Test Market Timing Models

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

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

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Market Timing Results (Jan 2000 - Oct 2019)

Market timing results from 2000 to 2019 are based on 10 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 Vanguard Long-Term Treasury Inv (VUSTX). 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 BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$32,0646.05%10.28%10.30%11.21%33.35%-5.51%-18.98%
(-19.68%)
0.781.250.41
Buy & Hold Portfolio$10,000$14,6301.94%6.00%4.78%14.94%33.35%-37.04%-50.89%
(-58.80%)
0.360.501.00
Vanguard Balanced Index Inv$10,000$14,3011.82%5.88%5.21%8.91%20.05%-22.21%-32.57%
(-37.86%)
0.500.720.99
* The number in parenthesis shows the calculated value taking into account the percentage based periodic withdrawals.
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Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The annual results for 2019 are based on full calendar months from January to October.
  • 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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Annual withdrawal of 4.00% of portfolio balance is reflected in the CAGR and maximum drawdown shown above
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceAdjustmentVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioBuy & Hold PortfolioVanguard Balanced Index InvTiming PortfolioBuy & Hold PortfolioVanguard Balanced Index InvTiming PortfolioBuy & Hold PortfolioVanguard Balanced Index Inv
20003.39%2.90%-10.57%-2.04%$9,878$8,585$9,404-$412-$358-$392-10.57%19.72%
20011.55%4.31%-10.97%-3.02%$9,892$7,338$8,756-$412-$306-$365-10.97%4.31%
20022.38%4.38%-20.96%-9.52%$9,912$5,568$7,605-$413-$232-$317-20.96%16.67%
20031.88%28.24%31.35%19.87%$12,203$7,021$8,752-$508-$293-$36531.35%2.68%
20043.26%15.05%12.51%9.32%$13,478$7,583$9,185-$562-$316-$38312.51%7.12%
20053.42%5.98%5.98%4.65%$13,712$7,715$9,228-$571-$321-$3845.98%6.61%
20062.54%15.51%15.51%11.02%$15,206$8,556$9,835-$634-$356-$41015.51%1.74%
20074.08%5.49%5.49%6.16%$15,399$8,664$10,024-$642-$361-$4185.49%9.24%
20080.09%22.52%-37.04%-22.21%$18,111$5,237$7,486-$755-$218-$312-37.04%22.52%
20092.72%9.48%28.70%20.05%$19,036$6,470$8,627-$793-$270-$35928.70%-12.05%
20101.50%-2.02%17.09%13.13%$17,906$7,273$9,369-$746-$303-$39017.09%8.93%
20112.96%9.20%0.96%4.14%$18,771$7,050$9,366-$782-$294-$3900.96%29.28%
20121.74%10.72%16.25%11.33%$19,952$7,868$10,011-$831-$328-$41716.25%3.47%
20131.50%33.35%33.35%17.91%$25,541$10,072$11,332-$1,064-$420-$47233.35%-13.03%
20140.76%12.43%12.43%9.84%$27,567$10,871$11,949-$1,149-$453-$49812.43%25.28%
20150.73%-2.83%0.29%0.37%$25,716$10,466$11,514-$1,072-$436-$4800.29%-1.54%
20162.07%20.79%12.53%8.63%$29,820$11,307$12,007-$1,242-$471-$50012.53%1.20%
20172.11%21.05%21.05%13.75%$34,653$13,140$13,112-$1,444-$547-$54621.05%8.58%
20181.91%-5.51%-5.26%-2.97%$31,433$11,951$12,214-$1,310-$498-$509-5.26%-1.90%
20192.20%2.01%22.41%17.08%$32,064$14,630$14,301$0.00$0.00$0.0022.41%18.12%
Annual returns for 2019 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioBuy & Hold PortfolioVanguard Balanced Index InvTiming PortfolioBuy & Hold PortfolioVanguard Balanced Index Inv
20001-4.18%-4.18%-2.57%$9,582$9,582$9,743-4.18%1.25%
200022.54%2.54%1.98%$9,825$9,825$9,9362.54%2.96%
200035.69%5.69%3.97%$10,384$10,384$10,3305.69%3.14%
20004-5.21%-5.21%-3.33%$9,843$9,843$9,986-5.21%-0.66%
20005-3.41%-3.41%-2.10%$9,508$9,508$9,777-3.41%-0.46%
200064.42%4.42%3.47%$9,928$9,928$10,1174.42%2.30%
20007-1.95%-1.95%-0.79%$9,734$9,734$10,036-1.95%1.49%
200087.28%7.28%4.90%$10,443$10,443$10,5287.28%2.08%
20009-4.67%-4.67%-2.53%$9,955$9,955$10,262-4.67%-0.85%
200010-2.04%-2.04%-0.94%$9,752$9,752$10,166-2.04%1.57%
2000112.99%-9.90%-5.38%$10,044$8,786$9,619-9.90%2.99%
2000122.45%1.78%1.84%$9,878$8,585$9,4041.78%2.45%
200110.28%3.83%3.04%$9,906$8,913$9,6903.83%0.28%
200121.80%-9.41%-5.34%$10,085$8,074$9,173-9.41%1.80%
20013-0.60%-6.72%-3.62%$10,024$7,532$8,840-6.72%-0.60%
20014-2.56%8.16%4.61%$9,767$8,147$9,2488.16%-2.56%
200150.21%1.01%0.86%$9,787$8,229$9,3281.01%0.21%
200160.76%-1.64%-0.80%$9,861$8,094$9,253-1.64%0.76%
200173.61%-1.71%-0.11%$10,218$7,956$9,243-1.71%3.61%
200182.02%-6.00%-3.09%$10,424$7,478$8,958-6.00%2.02%
200190.88%-9.00%-4.77%$10,516$6,805$8,530-9.00%0.88%
2001105.12%2.52%2.19%$11,055$6,977$8,7172.52%5.12%
200111-5.07%7.63%3.77%$10,495$7,510$9,0467.63%-5.07%
200112-1.82%1.78%0.83%$9,892$7,338$8,7561.78%-1.82%
20021-1.24%-1.24%-0.45%$9,769$7,246$8,717-1.24%1.20%
200221.24%-2.05%-0.84%$9,890$7,098$8,643-2.05%1.24%
20023-3.86%4.38%1.99%$9,509$7,409$8,8154.38%-3.86%
20024-4.90%-4.90%-2.30%$9,043$7,046$8,612-4.90%3.73%
200250.39%-1.22%-0.40%$9,078$6,960$8,578-1.22%0.39%
200261.76%-7.06%-3.97%$9,238$6,469$8,237-7.06%1.76%
200272.93%-8.02%-4.22%$9,508$5,950$7,889-8.02%2.93%
200284.28%0.53%0.95%$9,915$5,981$7,9640.53%4.28%
200294.02%-10.07%-5.44%$10,313$5,379$7,531-10.07%4.02%
200210-2.84%7.65%4.26%$10,021$5,791$7,8527.65%-2.84%
200211-0.98%6.06%3.58%$9,923$6,142$8,1336.06%-0.98%
2002124.05%-5.57%-2.59%$9,912$5,568$7,605-5.57%4.05%
20031-0.45%-2.54%-1.47%$9,868$5,426$7,494-2.54%-0.45%
200323.03%-1.69%-0.39%$10,166$5,335$7,464-1.69%3.03%
20033-1.13%1.09%0.58%$10,051$5,393$7,5081.09%-1.13%
200340.91%8.21%5.22%$10,142$5,835$7,8998.21%0.91%
200356.11%6.11%4.34%$10,762$6,192$8,2426.11%5.67%
200361.43%1.43%0.88%$10,916$6,280$8,3151.43%-1.48%
200372.36%2.36%0.06%$11,173$6,428$8,3202.36%-8.57%
200382.39%2.39%1.66%$11,440$6,582$8,4582.39%1.43%
20039-1.15%-1.15%0.41%$11,309$6,507$8,492-1.15%5.07%
2003106.12%6.12%3.21%$12,001$6,904$8,7646.12%-2.58%
2003111.38%1.38%0.96%$12,166$7,000$8,8491.38%0.31%
2003124.48%4.48%3.03%$12,203$7,021$8,7524.48%1.23%
200412.23%2.23%1.70%$12,475$7,177$8,9002.23%1.74%
200421.43%1.43%1.29%$12,654$7,280$9,0151.43%1.96%
20043-1.07%-1.07%-0.37%$12,518$7,202$8,982-1.07%1.45%
20044-2.11%-2.11%-2.31%$12,254$7,050$8,775-2.11%-5.52%
200451.35%1.35%0.66%$12,419$7,145$8,8331.35%-0.56%
200462.09%2.09%1.47%$12,679$7,294$8,9632.09%0.87%
20047-3.80%-3.80%-1.89%$12,197$7,017$8,793-3.80%1.52%
200483.39%0.31%0.99%$12,610$7,039$8,8800.31%3.39%
200490.94%1.74%1.15%$12,728$7,161$8,9821.74%0.94%
2004101.68%1.68%1.30%$12,941$7,281$9,0991.68%1.46%
2004114.68%4.68%2.52%$13,547$7,622$9,3294.68%-2.25%
2004123.63%3.63%2.57%$13,478$7,583$9,1853.63%2.22%
20051-2.68%-2.68%-1.34%$13,117$7,380$9,062-2.68%2.59%
200522.07%2.07%0.99%$13,389$7,533$9,1522.07%-1.24%
20053-1.75%-1.75%-1.29%$13,155$7,402$9,034-1.75%-0.76%
20054-2.32%-2.32%-0.84%$12,849$7,230$8,958-2.32%3.22%
200553.77%3.77%2.76%$13,334$7,502$9,2053.77%2.55%
200560.81%0.81%0.72%$13,442$7,563$9,2720.81%1.64%
200574.11%4.11%2.11%$13,994$7,874$9,4684.11%-2.58%
20058-0.94%-0.94%-0.10%$13,862$7,799$9,458-0.94%2.87%
200590.86%0.86%0.11%$13,980$7,866$9,4680.86%-2.78%
200510-1.86%-1.86%-1.47%$13,720$7,720$9,329-1.86%-1.74%
2005113.97%3.97%2.58%$14,265$8,026$9,5693.97%0.57%
2005120.14%0.14%0.45%$13,712$7,715$9,2280.14%2.33%
200613.50%3.50%2.12%$14,192$7,986$9,4243.50%-0.90%
200620.00%0.00%0.15%$14,192$7,986$9,4370.00%0.81%
200631.80%1.80%0.69%$14,448$8,129$9,5021.80%-3.39%
200641.11%1.11%0.54%$14,609$8,220$9,5541.11%-1.96%
20065-3.23%-3.23%-1.96%$14,136$7,954$9,367-3.23%-0.03%
200660.17%0.17%0.16%$14,160$7,968$9,3820.17%0.71%
20067-0.13%-0.13%0.50%$14,142$7,957$9,429-0.13%1.84%
200682.31%2.31%2.00%$14,469$8,141$9,6182.31%2.74%
200692.27%2.27%1.68%$14,797$8,326$9,7792.27%1.58%
2006103.53%3.53%2.43%$15,320$8,620$10,0173.53%0.77%
2006112.23%2.23%1.80%$15,662$8,812$10,1972.23%1.91%
2006121.13%1.13%0.47%$15,206$8,556$9,8351.13%-2.14%
200711.88%1.88%1.08%$15,491$8,716$9,9411.88%-0.85%
20072-1.61%-1.61%-0.32%$15,242$8,576$9,909-1.61%2.93%
200731.11%1.11%0.65%$15,410$8,671$9,9731.11%-1.13%
200744.01%4.01%2.60%$16,028$9,019$10,2324.01%0.86%
200753.69%3.69%1.90%$16,620$9,351$10,4273.69%-1.93%
20076-1.67%-1.67%-1.15%$16,342$9,195$10,307-1.67%-0.88%
20077-3.41%-3.41%-1.72%$15,785$8,881$10,129-3.41%2.39%
200781.45%1.45%1.43%$16,014$9,010$10,2741.45%1.97%
200793.59%3.59%2.45%$16,589$9,334$10,5263.59%0.21%
2007101.85%1.85%1.47%$16,896$9,507$10,6811.85%1.40%
200711-4.49%-4.49%-1.94%$16,138$9,080$10,475-4.49%4.59%
200712-0.60%-0.60%-0.32%$15,399$8,664$10,024-0.60%-0.48%
200812.64%-6.08%-2.91%$15,806$8,138$9,732-6.08%2.64%
200820.35%-3.07%-1.78%$15,861$7,888$9,559-3.07%0.35%
200831.02%-0.58%-0.19%$16,023$7,842$9,541-0.58%1.02%
20084-1.84%5.02%2.83%$15,728$8,235$9,8115.02%-1.84%
20085-2.13%2.09%0.98%$15,394$8,408$9,9072.09%-2.13%
200861.80%-8.19%-4.98%$15,671$7,719$9,414-8.19%1.80%
200870.30%-0.77%-0.44%$15,717$7,660$9,372-0.77%0.30%
200881.80%1.58%1.23%$16,001$7,781$9,4881.58%1.80%
200890.28%-9.26%-6.04%$16,046$7,060$8,915-9.26%0.28%
200810-3.63%-17.63%-11.59%$15,464$5,815$7,882-17.63%-3.63%
20081112.07%-7.90%-3.43%$17,330$5,356$7,612-7.90%12.07%
2008128.87%1.86%2.44%$18,111$5,237$7,4861.86%8.87%
20091-8.47%-8.26%-5.18%$16,577$4,805$7,098-8.26%-8.47%
20092-1.01%-10.45%-6.48%$16,410$4,303$6,637-10.45%-1.01%
200935.27%8.65%6.10%$17,274$4,675$7,0428.65%5.27%
20094-4.99%10.61%6.40%$16,412$5,171$7,49310.61%-4.99%
20095-2.68%5.38%3.58%$15,973$5,449$7,7615.38%-2.68%
200960.70%0.34%0.50%$16,085$5,468$7,8000.34%0.70%
200977.82%7.82%5.28%$17,344$5,895$8,2127.82%0.80%
200983.63%3.63%2.62%$17,973$6,109$8,4273.63%1.68%
200994.23%4.23%2.98%$18,732$6,367$8,6784.23%1.98%
200910-2.57%-2.57%-1.33%$18,251$6,204$8,563-2.57%-1.45%
2009115.63%5.63%3.88%$19,278$6,553$8,8955.63%1.91%
2009122.86%2.86%1.03%$19,036$6,470$8,6272.86%-5.66%
20101-3.50%-3.50%-1.50%$18,370$6,244$8,498-3.50%2.66%
201023.36%3.36%2.10%$18,987$6,454$8,6763.36%-0.21%
201036.27%6.27%3.74%$20,178$6,859$9,0016.27%-1.51%
201042.17%2.17%1.74%$20,617$7,008$9,1572.17%2.76%
20105-8.00%-8.00%-4.45%$18,967$6,447$8,750-8.00%4.23%
20106-5.66%-5.66%-2.75%$17,893$6,082$8,509-5.66%4.67%
20107-0.17%6.99%4.50%$17,862$6,507$8,8926.99%-0.17%
20108-4.75%-4.75%-2.33%$17,014$6,198$8,685-4.75%7.08%
20109-1.82%9.47%5.59%$16,704$6,785$9,1719.47%-1.82%
2010103.94%3.94%2.52%$17,363$7,053$9,4023.94%-3.29%
2010110.58%0.58%0.14%$17,463$7,093$9,4160.58%-1.60%
2010126.81%6.81%3.66%$17,906$7,273$9,3696.81%-3.58%
201112.19%2.19%1.36%$18,297$7,432$9,4962.19%-2.38%
201123.60%3.60%2.26%$18,955$7,700$9,7113.60%1.24%
201130.45%0.45%0.23%$19,040$7,734$9,7330.45%0.02%
201142.99%2.99%2.35%$19,610$7,966$9,9622.99%2.04%
20115-1.16%-1.16%-0.18%$19,382$7,873$9,945-1.16%3.29%
20116-1.79%-1.79%-1.21%$19,036$7,732$9,824-1.79%-2.00%
20117-2.28%-2.28%-0.72%$18,601$7,556$9,754-2.28%4.18%
20118-5.99%-5.99%-2.81%$17,486$7,103$9,479-5.99%8.68%
2011910.16%-7.75%-4.39%$19,263$6,552$9,063-7.75%10.16%
201110-3.34%11.51%6.98%$18,621$7,306$9,69511.51%-3.34%
2011111.82%-0.29%-0.28%$18,959$7,285$9,668-0.29%1.82%
2011123.13%0.80%0.92%$18,771$7,050$9,3660.80%3.13%
201210.08%5.08%3.40%$18,786$7,408$9,6855.08%0.08%
201224.26%4.26%2.49%$19,586$7,723$9,9264.26%-2.11%
201233.07%3.07%1.62%$20,186$7,960$10,0863.07%-3.77%
20124-0.65%-0.65%0.04%$20,054$7,908$10,090-0.65%4.37%
20125-6.24%-6.24%-3.34%$18,804$7,415$9,753-6.24%7.79%
201263.91%3.91%2.28%$19,539$7,705$9,9763.91%-1.44%
201271.03%1.03%1.17%$19,740$7,784$10,0931.03%3.32%
201282.48%2.48%1.55%$20,230$7,978$10,2492.48%-1.06%
201292.58%2.58%1.58%$20,752$8,183$10,4112.58%-2.10%
201210-1.76%-1.76%-1.01%$20,387$8,039$10,307-1.76%-0.43%
2012110.74%0.74%0.51%$20,538$8,099$10,3590.74%1.35%
2012121.19%1.19%0.66%$19,952$7,868$10,0111.19%-1.99%
201315.50%5.50%3.03%$21,049$8,300$10,3145.50%-3.27%
201321.28%1.28%0.98%$21,317$8,406$10,4151.28%1.26%
201333.88%3.88%2.36%$22,145$8,733$10,6613.88%0.03%
201341.70%1.70%1.39%$22,522$8,881$10,8091.70%3.87%
201352.32%2.32%0.74%$23,045$9,087$10,8892.32%-6.23%
20136-1.27%-1.27%-1.41%$22,751$8,972$10,735-1.27%-3.26%
201375.49%5.49%3.33%$23,999$9,464$11,0925.49%-1.93%
20138-2.82%-2.82%-1.95%$23,321$9,196$10,876-2.82%-1.28%
201393.66%3.66%2.56%$24,176$9,533$11,1543.66%0.88%
2013104.22%4.22%2.83%$25,197$9,936$11,4704.22%1.32%
2013112.88%2.88%1.60%$25,923$10,222$11,6542.88%-2.49%
2013122.63%2.63%1.29%$25,541$10,072$11,3322.63%-2.37%
20141-3.11%-3.11%-1.24%$24,748$9,759$11,192-3.11%6.26%
201424.73%4.73%3.02%$25,919$10,221$11,5294.73%0.60%
201430.51%0.51%0.21%$26,052$10,273$11,5540.51%0.63%
201440.06%0.06%0.36%$26,068$10,280$11,5950.06%1.82%
201452.17%2.17%1.71%$26,634$10,503$11,7932.17%2.73%
201462.54%2.54%1.57%$27,310$10,769$11,9782.54%-0.16%
20147-1.98%-1.98%-1.28%$26,770$10,556$11,825-1.98%0.59%
201484.18%4.18%2.95%$27,889$10,998$12,1744.18%4.23%
20149-2.14%-2.14%-1.57%$27,294$10,763$11,982-2.14%-1.99%
2014102.74%2.74%2.09%$28,041$11,058$12,2332.74%2.61%
2014112.41%2.41%1.74%$28,717$11,324$12,4452.41%2.86%
201412-0.01%-0.01%0.01%$27,567$10,871$11,949-0.01%2.82%
20151-2.77%-2.77%-0.77%$26,803$10,569$11,857-2.77%8.97%
201525.76%5.76%2.95%$28,347$11,178$12,2075.76%-5.66%
20153-1.04%-1.04%-0.44%$28,053$11,062$12,153-1.04%1.13%
201540.42%0.42%0.10%$28,171$11,109$12,1650.42%-3.07%
201551.39%1.39%0.63%$28,563$11,263$12,2421.39%-2.16%
20156-1.71%-1.71%-1.42%$28,075$11,071$12,069-1.71%-3.73%
201571.63%1.63%1.31%$28,533$11,252$12,2271.63%4.21%
20158-6.03%-6.03%-3.72%$26,814$10,574$11,772-6.03%-0.71%
201591.91%-2.93%-1.45%$27,326$10,263$11,602-2.93%1.91%
201510-0.48%7.84%4.61%$27,195$11,068$12,1367.84%-0.48%
2015110.54%0.54%0.24%$27,342$11,128$12,1650.54%-0.81%
201512-2.03%-2.03%-1.41%$25,716$10,466$11,514-2.03%-0.34%
201615.24%-5.67%-2.81%$27,063$9,873$11,190-5.67%5.24%
201622.86%-0.04%0.28%$27,836$9,869$11,222-0.04%2.86%
201630.05%7.01%4.59%$27,851$10,561$11,7377.01%0.05%
201640.63%0.63%0.54%$28,026$10,627$11,8000.63%-0.63%
201651.79%1.79%1.04%$28,528$10,817$11,9231.79%0.69%
201660.23%0.23%0.93%$28,593$10,842$12,0340.23%6.57%
201673.95%3.95%2.64%$29,722$11,270$12,3523.95%2.01%
201680.26%0.26%0.06%$29,799$11,299$12,3600.26%-1.00%
201690.15%0.15%0.08%$29,843$11,316$12,3700.15%-1.32%
201610-2.21%-2.21%-1.68%$29,182$11,065$12,162-2.21%-4.23%
2016114.44%4.44%1.61%$30,477$11,556$12,3584.44%-7.86%
2016121.92%1.92%1.21%$29,820$11,307$12,0071.92%-0.35%
201711.91%1.91%1.25%$30,389$11,523$12,1581.91%0.65%
201723.71%3.71%2.48%$31,517$11,951$12,4593.71%1.57%
201730.07%0.07%0.02%$31,538$11,958$12,4610.07%-0.59%
201741.05%1.05%0.93%$31,869$12,084$12,5781.05%1.58%
201751.01%1.01%0.89%$32,189$12,206$12,6901.01%1.73%
201760.92%0.92%0.55%$32,486$12,318$12,7600.92%0.63%
201771.87%1.87%1.28%$33,092$12,548$12,9241.87%-0.59%
201780.15%0.15%0.42%$33,140$12,566$12,9780.15%3.27%
201792.45%2.45%1.26%$33,953$12,875$13,1422.45%-2.27%
2017102.16%2.16%1.31%$34,686$13,152$13,3142.16%-0.02%
2017113.04%3.04%1.79%$35,742$13,553$13,5533.04%0.63%
2017120.99%0.99%0.78%$34,653$13,140$13,1120.99%1.78%
201815.31%5.31%2.71%$36,493$13,837$13,4675.31%-3.40%
20182-3.72%-3.72%-2.61%$35,137$13,323$13,116-3.72%-2.89%
20183-1.99%-1.99%-0.93%$34,436$13,058$12,994-1.99%2.75%
201840.38%0.38%-0.09%$34,566$13,107$12,9820.38%-2.04%
201852.79%2.79%1.93%$35,531$13,473$13,2332.79%1.79%
201860.68%0.68%0.40%$35,772$13,564$13,2850.68%0.66%
201873.34%3.34%2.01%$36,966$14,017$13,5523.34%-1.28%
201883.44%3.44%2.31%$38,238$14,499$13,8653.44%1.18%
201890.16%0.16%-0.13%$38,299$14,522$13,8470.16%-2.74%
201810-7.40%-7.40%-4.76%$35,465$13,448$13,188-7.40%-2.82%
2018111.78%2.06%1.48%$36,097$13,725$13,3832.06%1.78%
201812-9.29%-9.29%-4.93%$31,433$11,951$12,214-9.29%5.50%
201910.49%8.59%5.55%$31,588$12,977$12,8928.59%0.49%
20192-1.31%3.50%2.10%$31,176$13,432$13,1623.50%-1.31%
201931.44%1.44%1.65%$31,623$13,625$13,3791.44%5.47%
201943.98%3.98%2.39%$32,881$14,166$13,7003.98%-1.88%
20195-6.45%-6.45%-3.21%$30,761$13,253$13,260-6.45%6.65%
201961.01%6.97%4.63%$31,071$14,177$13,8746.97%1.01%
201971.44%1.44%0.97%$31,518$14,381$14,0091.44%0.22%
20198-2.03%-2.03%-0.11%$30,880$14,089$13,994-2.03%10.68%
201991.70%1.70%0.80%$31,406$14,329$14,1061.70%-2.62%
2019102.10%2.10%1.39%$32,064$14,630$14,3012.10%-1.10%
* End-of-month balance includes the annual contribution/withdrawal
Portfolio return and risk metrics
MetricTiming PortfolioBuy & Hold PortfolioVanguard Balanced Index Inv
Arithmetic Mean (monthly)0.87%0.58%0.51%
Arithmetic Mean (annualized)10.97%7.20%6.30%
Geometric Mean (monthly)0.82%0.49%0.48%
Geometric Mean (annualized)10.28%6.00%5.88%
Volatility (monthly)3.24%4.31%2.57%
Volatility (annualized)11.21%14.94%8.91%
Downside Deviation (monthly)1.97%3.03%1.73%
Max. Drawdown-18.98%-50.89%-32.57%
US Market Correlation0.411.000.99
Beta(*)0.541.661.00
Alpha (annualized)7.13%-3.18%0.00%
R218.57%97.54%100.00%
Sharpe Ratio0.780.360.50
Sortino Ratio1.250.500.72
Treynor Ratio (%)16.283.234.51
Calmar Ratio0.461.001.21
Active Return4.40%0.12%N/A
Tracking Error10.91%6.30%N/A
Information Ratio0.400.02N/A
Skewness-0.25-0.65-0.72
Excess Kurtosis0.831.141.83
Historical Value-at-Risk (5%)-4.99%-8.00%-4.47%
Analytical Value-at-Risk (5%)-4.45%-6.51%-3.72%
Conditional Value-at-Risk (5%)-6.71%-9.95%-5.90%
Upside Capture Ratio (%)103.14160.16100.00
Downside Capture Ratio (%)62.25178.11100.00
Safe Withdrawal Rate10.01%4.95%6.01%
Perpetual Withdrawal Rate7.68%3.79%3.67%
Positive Periods162 out of 238 (68.07%)153 out of 238 (64.29%)157 out of 238 (65.97%)
Gain/Loss Ratio0.910.780.86
* Vanguard Balanced Index Inv 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 PortfolioVanguard Balanced Index Inv
Dotcom CrashMar 2000Oct 2002-14.79%-44.11%-22.39%
Subprime CrisisNov 2007Mar 2009-9.39%-50.89%-32.57%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2010Sep 20105 monthsFeb 20121 year 5 months1 year 10 months-18.98%
2Oct 2018May 20198 months-16.34%
3Nov 2001Apr 20026 monthsMay 20031 year 1 month1 year 7 months-14.79%
4Jan 2009May 20095 monthsSep 20094 months9 months-11.81%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7Sep 2000Oct 20002 monthsFeb 20014 months6 months-6.62%
8Jun 2015Dec 20157 monthsFeb 20162 months9 months-6.22%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
10Nov 2007May 20087 monthsNov 20086 months1 year 1 month-5.10%
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 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
5Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-5.64%
9Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
10Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
5Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
6Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
8May 2012May 20121 monthJul 20122 months3 months-3.34%
9May 2019May 20191 monthJun 20191 month2 months-3.21%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-2.85%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioBuy & Hold PortfolioVanguard Balanced Index Inv
AverageHighLowAverageHighLowAverageHighLow
1 year11.11%33.35%-5.51%6.77%33.35%-37.04%5.81%20.05%-22.21%
3 years11.65%18.40%3.86%6.75%20.34%-14.31%6.04%12.98%-4.92%
5 years11.77%16.33%8.58%7.35%18.72%-1.76%6.44%13.17%0.96%
7 years11.63%14.47%9.21%7.06%15.00%-0.73%6.35%10.77%1.86%
10 years11.39%12.97%10.07%6.60%13.13%-0.27%6.17%9.39%2.64%
15 years11.76%13.23%10.95%7.15%10.30%4.75%6.38%8.02%5.41%
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 PortfolioVanguard Balanced Index Inv
1Jan 2000Oct 200010100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -2.48%-2.48%-2.48%1.66%
2Nov 2000Dec 200114100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 10.06%10.06%-18.35%-6.54%
3Jan 2002Jan 20021100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -1.24%-1.24%-1.24%-0.45%
4Feb 2002Mar 20022100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.66%-2.66%2.24%1.13%
5Apr 2002Apr 20021100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -4.90%-4.90%-4.90%-2.30%
6May 2002Apr 200312100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 16.83%16.83%-13.73%-4.46%
7May 2003Jul 200415100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 25.26%25.26%25.26%15.95%
8Aug 2004Sep 20042100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.35%4.35%2.06%2.15%
9Oct 2004Dec 200739100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 42.45%42.45%42.45%31.39%
10Jan 2008Jun 200918100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.81%8.81%-34.27%-18.94%
11Jul 2009Jun 201012100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 15.87%15.87%15.87%13.64%
12Jul 2010Jul 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.17%-0.17%6.99%4.50%
13Aug 2010Aug 20101100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -4.75%-4.75%-4.75%-2.33%
14Sep 2010Sep 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.82%-1.82%9.47%5.59%
15Oct 2010Aug 201111100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 9.04%9.04%9.04%7.67%
16Sep 2011Jan 20125100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.91%11.91%8.64%6.43%
17Feb 2012Aug 201543100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 61.33%61.33%61.33%37.39%
18Sep 2015Oct 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.42%1.42%4.68%3.09%
19Nov 2015Dec 20152100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -1.50%-1.50%-1.50%-1.18%
20Jan 2016Mar 20163100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 8.30%8.30%0.90%1.94%
21Apr 2016Oct 201831100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 38.17%38.17%38.17%21.92%
22Nov 2018Nov 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.78%1.78%2.06%1.48%
23Dec 2018Dec 20181100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -9.29%-9.29%-9.29%-4.93%
24Jan 2019Feb 20192100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.82%-0.82%12.39%7.76%
25Mar 2019May 20193100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: -1.33%-1.33%-1.33%0.74%
26Jun 2019Jun 20191100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.01%1.01%6.97%4.63%
27Jul 2019Oct 20194100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)VTSMX: 3.20%3.20%3.20%3.08%
28Nov 2019Nov 20191100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)----
Next Period
Signal DateAssetsDetails
11/14/2019100.00% Vanguard Total Stock Mkt Idx Inv (VTSMX)Next period predicted allocation based on market data as of 11/14/2019.
Adjusted close of VTSMX at $76.56 is 5.94% above its 10-month SMA at $72.26.