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
Length
Unit
Weight
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
%
Portfolio Assets
Allocation
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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Total
%

Market Timing Results (Jan 1997 - Dec 2018)

Market timing results from 1997 to 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. Timing 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 Total Intl Stock Index Inv (VGTSX) [May 1996 - Aug 2019].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$223,55015.17%12.92%49.14%-8.39%-16.28% 1.011.750.47
Vanguard 500 Index Investor$10,000$50,0747.60%14.96%33.19%-37.02%-50.97% 0.430.610.99
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Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • 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 timing portfolio assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19971.70%33.19%33.19%$13,319$13,31933.19%-0.77%13.90%
19981.61%13.46%28.62%$15,112$17,13128.62%15.60%13.05%
19992.68%29.98%21.07%$19,643$20,74021.07%29.92%-8.66%
20003.39%2.18%-9.06%$20,071$18,861-9.06%-15.61%19.72%
20011.55%4.31%-12.02%$20,936$16,594-12.02%-20.15%4.31%
20022.38%4.24%-22.15%$21,824$12,919-22.15%-15.08%16.67%
20031.88%49.14%28.50%$32,548$16,60128.50%40.34%2.68%
20043.26%21.59%10.74%$39,576$18,38410.74%20.84%7.12%
20053.42%3.41%4.77%$40,924$19,2624.77%15.57%6.61%
20062.54%23.75%15.64%$50,642$22,27515.64%26.64%1.74%
20074.08%15.52%5.39%$58,503$23,4755.39%15.52%9.24%
20080.09%9.53%-37.02%$64,080$14,784-37.02%-44.10%22.52%
20092.72%26.75%26.49%$81,224$18,70026.49%36.73%-12.05%
20101.50%15.92%14.91%$94,159$21,48914.91%11.12%8.93%
20112.96%21.58%1.97%$114,482$21,9111.97%-14.56%29.28%
20121.74%14.62%15.82%$131,214$25,37915.82%18.14%3.47%
20131.50%21.57%32.18%$159,515$33,54432.18%15.04%-13.03%
20140.76%13.51%13.51%$181,063$38,07613.51%-4.24%25.28%
20150.73%-8.39%1.25%$165,866$38,5511.25%-4.37%-1.54%
20162.07%0.50%11.82%$166,700$43,10711.82%4.65%1.20%
20172.11%21.55%21.67%$202,622$52,44721.67%27.40%8.58%
20181.91%10.33%-4.52%$223,550$50,074-4.52%-14.44%-1.90%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
199716.22%6.22%$10,622$10,6226.22%-2.37%-0.65%
199720.79%0.79%$10,706$10,7060.79%1.82%-0.11%
19973-4.14%-4.14%$10,263$10,263-4.14%-0.10%-2.29%
199745.96%5.96%$10,874$10,8745.96%0.20%2.35%
199756.09%6.09%$11,536$11,5366.09%6.54%0.98%
199764.45%4.45%$12,050$12,0504.45%5.40%1.78%
199777.97%7.97%$13,010$13,0107.97%1.59%5.34%
19978-5.61%-5.61%$12,280$12,280-5.61%-8.60%-2.57%
199795.47%5.47%$12,951$12,9515.47%5.51%2.63%
199710-3.35%-3.35%$12,518$12,518-3.35%-9.10%2.99%
1997114.60%4.60%$13,093$13,0934.60%-1.19%1.27%
1997121.72%1.72%$13,319$13,3191.72%0.92%1.66%
199811.11%1.11%$13,467$13,4671.11%3.04%1.91%
199827.19%7.19%$14,435$14,4357.19%6.88%-0.75%
199835.10%5.10%$15,172$15,1725.10%3.22%0.14%
199841.01%1.01%$15,325$15,3251.01%0.53%0.40%
19985-1.74%-1.74%$15,058$15,058-1.74%-1.51%1.83%
199864.07%4.07%$15,671$15,6714.07%-0.27%2.35%
19987-1.05%-1.05%$15,506$15,506-1.05%1.08%-0.51%
19988-14.47%-14.47%$13,262$13,262-14.47%-13.66%4.83%
199893.29%6.41%$13,697$14,1126.41%-2.07%3.29%
199810-1.69%8.16%$13,465$15,2648.16%10.77%-1.69%
1998116.07%6.07%$14,283$16,1916.07%5.34%0.88%
1998125.81%5.81%$15,112$17,1315.81%3.26%-0.16%
199914.20%4.20%$15,747$17,8514.20%-0.63%0.98%
19992-3.12%-3.12%$15,255$17,293-3.12%-2.16%-4.76%
199934.00%4.00%$15,865$17,9844.00%4.97%-0.34%
199943.85%3.85%$16,476$18,6773.85%5.08%0.19%
19995-2.39%-2.39%$16,082$18,231-2.39%-5.00%-1.68%
199965.56%5.56%$16,976$19,2435.56%4.39%-1.05%
19997-3.13%-3.13%$16,444$18,641-3.13%2.27%-0.58%
199980.33%-0.50%$16,498$18,549-0.50%0.33%-0.49%
199990.82%-2.74%$16,634$18,041-2.74%0.82%0.91%
1999103.74%6.33%$17,256$19,1826.33%3.74%0.12%
1999114.08%2.02%$17,959$19,5702.02%4.08%-0.59%
1999129.37%5.98%$19,643$20,7405.98%9.37%-1.60%
20001-6.22%-5.03%$18,421$19,696-5.03%-6.22%1.25%
200022.83%-1.91%$18,943$19,321-1.91%2.83%2.96%
200033.48%9.76%$19,601$21,2069.76%3.48%3.14%
20004-3.01%-3.01%$19,012$20,569-3.01%-5.41%-0.66%
20005-2.04%-2.04%$18,624$20,150-2.04%-2.67%-0.46%
200062.49%2.49%$19,088$20,6512.49%4.27%2.30%
200071.49%-1.49%$19,371$20,343-1.49%-4.46%1.49%
200082.08%6.19%$19,774$21,6026.19%1.00%2.08%
20009-5.29%-5.29%$18,728$20,459-5.29%-5.00%-0.85%
2000101.57%-0.43%$19,022$20,372-0.43%-3.03%1.57%
2000112.99%-7.88%$19,591$18,767-7.88%-4.44%2.99%
2000122.45%0.50%$20,071$18,8610.50%3.72%2.45%
200110.28%3.55%$20,128$19,5303.55%1.10%0.28%
200121.80%-9.14%$20,491$17,746-9.14%-7.61%1.80%
20013-0.60%-6.36%$20,367$16,618-6.36%-7.15%-0.60%
20014-2.56%7.77%$19,845$17,9097.77%7.89%-2.56%
200150.21%0.65%$19,886$18,0250.65%-3.52%0.21%
200160.76%-2.45%$20,037$17,584-2.45%-3.84%0.76%
200173.61%-1.00%$20,761$17,409-1.00%-2.43%3.61%
200182.02%-6.27%$21,181$16,316-6.27%-2.30%2.02%
200190.88%-8.09%$21,367$14,996-8.09%-10.73%0.88%
2001105.12%1.90%$22,462$15,2801.90%2.97%5.12%
200111-5.07%7.65%$21,323$16,4507.65%3.56%-5.07%
200112-1.82%0.87%$20,936$16,5940.87%1.35%-1.82%
20021-1.47%-1.47%$20,627$16,349-1.47%-4.63%1.20%
200221.24%-1.94%$20,884$16,033-1.94%0.90%1.24%
20023-3.86%3.74%$20,078$16,6333.74%5.71%-3.86%
200240.42%-6.07%$20,163$15,622-6.07%0.42%3.73%
200251.16%-0.75%$20,397$15,505-0.75%1.16%0.39%
20026-4.28%-7.13%$19,525$14,398-7.13%-4.28%1.76%
200272.93%-7.72%$20,097$13,287-7.72%-9.80%2.93%
200284.28%0.65%$20,957$13,3740.65%-0.12%4.28%
200294.02%-10.87%$21,799$11,919-10.87%-10.88%4.02%
200210-2.84%8.78%$21,180$12,9668.78%5.70%-2.84%
200211-0.98%5.88%$20,974$13,7285.88%4.75%-0.98%
2002124.05%-5.89%$21,824$12,919-5.89%-3.43%4.05%
20031-0.45%-2.62%$21,726$12,580-2.62%-3.76%-0.45%
200323.03%-1.52%$22,384$12,389-1.52%-2.42%3.03%
20033-1.13%0.96%$22,130$12,5070.96%-1.93%-1.13%
200348.25%8.25%$23,957$13,5408.25%9.70%0.91%
200355.26%5.26%$25,218$14,2525.26%6.15%5.67%
200361.26%1.26%$25,535$14,4321.26%2.66%-1.48%
200373.18%1.74%$26,347$14,6841.74%3.18%-8.57%
200382.51%1.93%$27,007$14,9671.93%2.51%1.43%
200392.78%-1.07%$27,758$14,807-1.07%2.78%5.07%
2003106.49%5.64%$29,561$15,6425.64%6.49%-2.58%
2003112.13%0.86%$30,192$15,7780.86%2.13%0.31%
2003127.80%5.22%$32,548$16,6015.22%7.80%1.23%
200411.60%1.82%$33,068$16,9041.82%1.60%1.74%
200422.50%1.38%$33,894$17,1361.38%2.50%1.96%
200430.45%-1.51%$34,047$16,877-1.51%0.45%1.45%
20044-3.14%-1.58%$32,976$16,611-1.58%-3.14%-5.52%
200450.46%1.36%$33,129$16,8361.36%0.46%-0.56%
200462.40%1.93%$33,924$17,1611.93%2.40%0.87%
20047-3.31%-3.31%$32,801$16,593-3.31%-3.34%1.52%
200483.39%0.38%$33,912$16,6570.38%0.75%3.39%
200490.94%1.07%$34,229$16,8341.07%2.96%0.94%
2004103.24%1.51%$35,337$17,0891.51%3.24%1.46%
2004117.23%4.05%$37,892$17,7814.05%7.23%-2.25%
2004124.44%3.39%$39,576$18,3843.39%4.44%2.22%
20051-1.67%-2.45%$38,916$17,933-2.45%-1.67%2.59%
200524.68%2.09%$40,738$18,3082.09%4.68%-1.24%
20053-2.93%-1.76%$39,545$17,986-1.76%-2.93%-0.76%
20054-2.07%-1.91%$38,728$17,642-1.91%-2.07%3.22%
200550.08%3.17%$38,759$18,2013.17%0.08%2.55%
200560.13%0.13%$38,809$18,2240.13%1.30%1.64%
20057-2.58%3.71%$37,808$18,9003.71%3.68%-2.58%
20058-0.91%-0.91%$37,462$18,727-0.91%2.85%2.87%
200594.73%0.79%$39,233$18,8760.79%4.73%-2.78%
200510-3.37%-1.68%$37,912$18,559-1.68%-3.37%-1.74%
2005112.67%3.76%$38,924$19,2583.76%2.67%0.57%
2005125.14%0.02%$40,924$19,2620.02%5.14%2.33%
200616.87%2.65%$43,735$19,7712.65%6.87%-0.90%
20062-0.72%0.26%$43,420$19,8230.26%-0.72%0.81%
200633.17%1.23%$44,796$20,0671.23%3.17%-3.39%
200645.12%1.33%$47,090$20,3351.33%5.12%-1.96%
20065-4.45%-2.90%$44,997$19,746-2.90%-4.45%-0.03%
20066-0.38%0.13%$44,825$19,7710.13%-0.38%0.71%
200671.15%0.61%$45,341$19,8910.61%1.15%1.84%
200682.74%2.36%$46,582$20,3612.36%2.53%2.74%
200690.25%2.56%$46,697$20,8832.56%0.25%1.58%
2006103.25%3.25%$48,215$21,5623.25%4.00%0.77%
2006111.89%1.89%$49,126$21,9691.89%3.73%1.91%
2006123.09%1.39%$50,642$22,2751.39%3.09%-2.14%
200710.96%1.49%$51,129$22,6071.49%0.96%-0.85%
200720.06%-1.97%$51,158$22,162-1.97%0.06%2.93%
200732.80%1.11%$52,591$22,4091.11%2.80%-1.13%
200743.92%4.42%$54,655$23,3994.42%3.92%0.86%
200753.09%3.48%$56,346$24,2123.48%3.09%-1.93%
200760.61%-1.68%$56,690$23,806-1.68%0.61%-0.88%
20077-1.06%-3.08%$56,088$23,072-3.08%-1.06%2.39%
20078-0.72%1.50%$55,686$23,4181.50%-0.72%1.97%
200796.38%3.72%$59,240$24,2903.72%6.38%0.21%
2007105.90%1.58%$62,737$24,6731.58%5.90%1.40%
200711-4.57%-4.19%$59,871$23,640-4.19%-4.57%4.59%
200712-2.28%-0.70%$58,503$23,475-0.70%-2.28%-0.48%
200812.64%-6.02%$60,049$22,063-6.02%-8.55%2.64%
200820.35%-3.25%$60,259$21,345-3.25%0.33%0.35%
200831.02%-0.44%$60,874$21,251-0.44%-0.71%1.02%
20084-1.84%4.85%$59,754$22,2834.85%5.85%-1.84%
20085-2.13%1.29%$58,483$22,5711.29%1.51%-2.13%
20086-8.99%-8.44%$53,227$20,666-8.44%-8.99%1.80%
200870.30%-0.83%$53,384$20,494-0.83%-3.67%0.30%
200881.80%1.45%$54,347$20,7911.45%-5.10%1.80%
200890.28%-8.91%$54,501$18,939-8.91%-13.09%0.28%
200810-3.63%-16.79%$52,524$15,759-16.79%-22.09%-3.63%
20081112.07%-7.17%$58,862$14,628-7.17%-6.29%12.07%
2008128.87%1.07%$64,080$14,7841.07%8.16%8.87%
20091-8.47%-8.41%$58,653$13,540-8.41%-11.96%-8.47%
20092-1.01%-10.66%$58,061$12,097-10.66%-9.58%-1.01%
200935.27%8.76%$61,118$13,1578.76%9.31%5.27%
20094-4.99%9.56%$58,069$14,4159.56%12.78%-4.99%
2009514.35%5.62%$66,404$15,2255.62%14.35%-2.68%
20096-1.32%0.22%$65,527$15,2580.22%-1.32%0.70%
200979.96%7.58%$72,052$16,4147.58%9.96%0.80%
200983.50%3.60%$74,574$17,0053.60%3.50%1.68%
200995.15%3.72%$78,413$17,6373.72%5.15%1.98%
200910-2.17%-1.87%$76,713$17,308-1.87%-2.17%-1.45%
2009113.86%5.98%$79,674$18,3435.98%3.86%1.91%
2009121.95%1.95%$81,224$18,7001.95%1.53%-5.66%
20101-3.60%-3.60%$78,297$18,026-3.60%-5.07%2.66%
201023.09%3.09%$80,718$18,5833.09%0.22%-0.21%
201036.01%6.01%$85,572$19,7016.01%6.71%-1.51%
201041.58%1.58%$86,922$20,0121.58%-1.71%2.76%
20105-8.01%-8.01%$79,964$18,410-8.01%-10.78%4.23%
201064.67%-5.24%$83,695$17,445-5.24%-1.17%4.67%
20107-0.17%7.00%$83,552$18,6667.00%10.33%-0.17%
20108-3.22%-4.53%$80,864$17,820-4.53%-3.22%7.08%
2010910.41%8.92%$89,285$19,4108.92%10.41%-1.82%
2010103.55%3.79%$92,451$20,1453.79%3.55%-3.29%
201011-4.52%0.00%$88,270$20,1450.00%-4.52%-1.60%
2010126.67%6.67%$94,159$21,4896.67%8.34%-3.58%
201110.70%2.36%$94,816$21,9952.36%0.70%-2.38%
201123.42%3.42%$98,055$22,7473.42%2.71%1.24%
201130.03%0.03%$98,080$22,7530.03%-0.43%0.02%
201142.95%2.95%$100,972$23,4232.95%5.24%2.04%
20115-1.15%-1.15%$99,815$23,155-1.15%-2.87%3.29%
20116-1.67%-1.67%$98,146$22,768-1.67%-1.51%-2.00%
20117-2.05%-2.05%$96,137$22,302-2.05%-1.53%4.18%
201188.68%-5.45%$104,483$21,087-5.45%-8.45%8.68%
2011910.16%-7.04%$115,102$19,602-7.04%-12.29%10.16%
201110-3.34%10.91%$111,263$21,74110.91%10.22%-3.34%
201111-0.23%-0.23%$111,003$21,691-0.23%-2.88%1.82%
2011123.13%1.02%$114,482$21,9111.02%-2.64%3.13%
201214.46%4.46%$119,593$22,8894.46%7.27%0.08%
201224.31%4.31%$124,743$23,8754.31%5.14%-2.11%
201233.28%3.28%$128,837$24,6593.28%-0.75%-3.77%
20124-0.64%-0.64%$128,013$24,501-0.64%-1.78%4.37%
20125-6.02%-6.02%$120,309$23,027-6.02%-11.14%7.79%
20126-1.44%4.11%$118,571$23,9734.11%6.03%-1.44%
201271.37%1.37%$120,196$24,3011.37%0.44%3.32%
201282.24%2.24%$122,887$24,8452.24%2.72%-1.06%
201292.58%2.58%$126,054$25,4862.58%3.62%-2.10%
201210-1.86%-1.86%$123,710$25,012-1.86%0.56%-0.43%
2012111.82%0.56%$125,957$25,1520.56%1.82%1.35%
2012124.17%0.90%$131,214$25,3790.90%4.17%-1.99%
201313.34%5.18%$135,594$26,6925.18%3.34%-3.27%
20132-1.23%1.34%$133,929$27,0501.34%-1.23%1.26%
201330.77%3.74%$134,955$28,0613.74%0.77%0.03%
201341.91%1.91%$137,531$28,5971.91%3.58%3.87%
201352.33%2.33%$140,732$29,2622.33%-2.95%-6.23%
20136-1.35%-1.35%$138,831$28,867-1.35%-3.75%-3.26%
201375.07%5.07%$145,873$30,3315.07%4.56%-1.93%
20138-2.91%-2.91%$141,626$29,448-2.91%-1.63%-1.28%
201393.12%3.12%$146,047$30,3673.12%7.21%0.88%
2013103.41%4.59%$151,030$31,7604.59%3.41%1.32%
2013113.03%3.03%$155,604$32,7223.03%0.12%-2.49%
2013122.51%2.51%$159,515$33,5442.51%1.25%-2.37%
20141-3.47%-3.47%$153,981$32,381-3.47%-4.78%6.26%
201424.56%4.56%$161,004$33,8574.56%5.39%0.60%
201430.82%0.82%$162,330$34,1360.82%0.41%0.63%
201440.72%0.72%$163,506$34,3830.72%1.31%1.82%
201452.33%2.33%$167,323$35,1862.33%1.88%2.73%
201462.05%2.05%$170,757$35,9082.05%1.74%-0.16%
20147-1.39%-1.39%$168,387$35,410-1.39%-1.61%0.59%
201483.98%3.98%$175,091$36,8203.98%1.05%4.23%
20149-1.41%-1.41%$172,618$36,300-1.41%-5.01%-1.99%
2014102.42%2.42%$176,801$37,1792.42%-0.31%2.61%
2014112.68%2.68%$181,543$38,1772.68%-0.25%2.86%
201412-0.26%-0.26%$181,063$38,076-0.26%-3.65%2.82%
20151-3.02%-3.02%$175,600$36,927-3.02%0.13%8.97%
201525.74%5.74%$185,678$39,0465.74%5.52%-5.66%
20153-1.59%-1.59%$182,719$38,424-1.59%-1.54%1.13%
201540.95%0.95%$184,453$38,7890.95%5.08%-3.07%
20155-0.94%1.27%$182,712$39,2821.27%-0.94%-2.16%
20156-2.69%-1.93%$177,796$38,523-1.93%-2.69%-3.73%
20157-0.80%2.08%$176,366$39,3242.08%-0.80%4.21%
20158-6.04%-6.04%$165,711$36,948-6.04%-7.29%-0.71%
201591.91%-2.49%$168,878$36,028-2.49%-3.90%1.91%
201510-0.48%8.42%$168,069$39,0638.42%6.26%-0.48%
2015110.29%0.29%$168,551$39,1750.29%-1.32%-0.81%
201512-1.59%-1.59%$165,866$38,551-1.59%-2.07%-0.34%
20161-4.98%-4.98%$157,612$36,632-4.98%-5.59%5.24%
201622.86%-0.15%$162,119$36,579-0.15%-2.27%2.86%
201630.05%6.78%$162,203$39,0586.78%8.19%0.05%
201640.37%0.37%$162,810$39,2040.37%2.22%-0.63%
20165-1.02%1.78%$161,153$39,9031.78%-1.02%0.69%
201660.25%0.25%$161,556$40,0020.25%-0.94%6.57%
201673.68%3.68%$167,495$41,4733.68%4.41%2.01%
201680.13%0.13%$167,712$41,5270.13%0.74%-1.00%
201691.37%0.01%$170,004$41,5300.01%1.37%-1.32%
201610-1.72%-1.83%$167,084$40,769-1.83%-1.72%-4.23%
201611-2.15%3.70%$163,491$42,2773.70%-2.15%-7.86%
2016121.96%1.96%$166,700$43,1071.96%2.02%-0.35%
201711.88%1.88%$169,839$43,9181.88%3.87%0.65%
201723.96%3.96%$176,569$45,6593.96%1.50%1.57%
201730.10%0.10%$176,746$45,7040.10%2.82%-0.59%
201742.20%1.02%$180,632$46,1701.02%2.20%1.58%
201751.39%1.39%$183,149$46,8131.39%3.01%1.73%
201760.52%0.61%$184,111$47,0990.61%0.52%0.63%
201773.42%2.04%$190,406$48,0612.04%3.42%-0.59%
201780.64%0.29%$191,621$48,2020.29%0.64%3.27%
201791.81%2.06%$195,084$49,1952.06%1.81%-2.27%
2017101.94%2.32%$198,859$50,3352.32%1.94%-0.02%
2017110.78%3.06%$200,414$51,8753.06%0.78%0.63%
2017121.10%1.10%$202,622$52,4471.10%2.01%1.78%
201815.71%5.71%$214,197$55,4435.71%5.59%-3.40%
20182-3.69%-3.69%$206,284$53,394-3.69%-5.14%-2.89%
20183-2.56%-2.56%$201,012$52,030-2.56%-0.64%2.75%
201840.83%0.37%$202,677$52,2240.37%0.83%-2.04%
201851.79%2.39%$206,314$53,4752.39%-1.92%1.79%
201860.61%0.61%$207,563$53,7980.61%-2.08%0.66%
201873.71%3.71%$215,262$55,7943.71%2.48%-1.28%
201883.25%3.25%$222,250$57,6053.25%-2.19%1.18%
201890.55%0.55%$223,482$57,9240.55%0.30%-2.74%
201810-6.85%-6.85%$208,175$53,957-6.85%-8.35%-2.82%
2018111.78%2.03%$211,889$55,0512.03%1.26%1.78%
2018125.50%-9.04%$223,550$50,074-9.04%-4.85%5.50%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.25%0.71%
Arithmetic Mean (annualized)16.11%8.81%
Geometric Mean (monthly)1.18%0.61%
Geometric Mean (annualized)15.17%7.60%
Volatility (monthly)3.73%4.32%
Volatility (annualized)12.92%14.96%
Downside Deviation (monthly)2.07%2.95%
Max. Drawdown-16.28%-50.97%
US Market Correlation0.470.99
Beta(*)0.411.00
Alpha (annualized)11.58%-0.00%
R222.23%100.00%
Sharpe Ratio1.010.43
Sortino Ratio1.750.61
Treynor Ratio (%)31.936.45
Calmar Ratio1.530.67
Active Return7.57%N/A
Tracking Error14.44%N/A
Information Ratio0.52N/A
Skewness-0.14-0.65
Excess Kurtosis1.411.11
Historical Value-at-Risk (5%)-4.87%-7.58%
Analytical Value-at-Risk (5%)-4.88%-6.40%
Conditional Value-at-Risk (5%)-7.00%-9.88%
Upside Capture Ratio (%)77.89100.00
Downside Capture Ratio (%)30.96100.00
Safe Withdrawal Rate15.90%7.80%
Perpetual Withdrawal Rate11.34%5.10%
Positive Periods179 out of 264 (67.80%)170 out of 264 (64.39%)
Gain/Loss Ratio1.130.83
* 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 PeriodStartEndTiming PortfolioVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-5.61%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-13.07%-44.82%
Subprime CrisisNov 2007Mar 2009-16.28%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearDec 20082 months1 year 2 months-16.28%
2Jul 1998Aug 19982 monthsJan 19995 months7 months-15.38%
3Mar 2015Jan 201611 monthsJul 20171 year 6 months2 years 5 months-15.12%
4Nov 2001Jun 20028 monthsApr 200310 months1 year 6 months-13.07%
5Jan 2009Feb 20092 monthsMay 20093 months5 months-9.39%
6Mar 2005Aug 20056 monthsDec 20054 months10 months-8.04%
7May 2010May 20101 monthSep 20104 months5 months-8.01%
8Apr 2012Jun 20123 monthsDec 20126 months9 months-7.97%
9Oct 2018Oct 20181 monthDec 20182 months3 months-6.85%
10Jan 2000Jan 20001 monthAug 20007 months8 months-6.22%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
10Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year15.83%49.14%-8.39%9.22%33.19%-37.02%
3 years14.89%25.24%1.48%7.23%27.53%-14.60%
5 years15.05%21.80%6.98%6.20%17.81%-2.38%
7 years15.79%20.65%10.03%6.18%14.67%-1.64%
10 years15.93%19.65%12.65%5.61%12.97%-1.46%
15 years15.85%17.65%13.71%5.92%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioVanguard 500 Index Investor
1Jan 1997Aug 199820100.00% Vanguard 500 Index Investor (VFINX)VFINX: 32.62%32.62%32.62%
2Sep 1998Oct 19982100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.54%1.54%15.10%
3Nov 1998Jul 19999100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.13%22.13%22.13%
4Aug 1999Mar 20008100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 19.20%19.20%13.76%
5Apr 2000Jun 20003100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.62%-2.62%-2.62%
6Jul 2000Aug 20002100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.59%3.59%4.61%
7Sep 2000Sep 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -5.29%-5.29%-5.29%
8Oct 2000Dec 200115100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.79%11.79%-18.89%
9Jan 2002Jan 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.47%-1.47%-1.47%
10Feb 2002Mar 20022100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.66%-2.66%1.73%
11Apr 2002Jun 20023100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -2.75%-2.75%-13.43%
12Jul 2002Mar 20039100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 13.34%13.34%-13.13%
13Apr 2003Jun 20033100.00% Vanguard 500 Index Investor (VFINX)VFINX: 15.39%15.39%15.39%
14Jul 2003Jun 200412100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 32.85%32.85%18.91%
15Jul 2004Jul 20041100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.31%-3.31%-3.31%
16Aug 2004Sep 20042100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.35%4.35%1.45%
17Oct 2004May 20058100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 13.24%13.24%8.12%
18Jun 2005Jun 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.13%0.13%0.13%
19Jul 2005Jul 20051100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.58%-2.58%3.71%
20Aug 2005Aug 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.91%-0.91%-0.91%
21Sep 2005Jul 200611100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 21.03%21.03%6.22%
22Aug 2006Aug 20061100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.74%2.74%2.36%
23Sep 2006Sep 20061100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.25%0.25%2.56%
24Oct 2006Nov 20062100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.20%5.20%5.20%
25Dec 2006Dec 200713100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 19.09%19.09%6.85%
26Jan 2008May 20085100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.03%-0.03%-3.85%
27Jun 2008Jun 20081100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -8.99%-8.99%-8.44%
28Jul 2008Apr 200910100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.10%9.10%-30.25%
29May 2009Nov 20097100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 37.20%37.20%27.25%
30Dec 2009May 20106100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.36%0.36%0.36%
31Jun 2010Jul 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.49%4.49%1.39%
32Aug 2010Nov 20104100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 5.65%5.65%7.92%
33Dec 2010Dec 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.67%6.67%6.67%
34Jan 2011Jan 20111100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.70%0.70%2.36%
35Feb 2011Jul 20116100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%1.39%
36Aug 2011Oct 20113100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 15.73%15.73%-2.51%
37Nov 2011Nov 20111100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.23%-0.23%-0.23%
38Dec 2011Dec 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.13%3.13%1.02%
39Jan 2012May 20125100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.09%5.09%5.09%
40Jun 2012Jun 20121100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.44%-1.44%4.11%
41Jul 2012Oct 20124100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.33%4.33%4.33%
42Nov 2012Mar 20135100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 9.09%9.09%12.19%
43Apr 2013Sep 20136100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.22%8.22%8.22%
44Oct 2013Oct 20131100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.41%3.41%4.59%
45Nov 2013Apr 201518100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.13%22.13%22.13%
46May 2015Jul 20153100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -4.38%-4.38%1.38%
47Aug 2015Aug 20151100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.04%-6.04%-6.04%
48Sep 2015Oct 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.42%1.42%5.72%
49Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-6.22%
50Feb 2016Mar 20162100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.91%2.91%6.62%
51Apr 2016Apr 20161100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.37%0.37%0.37%
52May 2016May 20161100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -1.02%-1.02%1.78%
53Jun 2016Aug 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.07%4.07%4.07%
54Sep 2016Nov 20163100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -2.52%-2.52%1.81%
55Dec 2016Mar 20174100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.11%8.11%8.11%
56Apr 2017Apr 20171100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 2.20%2.20%1.02%
57May 2017May 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%1.39%
58Jun 2017Nov 20176100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 9.43%9.43%10.81%
59Dec 2017Mar 20184100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.30%0.30%0.30%
60Apr 2018Apr 20181100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 0.83%0.83%0.37%
61May 2018May 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.79%1.79%2.39%
62Jun 2018Oct 20185100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.90%0.90%0.90%
63Nov 2018Dec 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.39%7.39%-7.20%
64Jan 2019Jan 20191100.00% Vanguard Long-Term Treasury Inv (VUSTX)---