%
VEURX: 13.48%
VTSMX: 22.00%
10.52%4.66%22.80%
8Sep 1997Aug 19981233.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 24.14%
VTSMX: 2.10%
VUSTX: 20.29%
15.95%-3.23%7.99%
9Sep 1998Sep 1998133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: -4.04%
VFISX: 1.79%
VUSTX: 3.29%
0.35%4.10%6.41%
10Oct 1998Oct 1998133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 0.25%
VUSTX: -1.69%
^GOLD: -0.53%
-0.66%4.80%8.16%
11Nov 1998Nov 1998133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 5.39%
VFISX: -0.15%
VUSTX: 0.88%
2.04%3.24%6.07%
12Dec 1998Feb 1999333.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 0.67%
VTSMX: 6.22%
VUSTX: -3.97%
0.94%-0.57%6.81%
13Mar 1999Mar 1999133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEURX: 1.31%
VFISX: 0.69%
VTSMX: 3.93%
1.98%2.44%4.00%
14Apr 1999May 1999233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 10.60%
VEURX: -1.94%
VTSMX: 2.59%
3.76%1.01%1.37%
15Jun 1999Aug 1999333.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 3.20%
VFISX: 0.43%
VTSMX: 0.86%
1.55%0.28%1.74%
16Sep 1999Sep 1999133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -0.50%
VEURX: -0.83%
VTSMX: -2.44%
-1.26%2.55%-2.74%
17Oct 1999Nov 1999233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: 12.25%
VTSMX: 9.92%
^GOLD: -2.56%
6.46%4.32%8.48%
18Dec 1999May 2000633.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -2.25%
VEURX: 4.95%
VTSMX: 2.30%
1.73%1.06%2.96%
19Jun 2000Jun 2000133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 2.26%
VTSMX: 4.42%
VUSTX: 2.30%
2.99%3.73%2.49%
20Jul 2000Jul 2000133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEURX: -1.68%
VUSTX: 1.49%
^GOLD: -3.96%
-1.38%-1.78%-1.49%
21Aug 2000Aug 2000133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: -1.09%
VTSMX: 7.28%
VUSTX: 2.08%
2.76%1.79%6.19%
22Sep 2000Nov 2000333.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VFISX: 2.59%
VTSMX: -15.87%
VUSTX: 3.72%
-3.42%-7.52%-13.13%
23Dec 2000Jan 2001233.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 2.65%
VUSTX: 2.74%
^GOLD: -1.71%
1.23%5.73%4.07%
24Feb 2001Feb 2001133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: -8.77%
VFISX: 0.80%
VUSTX: 1.80%
-2.06%-3.91%-9.14%
25Mar 2001Dec 20011033.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 5.62%
VUSTX: 2.17%
^GOLD: 3.67%
4.03%-1.22%-6.49%
26Jan 2002Jan 2002133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: 2.87%
VFISX: 0.44%
VUSTX: 1.20%
1.50%0.05%-1.47%
27Feb 2002Mar 2002233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Gold Price Index (^GOLD)
VEIEX: 7.32%
VFISX: -0.16%
^GOLD: 6.77%
4.63%3.17%1.73%
28Apr 2002Apr 2002133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: 0.32%
VTSMX: -4.90%
^GOLD: 2.26%
-0.77%0.37%-6.07%
29May 2002Jun 2002233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Gold Price Index (^GOLD)
VEIEX: -8.63%
VFISX: 1.52%
^GOLD: 3.34%
-1.29%-2.22%-7.84%
30Jul 2002May 20031133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 6.53%
VUSTX: 20.86%
^GOLD: 13.47%
13.78%6.37%-1.01%
31Jun 2003Jun 2003133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEURX: 1.01%
VUSTX: -1.48%
^GOLD: -4.26%
-1.58%0.43%1.26%
32Jul 2003Jul 2003133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: 7.03%
VTSMX: 2.36%
VUSTX: -8.57%
0.27%0.74%1.74%
33Aug 2003Nov 2003433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 18.22%
VEURX: 13.24%
VTSMX: 8.89%
13.45%9.60%7.45%
34Dec 2003Dec 2003133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 7.78%
VEURX: 8.20%
^GOLD: 4.49%
6.82%4.46%5.22%
35Jan 2004Aug 2004833.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 0.59%
VEURX: 0.32%
VTSMX: 0.26%
0.49%0.93%0.33%
36Sep 2004Sep 2004133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: 5.62%
VEURX: 3.99%
VUSTX: 0.94%
3.51%2.40%1.07%
37Oct 2004Oct 2004133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 2.30%
VEURX: 3.57%
VTSMX: 1.68%
2.52%1.95%1.51%
38Nov 2004Dec 2004233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 16.03%
VEURX: 11.86%
^GOLD: 2.36%
10.04%6.36%7.58%
39Jan 2005Apr 2005433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -1.50%
VEURX: -1.62%
VTSMX: -4.66%
-2.54%-0.51%-4.04%
40May 2005May 2005133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 3.39%
VEURX: -0.08%
^GOLD: -4.88%
-0.52%0.87%3.17%
41Jun 2005Jul 2005233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: 10.37%
VEURX: 4.81%
VUSTX: -0.98%
4.71%3.76%3.84%
42Aug 2005Sep 2005233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 9.70%
VEURX: 4.18%
VTSMX: -0.10%
4.58%4.10%-0.13%
43Oct 2005Nov 2005233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 0.88%
VEURX: -1.97%
^GOLD: 4.73%
1.25%0.83%2.02%
44Dec 2005Dec 2005133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: 6.16%
VTSMX: 0.14%
^GOLD: 3.50%
3.27%2.73%0.02%
45Jan 2006Oct 20061033.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 15.63%
VEURX: 25.16%
^GOLD: 17.69%
19.78%12.76%11.94%
46Nov 2006Feb 2007433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 9.83%
VEURX: 6.86%
VTSMX: 3.64%
6.78%5.63%2.78%
47Mar 2007Apr 2007233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 8.52%
VEURX: 9.80%
^GOLD: 1.93%
6.72%4.28%5.58%
48May 2007Sep 2007533.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 26.69%
VEURX: 4.44%
VTSMX: 3.50%
11.22%8.05%3.81%
49Oct 2007Dec 2007333.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 2.94%
VEURX: -0.99%
^GOLD: 12.21%
4.74%3.30%-3.36%
50Jan 2008Jan 2008133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEIEX: -11.08%
VUSTX: 2.64%
^GOLD: 10.73%
0.77%-1.82%-6.02%
51Feb 2008Feb 2008133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 1.09%
VUSTX: 0.35%
^GOLD: 5.23%
2.22%1.32%-3.25%
52Mar 2008Mar 2008133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEIEX: -3.80%
VUSTX: 1.02%
^GOLD: -3.91%
-2.23%-1.01%-0.44%
53Apr 2008Apr 2008133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: -0.96%
VUSTX: -1.84%
^GOLD: -6.70%
-3.17%1.34%4.85%
54May 2008May 2008133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEIEX: 1.84%
VUSTX: -2.13%
^GOLD: 1.69%
0.47%0.69%1.29%
55Jun 2008Jun 2008133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Gold Price Index (^GOLD)
VEIEX: -10.39%
VFISX: 0.33%
^GOLD: 5.02%
-1.68%-3.44%-8.44%
56Jul 2008May 20091133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 5.17%
VUSTX: 6.18%
^GOLD: 4.86%
6.58%-10.85%-26.33%
57Jun 2009Jun 2009133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: -2.25%
VEURX: -2.14%
^GOLD: -4.20%
-2.87%-1.29%0.22%
58Jul 2009Jul 2009133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Gold Price Index (^GOLD)
VEIEX: 11.55%
VFISX: 0.22%
^GOLD: 0.48%
4.08%5.27%7.58%
59Aug 2009Oct 2009333.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 7.13%
VEURX: 8.46%
VTSMX: 5.23%
6.99%5.81%5.44%
60Nov 2009Dec 2009233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: 9.71%
VEURX: 4.48%
^GOLD: 4.57%
6.41%3.93%8.04%
61Jan 2010Apr 2010433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 2.74%
VEURX: -4.24%
VTSMX: 8.30%
2.19%3.44%7.02%
62May 2010May 2010133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: -9.32%
VTSMX: -8.00%
^GOLD: 2.40%
-4.98%-3.74%-8.01%
63Jun 2010Jun 2010133.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: -5.66%
VUSTX: 4.67%
^GOLD: 3.02%
0.68%0.24%-5.24%
64Jul 2010Jul 2010133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 0.38%
VUSTX: -0.17%
^GOLD: -6.03%
-1.94%3.89%7.00%
65Aug 2010Oct 2010333.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEIEX: 11.92%
VUSTX: 1.67%
^GOLD: 15.21%
9.73%8.42%7.92%
66Nov 2010Nov 2010133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: -2.71%
VEURX: -7.99%
^GOLD: 2.73%
-2.66%-1.55%0.00%
67Dec 2010Jan 2011233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: 4.33%
VTSMX: 9.14%
^GOLD: -4.08%
3.07%2.61%9.19%
68Feb 2011Feb 2011133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -0.85%
VEURX: 3.39%
VTSMX: 3.60%
2.05%2.25%3.42%
69Mar 2011May 2011333.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEURX: 3.96%
VTSMX: 2.25%
^GOLD: 8.89%
5.04%4.68%1.79%
70Jun 2011Jun 2011133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Gold Price Index (^GOLD)
VEIEX: -1.51%
VEURX: -2.06%
^GOLD: -2.02%
-1.86%-1.57%-1.67%
71Jul 2011Jul 2011133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEURX: -3.71%
VTSMX: -2.28%
^GOLD: 8.17%
0.72%1.01%-2.05%
72Aug 2011Aug 2011133.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: -5.99%
VUSTX: 8.68%
^GOLD: 11.36%
4.68%-0.68%-5.45%
73Sep 2011Dec 2011433.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 0.10%
VUSTX: 11.82%
^GOLD: -15.58%
-1.19%-2.67%3.91%
74Jan 2012Mar 2012333.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: 12.91%
VUSTX: -5.73%
^GOLD: 8.59%
5.22%6.81%12.54%
75Apr 2012Apr 2012133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: -1.75%
VTSMX: -0.65%
^GOLD: -0.68%
-1.03%-0.12%-0.64%
76May 2012Jun 2012233.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VFISX: -0.06%
VTSMX: -2.57%
VUSTX: 6.23%
1.32%-1.72%-2.16%
77Jul 2012Jul 2012133.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: 1.03%
VUSTX: 3.32%
^GOLD: 1.47%
1.94%1.24%1.37%
78Aug 2012Aug 2012133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VFISX: 0.11%
VTSMX: 2.48%
VUSTX: -1.06%
0.51%1.35%2.24%
79Sep 2012Sep 2012133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 3.26%
VTSMX: 2.58%
VUSTX: -2.10%
1.25%2.80%2.58%
80Oct 2012Oct 2012133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEURX: 1.60%
VTSMX: -1.76%
^GOLD: -3.21%
-1.12%-0.73%-1.86%
81Nov 2012Nov 2012133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 2.47%
VTSMX: 0.74%
VUSTX: 1.35%
1.52%1.07%0.56%
82Dec 2012Apr 2013533.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 4.39%
VEURX: 10.15%
VTSMX: 14.23%
9.61%2.11%13.70%
83May 2013May 2013133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 0.00%
VTSMX: 2.32%
VUSTX: -6.23%
-1.30%-2.18%2.33%
84Jun 2013Jun 2013133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -6.14%
VEURX: -4.28%
VTSMX: -1.27%
-3.90%-4.95%-1.35%
85Jul 2013Sep 2013333.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEURX: 13.33%
VFISX: 0.37%
VTSMX: 6.26%
6.61%5.70%5.20%
86Oct 2013Jan 2014433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -5.83%
VEURX: 3.65%
VTSMX: 6.63%
1.39%0.33%6.63%
87Feb 2014Feb 2014133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEURX: 7.19%
VFISX: 0.03%
VTSMX: 4.73%
3.99%3.67%4.56%
88Mar 2014Apr 2014233.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: 1.87%
VTSMX: 0.58%
VUSTX: 2.46%
1.64%1.07%1.55%
89May 2014May 2014133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 3.72%
VEURX: 0.77%
VTSMX: 2.17%
2.22%1.10%2.33%
90Jun 2014Jun 2014133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEURX: -0.02%
VTSMX: 2.54%
VUSTX: -0.16%
0.79%1.76%2.05%
91Jul 2014Jul 2014133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 1.46%
VEURX: -4.10%
VTSMX: -1.98%
-1.54%-1.07%-1.39%
92Aug 2014Nov 2014433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: -2.61%
VTSMX: 7.28%
VUSTX: 7.83%
4.10%0.20%7.81%
93Dec 2014Jan 2015233.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VFISX: 0.37%
VTSMX: -2.78%
VUSTX: 12.04%
3.15%1.22%-3.27%
94Feb 2015Feb 2015133.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: 5.76%
VUSTX: -5.66%
^GOLD: -3.67%
-1.19%0.94%5.74%
95Mar 2015Jun 2015433.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: -0.45%
VTSMX: -0.96%
VUSTX: -7.67%
-2.96%-2.23%-1.34%
96Jul 2015Jul 2015133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -6.81%
VFISX: 0.15%
VTSMX: 1.63%
-1.67%-0.75%2.08%
97Aug 2015Aug 2015133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEURX: -7.03%
VFISX: -0.13%
VTSMX: -6.03%
-4.40%-3.32%-6.04%
98Sep 2015Jan 2016533.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VFISX: 0.65%
VTSMX: -2.74%
VUSTX: 5.51%
1.28%-2.54%-0.86%
99Feb 2016Mar 2016233.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 0.41%
VUSTX: 2.91%
^GOLD: 11.26%
4.86%6.34%6.62%
100Apr 2016Jul 2016433.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: 6.72%
VUSTX: 8.77%
^GOLD: 8.49%
8.14%5.62%6.18%
101Aug 2016Aug 2016133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VEIEX: 1.67%
VUSTX: -1.00%
^GOLD: -2.44%
-0.59%-0.18%0.13%
102Sep 2016Sep 2016133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: 1.27%
VTSMX: 0.15%
VUSTX: -1.32%
0.03%0.32%0.01%
103Oct 2016Nov 2016233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEIEX: -3.76%
VTSMX: 2.12%
^GOLD: -10.92%
-4.19%-5.13%1.80%
104Dec 2016Dec 2016133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -0.16%
VFISX: -0.00%
VTSMX: 1.92%
0.59%0.57%1.96%
105Jan 2017Jun 20181833.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: 21.59%
VEURX: 23.28%
VTSMX: 24.96%
23.51%13.99%24.80%
106Jul 2018Oct 2018433.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEURX: -7.36%
VFISX: 0.16%
VTSMX: -0.86%
-2.63%-4.20%0.30%
107Nov 2018Dec 2018233.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VFISX: 1.27%
VTSMX: -7.42%
^GOLD: 5.27%
-0.25%0.42%-7.20%
108Jan 2019Mar 2019333.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 1.07%
VUSTX: 4.61%
^GOLD: 1.28%
2.36%7.13%13.62%
109Apr 2019May 2019233.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
VEIEX: -4.50%
VTSMX: -2.73%
VUSTX: 4.65%
-0.72%-0.48%-2.58%
110Jun 2019Jun 2019133.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 0.48%
VUSTX: 1.01%
^GOLD: 8.76%
3.41%4.84%7.03%
111Jul 2019Nov 2019533.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: 7.09%
VUSTX: 6.40%
^GOLD: 3.63%
5.92%3.73%7.62%
112Dec 2019Dec 2019133.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Gold Price Index (^GOLD)
VEURX: 4.22%
VTSMX: 2.85%
^GOLD: 3.74%
3.60%2.49%3.01%
113Jan 2020Jan 2020133.33% Vanguard Emerging Mkts Stock Idx Inv (VEIEX)
33.33% Vanguard European Stock Index Investor (VEURX)
33.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
VEIEX: -5.05%
VEURX: -2.77%
VTSMX: -0.08%
-2.63%0.76%-0.05%
114Feb 2020Feb 2020133.33% Vanguard Total Stock Mkt Idx Inv (VTSMX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VTSMX: -8.18%
VUSTX: 6.58%
^GOLD: 1.62%
0.01%-1.76%-8.24%
115Mar 2020May 2020333.33% Vanguard Short-Term Treasury Inv (VFISX)
33.33% Vanguard Long-Term Treasury Inv (VUSTX)
33.33% Gold Price Index (^GOLD)
VFISX: 1.71%
VUSTX: 5.79%
^GOLD: 7.38%
5.00%1.14%3.56%
116Jun 2020Jun 20201Please sign-in for forward signals----