This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:
You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.
Tactical asset allocation model results from Jan 1998 to Dec 2018 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 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.
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Momentum Model | $10,000 | $92,141 | 11.15% | 15.35% | 46.68% | -38.07% | -51.33% | 0.64 | 0.96 | 0.93 |
Equal Weight Portfolio | $10,000 | $50,561 | 8.02% | 14.62% | 36.33% | -35.78% | -49.91% | 0.47 | 0.68 | 0.97 |
Vanguard 500 Index Investor | $10,000 | $37,596 | 6.51% | 14.88% | 32.18% | -37.02% | -50.97% | 0.37 | 0.52 | 0.99 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Momentum Model | -13.55% | -6.36% | 8.78% | 7.66% | 14.19% | 11.15% | 11.49% | 11.55% |
Equal Weight Portfolio | -14.03% | -7.57% | 8.32% | 7.10% | 13.02% | 8.02% | 11.00% | 10.72% |
Vanguard 500 Index Investor | -13.55% | -4.52% | 9.11% | 8.34% | 12.97% | 6.51% | 10.96% | 10.95% |
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. |
Year | Inflation | Return | Balance | Vanguard 500 Index Investor (VFINX) | T. Rowe Price Mid-Cap Value (TRMCX) | ||||
---|---|---|---|---|---|---|---|---|---|
Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | ||||
1998 | 1.61% | 28.62% | 14.31% | 28.62% | $12,862 | $11,431 | $12,862 | 28.62% | 1.39% |
1999 | 2.68% | 21.07% | 12.20% | 21.07% | $15,571 | $12,826 | $15,571 | 21.07% | 3.52% |
2000 | 3.39% | 10.81% | 5.94% | -9.06% | $17,255 | $13,587 | $14,161 | -9.06% | 22.75% |
2001 | 1.55% | 14.36% | 0.51% | -12.02% | $19,733 | $13,657 | $12,459 | -12.02% | 14.36% |
2002 | 2.38% | -7.38% | -14.98% | -22.15% | $18,277 | $11,610 | $9,700 | -22.15% | -7.38% |
2003 | 1.88% | 34.00% | 33.72% | 28.50% | $24,492 | $15,525 | $12,464 | 28.50% | 39.00% |
2004 | 3.26% | 20.56% | 15.57% | 10.74% | $29,527 | $17,942 | $13,803 | 10.74% | 20.56% |
2005 | 3.42% | 7.73% | 6.26% | 4.77% | $31,811 | $19,065 | $14,462 | 4.77% | 7.73% |
2006 | 2.54% | 20.24% | 17.92% | 15.64% | $38,248 | $22,482 | $16,724 | 15.64% | 20.24% |
2007 | 4.08% | 3.16% | 3.00% | 5.39% | $39,458 | $23,158 | $17,625 | 5.39% | 0.60% |
2008 | 0.09% | -38.07% | -35.78% | -37.02% | $24,435 | $14,871 | $11,100 | -37.02% | -34.57% |
2009 | 2.72% | 46.68% | 36.33% | 26.49% | $35,841 | $20,274 | $14,040 | 26.49% | 46.68% |
2010 | 1.50% | 15.57% | 15.70% | 14.91% | $41,422 | $23,458 | $16,134 | 14.91% | 16.45% |
2011 | 2.96% | -0.86% | -1.47% | 1.97% | $41,065 | $23,113 | $16,451 | 1.97% | -4.82% |
2012 | 1.74% | 19.05% | 17.72% | 15.82% | $48,888 | $27,210 | $19,054 | 15.82% | 19.63% |
2013 | 1.50% | 30.32% | 31.87% | 32.18% | $63,710 | $35,882 | $25,185 | 32.18% | 31.54% |
2014 | 0.76% | 10.85% | 12.07% | 13.51% | $70,620 | $40,213 | $28,587 | 13.51% | 10.60% |
2015 | 0.73% | 1.37% | -1.07% | 1.25% | $71,586 | $39,782 | $28,944 | 1.25% | -3.41% |
2016 | 2.07% | 18.32% | 17.95% | 11.82% | $84,701 | $46,923 | $32,365 | 11.82% | 24.32% |
2017 | 2.11% | 16.18% | 16.58% | 21.67% | $98,402 | $54,704 | $39,377 | 21.67% | 11.64% |
2018 | 1.91% | -6.36% | -7.57% | -4.52% | $92,141 | $50,561 | $37,596 | -4.52% | -10.61% |
Year | Month | Return | Balance | Vanguard 500 Index Investor (VFINX) | T. Rowe Price Mid-Cap Value (TRMCX) | ||||
---|---|---|---|---|---|---|---|---|---|
Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | ||||
1998 | 1 | 1.11% | -0.07% | 1.11% | $10,111 | $9,993 | $10,111 | 1.11% | -1.24% |
1998 | 2 | 7.19% | 6.19% | 7.19% | $10,838 | $10,611 | $10,838 | 7.19% | 5.18% |
1998 | 3 | 5.10% | 5.08% | 5.10% | $11,391 | $11,151 | $11,391 | 5.10% | 5.06% |
1998 | 4 | 1.01% | 0.57% | 1.01% | $11,506 | $11,214 | $11,506 | 1.01% | 0.13% |
1998 | 5 | -1.74% | -2.26% | -1.74% | $11,306 | $10,960 | $11,306 | -1.74% | -2.78% |
1998 | 6 | 4.07% | 1.97% | 4.07% | $11,766 | $11,176 | $11,766 | 4.07% | -0.13% |
1998 | 7 | -1.05% | -3.65% | -1.05% | $11,642 | $10,768 | $11,642 | -1.05% | -6.25% |
1998 | 8 | -14.47% | -13.98% | -14.47% | $9,957 | $9,263 | $9,957 | -14.47% | -13.48% |
1998 | 9 | 6.41% | 5.05% | 6.41% | $10,595 | $9,731 | $10,595 | 6.41% | 3.69% |
1998 | 10 | 8.16% | 6.56% | 8.16% | $11,460 | $10,369 | $11,460 | 8.16% | 4.96% |
1998 | 11 | 6.07% | 5.29% | 6.07% | $12,156 | $10,917 | $12,156 | 6.07% | 4.50% |
1998 | 12 | 5.81% | 4.71% | 5.81% | $12,862 | $11,431 | $12,862 | 5.81% | 3.61% |
1999 | 1 | 4.20% | 0.13% | 4.20% | $13,402 | $11,445 | $13,402 | 4.20% | -3.95% |
1999 | 2 | -3.12% | -3.16% | -3.12% | $12,984 | $11,083 | $12,984 | -3.12% | -3.20% |
1999 | 3 | 4.00% | 3.02% | 4.00% | $13,502 | $11,418 | $13,502 | 4.00% | 2.05% |
1999 | 4 | 3.85% | 6.48% | 3.85% | $14,023 | $12,158 | $14,023 | 3.85% | 9.10% |
1999 | 5 | -2.39% | -1.51% | -2.39% | $13,688 | $11,974 | $13,688 | -2.39% | -0.64% |
1999 | 6 | 5.56% | 4.81% | 5.56% | $14,448 | $12,549 | $14,448 | 5.56% | 4.06% |
1999 | 7 | -3.13% | -2.39% | -3.13% | $13,996 | $12,250 | $13,996 | -3.13% | -1.64% |
1999 | 8 | -0.50% | -1.85% | -0.50% | $13,926 | $12,024 | $13,926 | -0.50% | -3.20% |
1999 | 9 | -2.74% | -1.30% | -2.74% | $13,545 | $11,868 | $13,545 | -2.74% | 0.14% |
1999 | 10 | 6.33% | 3.02% | 6.33% | $14,402 | $12,226 | $14,402 | 6.33% | -0.29% |
1999 | 11 | 2.02% | 0.54% | 2.02% | $14,693 | $12,293 | $14,693 | 2.02% | -0.94% |
1999 | 12 | 5.98% | 4.34% | 5.98% | $15,571 | $12,826 | $15,571 | 5.98% | 2.70% |
2000 | 1 | -5.03% | -4.80% | -5.03% | $14,788 | $12,210 | $14,788 | -5.03% | -4.56% |
2000 | 2 | -1.91% | -2.44% | -1.91% | $14,506 | $11,912 | $14,506 | -1.91% | -2.98% |
2000 | 3 | 9.75% | 10.89% | 9.75% | $15,921 | $13,210 | $15,921 | 9.75% | 12.04% |
2000 | 4 | -3.00% | -1.82% | -3.00% | $15,443 | $12,969 | $15,443 | -3.00% | -0.65% |
2000 | 5 | -2.04% | -0.62% | -2.04% | $15,128 | $12,888 | $15,128 | -2.04% | 0.80% |
2000 | 6 | -1.22% | 0.64% | 2.49% | $14,943 | $12,970 | $15,506 | 2.49% | -1.22% |
2000 | 7 | -1.50% | 0.27% | -1.50% | $14,719 | $13,006 | $15,274 | -1.50% | 2.04% |
2000 | 8 | 5.07% | 5.63% | 6.19% | $15,466 | $13,738 | $16,219 | 6.19% | 5.07% |
2000 | 9 | 0.48% | -2.41% | -5.29% | $15,539 | $13,407 | $15,361 | -5.29% | 0.48% |
2000 | 10 | 2.37% | 0.97% | -0.43% | $15,907 | $13,537 | $15,295 | -0.43% | 2.37% |
2000 | 11 | -0.59% | -4.24% | -7.89% | $15,813 | $12,963 | $14,089 | -7.89% | -0.59% |
2000 | 12 | 9.12% | 4.82% | 0.51% | $17,255 | $13,587 | $14,161 | 0.51% | 9.12% |
2001 | 1 | 2.05% | 2.80% | 3.55% | $17,608 | $13,967 | $14,663 | 3.55% | 2.05% |
2001 | 2 | -0.56% | -4.85% | -9.14% | $17,508 | $13,290 | $13,323 | -9.14% | -0.56% |
2001 | 3 | -3.53% | -4.94% | -6.36% | $16,891 | $12,633 | $12,477 | -6.36% | -3.53% |
2001 | 4 | 6.40% | 7.09% | 7.77% | $17,972 | $13,528 | $13,446 | 7.77% | 6.40% |
2001 | 5 | 3.38% | 2.01% | 0.65% | $18,579 | $13,800 | $13,533 | 0.65% | 3.38% |
2001 | 6 | -0.36% | -1.40% | -2.45% | $18,512 | $13,607 | $13,202 | -2.45% | -0.36% |
2001 | 7 | 0.72% | -0.14% | -1.00% | $18,645 | $13,588 | $13,070 | -1.00% | 0.72% |
2001 | 8 | -0.89% | -3.58% | -6.27% | $18,479 | $13,101 | $12,250 | -6.27% | -0.89% |
2001 | 9 | -8.96% | -8.52% | -8.09% | $16,824 | $11,985 | $11,259 | -8.09% | -8.96% |
2001 | 10 | 3.41% | 2.65% | 1.90% | $17,398 | $12,302 | $11,473 | 1.90% | 3.41% |
2001 | 11 | 7.61% | 7.63% | 7.65% | $18,722 | $13,241 | $12,351 | 7.65% | 7.61% |
2001 | 12 | 5.40% | 3.14% | 0.87% | $19,733 | $13,657 | $12,459 | 0.87% | 5.40% |
2002 | 1 | 1.77% | 0.15% | -1.47% | $20,082 | $13,677 | $12,275 | -1.47% | 1.77% |
2002 | 2 | 1.26% | -0.34% | -1.94% | $20,334 | $13,630 | $12,037 | -1.94% | 1.26% |
2002 | 3 | 6.86% | 5.30% | 3.74% | $21,730 | $14,353 | $12,488 | 3.74% | 6.86% |
2002 | 4 | -0.50% | -3.29% | -6.07% | $21,622 | $13,882 | $11,729 | -6.07% | -0.50% |
2002 | 5 | 0.89% | 0.07% | -0.75% | $21,814 | $13,891 | $11,641 | -0.75% | 0.89% |
2002 | 6 | -6.84% | -6.99% | -7.13% | $20,322 | $12,920 | $10,810 | -7.13% | -6.84% |
2002 | 7 | -9.65% | -8.68% | -7.72% | $18,361 | $11,798 | $9,976 | -7.72% | -9.65% |
2002 | 8 | 0.85% | 0.75% | 0.65% | $18,518 | $11,887 | $10,041 | 0.65% | 0.85% |
2002 | 9 | -9.23% | -10.05% | -10.87% | $16,809 | $10,692 | $8,949 | -10.87% | -9.23% |
2002 | 10 | 5.65% | 7.22% | 8.78% | $17,760 | $11,464 | $9,735 | 8.78% | 5.65% |
2002 | 11 | 6.23% | 6.05% | 5.88% | $18,867 | $12,158 | $10,307 | 5.88% | 6.23% |
2002 | 12 | -3.12% | -4.51% | -5.89% | $18,277 | $11,610 | $9,700 | -5.89% | -3.12% |
2003 | 1 | -1.67% | -2.15% | -2.62% | $17,973 | $11,361 | $9,445 | -2.62% | -1.67% |
2003 | 2 | -4.20% | -2.86% | -1.52% | $17,217 | $11,036 | $9,302 | -1.52% | -4.20% |
2003 | 3 | -0.07% | 0.44% | 0.96% | $17,205 | $11,085 | $9,391 | 0.96% | -0.07% |
2003 | 4 | 8.25% | 7.74% | 8.25% | $18,625 | $11,943 | $10,166 | 8.25% | 7.22% |
2003 | 5 | 5.26% | 7.75% | 5.26% | $19,606 | $12,868 | $10,701 | 5.26% | 10.24% |
2003 | 6 | 1.68% | 1.47% | 1.26% | $19,934 | $13,057 | $10,836 | 1.26% | 1.68% |
2003 | 7 | 2.95% | 2.35% | 1.74% | $20,522 | $13,364 | $11,025 | 1.74% | 2.95% |
2003 | 8 | 3.55% | 2.74% | 1.93% | $21,250 | $13,730 | $11,238 | 1.93% | 3.55% |
2003 | 9 | -1.66% | -1.36% | -1.07% | $20,898 | $13,542 | $11,117 | -1.07% | -1.66% |
2003 | 10 | 7.87% | 6.76% | 5.64% | $22,542 | $14,457 | $11,744 | 5.64% | 7.87% |
2003 | 11 | 2.29% | 1.58% | 0.86% | $23,059 | $14,686 | $11,846 | 0.86% | 2.29% |
2003 | 12 | 6.21% | 5.72% | 5.22% | $24,492 | $15,525 | $12,464 | 5.22% | 6.21% |
2004 | 1 | 2.36% | 2.09% | 1.82% | $25,070 | $15,850 | $12,691 | 1.82% | 2.36% |
2004 | 2 | 3.60% | 2.49% | 1.38% | $25,973 | $16,244 | $12,866 | 1.38% | 3.60% |
2004 | 3 | -1.34% | -1.43% | -1.51% | $25,624 | $16,012 | $12,671 | -1.51% | -1.34% |
2004 | 4 | -1.79% | -1.68% | -1.58% | $25,166 | $15,743 | $12,472 | -1.58% | -1.79% |
2004 | 5 | 1.82% | 1.59% | 1.36% | $25,624 | $15,993 | $12,641 | 1.36% | 1.82% |
2004 | 6 | 3.05% | 2.49% | 1.93% | $26,406 | $16,391 | $12,885 | 1.93% | 3.05% |
2004 | 7 | -3.24% | -3.27% | -3.31% | $25,551 | $15,855 | $12,458 | -3.31% | -3.24% |
2004 | 8 | 0.52% | 0.45% | 0.38% | $25,684 | $15,926 | $12,506 | 0.38% | 0.52% |
2004 | 9 | 3.14% | 2.10% | 1.07% | $26,491 | $16,261 | $12,639 | 1.07% | 3.14% |
2004 | 10 | 1.82% | 1.67% | 1.51% | $26,972 | $16,532 | $12,831 | 1.51% | 1.82% |
2004 | 11 | 5.80% | 4.92% | 4.05% | $28,538 | $17,346 | $13,350 | 4.05% | 5.80% |
2004 | 12 | 3.47% | 3.43% | 3.39% | $29,527 | $17,942 | $13,803 | 3.39% | 3.47% |
2005 | 1 | -3.52% | -2.99% | -2.45% | $28,487 | $17,405 | $13,464 | -2.45% | -3.52% |
2005 | 2 | 1.94% | 2.02% | 2.09% | $29,039 | $17,756 | $13,746 | 2.09% | 1.94% |
2005 | 3 | -0.31% | -1.03% | -1.76% | $28,949 | $17,573 | $13,504 | -1.76% | -0.31% |
2005 | 4 | -3.19% | -2.55% | -1.91% | $28,025 | $17,124 | $13,246 | -1.91% | -3.19% |
2005 | 5 | 3.90% | 3.53% | 3.17% | $29,116 | $17,729 | $13,666 | 3.17% | 3.90% |
2005 | 6 | 1.90% | 1.01% | 0.13% | $29,669 | $17,908 | $13,683 | 0.13% | 1.90% |
2005 | 7 | 4.46% | 4.08% | 3.71% | $30,992 | $18,639 | $14,190 | 3.71% | 4.46% |
2005 | 8 | -1.41% | -1.16% | -0.91% | $30,555 | $18,423 | $14,060 | -0.91% | -1.41% |
2005 | 9 | 0.08% | 0.44% | 0.79% | $30,581 | $18,504 | $14,172 | 0.79% | 0.08% |
2005 | 10 | -2.31% | -1.99% | -1.68% | $29,874 | $18,135 | $13,934 | -1.68% | -2.31% |
2005 | 11 | 4.73% | 4.25% | 3.76% | $31,287 | $18,905 | $14,459 | 3.76% | 4.73% |
2005 | 12 | 1.68% | 0.85% | 0.02% | $31,811 | $19,065 | $14,462 | 0.02% | 1.68% |
2006 | 1 | 3.89% | 3.27% | 2.65% | $33,049 | $19,688 | $14,845 | 2.65% | 3.89% |
2006 | 2 | 0.12% | 0.19% | 0.26% | $33,090 | $19,726 | $14,884 | 0.26% | 0.12% |
2006 | 3 | 1.89% | 1.56% | 1.23% | $33,716 | $20,034 | $15,067 | 1.23% | 1.89% |
2006 | 4 | 1.90% | 1.62% | 1.33% | $34,355 | $20,358 | $15,268 | 1.33% | 1.90% |
2006 | 5 | -2.57% | -2.74% | -2.90% | $33,471 | $19,801 | $14,825 | -2.90% | -2.57% |
2006 | 6 | -0.28% | -0.08% | 0.13% | $33,376 | $19,786 | $14,844 | 0.13% | -0.28% |
2006 | 7 | 0.00% | 0.30% | 0.61% | $33,376 | $19,846 | $14,934 | 0.61% | 0.00% |
2006 | 8 | 2.94% | 2.65% | 2.36% | $34,355 | $20,371 | $15,287 | 2.36% | 2.94% |
2006 | 9 | 2.30% | 2.43% | 2.56% | $35,145 | $20,866 | $15,679 | 2.56% | 2.30% |
2006 | 10 | 3.41% | 3.33% | 3.25% | $36,342 | $21,561 | $16,189 | 3.25% | 3.41% |
2006 | 11 | 3.33% | 2.61% | 1.89% | $37,553 | $22,124 | $16,495 | 1.89% | 3.33% |
2006 | 12 | 1.85% | 1.62% | 1.39% | $38,248 | $22,482 | $16,724 | 1.39% | 1.85% |
2007 | 1 | 1.77% | 1.63% | 1.49% | $38,925 | $22,849 | $16,974 | 1.49% | 1.77% |
2007 | 2 | 1.01% | -0.48% | -1.97% | $39,317 | $22,739 | $16,640 | -1.97% | 1.01% |
2007 | 3 | 0.04% | 0.57% | 1.11% | $39,332 | $22,870 | $16,825 | 1.11% | 0.04% |
2007 | 4 | 3.83% | 4.12% | 4.42% | $40,836 | $23,813 | $17,568 | 4.42% | 3.83% |
2007 | 5 | 3.98% | 3.73% | 3.48% | $42,461 | $24,700 | $18,179 | 3.48% | 3.98% |
2007 | 6 | -0.67% | -1.17% | -1.68% | $42,175 | $24,410 | $17,874 | -1.68% | -0.67% |
2007 | 7 | -6.28% | -4.68% | -3.08% | $39,527 | $23,267 | $17,323 | -3.08% | -6.28% |
2007 | 8 | -0.42% | 0.54% | 1.50% | $39,362 | $23,393 | $17,582 | 1.50% | -0.42% |
2007 | 9 | 3.72% | 2.93% | 3.72% | $40,827 | $24,079 | $18,237 | 3.72% | 2.14% |
2007 | 10 | 1.58% | 1.20% | 1.58% | $41,472 | $24,368 | $18,525 | 1.58% | 0.82% |
2007 | 11 | -4.19% | -4.04% | -4.19% | $39,736 | $23,383 | $17,749 | -4.19% | -3.90% |
2007 | 12 | -0.70% | -0.96% | -0.70% | $39,458 | $23,158 | $17,625 | -0.70% | -1.23% |
2008 | 1 | -6.02% | -4.54% | -6.02% | $37,084 | $22,105 | $16,565 | -6.02% | -3.07% |
2008 | 2 | -3.25% | -3.03% | -3.25% | $35,878 | $21,436 | $16,026 | -3.25% | -2.80% |
2008 | 3 | -0.44% | -0.60% | -0.44% | $35,720 | $21,308 | $15,956 | -0.44% | -0.76% |
2008 | 4 | 4.24% | 4.55% | 4.85% | $37,234 | $22,277 | $16,730 | 4.85% | 4.24% |
2008 | 5 | 1.29% | 1.88% | 1.29% | $37,715 | $22,695 | $16,946 | 1.29% | 2.47% |
2008 | 6 | -7.98% | -8.21% | -8.44% | $34,705 | $20,832 | $15,516 | -8.44% | -7.98% |
2008 | 7 | -0.10% | -0.46% | -0.83% | $34,672 | $20,736 | $15,387 | -0.83% | -0.10% |
2008 | 8 | 1.94% | 1.69% | 1.45% | $35,344 | $21,087 | $15,610 | 1.45% | 1.94% |
2008 | 9 | -8.33% | -8.62% | -8.91% | $32,402 | $19,270 | $14,220 | -8.91% | -8.33% |
2008 | 10 | -19.62% | -18.20% | -16.79% | $26,046 | $15,762 | $11,832 | -16.79% | -19.62% |
2008 | 11 | -7.17% | -7.69% | -7.17% | $24,177 | $14,550 | $10,983 | -7.17% | -8.20% |
2008 | 12 | 1.07% | 2.20% | 1.07% | $24,435 | $14,871 | $11,100 | 1.07% | 3.34% |
2009 | 1 | -7.29% | -7.85% | -8.41% | $22,654 | $13,704 | $10,166 | -8.41% | -7.29% |
2009 | 2 | -8.77% | -9.71% | -10.66% | $20,668 | $12,373 | $9,083 | -10.66% | -8.77% |
2009 | 3 | 9.36% | 9.06% | 8.76% | $22,603 | $13,494 | $9,879 | 8.76% | 9.36% |
2009 | 4 | 16.67% | 13.11% | 9.56% | $26,370 | $15,263 | $10,823 | 9.56% | 16.67% |
2009 | 5 | 4.81% | 5.21% | 5.62% | $27,637 | $16,059 | $11,431 | 5.62% | 4.81% |
2009 | 6 | 0.87% | 0.54% | 0.22% | $27,877 | $16,146 | $11,456 | 0.22% | 0.87% |
2009 | 7 | 9.15% | 8.37% | 7.58% | $30,428 | $17,497 | $12,324 | 7.58% | 9.15% |
2009 | 8 | 5.51% | 4.56% | 3.60% | $32,106 | $18,294 | $12,768 | 3.60% | 5.51% |
2009 | 9 | 6.24% | 4.98% | 3.72% | $34,110 | $19,205 | $13,242 | 3.72% | 6.24% |
2009 | 10 | -4.62% | -3.24% | -1.87% | $32,535 | $18,582 | $12,995 | -1.87% | -4.62% |
2009 | 11 | 5.16% | 5.57% | 5.98% | $34,213 | $19,617 | $13,772 | 5.98% | 5.16% |
2009 | 12 | 4.76% | 3.35% | 1.95% | $35,841 | $20,274 | $14,040 | 1.95% | 4.76% |
2010 | 1 | -3.33% | -3.47% | -3.60% | $34,647 | $19,571 | $13,534 | -3.60% | -3.33% |
2010 | 2 | 3.25% | 3.17% | 3.09% | $35,771 | $20,191 | $13,952 | 3.09% | 3.25% |
2010 | 3 | 6.33% | 6.17% | 6.01% | $38,037 | $21,438 | $14,791 | 6.01% | 6.33% |
2010 | 4 | 3.77% | 2.68% | 1.58% | $39,473 | $22,012 | $15,025 | 1.58% | 3.77% |
2010 | 5 | -6.92% | -7.46% | -8.01% | $36,740 | $20,369 | $13,822 | -8.01% | -6.92% |
2010 | 6 | -6.69% | -5.96% | -5.24% | $34,284 | $19,154 | $13,098 | -5.24% | -6.69% |
2010 | 7 | 6.26% | 6.63% | 7.00% | $36,429 | $20,424 | $14,014 | 7.00% | 6.26% |
2010 | 8 | -5.22% | -4.88% | -4.53% | $34,526 | $19,428 | $13,379 | -4.53% | -5.22% |
2010 | 9 | 9.57% | 9.24% | 8.92% | $37,830 | $21,223 | $14,573 | 8.92% | 9.57% |
2010 | 10 | 2.06% | 2.92% | 3.79% | $38,608 | $21,844 | $15,125 | 3.79% | 2.06% |
2010 | 11 | 0.00% | 0.38% | 0.00% | $38,608 | $21,927 | $15,125 | 0.00% | 0.76% |
2010 | 12 | 7.29% | 6.98% | 6.67% | $41,422 | $23,458 | $16,134 | 6.67% | 7.29% |
2011 | 1 | 2.36% | 1.98% | 2.36% | $42,399 | $23,922 | $16,514 | 2.36% | 1.60% |
2011 | 2 | 3.42% | 3.60% | 3.42% | $43,847 | $24,782 | $17,078 | 3.42% | 3.78% |
2011 | 3 | 0.32% | 0.17% | 0.03% | $43,988 | $24,825 | $17,083 | 0.03% | 0.32% |
2011 | 4 | 2.95% | 2.73% | 2.95% | $45,284 | $25,503 | $17,586 | 2.95% | 2.51% |
2011 | 5 | -1.15% | -0.90% | -1.15% | $44,766 | $25,273 | $17,385 | -1.15% | -0.66% |
2011 | 6 | -1.67% | -1.74% | -1.67% | $44,017 | $24,834 | $17,094 | -1.67% | -1.80% |
2011 | 7 | -2.05% | -2.02% | -2.05% | $43,116 | $24,332 | $16,744 | -2.05% | -1.99% |
2011 | 8 | -8.34% | -6.89% | -5.45% | $39,520 | $22,655 | $15,832 | -5.45% | -8.34% |
2011 | 9 | -7.04% | -7.56% | -7.04% | $36,737 | $20,942 | $14,717 | -7.04% | -8.08% |
2011 | 10 | 10.91% | 10.48% | 10.91% | $40,746 | $23,136 | $16,323 | 10.91% | 10.04% |
2011 | 11 | -0.23% | -0.78% | -0.23% | $40,651 | $22,957 | $16,285 | -0.23% | -1.32% |
2011 | 12 | 1.02% | 0.68% | 1.02% | $41,065 | $23,113 | $16,451 | 1.02% | 0.34% |
2012 | 1 | 4.46% | 4.78% | 4.46% | $42,898 | $24,218 | $17,186 | 4.46% | 5.10% |
2012 | 2 | 4.31% | 4.22% | 4.31% | $44,746 | $25,241 | $17,926 | 4.31% | 4.14% |
2012 | 3 | 3.28% | 2.56% | 3.28% | $46,214 | $25,887 | $18,514 | 3.28% | 1.84% |
2012 | 4 | -0.64% | -0.61% | -0.64% | $45,918 | $25,728 | $18,396 | -0.64% | -0.59% |
2012 | 5 | -6.02% | -6.41% | -6.02% | $43,155 | $24,080 | $17,288 | -6.02% | -6.79% |
2012 | 6 | 4.11% | 4.30% | 4.11% | $44,928 | $25,114 | $17,999 | 4.11% | 4.48% |
2012 | 7 | 1.37% | 1.68% | 1.37% | $45,544 | $25,536 | $18,245 | 1.37% | 1.99% |
2012 | 8 | 2.24% | 2.84% | 2.24% | $46,564 | $26,262 | $18,654 | 2.24% | 3.44% |
2012 | 9 | 2.58% | 2.62% | 2.58% | $47,763 | $26,951 | $19,135 | 2.58% | 2.67% |
2012 | 10 | -0.48% | -1.17% | -1.86% | $47,534 | $26,635 | $18,779 | -1.86% | -0.48% |
2012 | 11 | 0.80% | 0.68% | 0.56% | $47,916 | $26,817 | $18,884 | 0.56% | 0.80% |
2012 | 12 | 2.03% | 1.47% | 0.90% | $48,888 | $27,210 | $19,054 | 0.90% | 2.03% |
2013 | 1 | 5.82% | 5.50% | 5.18% | $51,735 | $28,706 | $20,041 | 5.18% | 5.82% |
2013 | 2 | 1.57% | 1.46% | 1.34% | $52,549 | $29,124 | $20,309 | 1.34% | 1.57% |
2013 | 3 | 4.26% | 4.00% | 3.74% | $54,786 | $30,289 | $21,068 | 3.74% | 4.26% |
2013 | 4 | 0.41% | 1.16% | 1.91% | $55,009 | $30,639 | $21,470 | 1.91% | 0.41% |
2013 | 5 | 2.11% | 2.22% | 2.33% | $56,169 | $31,319 | $21,970 | 2.33% | 2.11% |
2013 | 6 | -1.30% | -1.33% | -1.35% | $55,436 | $30,903 | $21,673 | -1.35% | -1.30% |
2013 | 7 | 5.39% | 5.23% | 5.07% | $58,426 | $32,520 | $22,773 | 5.07% | 5.39% |
2013 | 8 | -3.52% | -3.21% | -2.91% | $56,372 | $31,475 | $22,110 | -2.91% | -3.52% |
2013 | 9 | 4.51% | 3.82% | 3.12% | $58,914 | $32,676 | $22,800 | 3.12% | 4.51% |
2013 | 10 | 4.11% | 4.35% | 4.59% | $61,334 | $34,097 | $23,846 | 4.59% | 4.11% |
2013 | 11 | 1.33% | 2.18% | 3.03% | $62,147 | $34,839 | $24,568 | 3.03% | 1.33% |
2013 | 12 | 2.51% | 2.99% | 2.51% | $63,710 | $35,882 | $25,185 | 2.51% | 3.47% |
2014 | 1 | -3.47% | -3.18% | -3.47% | $61,499 | $34,740 | $24,312 | -3.47% | -2.90% |
2014 | 2 | 4.56% | 4.78% | 4.56% | $64,304 | $36,401 | $25,420 | 4.56% | 5.00% |
2014 | 3 | 1.73% | 1.28% | 0.82% | $65,417 | $36,866 | $25,630 | 0.82% | 1.73% |
2014 | 4 | 0.48% | 0.60% | 0.72% | $65,731 | $37,088 | $25,815 | 0.72% | 0.48% |
2014 | 5 | 1.98% | 2.16% | 2.33% | $67,033 | $37,888 | $26,418 | 2.33% | 1.98% |
2014 | 6 | 3.19% | 2.62% | 2.05% | $69,173 | $38,882 | $26,960 | 2.05% | 3.19% |
2014 | 7 | -2.88% | -2.14% | -1.39% | $67,179 | $38,052 | $26,586 | -1.39% | -2.88% |
2014 | 8 | 4.37% | 4.18% | 3.98% | $70,118 | $39,641 | $27,644 | 3.98% | 4.37% |
2014 | 9 | -3.98% | -2.70% | -1.41% | $67,326 | $38,572 | $27,254 | -1.41% | -3.98% |
2014 | 10 | 2.42% | 1.84% | 2.42% | $68,958 | $39,280 | $27,914 | 2.42% | 1.25% |
2014 | 11 | 2.68% | 1.96% | 2.68% | $70,808 | $40,049 | $28,663 | 2.68% | 1.23% |
2014 | 12 | -0.26% | 0.41% | -0.26% | $70,620 | $40,213 | $28,587 | -0.26% | 1.08% |
2015 | 1 | -3.02% | -2.34% | -3.02% | $68,489 | $39,271 | $27,725 | -3.02% | -1.67% |
2015 | 2 | 5.74% | 5.39% | 5.74% | $72,420 | $41,389 | $29,316 | 5.74% | 5.05% |
2015 | 3 | -1.59% | -1.00% | -1.59% | $71,266 | $40,976 | $28,849 | -1.59% | -0.40% |
2015 | 4 | 0.95% | 0.78% | 0.95% | $71,943 | $41,295 | $29,123 | 0.95% | 0.61% |
2015 | 5 | 1.27% | 1.36% | 1.27% | $72,858 | $41,855 | $29,493 | 1.27% | 1.44% |
2015 | 6 | -1.82% | -1.88% | -1.93% | $71,534 | $41,070 | $28,923 | -1.93% | -1.82% |
2015 | 7 | 2.08% | 0.28% | 2.08% | $73,022 | $41,186 | $29,525 | 2.08% | -1.51% |
2015 | 8 | -6.05% | -5.28% | -6.05% | $68,607 | $39,012 | $27,740 | -6.05% | -4.51% |
2015 | 9 | -2.48% | -2.98% | -2.48% | $66,902 | $37,850 | $27,050 | -2.48% | -3.47% |
2015 | 10 | 8.42% | 7.05% | 8.42% | $72,537 | $40,518 | $29,329 | 8.42% | 5.67% |
2015 | 11 | 0.29% | 0.58% | 0.29% | $72,745 | $40,754 | $29,413 | 0.29% | 0.88% |
2015 | 12 | -1.59% | -2.38% | -1.59% | $71,586 | $39,782 | $28,944 | -1.59% | -3.18% |
2016 | 1 | -4.98% | -4.55% | -4.98% | $68,023 | $37,971 | $27,504 | -4.98% | -4.13% |
2016 | 2 | -0.15% | 0.76% | -0.15% | $67,925 | $38,261 | $27,464 | -0.15% | 1.67% |
2016 | 3 | 6.78% | 7.99% | 6.78% | $72,527 | $41,319 | $29,325 | 6.78% | 9.21% |
2016 | 4 | 3.28% | 1.83% | 0.37% | $74,904 | $42,074 | $29,434 | 0.37% | 3.28% |
2016 | 5 | 1.42% | 1.60% | 1.78% | $75,969 | $42,748 | $29,959 | 1.78% | 1.42% |
2016 | 6 | -0.43% | -0.09% | 0.25% | $75,641 | $42,709 | $30,034 | 0.25% | -0.43% |
2016 | 7 | 4.01% | 3.84% | 3.68% | $78,673 | $44,350 | $31,138 | 3.68% | 4.01% |
2016 | 8 | 0.31% | 0.22% | 0.13% | $78,919 | $44,448 | $31,178 | 0.13% | 0.31% |
2016 | 9 | 0.14% | 0.07% | 0.01% | $79,028 | $44,481 | $31,181 | 0.01% | 0.14% |
2016 | 10 | -1.83% | -1.83% | -1.83% | $77,581 | $43,666 | $30,609 | -1.83% | -1.83% |
2016 | 11 | 7.46% | 5.58% | 3.70% | $83,372 | $46,103 | $31,742 | 3.70% | 7.46% |
2016 | 12 | 1.59% | 1.78% | 1.96% | $84,701 | $46,923 | $32,365 | 1.96% | 1.59% |
2017 | 1 | 1.00% | 1.44% | 1.88% | $85,546 | $47,599 | $32,974 | 1.88% | 1.00% |
2017 | 2 | 2.15% | 3.05% | 3.96% | $87,383 | $49,053 | $34,281 | 3.96% | 2.15% |
2017 | 3 | 0.07% | 0.08% | 0.10% | $87,441 | $49,094 | $34,315 | 0.10% | 0.07% |
2017 | 4 | -0.93% | 0.04% | 1.02% | $86,625 | $49,115 | $34,664 | 1.02% | -0.93% |
2017 | 5 | 1.39% | 0.16% | 1.39% | $87,832 | $49,193 | $35,148 | 1.39% | -1.08% |
2017 | 6 | 0.61% | 1.26% | 0.61% | $88,369 | $49,811 | $35,362 | 0.61% | 1.90% |
2017 | 7 | 2.04% | 1.99% | 2.04% | $90,174 | $50,802 | $36,085 | 2.04% | 1.94% |
2017 | 8 | 0.29% | -0.61% | 0.29% | $90,439 | $50,494 | $36,191 | 0.29% | -1.51% |
2017 | 9 | 2.06% | 2.31% | 2.06% | $92,301 | $51,660 | $36,936 | 2.06% | 2.56% |
2017 | 10 | 2.32% | 1.35% | 2.32% | $94,440 | $52,359 | $37,792 | 2.32% | 0.39% |
2017 | 11 | 3.06% | 3.61% | 3.06% | $97,329 | $54,251 | $38,948 | 3.06% | 4.17% |
2017 | 12 | 1.10% | 0.83% | 1.10% | $98,402 | $54,704 | $39,377 | 1.10% | 0.57% |
2018 | 1 | 5.71% | 4.58% | 5.71% | $104,023 | $57,211 | $41,627 | 5.71% | 3.45% |
2018 | 2 | -3.69% | -3.91% | -3.69% | $100,180 | $54,972 | $40,089 | -3.69% | -4.13% |
2018 | 3 | -2.56% | -1.19% | -2.56% | $97,620 | $54,315 | $39,064 | -2.56% | 0.17% |
2018 | 4 | 0.37% | 1.15% | 0.37% | $97,984 | $54,938 | $39,210 | 0.37% | 1.92% |
2018 | 5 | 0.42% | 1.41% | 2.39% | $98,398 | $55,712 | $40,149 | 2.39% | 0.42% |
2018 | 6 | 0.61% | 1.10% | 0.61% | $98,994 | $56,322 | $40,392 | 0.61% | 1.59% |
2018 | 7 | 3.71% | 2.78% | 3.71% | $102,666 | $57,886 | $41,890 | 3.71% | 1.85% |
2018 | 8 | 3.25% | 1.53% | 3.25% | $105,998 | $58,772 | $43,250 | 3.25% | -0.19% |
2018 | 9 | 0.55% | 0.07% | 0.55% | $106,586 | $58,815 | $43,490 | 0.55% | -0.41% |
2018 | 10 | -6.85% | -6.81% | -6.85% | $99,286 | $54,812 | $40,511 | -6.85% | -6.76% |
2018 | 11 | 2.03% | 1.77% | 2.03% | $101,298 | $55,783 | $41,332 | 2.03% | 1.52% |
2018 | 12 | -9.04% | -9.36% | -9.04% | $92,141 | $50,561 | $37,596 | -9.04% | -9.69% |
Metric | Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|
Arithmetic Mean (monthly) | 0.98% | 0.74% | 0.62% |
Arithmetic Mean (annualized) | 12.47% | 9.19% | 7.70% |
Geometric Mean (monthly) | 0.89% | 0.65% | 0.53% |
Geometric Mean (annualized) | 11.15% | 8.02% | 6.51% |
Volatility (monthly) | 4.43% | 4.22% | 4.30% |
Volatility (annualized) | 15.35% | 14.62% | 14.88% |
Downside Deviation (monthly) | 2.89% | 2.86% | 2.98% |
Max. Drawdown | -51.33% | -49.91% | -50.97% |
US Market Correlation | 0.93 | 0.97 | 0.99 |
Beta(*) | 0.96 | 0.95 | 1.00 |
Alpha (annualized) | 4.65% | 1.73% | -0.00% |
R2 | 86.99% | 93.97% | 100.00% |
Sharpe Ratio | 0.64 | 0.47 | 0.37 |
Sortino Ratio | 0.96 | 0.68 | 0.52 |
Treynor Ratio (%) | 10.28 | 7.24 | 5.52 |
Calmar Ratio | 0.65 | 0.59 | 0.67 |
Active Return | 4.64% | 1.51% | N/A |
Tracking Error | 5.56% | 3.66% | N/A |
Information Ratio | 0.83 | 0.41 | N/A |
Skewness | -0.62 | -0.66 | -0.67 |
Excess Kurtosis | 2.22 | 1.87 | 1.25 |
Historical Value-at-Risk (5%) | -6.98% | -7.20% | -7.42% |
Analytical Value-at-Risk (5%) | -6.30% | -6.21% | -6.45% |
Conditional Value-at-Risk (5%) | -9.68% | -9.68% | -9.88% |
Upside Capture Ratio (%) | 111.12 | 100.22 | 100.00 |
Downside Capture Ratio (%) | 89.08 | 92.64 | 100.00 |
Safe Withdrawal Rate | 12.25% | 7.87% | 6.34% |
Perpetual Withdrawal Rate | 8.11% | 5.45% | 4.11% |
Positive Periods | 161 out of 252 (63.89%) | 164 out of 252 (65.08%) | 161 out of 252 (63.89%) |
Gain/Loss Ratio | 0.99 | 0.85 | 0.81 |
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -17.12% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -22.95% | -25.51% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -50.16% | -49.23% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -51.33% |
2 | Jun 2002 | Sep 2002 | 4 months | Oct 2003 | 1 year 1 month | 1 year 5 months | -22.95% |
3 | May 2011 | Sep 2011 | 5 months | Mar 2012 | 6 months | 11 months | -18.88% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
5 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
6 | Aug 2001 | Sep 2001 | 2 months | Nov 2001 | 2 months | 4 months | -9.76% |
7 | Aug 2015 | Sep 2015 | 2 months | Apr 2016 | 7 months | 9 months | -8.38% |
8 | Apr 2000 | Jul 2000 | 4 months | Dec 2000 | 5 months | 9 months | -7.54% |
9 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
10 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.62% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 2 years | 3 years 9 months | -49.91% |
2 | Apr 2002 | Sep 2002 | 6 months | Oct 2003 | 1 year 1 month | 1 year 7 months | -25.51% |
3 | May 2011 | Sep 2011 | 5 months | Mar 2012 | 6 months | 11 months | -17.88% |
4 | May 1998 | Aug 1998 | 4 months | Dec 1998 | 4 months | 8 months | -17.40% |
5 | Feb 2001 | Sep 2001 | 8 months | Mar 2002 | 6 months | 1 year 2 months | -14.20% |
6 | Oct 2018 | Dec 2018 | 3 months | -14.03% | |||
7 | Jun 2015 | Sep 2015 | 4 months | Apr 2016 | 7 months | 11 months | -9.57% |
8 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -7.12% |
9 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.98% |
10 | Sep 2000 | Nov 2000 | 3 months | Jan 2001 | 2 months | 5 months | -5.64% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
4 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
5 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
6 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
7 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |
8 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
9 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.98% |
10 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.71% |
Worst 10 drawdowns included above |
Roll Period | Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 12.91% | 73.08% | -42.39% | 9.88% | 63.19% | -42.28% | 8.17% | 53.61% | -43.32% |
3 years | 11.34% | 29.37% | -14.52% | 8.57% | 26.83% | -14.40% | 6.04% | 25.43% | -16.14% |
5 years | 11.03% | 25.48% | -4.47% | 8.60% | 24.09% | -5.30% | 6.17% | 22.85% | -6.73% |
7 years | 10.69% | 18.53% | 0.23% | 8.42% | 17.50% | -1.37% | 6.12% | 17.12% | -3.94% |
10 years | 9.50% | 15.40% | 4.76% | 7.39% | 14.38% | 1.11% | 5.14% | 14.17% | -3.51% |
15 years | 10.89% | 12.46% | 9.24% | 8.57% | 11.38% | 6.89% | 6.14% | 10.39% | 3.64% |
# | Start | End | Months | Assets | Asset Performance | Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
1 | Jan 1998 | May 2000 | 29 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 51.28% | 51.28% | 28.88% | 51.28% |
2 | Jun 2000 | Jun 2000 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: -1.22% | -1.22% | 0.64% | 2.49% |
3 | Jul 2000 | Jul 2000 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.50% | -1.50% | 0.27% | -1.50% |
4 | Aug 2000 | Mar 2003 | 32 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 16.89% | 16.89% | -14.77% | -38.52% |
5 | Apr 2003 | May 2003 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 13.95% | 13.95% | 16.09% | 13.95% |
6 | Jun 2003 | Aug 2007 | 51 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 100.77% | 100.77% | 81.79% | 64.31% |
7 | Sep 2007 | Mar 2008 | 7 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -9.25% | -9.25% | -8.91% | -9.25% |
8 | Apr 2008 | Apr 2008 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 4.24% | 4.24% | 4.55% | 4.85% |
9 | May 2008 | May 2008 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.29% | 1.29% | 1.88% | 1.29% |
10 | Jun 2008 | Oct 2008 | 5 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: -30.94% | -30.94% | -30.55% | -30.18% |
11 | Nov 2008 | Dec 2008 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.18% | -6.18% | -5.65% | -6.18% |
12 | Jan 2009 | Oct 2010 | 22 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 58.00% | 58.00% | 46.89% | 36.26% |
13 | Nov 2010 | Nov 2010 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.00% | 0.00% | 0.38% | 0.00% |
14 | Dec 2010 | Dec 2010 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 7.29% | 7.29% | 6.98% | 6.67% |
15 | Jan 2011 | Feb 2011 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 5.85% | 5.85% | 5.65% | 5.85% |
16 | Mar 2011 | Mar 2011 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 0.32% | 0.32% | 0.17% | 0.03% |
17 | Apr 2011 | Jul 2011 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.98% | -1.98% | -1.99% | -1.98% |
18 | Aug 2011 | Aug 2011 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: -8.34% | -8.34% | -6.89% | -5.45% |
19 | Sep 2011 | Sep 2012 | 13 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 20.86% | 20.86% | 18.96% | 20.86% |
20 | Oct 2012 | Nov 2013 | 14 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 30.11% | 30.11% | 29.27% | 28.39% |
21 | Dec 2013 | Feb 2014 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 3.47% | 3.47% | 4.48% | 3.47% |
22 | Mar 2014 | Sep 2014 | 7 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 4.70% | 4.70% | 5.96% | 7.21% |
23 | Oct 2014 | May 2015 | 8 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 8.22% | 8.22% | 8.51% | 8.22% |
24 | Jun 2015 | Jun 2015 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: -1.82% | -1.82% | -1.88% | -1.93% |
25 | Jul 2015 | Mar 2016 | 9 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.39% | 1.39% | 0.61% | 1.39% |
26 | Apr 2016 | Apr 2017 | 13 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 19.44% | 19.44% | 18.87% | 18.21% |
27 | May 2017 | Apr 2018 | 12 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 13.11% | 13.11% | 11.86% | 13.11% |
28 | May 2018 | May 2018 | 1 | 100.00% T. Rowe Price Mid-Cap Value (TRMCX) | TRMCX: 0.42% | 0.42% | 1.41% | 2.39% |
29 | Jun 2018 | Dec 2018 | 7 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.36% | -6.36% | -9.25% | -6.36% |
30 | Jan 2019 | Jan 2019 | 1 | Please sign-in for forward signals | - | - | - | - |