Test Market Timing Models

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

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

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Time Period #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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Market Timing Results (Jan 2008 - Aug 2020) Save

Tactical asset allocation model results from Jan 2008 to Aug 2020 are based on relative strength model holding the best performing asset. The model uses multiple weighted performance windows to rank the assets by weighted average of rank orders including negative ranking by volatility. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for Vanguard FTSE All-Wld ex-US ETF (VEU) [Apr 2007 - Aug 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Momentum Model$10,000$66,89316.19%14.35%40.98%-5.56%-17.59% 1.082.000.15
Vanguard Target Retirement 2030 Inv$10,000$21,3126.16%13.02%26.72%-32.91%-43.48% 0.480.670.98
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Momentum Model7.55%17.16%16.40%14.95%12.77%16.56%16.19%
Vanguard Target Retirement 2030 Inv10.20%5.19%12.89%8.22%8.98%9.87%6.16%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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 Small-Cap ETF (VB)Vanguard FTSE All-Wld ex-US ETF (VEU)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares 20+ Year Treasury Bond ETF (TLT)
Momentum ModelVanguard Target Retirement 2030 InvMomentum ModelVanguard Target Retirement 2030 Inv
20080.09%16.82%-32.91%$11,682$6,709-36.19%-43.45%2.40%33.93%
20092.72%1.77%26.72%$11,889$8,50336.59%37.59%8.46%-21.80%
20101.50%36.54%14.43%$16,234$9,73028.11%11.81%9.33%9.05%
20112.96%40.98%-1.27%$22,887$9,606-2.78%-14.02%9.73%33.96%
20121.74%17.10%14.24%$26,801$10,97418.29%18.90%10.58%2.63%
20131.50%29.55%20.49%$34,720$13,22337.70%14.18%-2.00%-13.37%
20140.76%8.63%7.17%$37,718$14,1707.63%-4.54%8.21%27.30%
20150.73%-5.56%-1.03%$35,621$14,024-3.76%-4.78%-1.25%-1.79%
20162.07%5.05%7.85%$37,421$15,12518.44%4.91%6.21%1.18%
20172.11%26.50%17.52%$47,337$17,77616.26%27.39%7.06%9.18%
20181.91%1.23%-5.86%$47,920$16,735-9.33%-14.19%-3.79%-1.61%
20192.29%19.14%21.07%$57,093$20,26227.32%21.83%17.37%14.12%
20200.83%17.16%5.19%$66,893$21,312-3.79%-3.06%7.80%20.85%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard Small-Cap ETF (VB)Vanguard FTSE All-Wld ex-US ETF (VEU)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares 20+ Year Treasury Bond ETF (TLT)
Momentum ModelVanguard Target Retirement 2030 InvMomentum ModelVanguard Target Retirement 2030 Inv
200812.10%-5.41%$10,210$9,459-6.39%-7.75%2.57%2.10%
20082-0.46%-2.04%$10,163$9,267-2.39%-0.22%-0.71%-0.46%
20083-0.60%-0.41%$10,102$9,229-0.84%-0.09%-0.60%2.14%
20084-2.48%4.41%$9,852$9,6355.68%5.92%1.25%-2.48%
20085-2.21%1.57%$9,634$9,7864.83%1.42%-2.21%-2.69%
20086-8.45%-7.15%$8,820$9,086-8.45%-8.38%-1.29%2.65%
20087-0.37%-1.15%$8,788$8,9821.46%-3.68%0.39%-0.37%
200882.74%0.33%$9,029$9,0113.22%-5.11%0.15%2.74%
200891.47%-8.70%$9,162$8,227-8.90%-12.48%-10.73%1.47%
200810-1.86%-16.05%$8,991$6,907-21.86%-22.76%-1.95%-1.86%
20081114.34%-5.83%$10,280$6,505-11.41%-6.77%3.35%14.34%
20081213.64%3.15%$11,682$6,7095.15%8.45%13.80%13.64%
20091-13.07%-7.66%$10,155$6,196-9.65%-13.00%-1.80%-13.07%
20092-5.20%-8.78%$9,627$5,652-12.01%-9.21%-5.20%-1.54%
200930.47%7.79%$9,672$6,0928.50%10.14%0.47%4.04%
200942.78%9.36%$9,941$6,66218.66%13.23%2.78%-6.95%
200955.64%6.16%$10,502$7,0725.64%15.17%2.32%-3.69%
20096-2.07%0.12%$10,284$7,081-0.31%-2.07%2.89%0.76%
2009710.61%7.20%$11,375$7,5909.55%10.61%4.63%0.58%
200982.92%3.19%$11,707$7,8324.27%2.92%1.31%2.24%
200995.68%3.86%$12,372$8,1346.30%5.68%1.76%2.46%
200910-6.35%-1.91%$11,586$7,979-6.35%-3.17%-0.49%-2.62%
2009111.21%4.60%$11,726$8,3463.29%4.85%1.95%1.21%
2009121.39%1.88%$11,889$8,5037.90%1.39%-2.07%-6.34%
20101-3.37%-2.90%$11,489$8,256-3.37%-5.76%1.25%2.69%
201024.82%2.35%$12,043$8,4504.82%1.31%0.51%-0.34%
201038.45%5.21%$13,061$8,8908.45%6.72%0.65%-2.06%
201045.59%1.34%$13,790$9,0095.59%-1.76%1.91%3.32%
20105-7.76%-6.89%$12,721$8,388-7.76%-10.90%-1.31%5.11%
201065.80%-3.67%$13,458$8,080-7.74%-1.34%3.28%5.80%
20107-0.95%6.49%$13,330$8,6047.19%10.76%2.11%-0.95%
201088.40%-3.38%$14,449$8,313-6.64%-3.43%2.86%8.40%
20109-2.51%7.84%$14,086$8,96512.01%10.60%0.46%-2.51%
2010103.59%3.24%$14,592$9,2554.08%3.59%-0.26%-4.47%
2010113.18%-0.48%$15,056$9,2113.18%-4.10%-1.62%-1.69%
2010127.83%5.63%$16,234$9,7307.83%8.12%-0.75%-3.68%
201110.70%1.48%$16,348$9,8730.70%0.80%0.04%-3.08%
201125.52%2.73%$17,251$10,1435.52%2.74%1.08%1.65%
201132.35%0.18%$17,657$10,1612.35%-0.22%-0.54%0.03%
201142.94%3.22%$18,176$10,4882.94%5.45%2.50%2.34%
20115-1.96%-1.11%$17,820$10,372-1.96%-3.17%1.27%3.42%
20116-2.33%-1.43%$17,406$10,224-2.09%-1.09%-0.80%-2.33%
201174.42%-1.27%$18,174$10,093-3.63%-2.37%2.43%4.42%
201189.66%-5.11%$19,930$9,577-8.35%-8.47%0.34%9.66%
2011913.20%-7.17%$22,561$8,891-10.98%-13.01%0.35%13.20%
201110-3.84%8.99%$21,696$9,68915.28%11.49%2.51%-3.84%
2011111.98%-0.93%$22,125$9,600-0.44%-2.57%-3.16%1.98%
2011123.44%0.07%$22,887$9,6060.23%-2.43%3.49%3.44%
201216.95%4.73%$24,477$10,0616.95%6.86%2.14%-0.33%
201223.27%3.61%$25,279$10,4243.27%5.31%1.63%-2.59%
201232.33%1.41%$25,867$10,5712.33%-0.90%-1.42%-4.23%
20124-1.02%-0.56%$25,604$10,511-1.02%-1.81%1.08%4.83%
20125-6.72%-5.94%$23,882$9,886-6.72%-11.40%0.76%9.03%
20126-1.68%3.58%$23,480$10,2404.62%6.52%0.87%-1.68%
201273.82%0.99%$24,376$10,341-1.00%0.49%3.48%3.82%
20128-1.32%2.04%$24,055$10,5523.56%2.65%-0.05%-1.32%
201292.80%2.31%$24,727$10,7962.80%3.49%1.10%-2.53%
2012101.35%-0.81%$25,060$10,708-1.43%0.77%1.35%-0.48%
2012111.80%0.90%$25,511$10,8051.25%1.80%-0.42%1.38%
2012125.06%1.57%$26,801$10,9743.02%5.06%-0.33%-2.49%
201312.43%3.64%$27,452$11,3736.35%2.43%-1.30%-3.19%
201321.26%0.54%$27,796$11,4341.26%-1.39%1.08%1.24%
201334.65%2.34%$29,087$11,7024.65%0.62%-0.05%-0.42%
201340.30%1.97%$29,173$11,9320.30%3.75%2.17%4.68%
201353.60%0.20%$30,223$11,9553.60%-3.31%-3.22%-6.76%
20136-1.06%-1.88%$29,904$11,730-1.06%-3.58%-3.27%-3.27%
201376.79%4.08%$31,934$12,2096.79%4.70%1.11%-2.26%
20138-3.24%-2.04%$30,900$11,960-3.24%-1.99%-1.00%-1.34%
201395.85%3.85%$32,706$12,4205.85%7.58%0.74%0.66%
2013103.18%3.25%$33,746$12,8243.18%3.33%1.81%1.43%
2013110.34%1.54%$33,861$13,0212.71%0.34%-0.14%-2.70%
2013122.54%1.55%$34,720$13,2232.54%1.47%0.22%-1.87%
20141-2.06%-2.42%$34,006$12,902-2.06%-5.80%1.88%6.30%
201420.52%3.89%$34,184$13,4045.08%5.63%1.14%0.52%
20143-0.18%0.36%$34,123$13,452-0.18%0.46%-0.03%0.73%
201442.10%0.50%$34,839$13,519-2.44%1.47%1.33%2.10%
201451.92%1.84%$35,507$13,7681.26%1.92%1.51%2.95%
20146-0.25%1.81%$35,419$14,0174.97%1.68%0.01%-0.25%
20147-1.47%-1.43%$34,897$13,816-5.02%-1.47%-0.32%0.67%
201481.01%2.74%$35,250$14,1945.06%1.01%2.00%4.72%
20149-2.11%-2.43%$34,506$13,849-5.34%-4.88%-1.68%-2.11%
2014102.81%1.66%$35,477$14,0794.52%0.20%1.23%2.81%
2014112.97%1.43%$36,530$14,2801.06%-0.32%0.91%2.97%
2014123.25%-0.77%$37,718$14,1701.26%-3.96%-0.02%3.25%
201519.82%-0.86%$41,420$14,048-2.14%-0.02%3.75%9.82%
20152-6.14%3.99%$38,878$14,6105.80%5.85%-1.42%-6.14%
201531.10%-0.77%$39,304$14,4971.52%-1.41%0.20%1.10%
20154-2.04%1.28%$38,502$14,683-2.04%4.74%-1.19%-3.43%
20155-1.04%0.33%$38,102$14,7322.02%-1.04%-1.12%-2.37%
20156-2.81%-1.82%$37,033$14,463-0.82%-2.81%-1.88%-4.07%
20157-0.29%0.81%$36,926$14,580-0.29%-0.29%0.83%4.55%
20158-0.69%-4.92%$36,671$13,863-5.83%-7.75%-0.83%-0.69%
201591.97%-2.25%$37,391$13,551-4.53%-4.04%1.19%1.97%
201510-0.41%5.37%$37,238$14,2785.68%6.69%0.57%-0.41%
201511-0.15%-0.17%$37,181$14,2531.80%-1.32%-0.15%-0.87%
201512-4.19%-1.61%$35,621$14,024-4.19%-2.52%-1.08%-0.30%
201610.12%-3.75%$35,665$13,498-7.55%-5.60%0.12%5.57%
201623.09%-0.45%$36,766$13,4370.77%-2.44%1.05%3.09%
20163-0.09%5.72%$36,733$14,2068.47%8.31%3.62%-0.09%
20164-0.74%1.03%$36,462$14,3531.77%2.11%1.55%-0.74%
201651.89%0.53%$37,150$14,4291.89%-0.79%-0.51%0.81%
201660.34%0.35%$37,275$14,4790.34%-0.72%3.09%6.93%
201675.01%3.21%$39,140$14,9455.01%4.25%1.29%2.10%
20168-1.01%0.30%$38,744$14,9900.68%0.69%0.18%-1.01%
20169-1.51%0.47%$38,160$15,0610.39%1.58%-0.32%-1.51%
201610-1.69%-1.75%$37,513$14,798-4.06%-1.69%-1.53%-4.38%
201611-2.13%0.72%$36,715$14,9048.57%-2.13%-3.17%-8.21%
2016121.92%1.48%$37,421$15,1251.92%1.93%0.84%-0.46%
201711.53%1.95%$37,992$15,4211.53%4.14%0.15%0.81%
201722.32%2.25%$38,874$15,7682.32%1.26%1.32%1.59%
201732.99%0.82%$40,037$15,897-0.19%2.99%-0.29%-0.65%
201742.09%1.27%$40,874$16,0990.86%2.09%1.19%1.57%
201753.05%1.48%$42,121$16,337-1.11%3.05%1.33%1.89%
201760.51%0.51%$42,334$16,4202.16%0.51%0.48%0.79%
201773.38%1.89%$43,764$16,7311.19%3.38%0.77%-0.66%
201780.64%0.50%$44,044$16,814-0.93%0.64%0.68%3.41%
201791.84%1.45%$44,854$17,0574.41%1.84%-0.05%-2.32%
2017101.95%1.55%$45,730$17,3221.56%1.95%0.19%-0.04%
2017113.05%1.50%$47,126$17,5813.05%0.63%-0.12%0.74%
2017120.45%1.11%$47,337$17,7760.45%2.05%1.22%1.81%
201815.70%3.54%$50,036$18,4052.69%5.70%-1.23%-3.26%
20182-5.31%-3.16%$47,380$17,824-3.96%-5.31%-2.24%-3.04%
20183-0.44%-0.83%$47,170$17,6761.10%-0.44%0.56%2.86%
201840.37%0.24%$47,346$17,7180.37%0.57%-1.57%-2.09%
201855.10%0.78%$49,761$17,8555.10%-1.99%0.52%2.01%
201860.68%-0.24%$50,099$17,8130.68%-2.14%-0.49%0.65%
201871.82%2.11%$51,010$18,1881.82%2.89%1.34%-1.44%
201884.52%0.93%$53,314$18,3574.52%-2.34%0.02%1.31%
20189-1.47%0.03%$52,531$18,363-1.47%0.44%-0.14%-2.86%
201810-10.12%-5.58%$47,216$17,337-10.12%-8.30%-2.05%-2.93%
201811-0.36%1.37%$47,046$17,5752.19%1.47%-0.36%1.79%
2018121.86%-4.78%$47,920$16,735-11.10%-4.94%1.86%5.85%
201910.38%5.97%$48,101$17,73411.71%7.57%3.37%0.38%
20192-1.38%1.93%$47,440$18,0764.86%1.63%-0.20%-1.38%
201935.57%1.41%$50,084$18,331-0.86%1.00%2.93%5.57%
201940.44%2.40%$50,303$18,7713.59%2.85%0.44%-1.99%
201951.65%-3.70%$51,134$18,076-7.18%-5.54%1.65%6.84%
201960.95%4.87%$51,619$18,9566.96%5.89%3.25%0.95%
201970.26%0.26%$51,751$19,0051.20%-1.80%0.25%0.26%
2019811.04%-0.66%$57,467$18,880-3.97%-2.44%3.88%11.04%
20199-2.68%1.29%$55,927$19,1241.37%2.82%-0.76%-2.68%
201910-1.11%1.79%$55,304$19,4661.65%3.45%0.44%-1.11%
2019111.05%1.81%$55,883$19,8194.20%1.05%0.47%-0.41%
2019122.17%2.23%$57,093$20,2622.17%4.17%0.53%-3.20%
20201-3.40%-0.25%$55,149$20,212-2.02%-3.40%2.45%7.69%
202026.63%-4.68%$58,804$19,267-8.53%-6.61%1.09%6.63%
202036.38%-10.36%$62,554$17,271-21.97%-15.13%-6.31%6.38%
202041.22%8.05%$63,316$18,66114.55%6.80%4.85%1.22%
20205-1.76%3.63%$62,199$19,3397.65%4.68%2.46%-1.76%
202060.34%2.33%$62,409$19,7892.59%4.36%2.13%0.34%
202073.10%3.85%$64,343$20,5514.60%3.93%3.10%4.44%
202083.96%3.71%$66,893$21,3123.96%4.41%-1.78%-5.05%
Portfolio return and risk metrics
MetricMomentum ModelVanguard Target Retirement 2030 Inv
Arithmetic Mean (monthly)1.34%0.57%
Arithmetic Mean (annualized)17.35%7.07%
Geometric Mean (monthly)1.26%0.50%
Geometric Mean (annualized)16.19%6.16%
Volatility (monthly)4.14%3.76%
Volatility (annualized)14.35%13.02%
Downside Deviation (monthly)2.21%2.66%
Max. Drawdown-17.59%-43.48%
US Market Correlation0.150.98
Beta(*)0.221.00
Alpha (annualized)14.62%-0.00%
R23.89%100.00%
Sharpe Ratio1.080.48
Sortino Ratio2.000.67
Treynor Ratio (%)71.366.24
Calmar Ratio1.270.56
Active Return10.03%N/A
Tracking Error17.37%N/A
Information Ratio0.58N/A
Skewness0.15-0.89
Excess Kurtosis1.832.54
Historical Value-at-Risk (5%)-5.60%-6.98%
Analytical Value-at-Risk (5%)-5.47%-5.61%
Conditional Value-at-Risk (5%)-8.37%-9.41%
Upside Capture Ratio (%)70.57100.00
Downside Capture Ratio (%)-4.50100.00
Safe Withdrawal Rate19.26%9.04%
Perpetual Withdrawal Rate13.14%4.45%
Positive Periods98 out of 152 (64.47%)101 out of 152 (66.45%)
Gain/Loss Ratio1.350.76
* Vanguard Target Retirement 2030 Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsAug 20096 months8 months-17.59%
2Feb 2015Dec 201511 monthsMay 20171 year 5 months2 years 4 months-14.00%
3Feb 2008Jul 20086 monthsNov 20084 months10 months-13.92%
4Sep 2018Nov 20183 monthsAug 20199 months1 year-11.76%
5Apr 2012Jun 20123 monthsDec 20126 months9 months-9.23%
6May 2010May 20101 monthAug 20103 months4 months-7.76%
7Oct 2009Jan 20104 monthsMar 20102 months6 months-7.13%
8Feb 2018Mar 20182 monthsJun 20183 months5 months-5.73%
9May 2011Jun 20112 monthsAug 20112 months4 months-4.24%
10Sep 2019Jan 20205 monthsFeb 20201 month6 months-4.03%
Worst 10 drawdowns included above

Drawdowns for Vanguard Target Retirement 2030 Inv

Drawdowns for Vanguard Target Retirement 2030 Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20112 years3 years 2 months-43.48%
2May 2011Sep 20115 monthsMar 20126 months11 months-15.23%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-14.76%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.07%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-8.79%
6Apr 2012May 20122 monthsSep 20124 months6 months-6.47%
7May 2019May 20191 monthJun 20191 month2 months-3.70%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.43%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.42%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.04%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelVanguard Target Retirement 2030 Inv
AverageHighLowAverageHighLow
1 year16.48%40.98%-5.56%7.37%26.72%-32.91%
3 years16.66%31.12%2.53%8.25%13.84%-0.91%
5 years15.85%25.97%6.66%8.33%14.53%1.88%
7 years15.83%20.88%11.13%8.53%11.11%5.11%
10 years16.32%16.99%15.16%8.19%9.57%5.92%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMomentum ModelVanguard Target Retirement 2030 Inv
1Jan 2008Feb 20082100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.63%1.63%-7.33%
2Mar 2008Mar 20081100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: -0.60%-0.60%-0.41%
3Apr 2008Apr 20081100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -2.48%-2.48%4.41%
4May 2008May 20081100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: -2.21%-2.21%1.57%
5Jun 2008Jun 20081100.00% Vanguard Small-Cap ETF (VB)VB: -8.45%-8.45%-7.15%
6Jul 2008Jan 20097100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 15.13%15.13%-31.81%
7Feb 2009Apr 20093100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: -2.11%-2.11%7.53%
8May 2009May 20091100.00% Vanguard Small-Cap ETF (VB)VB: 5.64%5.64%6.16%
9Jun 2009Sep 20094100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 17.81%17.81%15.02%
10Oct 2009Oct 20091100.00% Vanguard Small-Cap ETF (VB)VB: -6.35%-6.35%-1.91%
11Nov 2009Nov 20091100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.21%1.21%4.60%
12Dec 2009Dec 20091100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.39%1.39%1.88%
13Jan 2010May 20105100.00% Vanguard Small-Cap ETF (VB)VB: 6.99%6.99%-1.35%
14Jun 2010Sep 20104100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 10.74%10.74%6.88%
15Oct 2010Oct 20101100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 3.59%3.59%3.24%
16Nov 2010May 20117100.00% Vanguard Small-Cap ETF (VB)VB: 22.12%22.12%12.06%
17Jun 2011Dec 20117100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 28.43%28.43%-7.38%
18Jan 2012May 20125100.00% Vanguard Small-Cap ETF (VB)VB: 4.35%4.35%2.92%
19Jun 2012Aug 20123100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.72%0.72%6.73%
20Sep 2012Sep 20121100.00% Vanguard Small-Cap ETF (VB)VB: 2.80%2.80%2.31%
21Oct 2012Oct 20121100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: 1.35%1.35%-0.81%
22Nov 2012Jan 20133100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 9.54%9.54%6.21%
23Feb 2013Oct 20139100.00% Vanguard Small-Cap ETF (VB)VB: 22.93%22.93%12.75%
24Nov 2013Nov 20131100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 0.34%0.34%1.54%
25Dec 2013Jan 20142100.00% Vanguard Small-Cap ETF (VB)VB: 0.43%0.43%-0.91%
26Feb 2014Feb 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.52%0.52%3.89%
27Mar 2014Mar 20141100.00% Vanguard Small-Cap ETF (VB)VB: -0.18%-0.18%0.36%
28Apr 2014Apr 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.10%2.10%0.50%
29May 2014May 20141100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.92%1.92%1.84%
30Jun 2014Jun 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -0.25%-0.25%1.81%
31Jul 2014Aug 20142100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -0.48%-0.48%1.26%
32Sep 2014Mar 20157100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 11.50%11.50%2.14%
33Apr 2015Apr 20151100.00% Vanguard Small-Cap ETF (VB)VB: -2.04%-2.04%1.28%
34May 2015Jun 20152100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -3.82%-3.82%-1.50%
35Jul 2015Jul 20151100.00% Vanguard Small-Cap ETF (VB)VB: -0.29%-0.29%0.81%
36Aug 2015Oct 20153100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.85%0.85%-2.07%
37Nov 2015Nov 20151100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: -0.15%-0.15%-0.17%
38Dec 2015Dec 20151100.00% Vanguard Small-Cap ETF (VB)VB: -4.19%-4.19%-1.61%
39Jan 2016Jan 20161100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: 0.12%0.12%-3.75%
40Feb 2016Apr 20163100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.23%2.23%6.33%
41May 2016Jul 20163100.00% Vanguard Small-Cap ETF (VB)VB: 7.34%7.34%4.12%
42Aug 2016Sep 20162100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -2.50%-2.50%0.78%
43Oct 2016Nov 20162100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -3.79%-3.79%-1.04%
44Dec 2016Feb 20173100.00% Vanguard Small-Cap ETF (VB)VB: 5.88%5.88%5.79%
45Mar 2017Oct 20178100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 17.64%17.64%9.86%
46Nov 2017Dec 20172100.00% Vanguard Small-Cap ETF (VB)VB: 3.51%3.51%2.62%
47Jan 2018Mar 20183100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -0.35%-0.35%-0.56%
48Apr 2018Oct 20187100.00% Vanguard Small-Cap ETF (VB)VB: 0.10%0.10%-1.91%
49Nov 2018Dec 20182100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: 1.49%1.49%-3.47%
50Jan 2019Mar 20193100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 4.52%4.52%9.54%
51Apr 2019May 20192100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: 2.10%2.10%-1.39%
52Jun 2019Oct 20195100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 8.16%8.16%7.69%
53Nov 2019Nov 20191100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.05%1.05%1.81%
54Dec 2019Dec 20191100.00% Vanguard Small-Cap ETF (VB)VB: 2.17%2.17%2.23%
55Jan 2020Jan 20201100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -3.40%-3.40%-0.25%
56Feb 2020Jun 20205100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 13.16%13.16%-2.09%
57Jul 2020Jul 20201100.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)LQD: 3.10%3.10%3.85%
58Aug 2020Aug 20201100.00% Vanguard Small-Cap ETF (VB)VB: 3.96%3.96%3.71%
59Sep 2020Sep 20201Please sign-in for forward signals---