Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

The moving average timing model is either invested in a a specific stock, ETF or mutual fund, or is alternatively in cash or other risk-free asset based on the moving average signal. The model is invested in the asset when the adjusted close price is greater than the moving average and the model moves to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Moving Averages - Portfolio Assets

The moving average model applies the moving average signal to each portfolio asset. The model is invested in a portfolio asset when the adjusted close price is greater than the moving average and the allocation is moved to cash when the adjusted close price is less than the moving average. The model also supports using moving average cross-over as the signal.

Momentum - Relative Strength

The relative strength momentum model invests in the best performing assets in the model based on each asset's past return. The momentum can be based on a single timing period, or multiple weighted timing periods. Additionally the model supports using moving averages as a risk control to decide whether investments should be moved to cash.

Momentum - Dual Momentum

The dual momentum model uses relative momentum to select the best performing model assets and incorporates absolute momentum as a filter to invest in cash if the excess return of the selected asset over cash is negative.

Adaptive Allocation

The adaptive asset allocation model combines relative strength momentum model with different asset weighting. The relative strength model uses an equal weight allocation for the model selected assets, whereas the adaptive asset allocation uses either risk parity allocation or minimum variance allocation for the model assets to minimize the expected volatility.

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
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Weight
Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Total
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Market Timing Results (Jan 1998 - Dec 2018)

Market timing results from 1998 to 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. Timing 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
Timing Portfolio$10,000$92,14711.15%15.35%46.68%-38.07%-51.33% 0.650.970.93
Vanguard 500 Index Investor$10,000$37,5966.51%14.88%32.18%-37.02%-50.97% 0.370.520.99
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Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • 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 timing portfolio assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)T. Rowe Price Mid-Cap Value (TRMCX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19981.61%28.62%28.62%$12,862$12,86228.62%1.39%
19992.68%21.07%21.07%$15,571$15,57121.07%3.52%
20003.39%10.82%-9.06%$17,256$14,161-9.06%22.75%
20011.55%14.36%-12.02%$19,734$12,459-12.02%14.36%
20022.38%-7.38%-22.15%$18,279$9,700-22.15%-7.38%
20031.88%34.00%28.50%$24,494$12,46428.50%39.00%
20043.26%20.56%10.74%$29,530$13,80310.74%20.56%
20053.42%7.73%4.77%$31,813$14,4624.77%7.73%
20062.54%20.24%15.64%$38,251$16,72415.64%20.24%
20074.08%3.16%5.39%$39,461$17,6255.39%0.60%
20080.09%-38.07%-37.02%$24,437$11,100-37.02%-34.57%
20092.72%46.68%26.49%$35,843$14,04026.49%46.68%
20101.50%15.57%14.91%$41,426$16,13414.91%16.45%
20112.96%-0.86%1.97%$41,068$16,4511.97%-4.82%
20121.74%19.05%15.82%$48,892$19,05415.82%19.63%
20131.50%30.32%32.18%$63,714$25,18532.18%31.54%
20140.76%10.85%13.51%$70,626$28,58713.51%10.60%
20150.73%1.37%1.25%$71,591$28,9441.25%-3.41%
20162.07%18.32%11.82%$84,707$32,36511.82%24.32%
20172.11%16.18%21.67%$98,409$39,37721.67%11.64%
20181.91%-6.36%-4.52%$92,147$37,596-4.52%-10.61%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)T. Rowe Price Mid-Cap Value (TRMCX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
199811.11%1.11%$10,111$10,1111.11%-1.24%
199827.19%7.19%$10,838$10,8387.19%5.18%
199835.10%5.10%$11,391$11,3915.10%5.06%
199841.01%1.01%$11,506$11,5061.01%0.13%
19985-1.74%-1.74%$11,306$11,306-1.74%-2.78%
199864.07%4.07%$11,766$11,7664.07%-0.13%
19987-1.05%-1.05%$11,642$11,642-1.05%-6.25%
19988-14.47%-14.47%$9,957$9,957-14.47%-13.48%
199896.41%6.41%$10,595$10,5956.41%3.69%
1998108.16%8.16%$11,460$11,4608.16%4.96%
1998116.07%6.07%$12,156$12,1566.07%4.50%
1998125.81%5.81%$12,862$12,8625.81%3.61%
199914.20%4.20%$13,402$13,4024.20%-3.95%
19992-3.12%-3.12%$12,984$12,984-3.12%-3.20%
199934.00%4.00%$13,502$13,5024.00%2.05%
199943.85%3.85%$14,023$14,0233.85%9.10%
19995-2.39%-2.39%$13,688$13,688-2.39%-0.64%
199965.56%5.56%$14,448$14,4485.56%4.06%
19997-3.13%-3.13%$13,996$13,996-3.13%-1.64%
19998-0.50%-0.50%$13,926$13,926-0.50%-3.20%
19999-2.74%-2.74%$13,545$13,545-2.74%0.14%
1999106.33%6.33%$14,402$14,4026.33%-0.29%
1999112.02%2.02%$14,693$14,6932.02%-0.94%
1999125.98%5.98%$15,571$15,5715.98%2.70%
20001-5.03%-5.03%$14,788$14,788-5.03%-4.56%
20002-1.91%-1.91%$14,506$14,506-1.91%-2.98%
200039.76%9.76%$15,922$15,9229.76%12.04%
20004-3.01%-3.01%$15,443$15,443-3.01%-0.65%
20005-2.04%-2.04%$15,128$15,128-2.04%0.80%
20006-1.22%2.49%$14,943$15,5052.49%-1.22%
20007-1.49%-1.49%$14,720$15,274-1.49%2.04%
200085.07%6.19%$15,467$16,2196.19%5.07%
200090.48%-5.29%$15,541$15,361-5.29%0.48%
2000102.37%-0.43%$15,909$15,295-0.43%2.37%
200011-0.59%-7.88%$15,814$14,090-7.88%-0.59%
2000129.12%0.50%$17,256$14,1610.50%9.12%
200112.05%3.55%$17,609$14,6633.55%2.05%
20012-0.56%-9.14%$17,510$13,323-9.14%-0.56%
20013-3.53%-6.36%$16,892$12,477-6.36%-3.53%
200146.40%7.77%$17,973$13,4467.77%6.40%
200153.38%0.65%$18,580$13,5330.65%3.38%
20016-0.36%-2.45%$18,514$13,202-2.45%-0.36%
200170.72%-1.00%$18,646$13,070-1.00%0.72%
20018-0.89%-6.27%$18,481$12,250-6.27%-0.89%
20019-8.96%-8.09%$16,826$11,259-8.09%-8.96%
2001103.41%1.90%$17,399$11,4731.90%3.41%
2001117.61%7.65%$18,723$12,3517.65%7.61%
2001125.40%0.87%$19,734$12,4590.87%5.40%
200211.77%-1.47%$20,083$12,275-1.47%1.77%
200221.26%-1.94%$20,336$12,037-1.94%1.26%
200236.86%3.74%$21,732$12,4883.74%6.86%
20024-0.50%-6.07%$21,624$11,729-6.07%-0.50%
200250.89%-0.75%$21,816$11,641-0.75%0.89%
20026-6.84%-7.13%$20,324$10,810-7.13%-6.84%
20027-9.65%-7.72%$18,363$9,976-7.72%-9.65%
200280.85%0.65%$18,519$10,0410.65%0.85%
20029-9.23%-10.87%$16,810$8,949-10.87%-9.23%
2002105.65%8.78%$17,761$9,7358.78%5.65%
2002116.23%5.88%$18,868$10,3075.88%6.23%
200212-3.12%-5.89%$18,279$9,700-5.89%-3.12%
20031-1.67%-2.62%$17,974$9,445-2.62%-1.67%
20032-4.20%-1.52%$17,219$9,302-1.52%-4.20%
20033-0.07%0.96%$17,206$9,3910.96%-0.07%
200348.25%8.25%$18,627$10,1668.25%7.22%
200355.26%5.26%$19,607$10,7015.26%10.24%
200361.68%1.26%$19,936$10,8361.26%1.68%
200372.95%1.74%$20,523$11,0251.74%2.95%
200383.55%1.93%$21,252$11,2381.93%3.55%
20039-1.66%-1.07%$20,899$11,117-1.07%-1.66%
2003107.87%5.64%$22,544$11,7445.64%7.87%
2003112.29%0.86%$23,061$11,8460.86%2.29%
2003126.21%5.22%$24,494$12,4645.22%6.21%
200412.36%1.82%$25,072$12,6911.82%2.36%
200423.60%1.38%$25,975$12,8661.38%3.60%
20043-1.34%-1.51%$25,626$12,671-1.51%-1.34%
20044-1.79%-1.58%$25,168$12,472-1.58%-1.79%
200451.82%1.36%$25,626$12,6411.36%1.82%
200463.05%1.93%$26,408$12,8851.93%3.05%
20047-3.24%-3.31%$25,553$12,458-3.31%-3.24%
200480.52%0.38%$25,686$12,5060.38%0.52%
200493.14%1.07%$26,493$12,6391.07%3.14%
2004101.82%1.51%$26,974$12,8311.51%1.82%
2004115.80%4.05%$28,540$13,3504.05%5.80%
2004123.47%3.39%$29,530$13,8033.39%3.47%
20051-3.52%-2.45%$28,489$13,464-2.45%-3.52%
200521.94%2.09%$29,041$13,7462.09%1.94%
20053-0.31%-1.76%$28,952$13,504-1.76%-0.31%
20054-3.19%-1.91%$28,027$13,246-1.91%-3.19%
200553.90%3.17%$29,119$13,6663.17%3.90%
200561.90%0.13%$29,671$13,6830.13%1.90%
200574.46%3.71%$30,994$14,1903.71%4.46%
20058-1.41%-0.91%$30,557$14,060-0.91%-1.41%
200590.08%0.79%$30,583$14,1720.79%0.08%
200510-2.31%-1.68%$29,876$13,934-1.68%-2.31%
2005114.73%3.76%$31,289$14,4593.76%4.73%
2005121.68%0.02%$31,813$14,4620.02%1.68%
200613.89%2.65%$33,052$14,8452.65%3.89%
200620.12%0.26%$33,093$14,8840.26%0.12%
200631.89%1.23%$33,718$15,0671.23%1.89%
200641.90%1.33%$34,358$15,2681.33%1.90%
20065-2.57%-2.90%$33,474$14,825-2.90%-2.57%
20066-0.28%0.13%$33,378$14,8440.13%-0.28%
200670.00%0.61%$33,378$14,9340.61%0.00%
200682.94%2.36%$34,358$15,2872.36%2.94%
200692.30%2.56%$35,147$15,6792.56%2.30%
2006103.41%3.25%$36,345$16,1893.25%3.41%
2006113.33%1.89%$37,556$16,4951.89%3.33%
2006121.85%1.39%$38,251$16,7241.39%1.85%
200711.77%1.49%$38,928$16,9741.49%1.77%
200721.01%-1.97%$39,319$16,640-1.97%1.01%
200730.04%1.11%$39,334$16,8251.11%0.04%
200743.83%4.42%$40,839$17,5684.42%3.83%
200753.98%3.48%$42,464$18,1793.48%3.98%
20076-0.67%-1.68%$42,178$17,874-1.68%-0.67%
20077-6.28%-3.08%$39,530$17,323-3.08%-6.28%
20078-0.42%1.50%$39,365$17,5821.50%-0.42%
200793.72%3.72%$40,831$18,2373.72%2.14%
2007101.58%1.58%$41,475$18,5251.58%0.82%
200711-4.19%-4.19%$39,739$17,749-4.19%-3.90%
200712-0.70%-0.70%$39,461$17,625-0.70%-1.23%
20081-6.02%-6.02%$37,087$16,565-6.02%-3.07%
20082-3.25%-3.25%$35,881$16,026-3.25%-2.80%
20083-0.44%-0.44%$35,723$15,956-0.44%-0.76%
200844.24%4.85%$37,237$16,7304.85%4.24%
200851.29%1.29%$37,718$16,9461.29%2.47%
20086-7.98%-8.44%$34,708$15,516-8.44%-7.98%
20087-0.10%-0.83%$34,674$15,387-0.83%-0.10%
200881.94%1.45%$35,347$15,6101.45%1.94%
20089-8.33%-8.91%$32,404$14,220-8.91%-8.33%
200810-19.62%-16.79%$26,048$11,832-16.79%-19.62%
200811-7.17%-7.17%$24,179$10,983-7.17%-8.20%
2008121.07%1.07%$24,437$11,1001.07%3.34%
20091-7.29%-8.41%$22,656$10,166-8.41%-7.29%
20092-8.77%-10.66%$20,670$9,083-10.66%-8.77%
200939.36%8.76%$22,605$9,8798.76%9.36%
2009416.67%9.56%$26,372$10,8239.56%16.67%
200954.81%5.62%$27,639$11,4315.62%4.81%
200960.87%0.22%$27,879$11,4560.22%0.87%
200979.15%7.58%$30,431$12,3247.58%9.15%
200985.51%3.60%$32,109$12,7683.60%5.51%
200996.24%3.72%$34,112$13,2423.72%6.24%
200910-4.62%-1.87%$32,537$12,995-1.87%-4.62%
2009115.16%5.98%$34,215$13,7725.98%5.16%
2009124.76%1.95%$35,843$14,0401.95%4.76%
20101-3.33%-3.60%$34,650$13,534-3.60%-3.33%
201023.25%3.09%$35,774$13,9523.09%3.25%
201036.33%6.01%$38,040$14,7916.01%6.33%
201043.77%1.58%$39,476$15,0251.58%3.77%
20105-6.92%-8.01%$36,743$13,822-8.01%-6.92%
20106-6.69%-5.24%$34,286$13,098-5.24%-6.69%
201076.26%7.00%$36,431$14,0147.00%6.26%
20108-5.22%-4.53%$34,529$13,379-4.53%-5.22%
201099.57%8.92%$37,833$14,5738.92%9.57%
2010102.06%3.79%$38,611$15,1253.79%2.06%
2010110.00%0.00%$38,611$15,1250.00%0.76%
2010127.29%6.67%$41,426$16,1346.67%7.29%
201112.36%2.36%$42,402$16,5142.36%1.60%
201123.42%3.42%$43,851$17,0783.42%3.78%
201130.32%0.03%$43,991$17,0830.03%0.32%
201142.95%2.95%$45,288$17,5862.95%2.51%
20115-1.15%-1.15%$44,769$17,385-1.15%-0.66%
20116-1.67%-1.67%$44,020$17,094-1.67%-1.80%
20117-2.05%-2.05%$43,119$16,744-2.05%-1.99%
20118-8.34%-5.45%$39,523$15,832-5.45%-8.34%
20119-7.04%-7.04%$36,740$14,717-7.04%-8.08%
20111010.91%10.91%$40,749$16,32310.91%10.04%
201111-0.23%-0.23%$40,654$16,285-0.23%-1.32%
2011121.02%1.02%$41,068$16,4511.02%0.34%
201214.46%4.46%$42,901$17,1864.46%5.10%
201224.31%4.31%$44,749$17,9264.31%4.14%
201233.28%3.28%$46,217$18,5143.28%1.84%
20124-0.64%-0.64%$45,922$18,396-0.64%-0.59%
20125-6.02%-6.02%$43,158$17,288-6.02%-6.79%
201264.11%4.11%$44,932$17,9994.11%4.48%
201271.37%1.37%$45,547$18,2451.37%1.99%
201282.24%2.24%$46,567$18,6542.24%3.44%
201292.58%2.58%$47,767$19,1352.58%2.67%
201210-0.48%-1.86%$47,538$18,779-1.86%-0.48%
2012110.80%0.56%$47,920$18,8840.56%0.80%
2012122.03%0.90%$48,892$19,0540.90%2.03%
201315.82%5.18%$51,739$20,0415.18%5.82%
201321.57%1.34%$52,553$20,3091.34%1.57%
201334.26%3.74%$54,790$21,0683.74%4.26%
201340.41%1.91%$55,013$21,4701.91%0.41%
201352.11%2.33%$56,173$21,9702.33%2.11%
20136-1.30%-1.35%$55,441$21,673-1.35%-1.30%
201375.39%5.07%$58,430$22,7735.07%5.39%
20138-3.52%-2.91%$56,376$22,110-2.91%-3.52%
201394.51%3.12%$58,918$22,8003.12%4.51%
2013104.11%4.59%$61,339$23,8464.59%4.11%
2013111.33%3.03%$62,152$24,5683.03%1.33%
2013122.51%2.51%$63,714$25,1852.51%3.47%
20141-3.47%-3.47%$61,504$24,312-3.47%-2.90%
201424.56%4.56%$64,309$25,4204.56%5.00%
201431.73%0.82%$65,421$25,6300.82%1.73%
201440.48%0.72%$65,736$25,8150.72%0.48%
201451.98%2.33%$67,038$26,4182.33%1.98%
201463.19%2.05%$69,178$26,9602.05%3.19%
20147-2.88%-1.39%$67,184$26,586-1.39%-2.88%
201484.37%3.98%$70,123$27,6443.98%4.37%
20149-3.98%-1.41%$67,331$27,254-1.41%-3.98%
2014102.42%2.42%$68,963$27,9142.42%1.25%
2014112.68%2.68%$70,813$28,6632.68%1.23%
201412-0.26%-0.26%$70,626$28,587-0.26%1.08%
20151-3.02%-3.02%$68,495$27,725-3.02%-1.67%
201525.74%5.74%$72,426$29,3165.74%5.05%
20153-1.59%-1.59%$71,272$28,849-1.59%-0.40%
201540.95%0.95%$71,948$29,1230.95%0.61%
201551.27%1.27%$72,864$29,4931.27%1.44%
20156-1.82%-1.93%$71,539$28,923-1.93%-1.82%
201572.08%2.08%$73,027$29,5252.08%-1.51%
20158-6.04%-6.04%$68,615$27,741-6.04%-4.51%
20159-2.49%-2.49%$66,907$27,050-2.49%-3.47%
2015108.42%8.42%$72,542$29,3298.42%5.67%
2015110.29%0.29%$72,750$29,4130.29%0.88%
201512-1.59%-1.59%$71,591$28,944-1.59%-3.18%
20161-4.98%-4.98%$68,029$27,504-4.98%-4.13%
20162-0.15%-0.15%$67,930$27,464-0.15%1.67%
201636.78%6.78%$72,532$29,3256.78%9.21%
201643.28%0.37%$74,909$29,4340.37%3.28%
201651.42%1.78%$75,975$29,9591.78%1.42%
20166-0.43%0.25%$75,647$30,0340.25%-0.43%
201674.01%3.68%$78,679$31,1383.68%4.01%
201680.31%0.13%$78,925$31,1780.13%0.31%
201690.14%0.01%$79,034$31,1810.01%0.14%
201610-1.83%-1.83%$77,586$30,609-1.83%-1.83%
2016117.46%3.70%$83,378$31,7423.70%7.46%
2016121.59%1.96%$84,707$32,3651.96%1.59%
201711.00%1.88%$85,553$32,9741.88%1.00%
201722.15%3.96%$87,389$34,2813.96%2.15%
201730.07%0.10%$87,447$34,3150.10%0.07%
20174-0.93%1.02%$86,631$34,6641.02%-0.93%
201751.39%1.39%$87,839$35,1481.39%-1.08%
201760.61%0.61%$88,376$35,3620.61%1.90%
201772.04%2.04%$90,181$36,0852.04%1.94%
201780.29%0.29%$90,446$36,1910.29%-1.51%
201792.06%2.06%$92,308$36,9362.06%2.56%
2017102.32%2.32%$94,447$37,7922.32%0.39%
2017113.06%3.06%$97,337$38,9483.06%4.17%
2017121.10%1.10%$98,409$39,3771.10%0.57%
201815.71%5.71%$104,031$41,6275.71%3.45%
20182-3.69%-3.69%$100,188$40,089-3.69%-4.13%
20183-2.56%-2.56%$97,627$39,064-2.56%0.17%
201840.37%0.37%$97,992$39,2100.37%1.92%
201850.42%2.39%$98,406$40,1492.39%0.42%
201860.61%0.61%$99,001$40,3920.61%1.59%
201873.71%3.71%$102,673$41,8903.71%1.85%
201883.25%3.25%$106,006$43,2503.25%-0.19%
201890.55%0.55%$106,594$43,4900.55%-0.41%
201810-6.85%-6.85%$99,293$40,511-6.85%-6.76%
2018112.03%2.03%$101,306$41,3322.03%1.52%
201812-9.04%-9.04%$92,147$37,596-9.04%-9.69%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.98%0.62%
Arithmetic Mean (annualized)12.47%7.70%
Geometric Mean (monthly)0.89%0.53%
Geometric Mean (annualized)11.15%6.51%
Volatility (monthly)4.43%4.30%
Volatility (annualized)15.35%14.88%
Downside Deviation (monthly)2.89%2.98%
Max. Drawdown-51.33%-50.97%
US Market Correlation0.930.99
Beta(*)0.961.00
Alpha (annualized)4.65%0.00%
R286.99%100.00%
Sharpe Ratio0.650.37
Sortino Ratio0.970.52
Treynor Ratio (%)10.325.56
Calmar Ratio0.650.67
Active Return4.65%N/A
Tracking Error5.56%N/A
Information Ratio0.83N/A
Skewness-0.62-0.67
Excess Kurtosis2.221.25
Historical Value-at-Risk (5%)-7.09%-7.77%
Analytical Value-at-Risk (5%)-6.30%-6.45%
Conditional Value-at-Risk (5%)-9.90%-10.06%
Upside Capture Ratio (%)111.12100.00
Downside Capture Ratio (%)89.08100.00
Safe Withdrawal Rate12.25%6.34%
Perpetual Withdrawal Rate8.11%4.11%
Positive Periods161 out of 252 (63.89%)161 out of 252 (63.89%)
Gain/Loss Ratio0.990.81
* 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 PeriodStartEndTiming PortfolioVanguard 500 Index Investor
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-22.95%-44.82%
Subprime CrisisNov 2007Mar 2009-50.16%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-51.33%
2Jun 2002Sep 20024 monthsOct 20031 year 1 month1 year 5 months-22.95%
3May 2011Sep 20115 monthsMar 20126 months11 months-18.88%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 months-13.55%
6Aug 2001Sep 20012 monthsNov 20012 months4 months-9.76%
7Aug 2015Sep 20152 monthsApr 20167 months9 months-8.38%
8Apr 2000Jul 20004 monthsDec 20005 months9 months-7.54%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
10Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year12.68%46.68%-38.07%8.07%32.18%-37.02%
3 years11.27%20.29%-8.42%6.16%20.22%-14.60%
5 years10.86%21.13%-0.05%5.94%17.81%-2.38%
7 years10.68%16.73%3.10%6.09%14.67%-1.64%
10 years9.73%14.71%6.63%5.39%12.97%-1.46%
15 years10.61%11.88%9.24%6.00%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 PerformanceTiming PortfolioVanguard 500 Index Investor
1Jan 1998May 200029100.00% Vanguard 500 Index Investor (VFINX)VFINX: 51.28%51.28%51.28%
2Jun 2000Jun 20001100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -1.22%-1.22%2.49%
3Jul 2000Jul 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.49%-1.49%-1.49%
4Aug 2000Mar 200332100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 16.89%16.89%-38.52%
5Apr 2003May 20032100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.95%13.95%13.95%
6Jun 2003Aug 200751100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 100.77%100.77%64.31%
7Sep 2007Mar 20087100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.25%-9.25%-9.25%
8Apr 2008Apr 20081100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 4.24%4.24%4.85%
9May 2008May 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.29%1.29%1.29%
10Jun 2008Oct 20085100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -30.94%-30.94%-30.18%
11Nov 2008Dec 20082100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.18%-6.18%-6.18%
12Jan 2009Oct 201022100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 58.00%58.00%36.26%
13Nov 2010Nov 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.00%0.00%0.00%
14Dec 2010Dec 20101100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 7.29%7.29%6.67%
15Jan 2011Feb 20112100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.85%5.85%5.85%
16Mar 2011Mar 20111100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 0.32%0.32%0.03%
17Apr 2011Jul 20114100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.98%-1.98%-1.98%
18Aug 2011Aug 20111100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -8.34%-8.34%-5.45%
19Sep 2011Sep 201213100.00% Vanguard 500 Index Investor (VFINX)VFINX: 20.86%20.86%20.86%
20Oct 2012Nov 201314100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 30.11%30.11%28.39%
21Dec 2013Feb 20143100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.47%3.47%3.47%
22Mar 2014Sep 20147100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 4.70%4.70%7.21%
23Oct 2014May 20158100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.22%8.22%8.22%
24Jun 2015Jun 20151100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: -1.82%-1.82%-1.93%
25Jul 2015Mar 20169100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%1.39%
26Apr 2016Apr 201713100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 19.44%19.44%18.21%
27May 2017Apr 201812100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.11%13.11%13.11%
28May 2018May 20181100.00% T. Rowe Price Mid-Cap Value (TRMCX)TRMCX: 0.42%0.42%2.39%
29Jun 2018Dec 20187100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.36%-6.36%-6.36%
30Jan 2019Jan 20191100.00% Vanguard 500 Index Investor (VFINX)---