Test Market Timing Models

Tactical Allocation Overview

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:

  • Shiller PE Ratio Market Valuation
  • Seasonal Model
  • Moving Averages - Single Asset
  • Moving Averages - Portfolio Assets
  • Momentum - Relative Strength
  • Momentum - Dual Momentum
  • Momentum - Adaptive Allocation
  • Target Volatility

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.

Model Configuration

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

Model Simulation Results (Jan 2006 - Dec 2020) Save

Tactical asset allocation model results from Jan 2006 to Dec 2020 are based on 10 calendar month simple moving average of each portfolio asset. The tactical asset allocation model 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 (CASHX). 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 SPDR Gold Shares (GLD) [Dec 2004 - Feb 2023].

Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Moving Average Model$10,000$27,7377.04%6.00%14.53%-3.68%-5.70% 0.981.900.31
Vanguard 500 Index Investor$10,000$40,3709.75%15.12%32.18%-37.02%-50.97% 0.620.901.00

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Moving Average Model1.79%14.53%14.53%8.60%6.69%5.03%7.04%6.24%5.75%
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%13.72%9.75%18.80%15.26%
Trailing return and volatility are as of last full calendar month ending December 2020
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The results for the buy-and-hold comparison portfolios assume annual rebalancing.
  • The results for the tactical asset allocation model assume monthly rebalancing trades.
  • Risk free returns (out of market) are based on 3-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.

Annual Returns

YearInflationMoving Average ModelVanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)SPDR Gold Shares (GLD)Cash (CASHX)
ReturnBalanceReturnBalance
20062.54%12.07%$11,20715.64%$11,56415.85%2.52%22.55%4.82%
20074.08%14.41%$12,8225.39%$12,1875.14%10.37%30.45%4.56%
20080.09%6.35%$13,636-37.02%$7,675-36.81%17.91%4.92%1.53%
20092.72%12.33%$15,31826.49%$9,70826.36%-6.59%24.03%0.16%
20101.50%10.86%$16,98214.91%$11,15615.06%9.37%29.27%0.14%
20112.96%7.02%$18,1741.97%$11,3751.89%15.64%9.57%0.07%
20121.74%3.09%$18,73615.82%$13,17615.99%3.66%6.60%0.08%
20131.50%8.96%$20,41632.18%$17,41532.31%-6.09%-28.33%0.05%
20140.76%2.06%$20,83613.51%$19,76713.46%9.07%-2.19%0.03%
20150.73%-3.68%$20,0691.25%$20,0141.25%1.51%-10.67%0.05%
20162.07%0.82%$20,23311.82%$22,37912.00%1.00%8.03%0.30%
20172.11%7.04%$21,65721.67%$27,22821.70%2.55%12.81%0.88%
20181.91%-0.59%$21,529-4.52%$25,996-4.56%0.99%-1.94%1.90%
20192.29%12.50%$24,21931.33%$34,14031.22%8.03%17.86%2.13%
20201.36%14.53%$27,73718.25%$40,37018.37%10.01%24.81%0.44%

Monthly Returns

YearMonthMoving Average ModelVanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)SPDR Gold Shares (GLD)Cash (CASHX)
ReturnBalanceReturnBalance
200613.86%$10,3862.65%$10,2652.40%-0.70%9.93%0.33%
20062-0.05%$10,3810.26%$10,2920.57%-0.10%-1.11%0.37%
200631.88%$10,5761.23%$10,4181.65%-1.36%3.62%0.38%
200644.52%$11,0551.33%$10,5571.26%-0.63%12.03%0.38%
20065-1.33%$10,907-2.90%$10,251-3.01%-0.10%-1.32%0.39%
20066-1.32%$10,7630.13%$10,2640.26%0.23%-4.67%0.40%
200671.33%$10,9060.61%$10,3270.45%1.68%3.15%0.41%
200680.87%$11,0012.36%$10,5712.18%1.76%-1.38%0.42%
20069-0.18%$10,9812.56%$10,8422.70%1.21%-4.53%0.41%
2006101.38%$11,1333.25%$11,1943.15%0.54%1.29%0.40%
2006111.25%$11,2721.89%$11,4051.99%1.31%6.89%0.42%
200612-0.57%$11,2071.39%$11,5641.34%-1.28%-1.83%0.41%
200711.23%$11,3451.49%$11,7371.50%-0.40%2.56%0.41%
200720.85%$11,441-1.97%$11,506-1.96%2.06%2.55%0.42%
20073-0.02%$11,4391.11%$11,6341.16%-0.14%-1.11%0.42%
200742.38%$11,7124.42%$12,1484.43%0.61%2.05%0.41%
20075-0.07%$11,7043.48%$12,5703.39%-1.39%-2.31%0.40%
20076-1.29%$11,553-1.68%$12,359-1.46%-0.47%-1.94%0.39%
20077-0.15%$11,535-3.08%$11,978-3.13%2.26%2.37%0.39%
200781.55%$11,7141.50%$12,1571.28%2.26%1.11%0.40%
200794.81%$12,2773.72%$12,6103.87%0.09%10.51%0.33%
2007103.11%$12,6591.58%$12,8091.36%1.08%6.95%0.31%
200711-0.53%$12,592-4.19%$12,273-3.87%4.04%-1.65%0.32%
2007121.82%$12,822-0.70%$12,187-1.13%0.05%6.65%0.26%
200814.78%$13,435-6.02%$11,454-6.05%3.36%10.84%0.28%
200822.19%$13,729-3.25%$11,082-2.58%1.24%5.23%0.16%
20083-1.49%$13,525-0.44%$11,033-0.90%1.34%-6.00%0.15%
20084-2.13%$13,2374.85%$11,5684.77%-2.41%-4.16%0.11%
20085-0.24%$13,2051.29%$11,7181.51%-1.78%0.92%0.12%
200861.92%$13,458-8.44%$10,729-8.35%1.14%4.52%0.15%
20087-0.19%$13,433-0.83%$10,640-0.90%0.72%-1.44%0.16%
20088-2.52%$13,0951.45%$10,7941.55%1.53%-9.29%0.14%
200890.05%$13,102-8.91%$9,832-9.44%-0.14%4.11%0.14%
200810-0.24%$13,071-16.79%$8,181-16.52%-0.87%-16.14%0.08%
2008112.58%$13,408-7.17%$7,594-6.96%7.75%12.57%0.04%
2008121.70%$13,6361.07%$7,6750.98%5.15%7.73%0.00%
200910.55%$13,711-8.41%$7,030-8.21%-3.89%5.54%0.01%
200920.24%$13,744-10.66%$6,280-10.74%-0.74%1.45%0.02%
200930.26%$13,7808.76%$6,8318.35%3.31%-2.54%0.02%
20094-2.00%$13,5059.56%$7,4849.93%-2.75%-3.33%0.02%
200952.70%$13,8695.62%$7,9045.85%-2.08%10.23%0.01%
20096-1.71%$13,6310.22%$7,921-0.07%-0.55%-5.22%0.01%
200973.33%$14,0847.58%$8,5227.46%0.83%2.38%0.02%
200981.28%$14,2643.60%$8,8283.69%0.77%0.05%0.02%
200993.14%$14,7123.72%$9,1563.55%1.12%5.84%0.01%
2009100.53%$14,789-1.87%$8,985-1.92%-0.14%3.72%0.01%
2009116.98%$15,8225.98%$9,5236.16%2.02%12.79%0.00%
200912-3.18%$15,3181.95%$9,7081.91%-4.40%-7.20%0.01%
20101-1.65%$15,066-3.60%$9,358-3.63%2.37%-1.26%0.01%
201022.25%$15,4053.09%$9,6483.12%0.33%3.27%0.01%
201031.58%$15,6486.01%$10,2286.09%-1.06%-0.44%0.01%
201042.47%$16,0351.58%$10,3891.55%1.65%5.88%0.01%
20105-0.73%$15,918-8.01%$9,558-7.95%2.93%3.05%0.01%
201060.02%$15,922-5.24%$9,057-5.17%3.05%2.36%0.01%
20107-1.37%$15,7037.00%$9,6906.83%0.91%-5.09%0.02%
201081.46%$15,933-4.53%$9,251-4.50%3.36%5.71%0.01%
201091.58%$16,1848.92%$10,0778.96%-0.00%4.78%0.01%
2010102.51%$16,5913.79%$10,4583.82%-0.01%3.68%0.01%
2010110.40%$16,6570.00%$10,4580.00%-0.90%2.11%0.01%
2010121.95%$16,9826.67%$11,1566.68%-3.43%2.44%0.01%
20111-1.31%$16,7592.36%$11,4192.33%-0.02%-6.38%0.01%
201123.16%$17,2903.42%$11,8093.47%-0.21%6.00%0.01%
201130.54%$17,3820.03%$11,8120.01%-0.15%1.60%0.01%
201143.94%$18,0672.95%$12,1602.90%1.84%8.94%0.01%
20115-0.97%$17,891-1.15%$12,021-1.12%2.51%-1.79%0.00%
20116-1.54%$17,615-1.67%$11,820-1.69%-0.51%-2.43%0.01%
201173.14%$18,169-2.05%$11,578-2.00%3.17%8.42%0.00%
201183.72%$18,844-5.45%$10,948-5.50%4.65%12.27%0.01%
20119-2.91%$18,295-7.04%$10,177-6.94%2.24%-11.06%0.00%
2011101.51%$18,57210.91%$11,28710.91%-1.29%5.87%0.00%
2011110.74%$18,710-0.23%$11,261-0.41%0.58%1.67%0.00%
201112-2.86%$18,1741.02%$11,3751.04%1.99%-10.66%0.00%
201210.29%$18,2264.46%$11,8834.64%0.86%11.40%0.00%
201220.13%$18,2514.31%$12,3954.34%-1.10%-2.96%0.01%
201230.13%$18,2753.28%$12,8023.22%-1.59%-1.32%0.01%
201240.60%$18,385-0.64%$12,720-0.67%2.51%-0.15%0.01%
20125-1.09%$18,184-6.02%$11,954-6.01%2.87%-6.34%0.01%
201261.24%$18,4104.11%$12,4464.05%-0.42%2.35%0.01%
201270.87%$18,5701.37%$12,6161.18%1.40%0.84%0.01%
201280.82%$18,7212.24%$12,8992.51%-0.12%4.94%0.01%
201292.29%$19,1502.58%$13,2312.54%-0.35%4.67%0.01%
201210-1.72%$18,820-1.86%$12,985-1.82%-0.40%-2.94%0.01%
2012110.36%$18,8880.56%$13,0580.57%0.98%-0.47%0.01%
201212-0.81%$18,7360.90%$13,1760.90%-0.94%-2.43%0.01%
201311.15%$18,9515.18%$13,8575.12%-1.29%-0.51%0.00%
201320.44%$19,0341.34%$14,0431.28%1.13%-5.09%0.01%
201331.30%$19,2813.74%$14,5683.80%0.29%0.95%0.01%
201341.16%$19,5041.91%$14,8461.92%1.52%-7.56%0.01%
20135-0.22%$19,4612.33%$15,1922.36%-3.11%-6.20%0.00%
20136-0.45%$19,373-1.35%$14,986-1.34%-2.55%-11.06%0.00%
201371.76%$19,7145.07%$15,7475.17%-0.35%7.43%0.00%
20138-1.02%$19,513-2.91%$15,288-3.00%-1.42%5.20%0.00%
201391.08%$19,7243.12%$15,7653.17%1.85%-4.78%0.00%
2013101.58%$20,0354.59%$16,4884.63%0.78%-0.34%0.00%
2013111.01%$20,2373.03%$16,9882.96%-0.88%-5.51%0.00%
2013120.88%$20,4162.51%$17,4152.59%-2.09%-3.79%0.01%
20141-1.19%$20,172-3.47%$16,811-3.52%3.06%3.42%0.01%
201421.67%$20,5084.56%$17,5774.55%0.36%6.27%0.00%
20143-0.94%$20,3150.82%$17,7220.83%-0.56%-3.14%0.00%
201440.49%$20,4140.72%$17,8500.70%0.76%0.49%0.00%
201451.39%$20,6982.33%$18,2672.32%1.82%-3.05%0.00%
201460.63%$20,8292.05%$18,6422.06%-0.22%6.32%0.00%
20147-1.73%$20,469-1.39%$18,383-1.34%-0.22%-3.63%0.00%
201482.09%$20,8973.98%$19,1153.95%1.88%0.38%0.00%
20149-2.85%$20,300-1.41%$18,845-1.38%-1.05%-6.18%0.00%
2014101.31%$20,5662.42%$19,3022.36%1.53%-3.05%0.00%
2014111.36%$20,8452.68%$19,8202.75%1.29%-0.49%0.00%
201412-0.04%$20,836-0.26%$19,767-0.26%0.13%1.31%0.00%
201510.41%$20,922-3.02%$19,171-2.96%4.30%8.69%0.00%
20152-0.85%$20,7445.74%$20,2715.62%-2.47%-5.91%0.00%
20153-0.25%$20,692-1.59%$19,948-1.57%0.86%-2.15%0.00%
201540.13%$20,7180.95%$20,1370.98%-0.63%-0.17%0.00%
201550.30%$20,7801.27%$20,3941.29%-0.42%0.56%0.00%
20156-1.23%$20,525-1.93%$19,999-2.03%-1.63%-1.52%0.00%
201570.77%$20,6832.08%$20,4162.26%1.52%-6.62%0.00%
20158-2.04%$20,260-6.05%$19,181-6.10%0.08%3.71%0.01%
201590.01%$20,261-2.48%$18,704-2.54%1.58%-1.80%0.01%
201510-0.21%$20,2198.42%$20,2808.51%-0.64%2.28%0.00%
201511-0.01%$20,2160.29%$20,3380.37%-0.43%-6.75%0.01%
201512-0.73%$20,069-1.59%$20,014-1.72%-0.45%-0.45%0.02%
20161-1.68%$19,731-4.98%$19,018-4.98%3.33%5.41%0.01%
201620.51%$19,831-0.15%$18,990-0.08%1.49%10.93%0.03%
20163-0.29%$19,7736.78%$20,2776.72%-0.06%-0.84%0.03%
201641.77%$20,1230.37%$20,3530.39%-0.16%5.11%0.02%
20165-1.48%$19,8251.78%$20,7161.70%-0.10%-6.14%0.02%
201664.10%$20,6380.25%$20,7680.35%3.09%8.97%0.03%
201671.98%$21,0463.68%$21,5313.65%0.25%1.98%0.02%
20168-1.37%$20,7580.13%$21,5590.12%-1.01%-3.26%0.02%
201690.31%$20,8220.01%$21,5610.01%0.24%0.69%0.03%
201610-2.05%$20,394-1.83%$21,165-1.73%-1.49%-2.94%0.02%
201611-1.50%$20,0893.70%$21,9483.68%-4.23%-8.36%0.03%
2016120.72%$20,2331.96%$22,3792.03%-0.12%-1.91%0.04%
201710.64%$20,3611.88%$22,8011.79%0.22%5.42%0.04%
201721.36%$20,6393.96%$23,7043.93%0.72%3.18%0.04%
201730.07%$20,6540.10%$23,7280.13%0.08%-0.43%0.04%
201740.38%$20,7321.02%$23,9690.99%1.11%1.73%0.06%
201750.46%$20,8281.39%$24,3031.41%0.83%-0.12%0.07%
20176-0.66%$20,6900.61%$24,4520.64%-0.51%-2.16%0.08%
201770.85%$20,8662.04%$24,9512.06%0.38%2.31%0.08%
201781.97%$21,2760.29%$25,0250.29%1.46%4.20%0.09%
20179-0.90%$21,0842.06%$25,5402.01%-1.44%-3.37%0.08%
2017100.49%$21,1882.32%$26,1322.36%-0.19%-0.75%0.09%
2017111.06%$21,4133.06%$26,9313.06%-0.28%0.36%0.09%
2017121.14%$21,6571.10%$27,2281.21%0.18%2.11%0.10%
201813.02%$22,3125.71%$28,7845.64%-2.15%3.23%0.11%
20182-1.88%$21,892-3.69%$27,720-3.64%-0.93%-2.08%0.12%
20183-0.68%$21,743-2.56%$27,012-2.74%1.16%0.63%0.14%
20184-0.09%$21,7230.37%$27,1130.52%-1.28%-0.95%0.14%
201850.48%$21,8282.39%$27,7622.43%0.99%-1.20%0.15%
201860.30%$21,8940.61%$27,9300.58%0.20%-3.61%0.16%
201871.36%$22,1923.71%$28,9663.70%-0.53%-2.24%0.16%
201881.20%$22,4573.25%$29,9063.19%1.01%-2.14%0.17%
20189-0.14%$22,4260.55%$30,0720.59%-1.20%-0.66%0.17%
201810-2.23%$21,926-6.85%$28,012-6.91%-0.30%2.12%0.18%
2018110.19%$21,9682.03%$28,5801.85%1.33%0.34%0.19%
201812-2.00%$21,529-9.04%$25,996-8.79%2.80%4.94%0.19%
201911.24%$21,7958.00%$28,0778.01%0.65%2.89%0.20%
20192-0.31%$21,7283.20%$28,9753.24%-0.52%-0.61%0.20%
201930.96%$21,9371.94%$29,5361.81%2.66%-1.60%0.20%
201941.00%$22,1574.04%$30,7304.09%-0.52%-0.66%0.20%
20195-0.58%$22,028-6.36%$28,774-6.38%3.05%1.76%0.20%
201963.11%$22,7127.03%$30,7986.96%1.22%8.00%0.19%
201970.53%$22,8321.43%$31,2371.51%0.04%0.01%0.17%
201983.35%$23,596-1.59%$30,740-1.67%3.95%7.91%0.17%
20199-0.85%$23,3961.86%$31,3111.95%-1.19%-3.39%0.16%
2019101.66%$23,7842.15%$31,9862.21%0.19%2.56%0.15%
201911-0.05%$23,7713.62%$33,1443.62%-0.69%-3.21%0.13%
2019121.89%$24,2193.01%$34,1402.90%-0.93%3.66%0.13%
202012.61%$24,853-0.05%$34,123-0.04%3.47%4.50%0.13%
20202-1.92%$24,375-8.24%$31,311-7.92%2.96%-0.64%0.13%
202031.19%$24,665-12.37%$27,437-12.46%3.72%-0.22%0.10%
202042.49%$25,27912.81%$30,95312.70%0.27%7.26%0.01%
202050.96%$25,5234.76%$32,4254.76%0.33%2.59%0.01%
202061.52%$25,9111.98%$33,0661.78%0.04%2.74%0.01%
202075.85%$27,4265.63%$34,9275.89%0.85%10.79%0.01%
202081.95%$27,9597.18%$37,4336.98%-0.97%-0.32%0.01%
20209-2.54%$27,249-3.81%$36,007-3.74%0.33%-4.17%0.01%
202010-1.47%$26,847-2.67%$35,045-2.49%-1.38%-0.52%0.01%
2020112.03%$27,39110.94%$38,87710.88%0.34%-5.41%0.01%
2020121.26%$27,7373.84%$40,3703.71%-0.24%7.01%0.01%

Risk and Return Metrics

MetricMoving Average ModelVanguard 500 Index Investor
Arithmetic Mean (monthly)0.58%0.87%
Arithmetic Mean (annualized)7.23%11.01%
Geometric Mean (monthly)0.57%0.78%
Geometric Mean (annualized)7.04%9.75%
Standard Deviation (monthly)1.73%4.36%
Standard Deviation (annualized)6.00%15.12%
Downside Deviation (monthly)0.85%2.95%
Maximum Drawdown-5.70%-50.97%
Stock Market Correlation0.311.00
Beta(*)0.131.00
Alpha (annualized)5.67%0.00%
R210.09%100.00%
Sharpe Ratio0.980.62
Sortino Ratio1.900.90
Treynor Ratio (%)46.559.37
Calmar Ratio2.080.71
Active Return-2.71%N/A
Tracking Error14.38%N/A
Information Ratio-0.19N/A
Skewness0.46-0.67
Excess Kurtosis0.751.72
Historical Value-at-Risk (5%)-2.04%-7.22%
Analytical Value-at-Risk (5%)-2.27%-6.30%
Conditional Value-at-Risk (5%)-2.59%-10.10%
Upside Capture Ratio (%)27.75100.00
Downside Capture Ratio (%)5.49100.00
Safe Withdrawal Rate10.31%8.87%
Perpetual Withdrawal Rate4.81%7.16%
Positive Periods114 out of 180 (63.33%)123 out of 180 (68.33%)
Gain/Loss Ratio1.390.77
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMoving Average ModelVanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-4.79%-50.97%
COVID-19 StartJan 2020Mar 2020-1.92%-19.63%

Drawdowns for Moving Average Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Jan 20161 yearJul 20166 months1 year 6 months-5.70%
2Mar 2008Oct 20088 monthsFeb 20094 months1 year-4.79%
3Dec 2009Jan 20102 monthsApr 20103 months5 months-4.78%
4Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-4.55%
5Sep 2018Dec 20184 monthsJun 20196 months10 months-4.14%
6Sep 2020Oct 20202 months-3.98%
7Sep 2011Dec 20114 monthsSep 20129 months1 year 1 month-3.56%
8Sep 2014Sep 20141 monthJan 20154 months5 months-2.85%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-2.64%
10May 2006Jun 20062 monthsOct 20064 months6 months-2.63%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodMoving Average ModelVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year6.68%20.12%-5.70%10.03%53.61%-43.32%
3 years5.90%12.90%-0.30%9.30%25.43%-15.18%
5 years5.54%11.36%1.07%10.56%22.85%-1.26%
7 years5.36%9.38%2.32%11.12%17.12%4.02%
10 years5.48%7.21%4.15%10.46%16.52%6.32%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Timing Periods

#StartEndMonthsAssetsAsset PerformanceMoving Average ModelVanguard 500 Index Investor
67Jan 2021Jan 20211Please sign-in for forward signals---
66Dec 2020Dec 2020166.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
SPY: 3.71%		1.26%3.84%
65Jun 2020Nov 2020633.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 2.31%
IEF: -0.80%
SPY: 19.98%		7.32%19.90%
64Mar 2020May 2020334.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.12%
GLD: 9.79%
IEF: 4.35%		4.71%3.56%
63Jul 2019Feb 2020833.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 11.40%
IEF: 7.91%
SPY: 2.08%		7.32%1.67%
62Jun 2019Jun 2019134.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.19%
GLD: 8.00%
IEF: 1.22%		3.11%7.03%
61Mar 2019May 2019333.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -0.53%
IEF: 5.24%
SPY: -0.79%		1.38%-0.69%
60Jan 2019Feb 2019234.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.40%
GLD: 2.26%
IEF: 0.12%		0.93%11.46%
59Dec 2018Dec 2018133.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.19%
IEF: 2.80%
SPY: -8.79%		-2.00%-9.04%
58Nov 2018Nov 20181100.00% Cash (CASHX)CASHX: 0.19%0.19%2.03%
57Oct 2018Oct 2018166.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.18%
SPY: -6.91%		-2.23%-6.85%
56Sep 2018Sep 2018133.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.17%
IEF: -1.20%
SPY: 0.59%		-0.14%0.55%
55Jun 2018Aug 2018366.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.48%
SPY: 7.63%		2.88%7.72%
54Dec 2017May 2018633.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.77%
GLD: 1.65%
SPY: 3.17%		1.94%3.08%
53Aug 2017Nov 2017433.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 0.29%
IEF: -0.47%
SPY: 7.92%		2.62%7.93%
52Jul 2017Jul 2017133.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.08%
IEF: 0.38%
SPY: 2.06%		0.85%2.04%
51Jun 2017Jun 2017133.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -2.16%
IEF: -0.51%
SPY: 0.64%		-0.66%0.61%
50May 2017May 2017133.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.07%
GLD: -0.12%
SPY: 1.41%		0.46%1.39%
49Dec 2016Apr 2017566.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.23%
SPY: 9.14%		3.20%9.21%
48Nov 2016Nov 2016133.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.03%
GLD: -8.36%
SPY: 3.68%		-1.50%3.70%
47Apr 2016Oct 2016733.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 3.66%
IEF: 0.75%
SPY: 4.49%		3.14%4.38%
46Mar 2016Mar 2016134.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.03%
GLD: -0.84%
IEF: -0.06%		-0.29%6.78%
45Feb 2016Feb 2016167.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.03%
IEF: 1.49%		0.51%-0.15%
44Jan 2016Jan 2016166.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
SPY: -4.98%		-1.68%-4.98%
43Nov 2015Dec 2015233.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.03%
IEF: -0.88%
SPY: -1.36%		-0.74%-1.31%
42Oct 2015Oct 2015167.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.00%
IEF: -0.64%		-0.21%8.42%
41Sep 2015Sep 20151100.00% Cash (CASHX)CASHX: 0.01%0.01%-2.48%
40Aug 2015Aug 2015133.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
IEF: 0.08%
SPY: -6.10%		-2.04%-6.05%
39Jul 2015Jul 2015166.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.00%
SPY: 2.26%		0.77%2.08%
38Mar 2015Jun 2015433.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
IEF: -1.83%
SPY: -1.37%		-1.06%-1.34%
37Feb 2015Feb 2015133.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -5.91%
IEF: -2.47%
SPY: 5.62%		-0.85%5.74%
36Oct 2014Jan 2015433.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
IEF: 7.41%
SPY: 1.79%		3.06%1.73%
35Jul 2014Sep 2014333.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -9.24%
IEF: 0.59%
SPY: 1.14%		-2.54%1.09%
34Apr 2014Jun 2014333.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
IEF: 2.38%
SPY: 5.16%		2.53%5.19%
33Mar 2014Mar 2014133.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -3.14%
IEF: -0.56%
SPY: 0.83%		-0.94%0.82%
32Feb 2014Feb 2014133.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.00%
IEF: 0.36%
SPY: 4.55%		1.67%4.56%
31Jun 2013Jan 2014866.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.03%
SPY: 10.72%		3.65%10.66%
30Apr 2013May 2013233.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
IEF: -1.63%
SPY: 4.33%		0.94%4.28%
29Feb 2013Mar 2013266.00% Cash (CASHX)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.02%
SPY: 5.12%		1.74%5.13%
28Sep 2012Jan 2013533.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -1.84%
IEF: -2.00%
SPY: 7.38%		1.23%7.43%
27Apr 2012Aug 2012533.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.04%
IEF: 6.36%
SPY: 0.76%		2.44%0.76%
26Feb 2012Mar 2012233.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -4.25%
IEF: -2.67%
SPY: 7.70%		0.27%7.73%
25Jan 2012Jan 2012167.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.00%
IEF: 0.86%		0.29%4.46%
24Sep 2011Dec 2011434.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.01%
GLD: -14.48%
IEF: 3.52%		-3.56%3.91%
23Jun 2011Aug 2011333.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 18.77%
IEF: 7.42%
SPY: -8.95%		5.33%-8.93%
22Jan 2011May 2011533.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.05%
GLD: 7.87%
SPY: 7.74%		5.36%7.75%
21Oct 2010Dec 2010333.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 8.45%
IEF: -4.30%
SPY: 10.76%		4.93%10.71%
20Sep 2010Sep 2010134.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.01%
GLD: 4.78%
IEF: -0.00%		1.58%8.92%
19Aug 2010Aug 2010133.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 5.71%
IEF: 3.36%
SPY: -4.50%		1.46%-4.53%
18Jul 2010Jul 2010134.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.02%
GLD: -5.09%
IEF: 0.91%		-1.37%7.00%
17May 2010Jun 2010233.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 5.48%
IEF: 6.07%
SPY: -12.71%		-0.70%-12.83%
16Apr 2010Apr 2010133.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
GLD: 5.88%
SPY: 1.55%		2.47%1.58%
15Feb 2010Mar 2010233.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 2.82%
IEF: -0.73%
SPY: 9.40%		3.86%9.29%
14Jan 2010Jan 2010133.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.01%
GLD: -1.26%
SPY: -3.63%		-1.65%-3.60%
13Oct 2009Dec 2009333.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 8.56%
IEF: -2.61%
SPY: 6.11%		4.12%6.03%
12Jul 2009Sep 2009333.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.04%
GLD: 8.41%
SPY: 15.38%		7.93%15.59%
11Jun 2009Jun 2009167.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)		CASHX: 0.01%
GLD: -5.22%		-1.71%0.22%
10Jan 2009May 2009534.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.08%
GLD: 11.19%
IEF: -6.13%		1.70%2.98%
9Sep 2008Dec 2008467.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 0.25%
IEF: 12.16%		4.13%-28.89%
8Jan 2008Aug 2008834.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)		CASHX: 1.27%
GLD: -0.91%
IEF: 5.12%		2.13%-11.43%
7Aug 2007Dec 2007533.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 25.34%
IEF: 7.69%
SPY: 1.34%		11.16%1.75%
6Jul 2007Jul 2007133.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.39%
GLD: 2.37%
SPY: -3.13%		-0.15%-3.08%
5Dec 2006Jun 2007733.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -0.19%
IEF: -1.05%
SPY: 8.53%		2.49%8.36%
4Oct 2006Nov 2006233.00% Cash (CASHX)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 0.82%
IEF: 1.86%
SPY: 5.20%		2.64%5.20%
3Aug 2006Sep 2006233.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: -5.84%
IEF: 2.99%
SPY: 4.94%		0.69%4.99%
2Feb 2006Jul 2006633.00% Cash (CASHX)
33.00% SPDR Gold Shares (GLD)
34.00% SPDR S&P 500 ETF Trust (SPY)		CASHX: 2.35%
GLD: 11.39%
SPY: 1.12%		5.01%0.61%
1Jan 2006Jan 2006133.00% SPDR Gold Shares (GLD)
33.00% iShares 7-10 Year Treasury Bond ETF (IEF)
34.00% SPDR S&P 500 ETF Trust (SPY)		GLD: 9.93%
IEF: -0.70%
SPY: 2.40%		3.86%2.65%