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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Time Period #5
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Volatility Period
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Asset 2
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Asset 6
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Market Timing Results (Jan 2009 - Jun 2020) Save

Tactical asset allocation model results from Jan 2009 to Jun 2020 are based on relative strength model holding the top 2 best performing assets. 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 Invesco Emerging Markets Sov Debt ETF (PCY) [Nov 2007 - Jun 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Momentum Model$10,000$47,72314.56%10.75%30.43%-1.32%-12.18% 1.272.330.45
Vanguard Target Retirement 2030 Inv$10,000$29,4959.86%11.73%26.72%-5.86%-15.77% 0.821.290.98
   
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 June.
  • 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 Developed Markets ETF (VEA)Vanguard Real Estate ETF (VNQ)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares 20+ Year Treasury Bond ETF (TLT)Invesco Emerging Markets Sov Debt ETF (PCY)
Momentum ModelVanguard Target Retirement 2030 InvMomentum ModelVanguard Target Retirement 2030 Inv
20092.72%21.37%26.72%$12,137$12,67236.59%27.49%30.08%8.46%-21.80%35.57%
20101.50%30.43%14.43%$15,830$14,50228.11%8.35%28.37%9.33%9.05%10.85%
20112.96%23.13%-1.27%$19,492$14,317-2.78%-12.30%8.62%9.73%33.96%8.44%
20121.74%25.43%14.24%$24,448$16,35718.29%18.56%17.63%10.58%2.63%20.81%
20131.50%23.99%20.49%$30,312$19,70737.70%21.83%2.31%-2.00%-13.37%-10.26%
20140.76%8.96%7.17%$33,029$21,1207.63%-5.98%30.36%8.21%27.30%9.16%
20150.73%1.98%-1.03%$33,685$20,902-3.76%-0.38%2.42%-1.25%-1.79%2.28%
20162.07%0.35%7.85%$33,803$22,54318.44%2.67%8.60%6.21%1.18%8.93%
20172.11%16.50%17.52%$39,379$26,49416.26%26.42%4.91%7.06%9.18%9.70%
20181.91%-1.32%-5.86%$38,858$24,942-9.33%-14.75%-6.02%-3.79%-1.61%-6.15%
20192.29%15.84%21.07%$45,015$30,19927.32%22.62%28.87%17.37%14.12%17.66%
2020-0.23%6.02%-2.33%$47,723$29,495-11.53%-11.11%-13.90%6.46%21.87%-6.97%
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 Developed Markets ETF (VEA)Vanguard Real Estate ETF (VNQ)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)iShares 20+ Year Treasury Bond ETF (TLT)Invesco Emerging Markets Sov Debt ETF (PCY)
Momentum ModelVanguard Target Retirement 2030 InvMomentum ModelVanguard Target Retirement 2030 Inv
20091-7.44%-7.66%$9,256$9,234-9.65%-14.02%-17.53%-1.80%-13.07%9.37%
20092-5.12%-8.78%$8,782$8,423-12.01%-10.08%-20.53%-5.20%-1.54%-5.04%
200932.11%7.79%$8,968$9,0808.50%8.42%3.61%0.47%4.04%3.76%
200945.29%9.36%$9,443$9,92918.66%11.82%30.68%2.78%-6.95%7.81%
200954.43%6.16%$9,861$10,5415.64%13.06%2.62%2.32%-3.69%3.22%
200960.41%0.12%$9,901$10,553-0.31%-1.82%-3.23%2.89%0.76%1.12%
2009710.06%7.20%$10,897$11,3139.55%10.57%10.77%4.63%0.58%3.63%
200984.38%3.19%$11,375$11,6734.27%4.50%14.32%1.31%2.24%5.04%
200995.29%3.86%$11,976$12,1246.30%3.94%6.63%1.76%2.46%3.55%
200910-5.41%-1.91%$11,329$11,892-6.35%-2.77%-4.46%-0.49%-2.62%-0.44%
2009112.94%4.60%$11,662$12,4393.29%4.11%6.57%1.95%1.21%-0.69%
2009124.08%1.88%$12,137$12,6727.90%0.79%7.37%-2.07%-6.34%0.33%
20101-4.44%-2.90%$11,598$12,305-3.37%-5.44%-5.52%1.25%2.69%-0.43%
201025.20%2.35%$12,201$12,5944.82%0.74%5.58%0.51%-0.34%1.42%
201039.32%5.21%$13,338$13,2508.45%6.30%10.18%0.65%-2.06%3.30%
201043.93%1.34%$13,862$13,4275.59%-2.77%7.15%1.91%3.32%0.71%
20105-6.55%-6.89%$12,954$12,502-7.76%-11.53%-5.33%-1.31%5.11%-1.74%
201060.30%-3.67%$12,993$12,042-7.74%-1.81%-5.19%3.28%5.80%2.28%
201070.58%6.49%$13,069$12,8237.19%11.66%9.59%2.11%-0.95%4.04%
201085.58%-3.38%$13,799$12,390-6.64%-3.58%-1.28%2.86%8.40%2.77%
201093.57%7.84%$14,291$13,36212.01%9.66%4.45%0.46%-2.51%1.29%
2010103.33%3.24%$14,767$13,7954.08%4.06%4.74%-0.26%-4.47%1.91%
201011-0.86%-0.48%$14,640$13,7293.18%-4.90%-1.85%-1.62%-1.69%-4.61%
2010128.13%5.63%$15,830$14,5027.83%8.44%4.54%-0.75%-3.68%-0.27%
201111.43%1.48%$16,057$14,7160.70%2.16%3.25%0.04%-3.08%-0.93%
201125.11%2.73%$16,878$15,1175.52%3.66%4.71%1.08%1.65%0.16%
201130.37%0.18%$16,940$15,1442.35%-2.50%-1.62%-0.54%0.03%1.34%
201144.34%3.22%$17,676$15,6322.94%6.19%5.75%2.50%2.34%1.58%
20115-0.29%-1.11%$17,624$15,458-1.96%-2.70%1.37%1.27%3.42%2.20%
20116-2.81%-1.43%$17,128$15,238-2.09%-1.22%-3.30%-0.80%-2.33%0.17%
201173.23%-1.27%$17,682$15,044-3.63%-2.39%1.56%2.43%4.42%2.04%
201185.60%-5.11%$18,672$14,274-8.35%-8.58%-5.62%0.34%9.66%1.54%
201193.80%-7.17%$19,382$13,251-10.98%-11.33%-10.85%0.35%13.20%-5.60%
201110-0.66%8.99%$19,253$14,44215.28%9.76%14.29%2.51%-3.84%5.32%
201111-0.59%-0.93%$19,140$14,308-0.44%-2.09%-3.80%-3.16%1.98%-1.39%
2011121.84%0.07%$19,492$14,3170.23%-2.12%4.85%3.49%3.44%2.08%
201216.66%4.73%$20,790$14,9956.95%5.62%6.38%2.14%-0.33%0.64%
201221.06%3.61%$21,011$15,5363.27%4.88%-1.15%1.63%-2.59%2.86%
201233.76%1.41%$21,801$15,7552.33%0.33%5.19%-1.42%-4.23%0.26%
201240.92%-0.56%$22,002$15,666-1.02%-2.38%2.86%1.08%4.83%2.13%
20125-3.43%-5.94%$21,248$14,735-6.72%-11.17%-4.51%0.76%9.03%-2.34%
201261.92%3.58%$21,656$15,2624.62%6.98%5.52%0.87%-1.68%4.53%
201274.08%0.99%$22,540$15,413-1.00%0.25%2.00%3.48%3.82%4.35%
20128-0.07%2.04%$22,523$15,7273.56%3.29%-0.01%-0.05%-1.32%1.17%
201292.34%2.31%$23,050$16,0902.80%2.64%-1.86%1.10%-2.53%2.05%
2012101.55%-0.81%$23,408$15,960-1.43%1.06%-0.91%1.35%-0.48%1.75%
2012112.05%0.90%$23,886$16,1041.25%2.71%-0.26%-0.42%1.38%1.38%
2012122.35%1.57%$24,448$16,3573.02%4.24%3.72%-0.33%-2.49%0.47%
201310.43%3.64%$24,553$16,9516.35%3.83%3.74%-1.30%-3.19%-2.98%
201320.05%0.54%$24,566$17,0421.26%-1.15%1.22%1.08%1.24%-0.08%
201333.76%2.34%$25,489$17,4414.65%1.19%2.87%-0.05%-0.42%-1.23%
201343.52%1.97%$26,385$17,7840.30%5.22%6.73%2.17%4.68%4.44%
20135-1.19%0.20%$26,071$17,8193.60%-2.97%-5.98%-3.22%-6.76%-6.43%
20136-1.91%-1.88%$25,572$17,483-1.06%-2.77%-1.98%-3.27%-3.27%-5.20%
201375.99%4.08%$27,105$18,1976.79%5.20%0.90%1.11%-2.26%0.57%
20138-2.42%-2.04%$26,449$17,826-3.24%-1.60%-6.98%-1.00%-1.34%-3.36%
201396.85%3.85%$28,260$18,5115.85%7.85%3.49%0.74%0.66%4.21%
2013103.19%3.25%$29,163$19,1133.18%3.21%4.52%1.81%1.43%2.44%
2013111.69%1.54%$29,655$19,4072.71%0.66%-5.25%-0.14%-2.70%-3.11%
2013122.22%1.55%$30,312$19,7072.54%1.90%0.10%0.22%-1.87%0.62%
20141-3.63%-2.42%$29,212$19,230-2.06%-5.21%4.28%1.88%6.30%-0.62%
201420.83%3.89%$29,455$19,9785.08%5.95%5.07%1.14%0.52%3.47%
201430.16%0.36%$29,501$20,050-0.18%-0.37%0.49%-0.03%0.73%2.03%
201442.69%0.50%$30,295$20,149-2.44%1.57%3.29%1.33%2.10%1.32%
201453.20%1.84%$31,265$20,5201.26%1.77%2.40%1.51%2.95%4.00%
20146-0.14%1.81%$31,220$20,8914.97%1.04%1.13%0.01%-0.25%-0.04%
20147-0.17%-1.43%$31,167$20,592-5.02%-2.37%0.08%-0.32%0.67%-0.42%
201482.64%2.74%$31,991$21,1555.06%0.26%3.04%2.00%4.72%2.24%
20149-3.72%-2.43%$30,799$20,641-5.34%-4.16%-6.04%-1.68%-2.11%-3.07%
2014102.02%1.66%$31,422$20,9844.52%-0.35%9.94%1.23%2.81%2.48%
2014112.48%1.43%$32,203$21,2831.06%0.00%2.00%0.91%2.97%-0.20%
2014122.57%-0.77%$33,029$21,1201.26%-3.77%1.88%-0.02%3.25%-2.14%
201518.33%-0.86%$35,782$20,938-2.14%0.71%6.85%3.75%9.82%2.61%
20152-4.91%3.99%$34,027$21,7755.80%6.16%-3.67%-1.42%-6.14%-0.31%
201531.31%-0.77%$34,471$21,6071.52%-1.22%1.74%0.20%1.10%-0.13%
201540.91%1.28%$34,786$21,884-2.04%3.87%-5.85%-1.19%-3.43%1.37%
201550.98%0.33%$35,128$21,9572.02%-0.05%-0.30%-1.12%-2.37%-0.51%
20156-1.87%-1.82%$34,472$21,556-0.82%-2.91%-4.68%-1.88%-4.07%-2.04%
201570.59%0.81%$34,675$21,731-0.29%1.46%5.77%0.83%4.55%1.12%
20158-3.49%-4.92%$33,464$20,662-5.83%-7.23%-6.29%-0.83%-0.69%-0.39%
201590.82%-2.25%$33,738$20,196-4.53%-4.08%3.05%1.19%1.97%-0.33%
2015100.08%5.37%$33,765$21,2805.68%6.73%5.76%0.57%-0.41%2.66%
201511-0.29%-0.17%$33,666$21,2441.80%-0.76%-0.63%-0.15%-0.87%0.04%
2015120.06%-1.61%$33,685$20,902-4.19%-2.14%1.82%-1.08%-0.30%-1.70%
20161-1.74%-3.75%$33,099$20,118-7.55%-5.53%-3.44%0.12%5.57%-0.04%
201622.07%-0.45%$33,784$20,0270.77%-3.08%-0.36%1.05%3.09%1.72%
201631.62%5.72%$34,330$21,1748.47%7.20%10.48%3.62%-0.09%3.32%
20164-1.54%1.03%$33,800$21,3921.77%2.31%-2.35%1.55%-0.74%1.53%
201652.07%0.53%$34,498$21,5051.89%-0.30%2.25%-0.51%0.81%-0.34%
201661.71%0.35%$35,090$21,5810.34%-2.04%6.92%3.09%6.93%4.64%
201673.32%3.21%$36,256$22,2745.01%4.16%4.26%1.29%2.10%2.38%
20168-1.54%0.30%$35,696$22,3420.68%0.41%-3.76%0.18%-1.01%1.80%
20169-0.63%0.47%$35,470$22,4480.39%1.65%-1.82%-0.32%-1.51%0.55%
201610-3.39%-1.75%$34,266$22,056-4.06%-2.41%-5.74%-1.53%-4.38%-2.73%
201611-3.46%0.72%$33,080$22,2148.57%-1.51%-1.68%-3.17%-8.21%-5.42%
2016122.19%1.48%$33,803$22,5431.92%2.45%4.82%0.84%-0.46%1.56%
201712.60%1.95%$34,681$22,9831.53%3.67%-0.19%0.15%0.81%1.86%
201721.69%2.25%$35,267$23,5012.32%1.06%3.51%1.32%1.59%1.80%
201730.32%0.82%$35,379$23,694-0.19%3.06%-2.42%-0.29%-0.65%0.48%
201742.04%1.27%$36,102$23,9950.86%2.21%0.24%1.19%1.57%1.87%
201752.05%1.48%$36,842$24,350-1.11%3.41%-0.72%1.33%1.89%0.69%
201760.03%0.51%$36,854$24,4732.16%0.64%2.23%0.48%0.79%-0.57%
201772.03%1.89%$37,603$24,9371.19%2.88%1.24%0.77%-0.66%0.96%
20178-0.12%0.50%$37,559$25,060-0.93%0.02%-0.26%0.68%3.41%2.18%
201790.10%1.45%$37,595$25,4234.41%2.52%-0.11%-0.05%-2.32%-0.21%
2017101.67%1.55%$38,223$25,8171.56%1.77%-1.07%0.19%-0.04%-0.11%
2017111.96%1.50%$38,970$26,2033.05%0.86%2.66%-0.12%0.74%-0.81%
2017121.05%1.11%$39,379$26,4940.45%1.65%-0.14%1.22%1.81%1.22%
201813.72%3.54%$40,844$27,4312.69%4.75%-4.25%-1.23%-3.26%-0.79%
20182-4.53%-3.16%$38,993$26,565-3.96%-5.11%-7.68%-2.24%-3.04%-2.92%
201830.35%-0.83%$39,130$26,3441.10%-0.40%3.88%0.56%2.86%0.12%
201840.82%0.24%$39,451$26,4070.37%1.27%0.82%-1.57%-2.09%-2.18%
201853.55%0.78%$40,852$26,6125.10%-1.43%3.68%0.52%2.01%-1.10%
201862.44%-0.24%$41,849$26,5490.68%-1.67%4.20%-0.49%0.65%-1.59%
201871.21%2.11%$42,356$27,1081.82%2.28%0.60%1.34%-1.44%3.43%
201883.55%0.93%$43,858$27,3614.52%-1.73%2.58%0.02%1.31%-2.13%
20189-2.05%0.03%$42,957$27,368-1.47%0.71%-2.64%-0.14%-2.86%1.73%
201810-6.44%-5.58%$40,188$25,840-10.12%-8.60%-2.93%-2.05%-2.93%-2.77%
201811-0.27%1.37%$40,081$26,1952.19%0.51%4.67%-0.36%1.79%-0.18%
201812-3.05%-4.78%$38,858$24,942-11.10%-5.67%-7.96%1.86%5.85%2.25%
201911.87%5.97%$39,586$26,43211.71%7.47%11.85%3.37%0.38%4.69%
20192-0.34%1.93%$39,452$26,9414.86%2.33%0.70%-0.20%-1.38%0.77%
201933.65%1.41%$40,892$27,322-0.86%0.60%4.21%2.93%5.57%1.73%
201940.06%2.40%$40,918$27,9773.59%2.84%-0.16%0.44%-1.99%0.29%
201950.79%-3.70%$41,243$26,941-7.18%-5.21%0.14%1.65%6.84%-0.06%
201962.10%4.87%$42,108$28,2526.96%5.86%1.54%3.25%0.95%4.82%
201970.26%0.26%$42,215$28,3251.20%-2.04%1.70%0.25%0.26%1.35%
201986.29%-0.66%$44,871$28,139-3.97%-1.88%3.75%3.88%11.04%1.54%
20199-1.72%1.29%$44,100$28,5031.37%3.16%1.93%-0.76%-2.68%-1.26%
2019100.01%1.79%$44,103$29,0131.65%3.21%1.13%0.44%-1.11%0.36%
2019110.02%1.81%$44,112$29,5394.20%1.34%-1.30%0.47%-0.41%-0.90%
2019122.05%2.23%$45,015$30,1992.17%3.57%0.76%0.53%-3.20%3.26%
20201-2.51%-0.25%$43,887$30,124-2.02%-3.00%1.23%2.45%7.69%1.32%
202023.86%-4.68%$45,580$28,716-8.53%-7.65%-7.03%1.09%6.63%-1.75%
202030.03%-10.36%$45,595$25,742-21.97%-15.15%-19.42%-6.31%6.38%-17.69%
202043.03%8.05%$46,978$27,81314.55%7.02%8.96%4.85%1.22%2.94%
202050.35%3.63%$47,142$28,8247.65%5.58%1.73%2.46%-1.76%5.51%
202061.23%2.33%$47,723$29,4952.59%3.49%2.41%2.13%0.34%4.54%
Portfolio return and risk metrics
MetricMomentum ModelVanguard Target Retirement 2030 Inv
Arithmetic Mean (monthly)1.19%0.84%
Arithmetic Mean (annualized)15.20%10.61%
Geometric Mean (monthly)1.14%0.79%
Geometric Mean (annualized)14.56%9.86%
Volatility (monthly)3.10%3.39%
Volatility (annualized)10.75%11.73%
Downside Deviation (monthly)1.68%2.13%
Max. Drawdown-12.18%-15.77%
US Market Correlation0.450.98
Beta(*)0.471.00
Alpha (annualized)9.47%0.00%
R226.40%100.00%
Sharpe Ratio1.270.82
Sortino Ratio2.331.29
Treynor Ratio (%)29.109.59
Calmar Ratio0.790.43
Active Return4.69%N/A
Tracking Error11.11%N/A
Information Ratio0.42N/A
Skewness-0.11-0.40
Excess Kurtosis0.681.17
Historical Value-at-Risk (5%)-4.55%-5.60%
Analytical Value-at-Risk (5%)-3.92%-4.72%
Conditional Value-at-Risk (5%)-5.98%-7.80%
Upside Capture Ratio (%)77.15100.00
Downside Capture Ratio (%)23.92100.00
Safe Withdrawal Rate21.02%15.59%
Perpetual Withdrawal Rate11.67%7.71%
Positive Periods100 out of 138 (72.46%)95 out of 138 (68.84%)
Gain/Loss Ratio1.040.88
* 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 monthsJul 20095 months7 months-12.18%
2Sep 2018Dec 20184 monthsAug 20198 months1 year-11.40%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-8.76%
4Feb 2015Jan 20161 yearJul 20166 months1 year 6 months-7.50%
5May 2010May 20101 monthSep 20104 months5 months-6.55%
6Oct 2009Oct 20091 monthDec 20092 months3 months-5.41%
7Feb 2018Feb 20181 monthMay 20183 months4 months-4.53%
8Jan 2010Jan 20101 monthFeb 20101 month2 months-4.44%
9Sep 2014Sep 20141 monthNov 20142 months3 months-3.72%
10Jan 2014Jan 20141 monthMay 20144 months5 months-3.63%
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 2009Feb 20092 monthsMay 20093 months5 months-15.77%
2May 2011Sep 20115 monthsMar 20126 months11 months-15.23%
3Jan 2020Mar 20203 months-14.76%
4May 2010Jun 20102 monthsOct 20104 months6 months-10.31%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-9.07%
6Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-8.79%
7Apr 2012May 20122 monthsSep 20124 months6 months-6.47%
8May 2019May 20191 monthJun 20191 month2 months-3.70%
9Jan 2010Jan 20101 monthMar 20102 months3 months-2.90%
10Sep 2014Sep 20141 monthNov 20142 months3 months-2.43%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMomentum ModelVanguard Target Retirement 2030 Inv
AverageHighLowAverageHighLow
1 year15.15%30.43%-1.32%11.03%26.72%-5.86%
3 years14.50%26.29%3.70%9.27%13.84%4.58%
5 years13.78%24.83%5.09%9.25%14.53%4.82%
7 years13.62%18.95%9.11%9.22%11.11%8.25%
10 years14.27%14.54%14.01%9.32%9.57%9.07%
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 2009Jan 2009150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: -1.80%
TLT: -13.07%
-7.44%-7.66%
2Feb 2009Apr 2009350.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Invesco Emerging Markets Sov Debt ETF (PCY)
LQD: -2.11%
PCY: 6.22%
2.01%7.53%
3May 2009Jun 2009250.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Small-Cap ETF (VB)
PCY: 4.38%
VB: 5.32%
4.86%6.29%
4Jul 2009Aug 2009250.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 14.23%
VEA: 15.55%
14.89%10.61%
5Sep 2009Sep 2009150.00% Vanguard FTSE Developed Markets ETF (VEA)
50.00% Vanguard Real Estate ETF (VNQ)
VEA: 3.94%
VNQ: 6.63%
5.29%3.86%
6Oct 2009Oct 2009150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: -6.35%
VNQ: -4.46%
-5.41%-1.91%
7Nov 2009Nov 2009150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: -0.69%
VNQ: 6.57%
2.94%4.60%
8Dec 2009Dec 2009150.00% Vanguard FTSE Developed Markets ETF (VEA)
50.00% Vanguard Real Estate ETF (VNQ)
VEA: 0.79%
VNQ: 7.37%
4.08%1.88%
9Jan 2010Mar 2010350.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 9.85%
VNQ: 9.91%
9.89%4.56%
10Apr 2010Apr 2010150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 0.71%
VNQ: 7.15%
3.93%1.34%
11May 2010May 2010150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: -7.76%
VNQ: -5.33%
-6.55%-6.89%
12Jun 2010Jun 2010150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: 5.80%
VNQ: -5.19%
0.30%-3.67%
13Jul 2010Jul 2010150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 2.11%
TLT: -0.95%
0.58%6.49%
14Aug 2010Aug 2010150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: 2.77%
TLT: 8.40%
5.58%-3.38%
15Sep 2010Sep 2010150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
TLT: -2.51%
VEA: 9.66%
3.57%7.84%
16Oct 2010Oct 2010150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 1.91%
VNQ: 4.74%
3.33%3.24%
17Nov 2010Jan 2011350.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 12.04%
VEA: 5.35%
8.74%6.68%
18Feb 2011May 2011450.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 9.01%
VNQ: 10.43%
9.76%5.05%
19Jun 2011Jun 2011150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: -2.33%
VNQ: -3.30%
-2.81%-1.43%
20Jul 2011Sep 2011350.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: -2.18%
TLT: 29.62%
13.16%-13.04%
21Oct 2011Nov 2011250.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: -0.73%
TLT: -1.93%
-1.25%7.98%
22Dec 2011Dec 2011150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Small-Cap ETF (VB)
TLT: 3.44%
VB: 0.23%
1.84%0.07%
23Jan 2012Apr 2012450.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 11.87%
VNQ: 13.78%
12.88%9.42%
24May 2012May 2012150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: -2.34%
VNQ: -4.51%
-3.43%-5.94%
25Jun 2012Jun 2012150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: -1.68%
VNQ: 5.52%
1.92%3.58%
26Jul 2012Aug 2012250.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: 5.57%
TLT: 2.45%
4.00%3.05%
27Sep 2012Sep 2012150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
PCY: 2.05%
VEA: 2.64%
2.34%2.31%
28Oct 2012Oct 2012150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Invesco Emerging Markets Sov Debt ETF (PCY)
LQD: 1.35%
PCY: 1.75%
1.55%-0.81%
29Nov 2012Jan 2013350.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
PCY: -1.17%
VEA: 11.16%
4.89%6.21%
30Feb 2013Feb 2013150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 1.26%
VEA: -1.15%
0.05%0.54%
31Mar 2013May 2013350.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 8.73%
VNQ: 3.23%
6.13%4.56%
32Jun 2013Jan 2014850.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 15.18%
VEA: 8.92%
12.05%7.92%
33Feb 2014Feb 2014150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 1.14%
TLT: 0.52%
0.83%3.89%
34Mar 2014Mar 2014150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: -0.18%
VNQ: 0.49%
0.16%0.36%
35Apr 2014Apr 2014150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: 2.10%
VNQ: 3.29%
2.69%0.50%
36May 2014May 2014150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 4.00%
VNQ: 2.40%
3.20%1.84%
37Jun 2014Jun 2014150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: -0.04%
TLT: -0.25%
-0.14%1.81%
38Jul 2014Aug 2014250.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 1.81%
VNQ: 3.13%
2.47%1.26%
39Sep 2014Sep 2014150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Small-Cap ETF (VB)
TLT: -2.11%
VB: -5.34%
-3.72%-2.43%
40Oct 2014Oct 2014150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 1.23%
TLT: 2.81%
2.02%1.66%
41Nov 2014Feb 2015450.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: 9.59%
VNQ: 6.96%
8.29%3.77%
42Mar 2015Mar 2015150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Small-Cap ETF (VB)
TLT: 1.10%
VB: 1.52%
1.31%-0.77%
43Apr 2015Jul 2015450.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: -1.17%
VEA: 2.27%
0.59%0.57%
44Aug 2015Aug 2015150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: -0.69%
VNQ: -6.29%
-3.49%-4.92%
45Sep 2015Sep 2015150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: -0.33%
TLT: 1.97%
0.82%-2.25%
46Oct 2015Oct 2015150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 0.57%
TLT: -0.41%
0.08%5.37%
47Nov 2015Jan 2016350.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: -1.71%
VNQ: -2.30%
-1.97%-5.46%
48Feb 2016Feb 2016150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 1.05%
TLT: 3.09%
2.07%-0.45%
49Mar 2016Mar 2016150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: 3.32%
TLT: -0.09%
1.62%5.72%
50Apr 2016Apr 2016150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: -0.74%
VNQ: -2.35%
-1.54%1.03%
51May 2016May 2016150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 1.89%
VNQ: 2.25%
2.07%0.53%
52Jun 2016Jun 2016150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Vanguard Small-Cap ETF (VB)
LQD: 3.09%
VB: 0.34%
1.71%0.35%
53Jul 2016Jul 2016150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 2.38%
VNQ: 4.26%
3.32%3.21%
54Aug 2016Aug 2016150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 0.68%
VNQ: -3.76%
-1.54%0.30%
55Sep 2016Sep 2016150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 0.55%
VNQ: -1.82%
-0.63%0.47%
56Oct 2016Oct 2016150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Small-Cap ETF (VB)
PCY: -2.73%
VB: -4.06%
-3.39%-1.75%
57Nov 2016Nov 2016150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
PCY: -5.42%
VEA: -1.51%
-3.46%0.72%
58Dec 2016Feb 2017350.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 5.88%
VEA: 7.33%
6.61%5.79%
59Mar 2017Mar 2017150.00% Vanguard FTSE Developed Markets ETF (VEA)
50.00% Vanguard Real Estate ETF (VNQ)
VEA: 3.06%
VNQ: -2.42%
0.32%0.82%
60Apr 2017Jun 2017350.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
PCY: 1.99%
VEA: 6.37%
4.17%3.29%
61Jul 2017Jul 2017150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 1.19%
VEA: 2.88%
2.03%1.89%
62Aug 2017Aug 2017150.00% Vanguard FTSE Developed Markets ETF (VEA)
50.00% Vanguard Real Estate ETF (VNQ)
VEA: 0.02%
VNQ: -0.26%
-0.12%0.50%
63Sep 2017Sep 2017150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
TLT: -2.32%
VEA: 2.52%
0.10%1.45%
64Oct 2017Apr 2018750.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: 5.22%
VEA: 4.61%
4.94%3.87%
65May 2018May 2018150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Small-Cap ETF (VB)
TLT: 2.01%
VB: 5.10%
3.55%0.78%
66Jun 2018Sep 2018450.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard Real Estate ETF (VNQ)
VB: 5.57%
VNQ: 4.69%
5.15%2.84%
67Oct 2018Oct 2018150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Small-Cap ETF (VB)
PCY: -2.77%
VB: -10.12%
-6.44%-5.58%
68Nov 2018Nov 2018150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Invesco Emerging Markets Sov Debt ETF (PCY)
LQD: -0.36%
PCY: -0.18%
-0.27%1.37%
69Dec 2018Dec 2018150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Vanguard Real Estate ETF (VNQ)
LQD: 1.86%
VNQ: -7.96%
-3.05%-4.78%
70Jan 2019Jan 2019150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 3.37%
TLT: 0.38%
1.87%5.97%
71Feb 2019Feb 2019150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: -1.38%
VNQ: 0.70%
-0.34%1.93%
72Mar 2019Mar 2019150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: 1.73%
TLT: 5.57%
3.65%1.41%
73Apr 2019Apr 2019150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% Vanguard Real Estate ETF (VNQ)
PCY: 0.29%
VNQ: -0.16%
0.06%2.40%
74May 2019May 2019150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Invesco Emerging Markets Sov Debt ETF (PCY)
LQD: 1.65%
PCY: -0.06%
0.79%-3.70%
75Jun 2019Jul 2019250.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 3.51%
TLT: 1.21%
2.36%5.14%
76Aug 2019Aug 2019150.00% Invesco Emerging Markets Sov Debt ETF (PCY)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
PCY: 1.54%
TLT: 11.04%
6.29%-0.66%
77Sep 2019Sep 2019150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: -0.76%
TLT: -2.68%
-1.72%1.29%
78Oct 2019Oct 2019150.00% iShares 20+ Year Treasury Bond ETF (TLT)
50.00% Vanguard Real Estate ETF (VNQ)
TLT: -1.11%
VNQ: 1.13%
0.01%1.79%
79Nov 2019Nov 2019150.00% Vanguard FTSE Developed Markets ETF (VEA)
50.00% Vanguard Real Estate ETF (VNQ)
VEA: 1.34%
VNQ: -1.30%
0.02%1.81%
80Dec 2019Dec 2019150.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
LQD: 0.53%
VEA: 3.57%
2.05%2.23%
81Jan 2020Jan 2020150.00% Vanguard Small-Cap ETF (VB)
50.00% Vanguard FTSE Developed Markets ETF (VEA)
VB: -2.02%
VEA: -3.00%
-2.51%-0.25%
82Feb 2020Jun 2020550.00% iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
50.00% iShares 20+ Year Treasury Bond ETF (TLT)
LQD: 3.91%
TLT: 13.16%
8.74%-2.09%
83Jul 2020Jul 20201Please sign-in for forward signals---