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.
$ .00
$ .00
%
%
Timing Periods
Length
Unit
Weight
Time Period #1
%
Time Period #2
%
Time Period #3
%
Time Period #4
%
Time Period #5
%
Volatility Period
%
Asset 1
%
Asset 2
%
Asset 3
%
Asset 4
%
Asset 5
%
Asset 6
%
Asset 7
%
Asset 8
%
Asset 9
%
Asset 10
%
Total
%

Market Timing Results (Jan 1985 - Dec 2018)

Market timing results from 1985 to 2018 are based on 12 calendar month simple moving average of each portfolio asset. The timing portfolio is invested in the selected assets when the adjusted close price of the asset is greater than or equal to the moving average, otherwise the specific portfolio allocation is invested in cash. 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$310,80510.64%11.74%37.45%-12.20%-23.86% 0.650.960.78
Buy & Hold Portfolio$10,000$314,93310.68%14.81%37.45%-37.02%-50.97% 0.540.780.99
Save timing model »
   
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 results for the buy-and-hold comparison portfolios assume annual rebalancing
  • The results for the timing portfolio assume monthly rebalancing trades
  • Risk free returns (out of market) are based on 1-month treasury bill returns or the selected asset
  • The moving average signal is based on total return and accounts for splits and dividends
  • Monthly moving average period calculations are based on end-of-month samples
  • 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 section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Cash (CASHX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
19853.80%31.23%31.23%$13,123$13,12331.23%7.72%
19861.10%18.06%18.06%$15,493$15,49318.06%6.16%
19874.43%6.82%4.71%$16,549$16,2224.71%5.47%
19884.42%6.10%16.22%$17,558$18,85316.22%6.36%
19894.65%31.36%31.36%$23,065$24,76631.36%8.38%
19906.11%-12.20%-3.32%$20,252$23,943-3.32%7.84%
19913.06%30.22%30.22%$26,373$31,17930.22%5.60%
19922.90%7.42%7.42%$28,330$33,4937.42%3.50%
19932.75%9.89%9.89%$31,133$36,8079.89%2.90%
19942.67%-4.95%1.18%$29,591$37,2401.18%3.90%
19952.54%37.45%37.45%$40,671$51,18437.45%5.60%
19963.32%22.88%22.88%$49,975$62,89422.88%5.20%
19971.70%33.19%33.19%$66,563$83,76833.19%5.25%
19981.61%12.62%28.62%$74,962$107,74028.62%4.85%
19992.68%21.07%21.07%$90,755$130,43921.07%4.69%
20003.39%-0.78%-9.06%$90,046$118,627-9.06%5.88%
20011.55%3.82%-12.02%$93,490$104,364-12.02%3.82%
20022.38%-4.68%-22.15%$89,111$81,252-22.15%1.63%
20031.88%23.09%28.50%$109,686$104,41128.50%1.02%
20043.26%10.74%10.74%$121,467$115,62510.74%1.19%
20053.42%4.77%4.77%$127,266$121,1454.77%2.98%
20062.54%15.64%15.64%$147,173$140,09515.64%4.81%
20074.08%5.39%5.39%$155,100$147,6415.39%4.67%
20080.09%-4.72%-37.02%$147,779$92,983-37.02%1.59%
20092.72%13.99%26.49%$168,457$117,61026.49%0.09%
20101.50%-1.37%14.91%$166,141$135,15114.91%0.10%
20112.96%-1.87%1.97%$163,035$137,8081.97%0.04%
20121.74%10.87%15.82%$180,764$159,61515.82%0.06%
20131.50%32.18%32.18%$238,926$210,97232.18%0.00%
20140.76%13.51%13.51%$271,202$239,47113.51%0.00%
20150.73%-4.23%1.25%$259,723$242,4611.25%0.01%
20162.07%4.92%11.82%$272,491$271,11211.82%0.21%
20172.11%21.67%21.67%$331,533$329,85621.67%0.79%
20181.91%-6.25%-4.52%$310,805$314,933-4.52%1.80%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Cash (CASHX)
Timing PortfolioBuy & Hold PortfolioTiming PortfolioBuy & Hold Portfolio
198517.58%7.58%$10,758$10,7587.58%0.65%
198521.38%1.38%$10,907$10,9071.38%0.58%
198530.01%0.01%$10,907$10,9070.01%0.62%
19854-0.28%-0.28%$10,876$10,876-0.28%0.72%
198556.03%6.03%$11,533$11,5336.03%0.66%
198561.43%1.43%$11,698$11,6981.43%0.55%
19857-0.22%-0.22%$11,672$11,672-0.22%0.62%
19858-0.67%-0.67%$11,594$11,594-0.67%0.55%
19859-3.14%-3.14%$11,229$11,229-3.14%0.60%
1985104.40%4.40%$11,723$11,7234.40%0.65%
1985116.94%6.94%$12,537$12,5376.94%0.61%
1985124.67%4.67%$13,123$13,1234.67%0.65%
198610.43%0.43%$13,180$13,1800.43%0.56%
198627.58%7.58%$14,179$14,1797.58%0.53%
198635.48%5.48%$14,955$14,9555.48%0.60%
19864-1.35%-1.35%$14,754$14,754-1.35%0.52%
198655.45%5.45%$15,559$15,5595.45%0.49%
198661.67%1.67%$15,818$15,8181.67%0.52%
19867-5.74%-5.74%$14,909$14,909-5.74%0.52%
198687.45%7.45%$16,020$16,0207.45%0.46%
19869-8.31%-8.31%$14,690$14,690-8.31%0.45%
1986105.63%5.63%$15,517$15,5175.63%0.46%
1986112.55%2.55%$15,913$15,9132.55%0.39%
198612-2.64%-2.64%$15,493$15,493-2.64%0.49%
1987113.27%13.27%$17,548$17,54813.27%0.42%
198723.97%3.97%$18,244$18,2443.97%0.43%
198732.86%2.86%$18,766$18,7662.86%0.47%
19874-0.99%-0.99%$18,580$18,580-0.99%0.44%
198751.04%1.04%$18,772$18,7721.04%0.38%
198765.02%5.02%$19,715$19,7155.02%0.48%
198774.91%4.91%$20,684$20,6844.91%0.46%
198783.84%3.84%$21,479$21,4793.84%0.47%
19879-2.29%-2.29%$20,988$20,988-2.29%0.45%
198710-21.73%-21.73%$16,428$16,428-21.73%0.60%
1987110.35%-8.19%$16,485$15,083-8.19%0.35%
1987120.39%7.55%$16,549$16,2227.55%0.39%
198810.29%4.17%$16,597$16,8994.17%0.29%
198820.46%4.59%$16,674$17,6754.59%0.46%
198830.44%-3.04%$16,747$17,137-3.04%0.44%
198840.46%1.01%$16,824$17,3111.01%0.46%
198850.51%0.81%$16,910$17,4510.81%0.51%
198860.49%4.56%$16,993$18,2464.56%0.49%
19887-0.37%-0.37%$16,930$18,179-0.37%0.51%
19888-3.40%-3.40%$16,354$17,561-3.40%0.59%
198894.26%4.26%$17,050$18,3084.26%0.62%
1988102.73%2.73%$17,517$18,8092.73%0.61%
198811-1.47%-1.47%$17,258$18,531-1.47%0.57%
1988121.74%1.74%$17,558$18,8531.74%0.63%
198917.32%7.32%$18,844$20,2337.32%0.55%
19892-2.47%-2.47%$18,379$19,734-2.47%0.61%
198932.26%2.26%$18,794$20,1802.26%0.67%
198945.18%5.18%$19,768$21,2265.18%0.67%
198954.04%4.04%$20,566$22,0834.04%0.79%
19896-0.59%-0.59%$20,446$21,953-0.59%0.71%
198979.01%9.01%$22,287$23,9319.01%0.70%
198981.86%1.86%$22,701$24,3751.86%0.74%
19899-0.40%-0.40%$22,609$24,277-0.40%0.65%
198910-2.34%-2.34%$22,081$23,709-2.34%0.68%
1989112.04%2.04%$22,530$24,1922.04%0.69%
1989122.38%2.38%$23,065$24,7662.38%0.61%
19901-6.72%-6.72%$21,516$23,103-6.72%0.57%
199021.27%1.27%$21,790$23,3971.27%0.57%
199032.61%2.61%$22,358$24,0072.61%0.64%
19904-2.50%-2.50%$21,799$23,407-2.50%0.69%
199050.68%9.69%$21,947$25,6759.69%0.68%
19906-0.66%-0.66%$21,802$25,506-0.66%0.63%
19907-0.35%-0.35%$21,726$25,416-0.35%0.68%
19908-9.03%-9.03%$19,764$23,121-9.03%0.66%
199090.60%-4.89%$19,882$21,990-4.89%0.60%
1990100.68%-0.41%$20,017$21,900-0.41%0.68%
1990110.57%6.44%$20,131$23,3106.44%0.57%
1990120.60%2.72%$20,252$23,9432.72%0.60%
199114.35%4.35%$21,134$24,9854.35%0.52%
199127.12%7.12%$22,638$26,7637.12%0.48%
199132.41%2.41%$23,182$27,4072.41%0.44%
199140.20%0.20%$23,228$27,4610.20%0.53%
199154.27%4.27%$24,220$28,6344.27%0.47%
19916-4.56%-4.56%$23,116$27,329-4.56%0.42%
199174.63%4.63%$24,186$28,5934.63%0.49%
199182.33%2.33%$24,750$29,2602.33%0.46%
19919-1.67%-1.67%$24,337$28,772-1.67%0.46%
1991101.33%1.33%$24,660$29,1541.33%0.42%
199111-4.01%-4.01%$23,671$27,985-4.01%0.39%
19911211.41%11.41%$26,373$31,17911.41%0.38%
19921-1.88%-1.88%$25,876$30,592-1.88%0.34%
199221.24%1.24%$26,198$30,9731.24%0.28%
19923-1.93%-1.93%$25,694$30,376-1.93%0.34%
199242.91%2.91%$26,443$31,2622.91%0.32%
199250.48%0.48%$26,571$31,4130.48%0.28%
19926-1.49%-1.49%$26,174$30,945-1.49%0.32%
199274.04%4.04%$27,233$32,1964.04%0.31%
19928-2.07%-2.07%$26,670$31,530-2.07%0.26%
199291.17%1.17%$26,982$31,8991.17%0.26%
1992100.33%0.33%$27,070$32,0040.33%0.23%
1992113.40%3.40%$27,991$33,0923.40%0.23%
1992121.21%1.21%$28,330$33,4931.21%0.28%
199310.81%0.81%$28,559$33,7630.81%0.23%
199321.36%1.36%$28,946$34,2211.36%0.22%
199332.11%2.11%$29,556$34,9422.11%0.25%
19934-2.42%-2.42%$28,839$34,095-2.42%0.24%
199352.65%2.65%$29,605$35,0002.65%0.22%
199360.27%0.27%$29,684$35,0930.27%0.25%
19937-0.42%-0.42%$29,558$34,945-0.42%0.24%
199383.79%3.79%$30,677$36,2673.79%0.25%
19939-0.79%-0.79%$30,433$35,979-0.79%0.26%
1993102.08%2.08%$31,066$36,7272.08%0.22%
199311-1.00%-1.00%$30,756$36,361-1.00%0.25%
1993121.22%1.22%$31,133$36,8071.22%0.23%
199413.38%3.38%$32,184$38,0503.38%0.25%
19942-2.71%-2.71%$31,311$37,017-2.71%0.21%
19943-4.39%-4.39%$29,937$35,392-4.39%0.27%
199440.27%1.29%$30,017$35,8491.29%0.27%
199450.31%1.60%$30,110$36,4241.60%0.31%
19946-2.45%-2.45%$29,374$35,533-2.45%0.31%
199470.28%3.28%$29,456$36,6973.28%0.28%
199484.08%4.08%$30,657$38,1934.08%0.37%
19949-2.45%-2.45%$29,907$37,258-2.45%0.37%
1994102.25%2.25%$30,579$38,0952.25%0.38%
199411-3.65%-3.65%$29,461$36,703-3.65%0.37%
1994120.44%1.46%$29,591$37,2401.46%0.44%
199512.58%2.58%$30,355$38,2022.58%0.42%
199523.88%3.88%$31,533$39,6833.88%0.40%
199532.95%2.95%$32,464$40,8562.95%0.46%
199542.94%2.94%$33,419$42,0572.94%0.44%
199553.95%3.95%$34,740$43,7203.95%0.54%
199562.31%2.31%$35,543$44,7312.31%0.47%
199573.30%3.30%$36,718$46,2093.30%0.45%
199580.26%0.26%$36,815$46,3310.26%0.47%
199594.21%4.21%$38,365$48,2824.21%0.43%
199510-0.36%-0.36%$38,226$48,107-0.36%0.47%
1995114.38%4.38%$39,900$50,2144.38%0.42%
1995121.93%1.93%$40,671$51,1841.93%0.49%
199613.39%3.39%$42,048$52,9173.39%0.43%
199620.92%0.92%$42,436$53,4060.92%0.39%
199630.98%0.98%$42,851$53,9270.98%0.39%
199641.46%1.46%$43,475$54,7131.46%0.46%
199652.54%2.54%$44,581$56,1052.54%0.42%
199660.38%0.38%$44,752$56,3200.38%0.40%
19967-4.42%-4.42%$42,774$53,830-4.42%0.45%
199682.10%2.10%$43,670$54,9592.10%0.41%
199695.61%5.61%$46,118$58,0405.61%0.44%
1996102.76%2.76%$47,389$59,6392.76%0.42%
1996117.56%7.56%$50,974$64,1507.56%0.41%
199612-1.96%-1.96%$49,975$62,894-1.96%0.46%
199716.22%6.22%$53,082$66,8036.22%0.45%
199720.79%0.79%$53,501$67,3310.79%0.39%
19973-4.14%-4.14%$51,289$64,546-4.14%0.43%
199745.96%5.96%$54,343$68,3905.96%0.43%
199756.09%6.09%$57,652$72,5546.09%0.49%
199764.45%4.45%$60,219$75,7854.45%0.37%
199777.97%7.97%$65,016$81,8227.97%0.43%
19978-5.61%-5.61%$61,369$77,233-5.61%0.41%
199795.47%5.47%$64,726$81,4565.47%0.44%
199710-3.35%-3.35%$62,557$78,727-3.35%0.42%
1997114.60%4.60%$65,434$82,3484.60%0.39%
1997121.72%1.72%$66,563$83,7681.72%0.48%
199811.11%1.11%$67,302$84,6981.11%0.43%
199827.19%7.19%$72,142$90,7907.19%0.39%
199835.10%5.10%$75,824$95,4245.10%0.39%
199841.01%1.01%$76,588$96,3851.01%0.43%
19985-1.74%-1.74%$75,253$94,705-1.74%0.40%
199864.07%4.07%$78,317$98,5614.07%0.41%
19987-1.05%-1.05%$77,491$97,522-1.05%0.40%
19988-14.47%-14.47%$66,275$83,407-14.47%0.43%
199890.46%6.41%$66,580$88,7546.41%0.46%
1998100.32%8.16%$66,793$96,0008.16%0.32%
1998116.07%6.07%$70,849$101,8296.07%0.31%
1998125.81%5.81%$74,962$107,7405.81%0.38%
199914.20%4.20%$78,113$112,2694.20%0.35%
19992-3.12%-3.12%$75,672$108,761-3.12%0.35%
199934.00%4.00%$78,696$113,1084.00%0.43%
199943.85%3.85%$81,728$117,4653.85%0.37%
19995-2.39%-2.39%$79,775$114,659-2.39%0.34%
199965.56%5.56%$84,207$121,0295.56%0.40%
19997-3.13%-3.13%$81,572$117,241-3.13%0.38%
19998-0.50%-0.50%$81,167$116,659-0.50%0.39%
19999-2.74%-2.74%$78,944$113,463-2.74%0.39%
1999106.33%6.33%$83,938$120,6416.33%0.39%
1999112.02%2.02%$85,636$123,0822.02%0.36%
1999125.98%5.98%$90,755$130,4395.98%0.44%
20001-5.03%-5.03%$86,188$123,876-5.03%0.41%
20002-1.91%-1.91%$84,545$121,514-1.91%0.43%
200039.76%9.76%$92,796$133,3749.76%0.47%
20004-3.01%-3.01%$90,007$129,365-3.01%0.46%
20005-2.04%-2.04%$88,173$126,728-2.04%0.50%
200062.49%2.49%$90,366$129,8802.49%0.40%
20007-1.49%-1.49%$89,018$127,944-1.49%0.48%
200086.19%6.19%$94,529$135,8636.19%0.50%
20009-5.29%-5.29%$89,529$128,677-5.29%0.51%
200010-0.43%-0.43%$89,144$128,124-0.43%0.56%
2000110.51%-7.88%$89,598$118,031-7.88%0.51%
2000120.50%0.50%$90,046$118,6270.50%0.50%
200110.54%3.55%$90,533$122,8323.55%0.54%
200120.38%-9.14%$90,877$111,608-9.14%0.38%
200130.42%-6.36%$91,258$104,514-6.36%0.42%
200140.39%7.77%$91,614$112,6357.77%0.39%
200150.32%0.65%$91,907$113,3670.65%0.32%
200160.28%-2.45%$92,165$110,595-2.45%0.28%
200170.30%-1.00%$92,441$109,489-1.00%0.30%
200180.31%-6.27%$92,728$102,620-6.27%0.31%
200190.28%-8.09%$92,987$94,317-8.09%0.28%
2001100.22%1.90%$93,192$96,1041.90%0.22%
2001110.17%7.65%$93,350$103,4607.65%0.17%
2001120.15%0.87%$93,490$104,3640.87%0.15%
200210.14%-1.47%$93,621$102,826-1.47%0.14%
200220.13%-1.94%$93,743$100,836-1.94%0.13%
200230.13%3.74%$93,865$104,6103.74%0.13%
20024-6.07%-6.07%$88,163$98,255-6.07%0.15%
200250.14%-0.75%$88,286$97,514-0.75%0.14%
200260.13%-7.13%$88,401$90,557-7.13%0.13%
200270.15%-7.72%$88,534$83,567-7.72%0.15%
200280.14%0.65%$88,658$84,1120.65%0.14%
200290.14%-10.87%$88,782$74,965-10.87%0.14%
2002100.14%8.78%$88,906$81,5498.78%0.14%
2002110.12%5.88%$89,013$86,3405.88%0.12%
2002120.11%-5.89%$89,111$81,252-5.89%0.11%
200310.10%-2.62%$89,200$79,120-2.62%0.10%
200320.09%-1.52%$89,280$77,918-1.52%0.09%
200330.10%0.96%$89,369$78,6640.96%0.10%
200340.10%8.25%$89,459$85,1568.25%0.10%
200355.26%5.26%$94,168$89,6395.26%0.09%
200361.26%1.26%$95,354$90,7681.26%0.10%
200371.74%1.74%$97,017$92,3511.74%0.07%
200381.93%1.93%$98,892$94,1361.93%0.07%
20039-1.07%-1.07%$97,832$93,127-1.07%0.08%
2003105.64%5.64%$103,351$98,3815.64%0.07%
2003110.86%0.86%$104,245$99,2310.86%0.07%
2003125.22%5.22%$109,686$104,4115.22%0.08%
200411.82%1.82%$111,684$106,3131.82%0.07%
200421.38%1.38%$113,222$107,7771.38%0.06%
20043-1.51%-1.51%$111,509$106,146-1.51%0.09%
20044-1.58%-1.58%$109,750$104,472-1.58%0.08%
200451.36%1.36%$111,241$105,8911.36%0.06%
200461.93%1.93%$113,387$107,9341.93%0.08%
20047-3.31%-3.31%$109,633$104,360-3.31%0.10%
200480.38%0.38%$110,053$104,7600.38%0.11%
200491.07%1.07%$111,227$105,8781.07%0.11%
2004101.51%1.51%$112,912$107,4811.51%0.11%
2004114.05%4.05%$117,480$111,8304.05%0.15%
2004123.39%3.39%$121,467$115,6253.39%0.16%
20051-2.45%-2.45%$118,485$112,787-2.45%0.16%
200522.09%2.09%$120,966$115,1492.09%0.16%
20053-1.76%-1.76%$118,837$113,122-1.76%0.21%
20054-1.91%-1.91%$116,565$110,959-1.91%0.21%
200553.17%3.17%$120,257$114,4743.17%0.24%
200560.13%0.13%$120,410$114,6190.13%0.23%
200573.71%3.71%$124,873$118,8683.71%0.24%
20058-0.91%-0.91%$123,733$117,782-0.91%0.30%
200590.79%0.79%$124,715$118,7170.79%0.29%
200510-1.68%-1.68%$122,622$116,725-1.68%0.27%
2005113.76%3.76%$127,238$121,1193.76%0.31%
2005120.02%0.02%$127,266$121,1450.02%0.32%
200612.65%2.65%$130,633$124,3502.65%0.35%
200620.26%0.26%$130,976$124,6770.26%0.34%
200631.23%1.23%$132,588$126,2111.23%0.37%
200641.33%1.33%$134,356$127,8941.33%0.36%
20065-2.90%-2.90%$130,464$124,190-2.90%0.43%
200660.13%0.13%$130,631$124,3480.13%0.40%
200670.61%0.61%$131,424$125,1030.61%0.40%
200682.36%2.36%$134,528$128,0582.36%0.42%
200692.56%2.56%$137,976$131,3412.56%0.41%
2006103.25%3.25%$142,462$135,6103.25%0.41%
2006111.89%1.89%$145,153$138,1721.89%0.42%
2006121.39%1.39%$147,173$140,0951.39%0.40%
200711.49%1.49%$149,370$142,1861.49%0.44%
20072-1.97%-1.97%$146,429$139,387-1.97%0.38%
200731.11%1.11%$148,056$140,9361.11%0.43%
200744.42%4.42%$154,597$147,1624.42%0.44%
200753.48%3.48%$159,973$152,2793.48%0.41%
20076-1.68%-1.68%$157,291$149,727-1.68%0.40%
20077-3.08%-3.08%$152,439$145,108-3.08%0.40%
200781.50%1.50%$154,723$147,2821.50%0.42%
200793.72%3.72%$160,485$152,7673.72%0.32%
2007101.58%1.58%$163,019$155,1791.58%0.32%
200711-4.19%-4.19%$156,194$148,682-4.19%0.34%
200712-0.70%-0.70%$155,100$147,641-0.70%0.27%
20081-6.02%-6.02%$145,770$138,760-6.02%0.21%
200820.13%-3.25%$145,960$134,248-3.25%0.13%
200830.17%-0.44%$146,208$133,657-0.44%0.17%
200840.18%4.85%$146,471$140,1444.85%0.18%
200850.18%1.29%$146,735$141,9561.29%0.18%
200860.17%-8.44%$146,984$129,977-8.44%0.17%
200870.15%-0.83%$147,204$128,896-0.83%0.15%
200880.13%1.45%$147,396$130,7611.45%0.13%
200890.15%-8.91%$147,617$119,115-8.91%0.15%
2008100.08%-16.79%$147,735$99,113-16.79%0.08%
2008110.03%-7.17%$147,779$92,002-7.17%0.03%
2008120.00%1.07%$147,779$92,9831.07%0.00%
200910.00%-8.41%$147,779$85,161-8.41%0.00%
200920.01%-10.66%$147,794$76,085-10.66%0.01%
200930.02%8.76%$147,824$82,7508.76%0.02%
200940.01%9.56%$147,838$90,6609.56%0.01%
200950.00%5.62%$147,838$95,7535.62%0.00%
200960.01%0.22%$147,853$95,9640.22%0.01%
200970.01%7.58%$147,868$103,2367.58%0.01%
200983.60%3.60%$153,190$106,9513.60%0.01%
200993.72%3.72%$158,883$110,9273.72%0.01%
200910-1.87%-1.87%$155,916$108,855-1.87%0.00%
2009115.98%5.98%$165,242$115,3665.98%0.00%
2009121.95%1.95%$168,457$117,6101.95%0.01%
20101-3.60%-3.60%$162,386$113,372-3.60%0.00%
201023.09%3.09%$167,407$116,8773.09%0.00%
201036.01%6.01%$177,474$123,9066.01%0.01%
201041.58%1.58%$180,274$125,8611.58%0.01%
20105-8.01%-8.01%$165,843$115,786-8.01%0.01%
20106-5.24%-5.24%$157,154$109,719-5.24%0.01%
201070.01%7.00%$157,170$117,3957.00%0.01%
20108-4.53%-4.53%$150,050$112,077-4.53%0.01%
201090.01%8.92%$150,065$122,0748.92%0.01%
2010103.79%3.79%$155,750$126,6983.79%0.01%
2010110.00%0.00%$155,750$126,6980.00%0.01%
2010126.67%6.67%$166,141$135,1516.67%0.01%
201112.36%2.36%$170,057$138,3362.36%0.01%
201123.42%3.42%$175,866$143,0623.42%0.01%
201130.03%0.03%$175,911$143,0990.03%0.01%
201142.95%2.95%$181,097$147,3172.95%0.00%
20115-1.15%-1.15%$179,023$145,630-1.15%0.00%
20116-1.67%-1.67%$176,029$143,194-1.67%0.00%
20117-2.05%-2.05%$172,426$140,264-2.05%0.00%
20118-5.45%-5.45%$163,035$132,624-5.45%0.01%
201190.00%-7.04%$163,035$123,284-7.04%0.00%
2011100.00%10.91%$163,035$136,73910.91%0.00%
2011110.00%-0.23%$163,035$136,419-0.23%0.00%
2011120.00%1.02%$163,035$137,8081.02%0.00%
201210.00%4.46%$163,035$143,9604.46%0.00%
201224.31%4.31%$170,057$150,1604.31%0.00%
201233.28%3.28%$175,637$155,0883.28%0.00%
20124-0.64%-0.64%$174,514$154,096-0.64%0.00%
20125-6.02%-6.02%$164,012$144,823-6.02%0.01%
201264.11%4.11%$170,751$150,7734.11%0.00%
201271.37%1.37%$173,090$152,8391.37%0.00%
201282.24%2.24%$176,966$156,2612.24%0.01%
201292.58%2.58%$181,526$160,2882.58%0.01%
201210-1.86%-1.86%$178,150$157,307-1.86%0.01%
2012110.56%0.56%$179,148$158,1880.56%0.01%
2012120.90%0.90%$180,764$159,6150.90%0.01%
201315.18%5.18%$190,121$167,8775.18%0.00%
201321.34%1.34%$192,667$170,1251.34%0.00%
201333.74%3.74%$199,870$176,4853.74%0.00%
201341.91%1.91%$203,684$179,8541.91%0.00%
201352.33%2.33%$208,425$184,0402.33%0.00%
20136-1.35%-1.35%$205,610$181,554-1.35%0.00%
201375.07%5.07%$216,039$190,7635.07%0.00%
20138-2.91%-2.91%$209,749$185,208-2.91%0.00%
201393.12%3.12%$216,296$190,9903.12%0.00%
2013104.59%4.59%$226,217$199,7504.59%0.00%
2013113.03%3.03%$233,067$205,7993.03%0.00%
2013122.51%2.51%$238,926$210,9722.51%0.00%
20141-3.47%-3.47%$230,638$203,653-3.47%0.00%
201424.56%4.56%$241,156$212,9414.56%0.00%
201430.82%0.82%$243,143$214,6960.82%0.00%
201440.72%0.72%$244,903$216,2500.72%0.00%
201452.33%2.33%$250,622$221,2992.33%0.00%
201462.05%2.05%$255,764$225,8402.05%0.00%
20147-1.39%-1.39%$252,214$222,706-1.39%0.00%
201483.98%3.98%$262,256$231,5733.98%0.00%
20149-1.41%-1.41%$258,552$228,302-1.41%0.00%
2014102.42%2.42%$264,817$233,8342.42%0.00%
2014112.68%2.68%$271,920$240,1062.68%0.00%
201412-0.26%-0.26%$271,202$239,471-0.26%0.00%
20151-3.02%-3.02%$263,018$232,245-3.02%0.00%
201525.74%5.74%$278,114$245,5755.74%0.00%
20153-1.59%-1.59%$273,682$241,662-1.59%0.00%
201540.95%0.95%$276,279$243,9550.95%0.00%
201551.27%1.27%$279,795$247,0601.27%0.00%
20156-1.93%-1.93%$274,387$242,284-1.93%0.00%
201572.08%2.08%$280,095$247,3242.08%0.00%
20158-6.04%-6.04%$263,173$232,382-6.04%0.00%
201590.00%-2.49%$263,173$226,596-2.49%0.00%
2015100.00%8.42%$263,173$245,6818.42%0.00%
2015110.29%0.29%$263,926$246,3850.29%0.00%
201512-1.59%-1.59%$259,723$242,461-1.59%0.01%
20161-4.98%-4.98%$246,798$230,394-4.98%0.01%
201620.02%-0.15%$246,847$230,060-0.15%0.02%
201630.02%6.78%$246,896$245,6486.78%0.02%
201640.37%0.37%$247,819$246,5660.37%0.01%
201651.78%1.78%$252,237$250,9621.78%0.01%
201660.25%0.25%$252,868$251,5890.25%0.02%
201673.68%3.68%$262,164$260,8383.68%0.02%
201680.13%0.13%$262,504$261,1760.13%0.02%
201690.01%0.01%$262,525$261,1970.01%0.02%
201610-1.83%-1.83%$257,713$256,409-1.83%0.02%
2016113.70%3.70%$267,246$265,8943.70%0.01%
2016121.96%1.96%$272,491$271,1121.96%0.03%
201711.88%1.88%$277,622$276,2181.88%0.04%
201723.96%3.96%$288,624$287,1643.96%0.04%
201730.10%0.10%$288,912$287,4510.10%0.03%
201741.02%1.02%$291,854$290,3781.02%0.05%
201751.39%1.39%$295,922$294,4251.39%0.06%
201760.61%0.61%$297,731$296,2250.61%0.06%
201772.04%2.04%$303,812$302,2762.04%0.07%
201780.29%0.29%$304,704$303,1630.29%0.09%
201792.06%2.06%$310,978$309,4052.06%0.09%
2017102.32%2.32%$318,185$316,5762.32%0.09%
2017113.06%3.06%$327,920$326,2613.06%0.08%
2017121.10%1.10%$331,533$329,8561.10%0.09%
201815.71%5.71%$350,473$348,7005.71%0.11%
20182-3.69%-3.69%$337,524$335,817-3.69%0.11%
20183-2.56%-2.56%$328,899$327,235-2.56%0.12%
201840.37%0.37%$330,126$328,4570.37%0.14%
201852.39%2.39%$338,032$336,3222.39%0.14%
201860.61%0.61%$340,077$338,3570.61%0.14%
201873.71%3.71%$352,691$350,9073.71%0.16%
201883.25%3.25%$364,141$362,2993.25%0.16%
201890.55%0.55%$366,159$364,3070.55%0.15%
201810-6.85%-6.85%$341,081$339,356-6.85%0.19%
2018110.18%2.03%$341,695$346,2332.03%0.18%
201812-9.04%-9.04%$310,805$314,933-9.04%0.19%
Portfolio return and risk metrics
MetricTiming PortfolioBuy & Hold Portfolio
Arithmetic Mean (monthly)0.90%0.94%
Arithmetic Mean (annualized)11.40%11.91%
Geometric Mean (monthly)0.85%0.85%
Geometric Mean (annualized)10.64%10.68%
Volatility (monthly)3.39%4.28%
Volatility (annualized)11.74%14.81%
Downside Deviation (monthly)2.15%2.84%
Max. Drawdown-23.86%-50.97%
US Market Correlation0.780.99
Beta(*)0.610.98
Alpha (annualized)4.07%0.40%
R260.10%97.82%
Sharpe Ratio0.650.54
Sortino Ratio0.960.78
Treynor Ratio (%)12.468.21
Calmar Ratio0.410.67
Active Return0.16%0.20%
Tracking Error9.46%2.21%
Information Ratio0.020.09
Skewness-0.90-0.81
Excess Kurtosis5.952.59
Historical Value-at-Risk (5%)-4.55%-6.96%
Analytical Value-at-Risk (5%)-4.67%-6.09%
Conditional Value-at-Risk (5%)-7.51%-9.85%
Upside Capture Ratio (%)74.3798.13
Downside Capture Ratio (%)62.7096.46
Safe Withdrawal Rate10.53%11.18%
Perpetual Withdrawal Rate7.27%7.31%
Positive Periods291 out of 408 (71.32%)268 out of 408 (65.69%)
Gain/Loss Ratio0.780.92
* US stock market 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 PortfolioBuy & Hold Portfolio
Black Monday PeriodSep 1987Nov 1987-23.52%-29.78%
Asian CrisisJul 1997Jan 1998-5.61%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-6.73%-44.82%
Subprime CrisisNov 2007Mar 2009-10.58%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Aug 19881 yearJul 198911 months1 year 11 months-23.86%
2May 2010Aug 20104 monthsApr 20118 months1 year-16.77%
3Jul 1998Aug 19982 monthsMar 19997 months9 months-15.38%
4Oct 2018Dec 20183 months-15.12%
5Jan 1990Aug 19908 monthsMar 19917 months1 year 3 months-14.32%
6Aug 2015Jan 20166 monthsFeb 20171 year 1 month1 year 7 months-11.89%
7Nov 2007Jan 20083 monthsNov 20091 year 10 months2 years 1 month-10.58%
8May 2011Aug 20114 monthsSep 20121 year 1 month1 year 5 months-9.97%
9Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-8.73%
10Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (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%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Oct 2018Dec 20183 months-13.55%
7Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
8Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
10Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year11.41%37.45%-12.20%12.06%37.45%-37.02%
3 years10.64%31.03%-0.61%10.93%31.03%-14.60%
5 years10.65%25.12%2.07%10.67%28.49%-2.38%
7 years10.56%18.53%4.29%10.27%21.44%-1.64%
10 years10.49%16.09%5.72%9.72%19.04%-1.46%
15 years10.54%15.84%6.89%9.15%18.68%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 PortfolioBuy & Hold Portfolio
1Jan 1985Oct 198734100.00% Vanguard 500 Index Investor (VFINX)VFINX: 64.28%64.28%64.28%
2Nov 1987Jun 19888100.00% Cash (CASHX)CASHX: 3.44%3.44%11.07%
3Jul 1988Apr 199022100.00% Vanguard 500 Index Investor (VFINX)VFINX: 28.28%28.28%28.28%
4May 1990May 19901100.00% Cash (CASHX)CASHX: 0.68%0.68%9.69%
5Jun 1990Aug 19903100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.95%-9.95%-9.95%
6Sep 1990Dec 19904100.00% Cash (CASHX)CASHX: 2.47%2.47%3.56%
7Jan 1991Mar 199439100.00% Vanguard 500 Index Investor (VFINX)VFINX: 47.82%47.82%47.82%
8Apr 1994May 19942100.00% Cash (CASHX)CASHX: 0.58%0.58%2.91%
9Jun 1994Jun 19941100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.45%-2.45%-2.45%
10Jul 1994Jul 19941100.00% Cash (CASHX)CASHX: 0.28%0.28%3.28%
11Aug 1994Nov 19944100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.02%0.02%0.02%
12Dec 1994Dec 19941100.00% Cash (CASHX)CASHX: 0.44%0.44%1.46%
13Jan 1995Aug 199844100.00% Vanguard 500 Index Investor (VFINX)VFINX: 123.97%123.97%123.97%
14Sep 1998Oct 19982100.00% Cash (CASHX)CASHX: 0.78%0.78%15.10%
15Nov 1998Oct 200024100.00% Vanguard 500 Index Investor (VFINX)VFINX: 33.46%33.46%33.46%
16Nov 2000Mar 200217100.00% Cash (CASHX)CASHX: 5.30%5.30%-18.35%
17Apr 2002Apr 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.07%-6.07%-6.07%
18May 2002Apr 200312100.00% Cash (CASHX)CASHX: 1.47%1.47%-13.33%
19May 2003Jan 200857100.00% Vanguard 500 Index Investor (VFINX)VFINX: 62.95%62.95%62.95%
20Feb 2008Jul 200918100.00% Cash (CASHX)CASHX: 1.44%1.44%-25.60%
21Aug 2009Jun 201011100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.28%6.28%6.28%
22Jul 2010Jul 20101100.00% Cash (CASHX)CASHX: 0.01%0.01%7.00%
23Aug 2010Aug 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: -4.53%-4.53%-4.53%
24Sep 2010Sep 20101100.00% Cash (CASHX)CASHX: 0.01%0.01%8.92%
25Oct 2010Aug 201111100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.64%8.64%8.64%
26Sep 2011Jan 20125100.00% Cash (CASHX)CASHX: 0.00%0.00%8.55%
27Feb 2012Aug 201543100.00% Vanguard 500 Index Investor (VFINX)VFINX: 61.42%61.42%61.42%
28Sep 2015Oct 20152100.00% Cash (CASHX)CASHX: 0.00%0.00%5.72%
29Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-6.22%
30Feb 2016Mar 20162100.00% Cash (CASHX)CASHX: 0.04%0.04%6.62%
31Apr 2016Oct 201831100.00% Vanguard 500 Index Investor (VFINX)VFINX: 38.15%38.15%38.15%
32Nov 2018Nov 20181100.00% Cash (CASHX)CASHX: 0.18%0.18%2.03%
33Dec 2018Dec 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.04%-9.04%-9.04%
34Jan 2019Jan 20191100.00% Cash (CASHX)---