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:

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.

Timing Model

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Ticker

Tickers

Single absolute momentum

Absolute momentum asset

Target Volatility

Use Downside Volatility

Out Of Market Start Month

Out Of Market End Month

Out of Market Asset

Specify out of market asset

Buy Signal

Type of Moving Average

Performance Periods

Period Weighting

Timing Period

Timing period in trading days

Type of Moving Average #2

Timing Period #2

Timing period #2 in trading days

Exclude Previous Month

Normalize Returns

Volatility Period

Volatility window in trading days

Assets to hold

Allocation Weights

Risk Control

Risk Window Period

Risk window in trading days

Specify signal asset

Stop Loss

Stop Loss Threshold

Stop Loss Asset

Specify stop-loss asset

Trading Frequency

Signal Asset

Specify signal asset

Trade Execution

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Compared Allocation

Benchmark

Benchmark Ticker

Timing Periods

Length

Unit

Weight

Time Period #1

Period 1 length

Period 1 time unit

Period 1 weight %

Time Period #2

Period 2 length

Period 2 time unit

Period 2 weight %

Time Period #3

Period 3 length

Period 3 time unit

Period 3 weight %

Time Period #4

Period 4 length

Period 4 time unit

Period 4 weight %

Time Period #5

Period 5 length

Period 5 time unit

Period 5 weight %

Volatility Period

Volatility period length

Volatility period time unit

Volatility period weight %

Asset 1

Select asset 1

Enter percentage allocation for asset 1 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 %

Total

Total allocation for portfolio %

Model Simulation Results (Jan 1987 - Dec 2018) Save

Tactical asset allocation model results from Jan 1987 to Dec 2018 are based on dual momentum model holding the best performing asset. Absolute momentum based trend following filter is used to switch any selected assets that have a negative excess return over the risk free rate to Vanguard Long-Term Treasury Inv (VUSTX). The model uses multiple weighted performance windows to rank the assets by weighted average of asset performance. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for Vanguard Long-Term Treasury Inv (VUSTX) [Jun 1986 - Apr 2022].

Performance statistics for the timing portfolio and benchmark portfolios
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
Dual Momentum Model	$10,000	$828,831	14.80%	14.94%	45.74%	-18.34%	-31.09%	0.79	1.24	0.56
Equal Weight Portfolio	$10,000	$168,511	9.23%	17.44%	51.33%	-39.07%	-55.97%	0.42	0.58	0.95
Vanguard 500 Index Investor	$10,000	$203,275	9.87%	14.80%	37.45%	-37.02%	-50.97%	0.50	0.71	0.99

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
Dual Momentum Model	-4.62%	11.93%	11.93%	9.65%	5.67%	16.49%	14.80%	12.96%	12.31%
Equal Weight Portfolio	-17.45%	-0.91%	-0.91%	10.06%	8.07%	14.42%	9.23%	13.52%	13.06%
Vanguard 500 Index Investor	-13.55%	-4.52%	-4.52%	9.11%	8.34%	12.97%	9.87%	10.96%	10.95%
Trailing return and volatility are as of last full calendar month ending December 2018

Notes on results:

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 selected portfolio allocation for comparison assumes monthly rebalancing.
An equal-weight allocation is used for the assets held by the momentum model.
The results for the tactical asset allocation model assume monthly rebalancing trades.
The relative strength signal is based on total return including dividends.

Annual returns for the timing portfolio and various benchmark portfolios
Year	Inflation	Dual Momentum Model		Equal Weight Portfolio		Vanguard 500 Index Investor		Vanguard Explorer Inv (VEXPX)	Vanguard US Growth Investor (VWUSX)	Vanguard Long-Term Treasury Inv (VUSTX)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Vanguard Explorer Inv (VEXPX)	Vanguard US Growth Investor (VWUSX)	Vanguard Long-Term Treasury Inv (VUSTX)
1987	4.43%	-18.34%	$8,166	-6.30%	$9,370	4.71%	$10,471	-6.90%	-6.07%	-2.92%
1988	4.42%	22.88%	$10,034	17.23%	$10,985	16.22%	$12,169	25.85%	8.76%	9.15%
1989	4.65%	31.51%	$13,196	22.87%	$13,497	31.36%	$15,986	9.37%	37.70%	17.93%
1990	6.11%	6.61%	$14,069	-3.30%	$13,051	-3.32%	$15,454	-10.80%	4.60%	5.78%
1991	3.06%	41.23%	$19,870	51.33%	$19,751	30.22%	$20,125	55.90%	46.76%	17.43%
1992	2.90%	17.46%	$23,339	8.01%	$21,333	7.42%	$21,619	13.02%	2.76%	7.41%
1993	2.75%	9.69%	$25,601	6.73%	$22,768	9.89%	$23,757	15.41%	-1.45%	16.79%
1994	2.67%	-1.11%	$25,317	2.24%	$23,278	1.18%	$24,036	0.54%	3.88%	-7.04%
1995	2.54%	37.69%	$34,859	32.54%	$30,852	37.45%	$33,037	26.60%	38.44%	30.09%
1996	3.32%	15.44%	$40,243	20.17%	$37,075	22.88%	$40,595	14.04%	26.05%	-1.26%
1997	1.70%	26.75%	$51,009	20.49%	$44,673	33.19%	$54,069	14.57%	25.93%	13.90%
1998	1.61%	25.18%	$63,855	20.66%	$53,903	28.62%	$69,541	3.52%	39.98%	13.05%
1999	2.68%	31.44%	$83,930	30.11%	$70,134	21.07%	$84,193	37.26%	22.28%	-8.66%
2000	3.39%	7.96%	$90,613	-5.80%	$66,067	-9.06%	$76,568	9.22%	-20.17%	19.72%
2001	1.55%	-8.95%	$82,506	-16.57%	$55,118	-12.02%	$67,362	0.56%	-31.70%	4.31%
2002	2.38%	-9.79%	$74,430	-30.22%	$38,461	-22.15%	$52,445	-24.58%	-35.80%	16.67%
2003	1.88%	36.22%	$101,389	35.04%	$51,937	28.50%	$67,393	44.25%	26.10%	2.68%
2004	3.26%	9.49%	$111,011	10.37%	$57,324	10.74%	$74,631	13.75%	7.03%	7.12%
2005	3.42%	14.96%	$127,620	10.25%	$63,200	4.77%	$78,194	9.28%	11.15%	6.61%
2006	2.54%	13.91%	$145,367	5.72%	$66,818	15.64%	$90,425	9.70%	1.77%	1.74%
2007	4.08%	5.19%	$152,911	7.62%	$71,909	5.39%	$95,296	5.06%	10.15%	9.24%
2008	0.09%	17.83%	$180,181	-39.07%	$43,817	-37.02%	$60,016	-40.40%	-37.82%	22.52%
2009	2.72%	31.23%	$236,455	35.69%	$59,457	26.49%	$75,912	36.21%	34.95%	-12.05%
2010	1.50%	29.62%	$306,481	19.28%	$70,920	14.91%	$87,234	27.43%	11.53%	8.93%
2011	2.96%	29.49%	$396,868	-1.23%	$70,044	1.97%	$88,949	-1.89%	-0.68%	29.28%
2012	1.74%	8.76%	$431,621	16.67%	$81,721	15.82%	$103,024	14.89%	18.43%	3.47%
2013	1.50%	45.74%	$629,065	39.88%	$114,313	32.18%	$136,173	44.36%	35.49%	-13.03%
2014	0.76%	9.35%	$687,871	8.47%	$123,991	13.51%	$154,568	3.91%	13.06%	25.28%
2015	0.73%	-8.61%	$628,659	1.95%	$126,404	1.25%	$156,498	-4.34%	8.47%	-1.54%
2016	2.07%	-5.88%	$591,697	5.71%	$133,622	11.82%	$174,991	12.33%	-0.75%	1.20%
2017	2.11%	25.14%	$740,473	27.26%	$170,052	21.67%	$212,907	22.95%	31.60%	8.58%
2018	1.91%	11.93%	$828,831	-0.91%	$168,511	-4.52%	$203,275	-2.50%	0.62%	-1.90%

Monthly returns for the timing portfolio and various benchmark portfolios
Year	Month	Dual Momentum Model		Equal Weight Portfolio		Vanguard 500 Index Investor		Vanguard Explorer Inv (VEXPX)	Vanguard US Growth Investor (VWUSX)	Vanguard Long-Term Treasury Inv (VUSTX)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Vanguard Explorer Inv (VEXPX)	Vanguard US Growth Investor (VWUSX)	Vanguard Long-Term Treasury Inv (VUSTX)
1987	1	1.30%	$10,130	9.85%	$10,985	13.27%	$11,327	10.59%	9.11%	1.30%
1987	2	8.01%	$10,941	6.98%	$11,752	3.97%	$11,776	8.01%	5.95%	1.07%
1987	3	-0.03%	$10,938	1.33%	$11,908	2.89%	$12,117	-0.03%	2.68%	-1.58%
1987	4	-3.67%	$10,536	-3.21%	$11,525	-1.03%	$11,992	-2.76%	-3.67%	-4.80%
1987	5	-1.50%	$10,378	0.60%	$11,594	1.04%	$12,117	1.12%	0.08%	-1.50%
1987	6	1.44%	$10,528	2.37%	$11,869	5.02%	$12,725	1.60%	3.13%	1.44%
1987	7	3.45%	$10,891	2.42%	$12,156	4.91%	$13,351	1.39%	3.45%	-1.11%
1987	8	1.11%	$11,012	2.11%	$12,413	3.84%	$13,863	3.11%	1.11%	-1.56%
1987	9	1.01%	$11,124	-0.55%	$12,344	-2.29%	$13,547	1.01%	-2.12%	-3.72%
1987	10	-28.09%	$7,999	-24.84%	$9,277	-21.73%	$10,603	-28.09%	-21.60%	5.84%
1987	11	0.47%	$8,037	-5.58%	$8,759	-8.19%	$9,735	-2.47%	-8.69%	0.47%
1987	12	1.60%	$8,166	6.97%	$9,370	7.55%	$10,471	5.36%	8.58%	1.60%
1988	1	4.65%	$8,545	3.65%	$9,712	4.17%	$10,908	4.14%	3.16%	4.65%
1988	2	8.44%	$9,267	6.52%	$10,345	4.59%	$11,408	8.44%	4.60%	1.16%
1988	3	5.80%	$9,804	0.90%	$10,439	-3.04%	$11,061	5.80%	-3.99%	-2.24%
1988	4	2.02%	$10,002	0.66%	$10,508	1.01%	$11,173	2.02%	-0.69%	-1.14%
1988	5	-1.18%	$9,884	-0.38%	$10,468	0.81%	$11,264	-1.18%	0.42%	-1.59%
1988	6	3.19%	$10,200	4.45%	$10,933	4.56%	$11,777	3.19%	5.70%	4.09%
1988	7	-2.50%	$9,945	-0.60%	$10,867	-0.37%	$11,734	1.29%	-2.50%	-1.90%
1988	8	-2.42%	$9,704	-2.83%	$10,560	-3.40%	$11,335	-2.42%	-3.24%	0.40%
1988	9	3.86%	$10,079	3.96%	$10,978	4.26%	$11,817	1.93%	6.00%	3.86%
1988	10	0.39%	$10,119	0.21%	$11,002	2.73%	$12,140	0.03%	0.39%	2.45%
1988	11	-2.10%	$9,906	-2.90%	$10,683	-1.40%	$11,970	-3.71%	-2.10%	-1.88%
1988	12	1.29%	$10,034	2.83%	$10,985	1.66%	$12,169	4.33%	1.33%	1.29%
1989	1	3.02%	$10,337	5.04%	$11,538	7.32%	$13,060	3.02%	7.06%	2.05%
1989	2	-1.87%	$10,144	-1.77%	$11,334	-2.47%	$12,737	-1.67%	-1.87%	-1.71%
1989	3	3.04%	$10,452	2.97%	$11,671	2.26%	$13,025	2.91%	3.04%	0.86%
1989	4	5.66%	$11,044	4.96%	$12,251	5.18%	$13,701	4.27%	5.66%	2.59%
1989	5	5.24%	$11,622	3.86%	$12,723	4.04%	$14,253	2.48%	5.24%	3.11%
1989	6	-1.88%	$11,404	-1.71%	$12,505	-0.59%	$14,170	-1.55%	-1.88%	6.07%
1989	7	10.82%	$12,638	6.82%	$13,358	9.01%	$15,446	2.82%	10.82%	2.06%
1989	8	1.83%	$12,870	1.57%	$13,567	1.86%	$15,733	1.31%	1.83%	-2.90%
1989	9	1.60%	$13,075	0.89%	$13,689	-0.40%	$15,670	0.19%	1.60%	0.15%
1989	10	-0.98%	$12,947	-2.23%	$13,383	-2.34%	$15,303	-3.48%	-0.98%	3.88%
1989	11	0.83%	$13,054	0.18%	$13,407	2.04%	$15,615	-1.24%	1.59%	0.83%
1989	12	1.09%	$13,196	0.68%	$13,497	2.38%	$15,986	0.27%	1.09%	-0.05%
1990	1	-5.97%	$12,408	-6.81%	$12,578	-6.72%	$14,912	-7.64%	-5.97%	-3.67%
1990	2	-0.32%	$12,368	1.37%	$12,751	1.27%	$15,102	0.45%	2.29%	-0.32%
1990	3	-0.26%	$12,336	4.13%	$13,277	2.61%	$15,495	3.67%	4.58%	-0.26%
1990	4	-0.58%	$12,264	-0.42%	$13,222	-2.50%	$15,108	-0.25%	-0.58%	-2.84%
1990	5	10.87%	$13,597	9.40%	$14,464	9.69%	$16,572	7.93%	10.87%	4.49%
1990	6	2.30%	$13,910	2.43%	$14,815	-0.66%	$16,463	2.56%	2.30%	2.28%
1990	7	-2.33%	$13,585	-2.43%	$14,456	-0.35%	$16,405	-2.53%	-2.33%	0.70%
1990	8	-8.22%	$12,468	-11.44%	$12,802	-9.03%	$14,923	-14.66%	-8.22%	-4.25%
1990	9	1.15%	$12,612	-7.20%	$11,879	-4.89%	$14,194	-8.53%	-5.88%	1.15%
1990	10	2.15%	$12,883	-3.16%	$11,504	-0.41%	$14,135	-3.66%	-2.66%	2.15%
1990	11	4.60%	$13,476	7.59%	$12,377	6.44%	$15,046	7.60%	7.57%	4.60%
1990	12	4.40%	$14,069	5.45%	$13,051	2.72%	$15,454	6.50%	4.40%	2.05%
1991	1	9.50%	$15,405	9.04%	$14,231	4.32%	$16,122	9.50%	8.58%	1.09%
1991	2	9.14%	$16,813	8.30%	$15,412	7.15%	$17,275	9.14%	7.46%	0.50%
1991	3	6.54%	$17,913	4.82%	$16,156	2.41%	$17,690	6.54%	3.10%	0.27%
1991	4	0.77%	$18,051	-0.17%	$16,128	0.20%	$17,725	0.77%	-1.11%	1.28%
1991	5	4.17%	$18,804	4.57%	$16,865	4.27%	$18,482	4.17%	4.97%	-0.14%
1991	6	-4.94%	$17,875	-4.95%	$16,030	-4.56%	$17,640	-4.94%	-4.96%	-0.78%
1991	7	1.53%	$18,148	5.27%	$16,875	4.63%	$18,456	4.92%	5.62%	1.53%
1991	8	4.11%	$18,893	4.85%	$17,694	2.33%	$18,886	5.60%	4.11%	3.49%
1991	9	-0.78%	$18,746	-1.23%	$17,477	-1.67%	$18,571	-0.78%	-1.68%	2.95%
1991	10	2.85%	$19,282	1.87%	$17,804	1.33%	$18,818	2.85%	0.89%	-0.08%
1991	11	-3.02%	$18,699	-2.76%	$17,313	-4.01%	$18,063	-3.02%	-2.50%	0.02%
1991	12	6.26%	$19,870	14.08%	$19,751	11.41%	$20,125	11.89%	16.27%	6.26%
1992	1	-2.30%	$19,413	2.13%	$20,172	-1.88%	$19,746	6.56%	-2.30%	-3.21%
1992	2	1.54%	$19,712	0.10%	$20,191	1.24%	$19,992	1.54%	-1.35%	0.64%
1992	3	-5.58%	$18,612	-3.47%	$19,490	-1.93%	$19,607	-5.58%	-1.37%	-1.10%
1992	4	-0.07%	$18,599	-2.09%	$19,083	2.91%	$20,178	-4.52%	0.35%	-0.07%
1992	5	2.70%	$19,101	0.82%	$19,239	0.48%	$20,276	1.01%	0.62%	2.70%
1992	6	1.12%	$19,314	-3.10%	$18,642	-1.49%	$19,973	-4.15%	-2.06%	1.12%
1992	7	4.02%	$20,090	3.14%	$19,227	4.04%	$20,781	2.43%	3.85%	4.02%
1992	8	-0.88%	$19,914	-0.95%	$19,045	-2.07%	$20,351	-1.02%	-0.88%	0.71%
1992	9	1.50%	$20,212	1.86%	$19,399	1.17%	$20,589	2.21%	1.50%	1.36%
1992	10	6.35%	$21,495	3.14%	$20,008	0.33%	$20,657	6.35%	-0.07%	-1.89%
1992	11	7.15%	$23,033	5.96%	$21,199	3.40%	$21,360	7.15%	4.76%	0.50%
1992	12	1.33%	$23,339	0.63%	$21,333	1.21%	$21,619	1.33%	-0.07%	2.63%
1993	1	1.62%	$23,717	0.55%	$21,450	0.81%	$21,793	1.62%	-0.52%	2.85%
1993	2	-4.02%	$22,764	-3.84%	$20,626	1.36%	$22,088	-4.02%	-3.66%	3.20%
1993	3	0.19%	$22,808	1.78%	$20,993	2.11%	$22,554	2.34%	1.22%	0.19%
1993	4	0.76%	$22,981	-4.11%	$20,130	-2.42%	$22,007	-3.79%	-4.43%	0.76%
1993	5	0.38%	$23,069	3.17%	$20,768	2.65%	$22,591	4.58%	1.76%	0.38%
1993	6	0.66%	$23,221	0.57%	$20,887	0.27%	$22,651	0.66%	0.48%	4.17%
1993	7	0.95%	$23,441	-0.04%	$20,878	-0.42%	$22,555	0.95%	-1.03%	1.39%
1993	8	4.63%	$24,526	3.35%	$21,579	3.79%	$23,409	4.63%	2.08%	3.99%
1993	9	3.63%	$25,416	1.61%	$21,927	-0.79%	$23,223	3.63%	-0.41%	0.33%
1993	10	1.77%	$25,867	2.01%	$22,368	2.08%	$23,706	1.77%	2.25%	0.62%
1993	11	-2.13%	$25,317	-1.10%	$22,122	-1.00%	$23,470	-2.13%	-0.07%	-2.48%
1993	12	1.12%	$25,601	2.92%	$22,768	1.22%	$23,757	4.71%	1.12%	0.42%
1994	1	2.39%	$26,214	2.74%	$23,391	3.38%	$24,559	2.39%	3.08%	2.23%
1994	2	-0.95%	$25,964	-1.09%	$23,135	-2.71%	$23,893	-0.95%	-1.23%	-3.99%
1994	3	-4.46%	$24,806	-4.50%	$22,095	-4.39%	$22,844	-4.46%	-4.54%	-3.82%
1994	4	-1.29%	$24,487	1.10%	$22,338	1.29%	$23,139	0.69%	1.52%	-1.29%
1994	5	-0.47%	$24,372	0.79%	$22,515	1.63%	$23,515	-0.39%	1.97%	-0.47%
1994	6	-2.93%	$23,658	-3.62%	$21,699	-2.47%	$22,935	-4.31%	-2.93%	-0.81%
1994	7	2.94%	$24,353	1.63%	$22,054	3.28%	$23,686	1.00%	2.26%	2.94%
1994	8	4.09%	$25,349	5.67%	$23,304	4.08%	$24,652	7.25%	4.09%	-0.67%
1994	9	0.90%	$25,578	-0.42%	$23,206	-2.45%	$24,049	0.90%	-1.74%	-3.00%
1994	10	0.33%	$25,662	1.41%	$23,533	2.25%	$24,589	0.33%	2.49%	-0.36%
1994	11	-2.91%	$24,914	-2.51%	$22,942	-3.65%	$23,690	-2.91%	-2.11%	0.62%
1994	12	1.62%	$25,317	1.46%	$23,278	1.46%	$24,036	1.55%	1.37%	1.62%
1995	1	2.62%	$25,980	1.25%	$23,569	2.58%	$24,657	-0.30%	2.80%	2.62%
1995	2	3.81%	$26,969	3.54%	$24,404	3.88%	$25,614	3.28%	3.81%	2.73%
1995	3	2.38%	$27,612	2.42%	$24,993	2.95%	$26,370	2.45%	2.38%	0.72%
1995	4	3.70%	$28,634	2.25%	$25,555	2.94%	$27,146	0.80%	3.70%	1.65%
1995	5	3.51%	$29,639	2.35%	$26,155	3.95%	$28,219	1.18%	3.51%	7.52%
1995	6	2.95%	$30,513	3.76%	$27,139	2.31%	$28,872	4.58%	2.95%	1.13%
1995	7	2.11%	$31,156	3.56%	$28,106	3.30%	$29,826	5.02%	2.11%	-1.40%
1995	8	2.15%	$31,827	0.89%	$28,357	0.25%	$29,899	2.15%	-0.37%	2.05%
1995	9	2.65%	$32,670	4.14%	$29,530	4.23%	$31,164	2.65%	5.63%	1.81%
1995	10	2.36%	$33,441	-0.74%	$29,312	-0.36%	$31,051	-3.84%	2.36%	2.97%
1995	11	3.93%	$34,756	3.93%	$30,465	4.38%	$32,411	3.94%	3.93%	2.31%
1995	12	0.30%	$34,859	1.27%	$30,852	1.93%	$33,037	2.24%	0.30%	2.70%
1996	1	4.03%	$36,264	1.69%	$31,374	3.39%	$34,156	-0.64%	4.03%	-0.05%
1996	2	3.12%	$37,395	3.77%	$32,556	0.92%	$34,471	4.41%	3.12%	-4.93%
1996	3	-0.37%	$37,258	0.96%	$32,867	0.98%	$34,808	2.28%	-0.37%	-1.98%
1996	4	6.51%	$39,683	4.17%	$34,239	1.46%	$35,315	6.51%	1.84%	-1.78%
1996	5	4.68%	$41,539	3.81%	$35,542	2.54%	$36,213	4.68%	2.93%	-0.46%
1996	6	-5.21%	$39,374	-1.51%	$35,005	0.38%	$36,352	-5.21%	2.19%	2.14%
1996	7	-4.76%	$37,498	-6.36%	$32,778	-4.42%	$34,745	-7.96%	-4.76%	-0.05%
1996	8	-1.29%	$37,013	3.55%	$33,941	2.10%	$35,473	5.16%	1.94%	-1.29%
1996	9	2.79%	$38,045	5.86%	$35,931	5.61%	$37,462	4.52%	7.21%	2.79%
1996	10	0.99%	$38,422	-0.58%	$35,722	2.76%	$38,494	-2.15%	0.99%	3.88%
1996	11	7.19%	$41,183	4.47%	$37,318	7.56%	$41,406	1.75%	7.19%	3.24%
1996	12	-2.28%	$40,243	-0.65%	$37,075	-1.96%	$40,595	0.98%	-2.28%	-2.38%
1997	1	5.60%	$42,497	3.34%	$38,313	6.22%	$43,119	1.08%	5.60%	-0.65%
1997	2	0.72%	$42,802	-1.21%	$37,848	0.79%	$43,459	-3.14%	0.72%	-0.11%
1997	3	-5.43%	$40,480	-5.47%	$35,777	-4.14%	$41,662	-5.52%	-5.43%	-2.29%
1997	4	2.35%	$41,431	2.81%	$36,781	5.96%	$44,143	-1.08%	6.70%	2.35%
1997	5	6.51%	$44,130	8.58%	$39,936	6.09%	$46,830	10.64%	6.51%	0.98%
1997	6	2.69%	$45,317	3.55%	$41,353	4.45%	$48,916	4.40%	2.69%	1.78%
1997	7	5.01%	$47,588	6.00%	$43,835	7.97%	$52,812	5.01%	7.00%	5.34%
1997	8	1.44%	$48,273	-2.77%	$42,622	-5.61%	$49,850	1.44%	-6.98%	-2.57%
1997	9	7.81%	$52,040	5.71%	$45,053	5.47%	$52,576	7.81%	3.60%	2.63%
1997	10	-4.62%	$49,635	-3.27%	$43,581	-3.35%	$50,815	-4.62%	-1.91%	2.99%
1997	11	1.27%	$50,266	1.36%	$44,175	4.60%	$53,152	-1.78%	4.51%	1.27%
1997	12	1.48%	$51,009	1.13%	$44,673	1.72%	$54,069	0.78%	1.48%	1.66%
1998	1	2.89%	$52,484	0.11%	$44,721	1.11%	$54,669	-2.68%	2.89%	1.91%
1998	2	7.82%	$56,590	8.18%	$48,381	7.19%	$58,601	8.55%	7.82%	-0.75%
1998	3	4.11%	$58,918	4.07%	$50,350	5.10%	$61,592	4.02%	4.11%	0.14%
1998	4	2.38%	$60,322	1.05%	$50,879	1.01%	$62,212	-0.28%	2.38%	0.40%
1998	5	-1.53%	$59,398	-3.86%	$48,915	-1.74%	$61,128	-6.19%	-1.53%	1.83%
1998	6	6.40%	$63,202	3.28%	$50,520	4.07%	$63,616	0.16%	6.40%	2.35%
1998	7	-0.59%	$62,828	-3.80%	$48,601	-1.05%	$62,946	-7.01%	-0.59%	-0.51%
1998	8	-14.12%	$53,960	-16.73%	$40,471	-14.47%	$53,835	-19.34%	-14.12%	4.83%
1998	9	3.29%	$55,733	7.40%	$43,467	6.41%	$57,287	8.71%	6.09%	3.29%
1998	10	-1.69%	$54,788	6.92%	$46,476	8.16%	$61,964	6.83%	7.02%	-1.69%
1998	11	7.25%	$58,762	6.76%	$49,618	6.07%	$65,726	6.27%	7.25%	0.88%
1998	12	8.67%	$63,855	8.64%	$53,903	5.81%	$69,541	8.60%	8.67%	-0.16%
1999	1	5.41%	$67,313	2.97%	$55,505	4.20%	$72,465	0.53%	5.41%	0.98%
1999	2	-4.93%	$63,992	-6.91%	$51,667	-3.12%	$70,201	-8.89%	-4.93%	-4.76%
1999	3	3.59%	$66,291	2.58%	$52,999	4.00%	$73,006	1.56%	3.59%	-0.34%
1999	4	-0.80%	$65,763	3.34%	$54,767	3.85%	$75,818	7.47%	-0.80%	0.19%
1999	5	4.22%	$68,536	0.42%	$54,999	-2.39%	$74,007	4.22%	-3.37%	-1.68%
1999	6	5.52%	$72,317	6.46%	$58,551	5.56%	$78,119	5.52%	7.40%	-1.05%
1999	7	-0.32%	$72,085	-1.97%	$57,398	-3.13%	$75,674	-0.32%	-3.62%	-0.58%
1999	8	-4.41%	$68,907	-1.82%	$56,355	-0.50%	$75,298	-4.41%	0.78%	-0.49%
1999	9	0.91%	$69,531	-0.59%	$56,025	-2.74%	$73,235	0.81%	-1.98%	0.91%
1999	10	0.12%	$69,615	5.66%	$59,197	6.33%	$77,869	2.67%	8.65%	0.12%
1999	11	3.28%	$71,899	5.87%	$62,672	2.02%	$79,444	8.46%	3.28%	-0.59%
1999	12	16.73%	$83,930	11.91%	$70,134	5.98%	$84,193	16.73%	7.08%	-1.60%
2000	1	0.13%	$84,040	-2.71%	$68,230	-5.03%	$79,956	0.13%	-5.56%	1.25%
2000	2	20.07%	$100,907	11.11%	$75,808	-1.91%	$78,432	20.07%	2.14%	2.96%
2000	3	-3.54%	$97,335	2.74%	$77,887	9.75%	$86,081	-3.54%	9.03%	3.14%
2000	4	-6.25%	$91,256	-4.68%	$74,239	-3.00%	$83,499	-6.25%	-3.12%	-0.66%
2000	5	-5.23%	$86,483	-5.67%	$70,028	-2.04%	$81,797	-6.11%	-5.23%	-0.46%
2000	6	2.30%	$88,470	10.70%	$77,519	2.49%	$83,838	12.31%	9.09%	2.30%
2000	7	-5.19%	$83,881	-3.76%	$74,604	-1.50%	$82,582	-5.19%	-2.33%	1.49%
2000	8	10.00%	$92,273	10.67%	$82,562	6.19%	$87,694	11.33%	10.00%	2.08%
2000	9	-3.61%	$88,940	-4.79%	$78,607	-5.29%	$83,055	-3.61%	-5.97%	-0.85%
2000	10	-3.45%	$85,873	-4.33%	$75,207	-0.43%	$82,698	-3.45%	-5.20%	1.57%
2000	11	2.99%	$88,442	-15.37%	$63,645	-7.89%	$76,177	-12.07%	-18.67%	2.99%
2000	12	2.45%	$90,613	3.81%	$66,067	0.51%	$76,568	10.29%	-2.68%	2.45%
2001	1	0.28%	$90,869	4.48%	$69,027	3.55%	$79,283	5.09%	3.87%	0.28%
2001	2	-8.12%	$83,488	-14.89%	$58,749	-9.14%	$72,038	-8.12%	-21.66%	1.80%
2001	3	-0.60%	$82,984	-11.17%	$52,185	-6.36%	$67,459	-7.10%	-15.24%	-0.60%
2001	4	-2.56%	$80,856	12.68%	$58,800	7.77%	$72,701	10.09%	15.26%	-2.56%
2001	5	0.66%	$81,387	-0.13%	$58,726	0.65%	$73,173	0.66%	-0.91%	0.21%
2001	6	3.25%	$84,031	-1.34%	$57,940	-2.45%	$71,384	3.25%	-5.92%	0.76%
2001	7	-4.62%	$80,148	-4.04%	$55,597	-1.00%	$70,670	-4.62%	-3.47%	3.61%
2001	8	2.02%	$81,770	-6.42%	$52,028	-6.27%	$66,236	-3.84%	-9.00%	2.02%
2001	9	0.88%	$82,490	-13.52%	$44,992	-8.09%	$60,877	-14.66%	-12.39%	0.88%
2001	10	5.12%	$86,714	7.67%	$48,443	1.90%	$62,031	7.54%	7.80%	5.12%
2001	11	-4.98%	$82,395	10.03%	$53,300	7.65%	$66,779	9.11%	10.94%	-4.98%
2001	12	0.14%	$82,506	3.41%	$55,118	0.87%	$67,362	6.69%	0.14%	-1.91%
2002	1	-2.30%	$80,605	-3.78%	$53,036	-1.47%	$66,370	-2.30%	-5.25%	1.20%
2002	2	-3.92%	$77,446	-5.57%	$50,081	-1.94%	$65,085	-3.92%	-7.22%	1.24%
2002	3	-3.86%	$74,459	6.42%	$53,295	3.74%	$67,521	7.95%	4.89%	-3.86%
2002	4	-1.93%	$73,021	-6.06%	$50,067	-6.07%	$63,419	-1.93%	-10.18%	3.73%
2002	5	-4.77%	$69,537	-3.73%	$48,199	-0.75%	$62,941	-4.77%	-2.69%	0.39%
2002	6	1.76%	$70,759	-8.63%	$44,041	-7.13%	$58,450	-7.97%	-9.28%	1.76%
2002	7	2.93%	$72,831	-10.34%	$39,485	-7.72%	$53,939	-12.85%	-7.84%	2.93%
2002	8	4.28%	$75,948	1.00%	$39,879	0.65%	$54,291	0.26%	1.73%	4.28%
2002	9	4.02%	$78,998	-8.84%	$36,354	-10.87%	$48,387	-6.69%	-10.99%	4.02%
2002	10	-2.84%	$76,757	6.94%	$38,875	8.78%	$52,636	4.13%	9.74%	-2.84%
2002	11	3.57%	$79,493	6.26%	$41,307	5.88%	$55,729	8.95%	3.57%	-0.98%
2002	12	-6.37%	$74,430	-6.89%	$38,461	-5.89%	$52,445	-6.37%	-7.41%	4.05%
2003	1	-2.86%	$72,303	-2.63%	$37,449	-2.62%	$51,068	-2.86%	-2.40%	-0.45%
2003	2	3.03%	$74,491	-1.89%	$36,740	-1.52%	$50,293	-2.85%	-0.93%	3.03%
2003	3	-1.13%	$73,647	2.26%	$37,571	0.96%	$50,774	1.35%	3.17%	-1.13%
2003	4	6.82%	$78,667	7.77%	$40,492	8.25%	$54,965	8.73%	6.82%	0.91%
2003	5	2.88%	$80,932	6.80%	$43,245	5.26%	$57,858	10.72%	2.88%	5.67%
2003	6	1.66%	$82,276	1.17%	$43,751	1.26%	$58,587	1.66%	0.68%	-1.48%
2003	7	5.28%	$86,618	4.44%	$45,694	1.74%	$59,609	5.28%	3.61%	-8.57%
2003	8	5.21%	$91,129	3.37%	$47,232	1.93%	$60,761	5.21%	1.52%	1.43%
2003	9	-1.59%	$89,677	-1.33%	$46,603	-1.07%	$60,109	-1.59%	-1.07%	5.07%
2003	10	8.84%	$97,603	7.20%	$49,958	5.64%	$63,500	8.84%	5.56%	-2.58%
2003	11	2.77%	$100,307	1.76%	$50,838	0.86%	$64,049	2.77%	0.75%	0.31%
2003	12	1.08%	$101,389	2.16%	$51,937	5.22%	$67,393	1.08%	3.25%	1.23%
2004	1	3.57%	$105,004	3.30%	$53,651	1.82%	$68,620	3.57%	3.03%	1.74%
2004	2	-0.06%	$104,937	0.54%	$53,941	1.38%	$69,565	1.15%	-0.06%	1.96%
2004	3	0.25%	$105,197	-0.39%	$53,732	-1.51%	$68,512	0.25%	-1.02%	1.45%
2004	4	-4.93%	$100,006	-3.70%	$51,745	-1.58%	$67,432	-4.93%	-2.46%	-5.52%
2004	5	-0.56%	$99,449	2.40%	$52,986	1.36%	$68,348	2.27%	2.52%	-0.56%
2004	6	1.42%	$100,865	2.13%	$54,115	1.93%	$69,667	2.84%	1.42%	0.87%
2004	7	-7.69%	$93,106	-7.58%	$50,013	-3.31%	$67,360	-7.69%	-7.47%	1.52%
2004	8	3.39%	$96,259	-1.44%	$49,293	0.38%	$67,618	-2.12%	-0.76%	3.39%
2004	9	0.94%	$97,160	3.72%	$51,129	1.07%	$68,339	4.95%	2.50%	0.94%
2004	10	2.57%	$99,658	2.00%	$52,150	1.51%	$69,374	2.57%	1.42%	1.46%
2004	11	6.82%	$106,455	5.75%	$55,148	4.05%	$72,181	6.82%	4.68%	-2.25%
2004	12	4.28%	$111,011	3.94%	$57,324	3.39%	$74,631	4.28%	3.61%	2.22%
2005	1	-2.96%	$107,721	-3.21%	$55,482	-2.45%	$72,799	-2.96%	-3.46%	2.59%
2005	2	2.05%	$109,924	1.41%	$56,263	2.09%	$74,323	2.05%	0.77%	-1.24%
2005	3	-2.21%	$107,498	-2.53%	$54,838	-1.76%	$73,015	-2.21%	-2.86%	-0.76%
2005	4	3.22%	$110,965	-3.81%	$52,746	-1.91%	$71,619	-5.21%	-2.42%	3.22%
2005	5	2.55%	$113,793	6.89%	$56,381	3.17%	$73,888	6.68%	7.10%	2.55%
2005	6	0.56%	$114,434	1.60%	$57,285	0.13%	$73,982	2.64%	0.56%	1.64%
2005	7	6.26%	$121,595	5.74%	$60,574	3.71%	$76,724	6.26%	5.23%	-2.58%
2005	8	-1.49%	$119,778	-1.16%	$59,871	-0.91%	$76,023	-1.49%	-0.83%	2.87%
2005	9	0.71%	$120,633	1.04%	$60,495	0.79%	$76,627	0.71%	1.37%	-2.78%
2005	10	0.29%	$120,988	-1.33%	$59,688	-1.68%	$75,340	-2.96%	0.29%	-1.74%
2005	11	5.04%	$127,090	5.37%	$62,895	3.76%	$78,177	5.70%	5.04%	0.57%
2005	12	0.42%	$127,620	0.49%	$63,200	0.02%	$78,194	0.55%	0.42%	2.33%
2006	1	3.34%	$131,886	5.49%	$66,672	2.65%	$80,262	7.64%	3.34%	-0.90%
2006	2	-0.46%	$131,282	-1.15%	$65,908	0.26%	$80,473	-0.46%	-1.83%	0.81%
2006	3	4.01%	$136,552	2.17%	$67,339	1.23%	$81,464	4.01%	0.33%	-3.39%
2006	4	0.13%	$136,731	-0.15%	$67,236	1.33%	$82,550	0.13%	-0.44%	-1.96%
2006	5	-6.20%	$128,248	-6.02%	$63,191	-2.90%	$80,159	-6.20%	-5.83%	-0.03%
2006	6	0.71%	$129,153	-1.09%	$62,504	0.13%	$80,261	-0.60%	-1.58%	0.71%
2006	7	1.84%	$131,530	-3.64%	$60,231	0.61%	$80,748	-4.90%	-2.37%	1.84%
2006	8	2.74%	$135,130	2.74%	$61,880	2.36%	$82,656	1.83%	3.65%	2.74%
2006	9	2.87%	$139,011	2.22%	$63,255	2.56%	$84,774	1.57%	2.87%	1.58%
2006	10	1.88%	$141,625	3.15%	$65,249	3.25%	$87,530	4.42%	1.88%	0.77%
2006	11	2.75%	$145,524	2.36%	$66,786	1.89%	$89,184	2.75%	1.96%	1.91%
2006	12	-0.11%	$145,367	0.05%	$66,818	1.39%	$90,425	-0.11%	0.20%	-2.14%
2007	1	3.19%	$149,998	2.69%	$68,617	1.49%	$91,775	3.19%	2.20%	-0.85%
2007	2	-0.25%	$149,629	-0.98%	$67,942	-1.97%	$89,968	-0.25%	-1.72%	2.93%
2007	3	0.79%	$150,816	0.86%	$68,528	1.11%	$90,968	0.79%	0.93%	-1.13%
2007	4	3.39%	$155,933	3.13%	$70,676	4.42%	$94,987	3.39%	2.88%	0.86%
2007	5	4.67%	$163,210	4.02%	$73,518	3.48%	$98,289	4.67%	3.38%	-1.93%
2007	6	-1.41%	$160,914	-1.26%	$72,588	-1.68%	$96,642	-1.41%	-1.12%	-0.88%
2007	7	-4.84%	$153,131	-2.81%	$70,552	-3.08%	$93,661	-4.84%	-0.77%	2.39%
2007	8	1.97%	$156,154	1.05%	$71,295	1.50%	$95,064	1.02%	1.09%	1.97%
2007	9	0.21%	$156,485	3.93%	$74,096	3.72%	$98,604	2.92%	4.94%	0.21%
2007	10	2.16%	$159,860	2.37%	$75,851	1.58%	$100,161	2.58%	2.16%	1.40%
2007	11	-3.89%	$153,647	-4.92%	$72,117	-4.19%	$95,967	-5.96%	-3.89%	4.59%
2007	12	-0.48%	$152,911	-0.29%	$71,909	-0.70%	$95,296	-0.55%	-0.02%	-0.48%
2008	1	2.64%	$156,951	-9.69%	$64,938	-6.02%	$89,563	-8.99%	-10.40%	2.64%
2008	2	0.35%	$157,500	-2.40%	$63,380	-3.25%	$86,651	-2.50%	-2.30%	0.35%
2008	3	1.02%	$159,109	-0.59%	$63,006	-0.44%	$86,269	-1.12%	-0.06%	1.02%
2008	4	-1.84%	$156,182	5.77%	$66,639	4.85%	$90,457	5.22%	6.31%	-1.84%
2008	5	3.02%	$160,905	4.11%	$69,376	1.29%	$91,626	5.19%	3.02%	-2.13%
2008	6	-6.99%	$149,662	-6.64%	$64,770	-8.44%	$83,895	-6.99%	-6.29%	1.80%
2008	7	0.30%	$150,104	-0.35%	$64,543	-0.83%	$83,197	-0.31%	-0.39%	0.30%
2008	8	1.80%	$152,813	1.19%	$65,312	1.45%	$84,400	1.93%	0.45%	1.80%
2008	9	0.28%	$153,246	-11.84%	$57,577	-8.91%	$76,883	-12.06%	-11.63%	0.28%
2008	10	-3.63%	$147,686	-18.09%	$47,162	-16.79%	$63,973	-20.74%	-15.43%	-3.63%
2008	11	12.07%	$165,508	-9.26%	$42,797	-7.17%	$59,383	-10.58%	-7.93%	12.07%
2008	12	8.87%	$180,181	2.38%	$43,817	1.07%	$60,016	4.20%	0.57%	8.87%
2009	1	-8.47%	$164,919	-5.51%	$41,405	-8.41%	$54,968	-6.53%	-4.49%	-8.47%
2009	2	-1.01%	$163,256	-8.07%	$38,062	-10.66%	$49,110	-8.63%	-7.51%	-1.01%
2009	3	5.27%	$171,852	8.36%	$41,244	8.76%	$53,412	8.22%	8.49%	5.27%
2009	4	8.94%	$187,209	11.18%	$45,856	9.56%	$58,517	13.43%	8.94%	-4.99%
2009	5	3.17%	$193,142	3.69%	$47,549	5.62%	$61,805	3.17%	4.22%	-2.68%
2009	6	2.37%	$197,718	1.75%	$48,380	0.22%	$61,940	2.37%	1.12%	0.70%
2009	7	8.36%	$214,244	8.11%	$52,303	7.58%	$66,634	8.36%	7.86%	0.80%
2009	8	2.16%	$218,863	2.04%	$53,370	3.60%	$69,032	2.16%	1.92%	1.68%
2009	9	6.25%	$232,550	5.59%	$56,352	3.72%	$71,598	6.25%	4.92%	1.98%
2009	10	-5.67%	$219,371	-3.51%	$54,375	-1.87%	$70,261	-5.67%	-1.35%	-1.45%
2009	11	4.95%	$230,233	4.16%	$56,635	5.98%	$74,464	3.36%	4.95%	1.91%
2009	12	2.70%	$236,455	4.98%	$59,457	1.95%	$75,912	7.26%	2.70%	-5.66%
2010	1	-3.87%	$227,294	-5.10%	$56,427	-3.60%	$73,177	-3.87%	-6.32%	2.66%
2010	2	4.34%	$237,156	4.02%	$58,694	3.09%	$75,439	4.34%	3.70%	-0.21%
2010	3	8.20%	$256,593	7.13%	$62,880	6.01%	$79,976	8.20%	6.07%	-1.51%
2010	4	3.91%	$266,620	2.25%	$64,294	1.58%	$81,238	3.91%	0.59%	2.76%
2010	5	-7.03%	$247,886	-7.79%	$59,284	-8.01%	$74,734	-7.03%	-8.56%	4.23%
2010	6	4.67%	$259,452	-6.28%	$55,561	-5.24%	$70,819	-6.73%	-5.83%	4.67%
2010	7	-0.17%	$259,008	6.51%	$59,180	7.00%	$75,773	6.76%	6.26%	-0.17%
2010	8	7.08%	$277,343	-5.74%	$55,784	-4.53%	$72,341	-5.97%	-5.51%	7.08%
2010	9	-1.82%	$272,290	11.52%	$62,211	8.92%	$78,793	12.94%	10.10%	-1.82%
2010	10	3.92%	$282,962	4.82%	$65,212	3.79%	$81,778	3.92%	5.73%	-3.29%
2010	11	1.05%	$285,928	2.11%	$66,591	0.00%	$81,778	3.18%	1.05%	-1.60%
2010	12	7.19%	$306,481	6.50%	$70,920	6.67%	$87,234	7.19%	5.81%	-3.58%
2011	1	1.11%	$309,886	1.65%	$72,091	2.36%	$89,290	1.11%	2.19%	-2.38%
2011	2	5.43%	$326,701	4.67%	$75,457	3.42%	$92,340	5.43%	3.91%	1.24%
2011	3	2.53%	$334,982	1.14%	$76,316	0.03%	$92,364	2.53%	-0.26%	0.02%
2011	4	3.22%	$345,785	3.35%	$78,870	2.95%	$95,087	3.22%	3.47%	2.04%
2011	5	-0.95%	$342,506	-1.10%	$78,003	-1.15%	$93,997	-0.95%	-1.25%	3.29%
2011	6	-1.90%	$335,990	-1.48%	$76,846	-1.67%	$92,426	-1.90%	-1.06%	-2.00%
2011	7	4.18%	$350,034	-2.64%	$74,818	-2.05%	$90,534	-4.20%	-1.07%	4.18%
2011	8	8.68%	$380,423	-7.50%	$69,208	-5.45%	$85,603	-8.74%	-6.26%	8.68%
2011	9	10.16%	$419,085	-9.24%	$62,814	-7.04%	$79,574	-9.70%	-8.77%	10.16%
2011	10	-3.34%	$405,108	13.97%	$71,590	10.91%	$88,259	15.72%	12.22%	-3.34%
2011	11	-1.33%	$399,726	-1.31%	$70,651	-0.23%	$88,053	-1.33%	-1.29%	1.82%
2011	12	-0.71%	$396,868	-0.86%	$70,044	1.02%	$88,949	-0.71%	-1.00%	3.13%
2012	1	7.07%	$424,922	6.94%	$74,906	4.46%	$92,920	7.07%	6.81%	0.08%
2012	2	4.61%	$444,532	5.99%	$79,393	4.31%	$96,922	4.61%	7.37%	-2.11%
2012	3	3.09%	$458,276	2.49%	$81,370	3.28%	$100,102	1.89%	3.09%	-3.77%
2012	4	-0.47%	$456,129	-0.72%	$80,785	-0.64%	$99,462	-0.97%	-0.47%	4.37%
2012	5	-8.19%	$418,762	-7.85%	$74,444	-6.02%	$93,476	-7.51%	-8.19%	7.79%
2012	6	-1.44%	$412,713	2.51%	$76,315	4.11%	$97,317	2.41%	2.62%	-1.44%
2012	7	3.32%	$426,426	-0.62%	$75,844	1.37%	$98,651	-1.63%	0.40%	3.32%
2012	8	-1.06%	$421,894	3.66%	$78,617	2.24%	$100,860	3.83%	3.48%	-1.06%
2012	9	2.26%	$431,432	2.26%	$80,396	2.58%	$103,458	2.27%	2.26%	-2.10%
2012	10	-2.92%	$418,850	-2.62%	$78,293	-1.86%	$101,535	-2.32%	-2.92%	-0.43%
2012	11	2.54%	$429,478	2.79%	$80,481	0.56%	$102,103	2.54%	3.05%	1.35%
2012	12	0.50%	$431,621	1.54%	$81,721	0.90%	$103,024	2.58%	0.50%	-1.99%
2013	1	6.80%	$460,949	6.10%	$86,708	5.18%	$108,357	6.80%	5.41%	-3.27%
2013	2	0.68%	$464,099	0.65%	$87,275	1.34%	$109,808	0.68%	0.62%	1.26%
2013	3	4.70%	$485,933	4.04%	$90,799	3.74%	$113,913	4.70%	3.37%	0.03%
2013	4	0.56%	$488,649	0.52%	$91,267	1.91%	$116,087	0.56%	0.47%	3.87%
2013	5	4.88%	$512,492	3.53%	$94,487	2.33%	$118,789	4.88%	2.18%	-6.23%
2013	6	-0.54%	$509,722	-1.02%	$93,521	-1.35%	$117,185	-0.54%	-1.50%	-3.26%
2013	7	7.29%	$546,871	6.59%	$99,686	5.07%	$123,129	7.29%	5.90%	-1.93%
2013	8	-1.75%	$537,312	-1.45%	$98,236	-2.91%	$119,544	-1.75%	-1.16%	-1.28%
2013	9	5.96%	$569,357	5.58%	$103,714	3.12%	$123,275	5.96%	5.19%	0.88%
2013	10	2.99%	$586,356	3.23%	$107,061	4.59%	$128,929	2.99%	3.47%	1.32%
2013	11	3.72%	$608,195	3.30%	$110,596	3.03%	$132,834	2.88%	3.72%	-2.49%
2013	12	3.43%	$629,065	3.36%	$114,313	2.51%	$136,173	3.29%	3.43%	-2.37%
2014	1	-2.82%	$611,305	-2.73%	$111,196	-3.47%	$131,449	-2.63%	-2.82%	6.26%
2014	2	6.78%	$652,745	5.80%	$117,649	4.56%	$137,444	4.83%	6.78%	0.60%
2014	3	-2.99%	$633,231	-2.12%	$115,160	0.82%	$138,576	-1.24%	-2.99%	0.63%
2014	4	-3.66%	$610,023	-2.32%	$112,492	0.72%	$139,580	-3.66%	-0.97%	1.82%
2014	5	2.73%	$626,668	1.96%	$114,702	2.33%	$142,839	0.61%	3.32%	2.73%
2014	6	2.57%	$642,785	3.65%	$118,890	2.05%	$145,770	4.73%	2.57%	-0.16%
2014	7	-1.68%	$631,970	-3.51%	$114,721	-1.39%	$143,746	-5.33%	-1.68%	0.59%
2014	8	4.13%	$658,054	4.61%	$120,009	3.98%	$149,470	5.09%	4.13%	4.23%
2014	9	-1.51%	$648,087	-2.85%	$116,592	-1.41%	$147,358	-4.18%	-1.51%	-1.99%
2014	10	3.60%	$671,415	3.99%	$121,245	2.42%	$150,929	4.38%	3.60%	2.61%
2014	11	3.32%	$693,682	2.10%	$123,791	2.68%	$154,978	0.88%	3.32%	2.86%
2014	12	-0.84%	$687,871	0.16%	$123,991	-0.26%	$154,568	1.16%	-0.84%	2.82%
2015	1	-3.00%	$667,233	-2.19%	$121,282	-3.02%	$149,904	-3.00%	-1.37%	8.97%
2015	2	-5.66%	$629,484	7.47%	$130,335	5.74%	$158,508	8.05%	6.88%	-5.66%
2015	3	1.42%	$638,397	0.26%	$130,679	-1.59%	$155,982	1.42%	-0.89%	1.13%
2015	4	-1.64%	$627,934	-0.84%	$129,588	0.95%	$157,462	-1.64%	-0.03%	-3.07%
2015	5	1.55%	$637,687	1.83%	$131,963	1.27%	$159,466	1.55%	2.11%	-2.16%
2015	6	-0.63%	$633,689	-0.23%	$131,663	-1.93%	$156,384	0.17%	-0.63%	-3.73%
2015	7	4.01%	$659,076	1.69%	$133,887	2.08%	$159,637	-0.63%	4.01%	4.21%
2015	8	-6.31%	$617,496	-6.51%	$125,175	-6.05%	$149,984	-6.71%	-6.31%	-0.71%
2015	9	1.91%	$629,298	-4.54%	$119,489	-2.48%	$146,257	-6.04%	-3.04%	1.91%
2015	10	-0.48%	$626,285	6.51%	$127,268	8.42%	$158,576	5.11%	7.91%	-0.48%
2015	11	0.68%	$630,548	1.46%	$129,128	0.29%	$159,030	2.24%	0.68%	-0.81%
2015	12	-0.30%	$628,659	-2.11%	$126,404	-1.59%	$156,498	-3.92%	-0.30%	-0.34%
2016	1	-6.71%	$586,453	-7.94%	$116,370	-4.98%	$148,709	-9.16%	-6.71%	5.24%
2016	2	2.86%	$603,223	-0.30%	$116,025	-0.15%	$148,493	0.74%	-1.33%	2.86%
2016	3	0.05%	$603,538	6.42%	$123,473	6.78%	$158,554	7.99%	4.85%	0.05%
2016	4	1.41%	$612,041	0.36%	$123,914	0.37%	$159,147	1.41%	-0.70%	-0.63%
2016	5	1.43%	$620,773	2.24%	$126,686	1.78%	$161,984	1.43%	3.05%	0.69%
2016	6	-0.23%	$619,330	-1.14%	$125,247	0.25%	$162,389	-0.23%	-2.04%	6.57%
2016	7	5.74%	$654,864	5.94%	$132,686	3.68%	$168,359	5.74%	6.14%	2.01%
2016	8	1.19%	$662,684	0.16%	$132,892	0.13%	$168,577	1.19%	-0.88%	-1.00%
2016	9	1.18%	$670,505	1.02%	$134,246	0.01%	$168,591	1.18%	0.86%	-1.32%
2016	10	-4.98%	$637,097	-3.91%	$128,992	-1.83%	$165,501	-4.98%	-2.84%	-4.23%
2016	11	-7.86%	$587,038	3.17%	$133,079	3.70%	$171,623	6.84%	-0.50%	-7.86%
2016	12	0.79%	$591,697	0.41%	$133,622	1.96%	$174,991	0.79%	0.02%	-0.35%
2017	1	2.94%	$609,070	3.30%	$138,037	1.88%	$178,286	2.94%	3.67%	0.65%
2017	2	2.58%	$624,801	3.10%	$142,311	3.96%	$185,351	2.58%	3.61%	1.57%
2017	3	1.41%	$633,587	0.97%	$143,693	0.10%	$185,537	0.54%	1.41%	-0.59%
2017	4	3.03%	$652,756	2.36%	$147,080	1.02%	$187,426	1.69%	3.03%	1.58%
2017	5	2.97%	$672,125	1.60%	$149,435	1.39%	$190,038	0.24%	2.97%	1.73%
2017	6	0.33%	$674,321	1.48%	$151,651	0.61%	$191,200	2.64%	0.33%	0.63%
2017	7	1.04%	$681,340	2.27%	$155,089	2.04%	$195,105	1.04%	3.49%	-0.59%
2017	8	1.92%	$694,401	0.63%	$156,065	0.29%	$195,678	-0.66%	1.92%	3.27%
2017	9	1.46%	$704,539	2.76%	$160,376	2.06%	$199,707	4.06%	1.46%	-2.27%
2017	10	1.73%	$716,754	2.40%	$164,229	2.32%	$204,335	1.73%	3.07%	-0.02%
2017	11	2.36%	$733,686	2.79%	$168,815	3.06%	$210,587	3.22%	2.36%	0.63%
2017	12	0.93%	$740,473	0.73%	$170,052	1.10%	$212,907	0.93%	0.54%	1.78%
2018	1	4.78%	$775,857	6.58%	$181,239	5.71%	$225,070	4.78%	8.38%	-3.40%
2018	2	-1.87%	$761,351	-1.88%	$177,824	-3.69%	$216,754	-1.90%	-1.87%	-2.89%
2018	3	-1.91%	$746,845	-0.30%	$177,296	-2.56%	$211,216	1.31%	-1.91%	2.75%
2018	4	0.28%	$748,959	0.29%	$177,802	0.37%	$212,004	0.28%	0.29%	-2.04%
2018	5	5.94%	$793,419	5.21%	$187,058	2.39%	$217,080	5.94%	4.48%	1.79%
2018	6	0.86%	$800,213	1.05%	$189,031	0.61%	$218,394	0.86%	1.25%	0.66%
2018	7	2.12%	$817,197	2.15%	$193,095	3.71%	$226,495	2.12%	2.18%	-1.28%
2018	8	7.34%	$877,207	6.11%	$204,883	3.25%	$233,847	7.34%	4.87%	1.18%
2018	9	-0.94%	$868,979	-0.37%	$204,135	0.55%	$235,144	-0.94%	0.21%	-2.74%
2018	10	-11.18%	$771,831	-10.22%	$183,270	-6.85%	$219,039	-11.18%	-9.26%	-2.82%
2018	11	1.78%	$785,600	2.28%	$187,443	2.03%	$223,478	1.89%	2.67%	1.78%
2018	12	5.50%	$828,831	-10.10%	$168,511	-9.04%	$203,275	-11.09%	-9.11%	5.50%

Portfolio return and risk metrics
Metric	Dual Momentum Model	Equal Weight Portfolio	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	1.25%	0.87%	0.88%
Arithmetic Mean (annualized)	16.09%	10.93%	11.09%
Geometric Mean (monthly)	1.16%	0.74%	0.79%
Geometric Mean (annualized)	14.80%	9.23%	9.87%
Standard Deviation (monthly)	4.31%	5.04%	4.27%
Standard Deviation (annualized)	14.94%	17.44%	14.80%
Downside Deviation (monthly)	2.65%	3.49%	2.88%
Maximum Drawdown	-31.09%	-55.97%	-50.97%
Stock Market Correlation	0.56	0.95	0.99
Beta^(*)	0.53	1.08	1.00
Alpha (annualized)	9.44%	-0.96%	0.00%
R²	27.37%	83.40%	100.00%
Sharpe Ratio	0.79	0.42	0.50
Sortino Ratio	1.24	0.58	0.71
Treynor Ratio (%)	22.47	6.75	7.42
Calmar Ratio	0.78	0.57	0.67
Active Return	4.93%	-0.64%	N/A
Tracking Error	14.52%	7.20%	N/A
Information Ratio	0.34	-0.09	N/A
Skewness	-0.71	-0.85	-0.84
Excess Kurtosis	6.42	2.52	2.77
Historical Value-at-Risk (5%)	-5.55%	-7.84%	-6.83%
Analytical Value-at-Risk (5%)	-5.84%	-7.41%	-6.15%
Conditional Value-at-Risk (5%)	-8.53%	-11.90%	-9.78%
Upside Capture Ratio (%)	80.38	107.38	100.00
Downside Capture Ratio (%)	44.70	113.48	100.00
Safe Withdrawal Rate	10.40%	7.77%	9.07%
Perpetual Withdrawal Rate	10.63%	6.07%	6.62%
Positive Periods	258 out of 384 (67.19%)	242 out of 384 (63.02%)	252 out of 384 (65.63%)
Gain/Loss Ratio	1.07	0.92	0.89
^* Vanguard 500 Index Investor 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 Period	Start	End	Dual Momentum Model	Equal Weight Portfolio	Vanguard 500 Index Investor
Black Monday Period	Sep 1987	Nov 1987	-28.09%	-29.43%	-29.78%
Asian Crisis	Jul 1997	Jan 1998	-4.62%	-3.27%	-5.61%
Russian Debt Default	Jul 1998	Oct 1998	-14.62%	-19.89%	-15.38%
Dotcom Crash	Mar 2000	Oct 2002	-31.09%	-55.97%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-9.39%	-49.82%	-50.97%

Drawdowns for Dual Momentum Model

Drawdowns for Dual Momentum Model (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Mar 2000	May 2002	2 years 3 months	Dec 2003	1 year 7 months	3 years 10 months	-31.09%
2	Oct 1987	Oct 1987	1 month	May 1989	1 year 7 months	1 year 8 months	-28.09%
3	Dec 2014	Jan 2016	1 year 2 months	Aug 2017	1 year 7 months	2 years 9 months	-15.46%
4	Jul 1998	Aug 1998	2 months	Dec 1998	4 months	6 months	-14.62%
5	Sep 2018	Oct 2018	2 months				-12.01%
6	Apr 2004	Jul 2004	4 months	Nov 2004	4 months	8 months	-11.49%
7	Jun 1996	Aug 1996	3 months	Jan 1997	5 months	8 months	-10.90%
8	Jul 1990	Aug 1990	2 months	Dec 1990	4 months	6 months	-10.36%
9	Apr 2012	Jun 2012	3 months	Jan 2013	7 months	10 months	-9.94%
10	Feb 1994	Jun 1994	5 months	Feb 1995	8 months	1 year 1 month	-9.75%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2000	Sep 2002	2 years 1 month	Jan 2013	10 years 4 months	12 years 5 months	-55.97%
2	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-29.43%
3	Jul 1990	Oct 1990	4 months	Feb 1991	4 months	8 months	-22.35%
4	May 1998	Aug 1998	4 months	Dec 1998	4 months	8 months	-20.46%
5	Sep 2018	Dec 2018	4 months				-17.75%
6	Aug 2015	Feb 2016	7 months	Sep 2016	7 months	1 year 2 months	-13.34%
7	Apr 2000	May 2000	2 months	Aug 2000	3 months	5 months	-10.09%
8	Oct 1989	Jan 1990	4 months	May 1990	4 months	8 months	-8.11%
9	Jun 1996	Jul 1996	2 months	Sep 1996	2 months	4 months	-7.78%
10	Mar 1992	Jun 1992	4 months	Nov 1992	5 months	9 months	-7.67%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-29.78%
4	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
5	Jun 1990	Oct 1990	5 months	Feb 1991	4 months	9 months	-14.70%
6	Oct 2018	Dec 2018	3 months				-13.55%
7	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
8	Feb 1994	Mar 1994	2 months	Aug 1994	5 months	7 months	-6.98%
9	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
10	Jan 1990	Jan 1990	1 month	May 1990	4 months	5 months	-6.72%
Worst 10 drawdowns included above

Rolling returns summary
Roll Period	Dual Momentum Model			Equal Weight Portfolio			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	16.15%	57.69%	-18.34%	11.16%	54.77%	-42.76%	11.16%	53.61%	-43.32%
3 years	15.88%	39.98%	-9.62%	9.90%	29.61%	-21.57%	10.37%	32.68%	-16.14%
5 years	16.16%	31.94%	1.73%	9.63%	25.52%	-6.78%	10.07%	28.49%	-6.73%
7 years	16.23%	24.03%	5.79%	9.09%	21.13%	-3.84%	9.64%	21.51%	-3.94%
10 years	16.05%	23.36%	8.92%	8.31%	20.80%	-3.84%	9.01%	19.37%	-3.51%
15 years	15.17%	17.56%	12.32%	7.30%	12.05%	2.81%	8.05%	13.56%	3.64%

Timing periods and related holdings for the timing portfolio
#	Start	End	Months	Assets	Asset Performance	Dual Momentum Model	Equal Weight Portfolio	Vanguard 500 Index Investor
140	Jan 2019	Jan 2019	1	Please sign-in for forward signals	-	-	-	-
139	Nov 2018	Dec 2018	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 7.39%	7.39%	-8.05%	-7.20%
138	Apr 2018	Oct 2018	7	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 3.35%	3.35%	3.37%	3.70%
137	Feb 2018	Mar 2018	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -3.74%	-3.74%	-2.18%	-6.16%
136	Dec 2017	Jan 2018	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 5.75%	5.75%	7.36%	6.88%
135	Nov 2017	Nov 2017	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 2.36%	2.36%	2.79%	3.06%
134	Oct 2017	Oct 2017	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 1.73%	1.73%	2.40%	2.32%
133	Aug 2017	Sep 2017	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 3.40%	3.40%	3.41%	2.36%
132	Jul 2017	Jul 2017	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 1.04%	1.04%	2.27%	2.04%
131	Mar 2017	Jun 2017	4	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 7.93%	7.93%	6.56%	3.16%
130	Dec 2016	Feb 2017	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 6.43%	6.43%	6.94%	8.00%
129	Nov 2016	Nov 2016	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -7.86%	-7.86%	3.17%	3.70%
128	Apr 2016	Oct 2016	7	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 5.56%	5.56%	4.47%	4.38%
127	Feb 2016	Mar 2016	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.91%	2.91%	6.10%	6.62%
126	Nov 2015	Jan 2016	3	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -6.36%	-6.36%	-8.56%	-6.22%
125	Sep 2015	Oct 2015	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.42%	1.42%	1.67%	5.73%
124	Jun 2015	Aug 2015	3	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -3.17%	-3.17%	-5.14%	-5.95%
123	Mar 2015	May 2015	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 1.30%	1.30%	1.25%	0.60%
122	Feb 2015	Feb 2015	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -5.66%	-5.66%	7.47%	5.74%
121	Jan 2015	Jan 2015	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -3.00%	-3.00%	-2.19%	-3.02%
120	Jun 2014	Dec 2014	7	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 9.77%	9.77%	8.10%	8.21%
119	May 2014	May 2014	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.73%	2.73%	1.96%	2.33%
118	Apr 2014	Apr 2014	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -3.66%	-3.66%	-2.32%	0.72%
117	Nov 2013	Mar 2014	5	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 7.99%	7.99%	7.57%	7.48%
116	Jan 2013	Oct 2013	10	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 35.85%	35.85%	31.01%	25.14%
115	Dec 2012	Dec 2012	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 0.50%	0.50%	1.54%	0.90%
114	Nov 2012	Nov 2012	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 2.54%	2.54%	2.79%	0.56%
113	Sep 2012	Oct 2012	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -0.72%	-0.72%	-0.41%	0.67%
112	Jun 2012	Aug 2012	3	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 0.75%	0.75%	5.61%	7.90%
111	Mar 2012	May 2012	3	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -5.80%	-5.80%	-6.23%	-3.55%
110	Nov 2011	Feb 2012	4	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 9.73%	9.73%	10.90%	9.82%
109	Jul 2011	Oct 2011	4	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 20.57%	20.57%	-6.84%	-4.51%
108	Dec 2010	Jun 2011	7	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 17.51%	17.51%	15.40%	13.02%
107	Nov 2010	Nov 2010	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 1.05%	1.05%	2.11%	0.00%
106	Oct 2010	Oct 2010	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 3.92%	3.92%	4.82%	3.79%
105	Jun 2010	Sep 2010	4	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 9.84%	9.84%	4.94%	5.43%
104	Jan 2010	May 2010	5	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 4.83%	4.83%	-0.29%	-1.55%
103	Nov 2009	Dec 2009	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 7.79%	7.79%	9.35%	8.04%
102	May 2009	Oct 2009	6	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 17.18%	17.18%	18.58%	20.07%
101	Apr 2009	Apr 2009	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 8.94%	8.94%	11.18%	9.56%
100	Jul 2008	Mar 2009	9	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 14.83%	14.83%	-36.32%	-36.33%
99	Jun 2008	Jun 2008	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -6.99%	-6.99%	-6.64%	-8.44%
98	May 2008	May 2008	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 3.02%	3.02%	4.11%	1.29%
97	Dec 2007	Apr 2008	5	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.65%	1.65%	-7.60%	-5.74%
96	Oct 2007	Nov 2007	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -1.81%	-1.81%	-2.67%	-2.67%
95	Aug 2007	Sep 2007	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.19%	2.19%	5.02%	5.28%
94	Nov 2006	Jul 2007	9	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 8.12%	8.12%	8.13%	7.00%
93	Sep 2006	Oct 2006	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 4.81%	4.81%	5.44%	5.90%
92	Jun 2006	Aug 2006	3	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 5.37%	5.37%	-2.08%	3.11%
91	Feb 2006	May 2006	4	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -2.76%	-2.76%	-5.22%	-0.13%
90	Oct 2005	Jan 2006	4	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 9.33%	9.33%	10.21%	4.74%
89	Jul 2005	Sep 2005	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 5.42%	5.42%	5.60%	3.58%
88	Jun 2005	Jun 2005	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 0.56%	0.56%	1.60%	0.13%
87	Apr 2005	May 2005	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 5.86%	5.86%	2.81%	1.19%
86	Oct 2004	Mar 2005	6	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 10.64%	10.64%	7.25%	6.84%
85	Aug 2004	Sep 2004	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 4.35%	4.35%	2.23%	1.45%
84	Jul 2004	Jul 2004	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -7.69%	-7.69%	-7.58%	-3.31%
83	Jun 2004	Jun 2004	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 1.42%	1.42%	2.13%	1.93%
82	May 2004	May 2004	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -0.56%	-0.56%	2.40%	1.36%
81	Mar 2004	Apr 2004	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -4.70%	-4.70%	-4.07%	-3.07%
80	Feb 2004	Feb 2004	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -0.06%	-0.06%	0.54%	1.38%
79	Jun 2003	Jan 2004	8	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 29.74%	29.74%	24.06%	18.60%
78	Apr 2003	May 2003	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 9.89%	9.89%	15.10%	13.95%
77	Feb 2003	Mar 2003	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.86%	1.86%	0.33%	-0.58%
76	Dec 2002	Jan 2003	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -9.05%	-9.05%	-9.34%	-8.36%
75	Nov 2002	Nov 2002	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 3.57%	3.57%	6.26%	5.88%
74	Jun 2002	Oct 2002	5	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 10.38%	10.38%	-19.34%	-16.37%
73	Apr 2002	May 2002	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -6.61%	-6.61%	-9.56%	-6.78%
72	Mar 2002	Mar 2002	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -3.86%	-3.86%	6.42%	3.74%
71	Jan 2002	Feb 2002	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -6.13%	-6.13%	-9.14%	-3.38%
70	Dec 2001	Dec 2001	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 0.14%	0.14%	3.41%	0.87%
69	Aug 2001	Nov 2001	4	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.80%	2.80%	-4.13%	-5.51%
68	May 2001	Jul 2001	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -0.88%	-0.88%	-5.45%	-2.79%
67	Mar 2001	Apr 2001	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -3.15%	-3.15%	0.09%	0.92%
66	Feb 2001	Feb 2001	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -8.12%	-8.12%	-14.89%	-9.14%
65	Nov 2000	Jan 2001	3	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 5.82%	5.82%	-8.22%	-4.13%
64	Sep 2000	Oct 2000	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -6.94%	-6.94%	-8.91%	-5.70%
63	Aug 2000	Aug 2000	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 10.00%	10.00%	10.67%	6.19%
62	Jul 2000	Jul 2000	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -5.19%	-5.19%	-3.76%	-1.50%
61	Jun 2000	Jun 2000	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.30%	2.30%	10.70%	2.49%
60	May 2000	May 2000	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -5.23%	-5.23%	-5.67%	-2.04%
59	Dec 1999	Apr 2000	5	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 26.92%	26.92%	18.46%	5.10%
58	Nov 1999	Nov 1999	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 3.28%	3.28%	5.87%	2.02%
57	Sep 1999	Oct 1999	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.03%	1.03%	5.04%	3.41%
56	May 1999	Aug 1999	4	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 4.78%	4.78%	2.90%	-0.69%
55	Nov 1998	Apr 1999	6	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 20.03%	20.03%	17.84%	22.36%
54	Sep 1998	Oct 1998	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.54%	1.54%	14.84%	15.10%
53	Dec 1997	Aug 1998	9	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 7.35%	7.35%	-8.38%	1.29%
52	Nov 1997	Nov 1997	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.27%	1.27%	1.36%	4.60%
51	Jul 1997	Oct 1997	4	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 9.53%	9.53%	5.39%	3.88%
50	May 1997	Jun 1997	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 9.38%	9.38%	12.43%	10.81%
49	Apr 1997	Apr 1997	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.35%	2.35%	2.81%	5.96%
48	Oct 1996	Mar 1997	6	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 6.40%	6.40%	-0.43%	11.21%
47	Aug 1996	Sep 1996	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.46%	1.46%	9.62%	7.82%
46	Jul 1996	Jul 1996	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -4.76%	-4.76%	-6.36%	-4.42%
45	Apr 1996	Jun 1996	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 5.68%	5.68%	6.51%	4.44%
44	Oct 1995	Mar 1996	6	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 14.04%	14.04%	11.30%	11.69%
43	Aug 1995	Sep 1995	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 4.86%	4.86%	5.07%	4.49%
42	Feb 1995	Jul 1995	6	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 19.92%	19.92%	19.25%	20.96%
41	Dec 1994	Jan 1995	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 4.28%	4.28%	2.73%	4.08%
40	Sep 1994	Nov 1994	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -1.72%	-1.72%	-1.55%	-3.90%
39	Aug 1994	Aug 1994	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 4.09%	4.09%	5.67%	4.08%
38	Jul 1994	Jul 1994	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 2.94%	2.94%	1.63%	3.28%
37	Jun 1994	Jun 1994	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -2.93%	-2.93%	-3.62%	-2.47%
36	Apr 1994	May 1994	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -1.75%	-1.75%	1.90%	2.94%
35	Jan 1994	Mar 1994	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -3.10%	-3.10%	-2.96%	-3.84%
34	Dec 1993	Dec 1993	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 1.12%	1.12%	2.92%	1.22%
33	Jun 1993	Nov 1993	6	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 9.74%	9.74%	6.52%	3.89%
32	Mar 1993	May 1993	3	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.34%	1.34%	0.69%	2.28%
31	Oct 1992	Feb 1993	5	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 12.63%	12.63%	6.33%	7.28%
30	Aug 1992	Sep 1992	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 0.61%	0.61%	0.89%	-0.92%
29	Apr 1992	Jul 1992	4	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 7.94%	7.94%	-1.35%	5.99%
28	Feb 1992	Mar 1992	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -4.12%	-4.12%	-3.38%	-0.71%
27	Jan 1992	Jan 1992	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -2.30%	-2.30%	2.13%	-1.88%
26	Dec 1991	Dec 1991	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 6.26%	6.26%	14.08%	11.41%
25	Sep 1991	Nov 1991	3	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -1.03%	-1.03%	-2.16%	-4.36%
24	Aug 1991	Aug 1991	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 4.11%	4.11%	4.85%	2.33%
23	Jul 1991	Jul 1991	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.53%	1.53%	5.27%	4.63%
22	Jan 1991	Jun 1991	6	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 27.05%	27.05%	22.82%	14.14%
21	Dec 1990	Dec 1990	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 4.40%	4.40%	5.45%	2.72%
20	Sep 1990	Nov 1990	3	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 8.08%	8.08%	-3.32%	0.82%
19	Apr 1990	Aug 1990	5	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 1.07%	1.07%	-3.58%	-3.69%
18	Feb 1990	Mar 1990	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -0.58%	-0.58%	5.55%	3.92%
17	Dec 1989	Jan 1990	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -4.95%	-4.95%	-6.18%	-4.50%
16	Nov 1989	Nov 1989	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 0.83%	0.83%	0.18%	2.04%
15	Feb 1989	Oct 1989	9	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 25.25%	25.25%	15.99%	17.18%
14	Jan 1989	Jan 1989	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 3.02%	3.02%	5.04%	7.32%
13	Dec 1988	Dec 1988	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.29%	1.29%	2.83%	1.66%
12	Oct 1988	Nov 1988	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -1.71%	-1.71%	-2.70%	1.29%
11	Sep 1988	Sep 1988	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 3.86%	3.86%	3.96%	4.26%
10	Aug 1988	Aug 1988	1	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -2.42%	-2.42%	-2.83%	-3.40%
9	Jul 1988	Jul 1988	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -2.50%	-2.50%	-0.60%	-0.37%
8	Feb 1988	Jun 1988	5	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 19.36%	19.36%	12.57%	7.97%
7	Nov 1987	Jan 1988	3	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 6.83%	6.83%	4.69%	2.87%
6	Sep 1987	Oct 1987	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: -27.36%	-27.36%	-25.26%	-23.52%
5	Jul 1987	Aug 1987	2	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: 4.60%	4.60%	4.58%	8.94%
4	May 1987	Jun 1987	2	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: -0.08%	-0.08%	2.98%	6.11%
3	Apr 1987	Apr 1987	1	100.00% Vanguard US Growth Investor (VWUSX)	VWUSX: -3.67%	-3.67%	-3.21%	-1.03%
2	Feb 1987	Mar 1987	2	100.00% Vanguard Explorer Inv (VEXPX)	VEXPX: 7.98%	7.98%	8.40%	6.97%
1	Jan 1987	Jan 1987	1	100.00% Vanguard Long-Term Treasury Inv (VUSTX)	VUSTX: 1.30%	1.30%	9.85%	13.27%