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.
Tactical asset allocation model results from Jan 1997 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 Total Intl Stock Index Inv (VGTSX) [May 1996 - Dec 2020].
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Dual Momentum Model | $10,000 | $223,569 | 15.17% | 12.92% | 49.14% | -8.40% | -16.28% | 1.00 | 1.74 | 0.47 |
Equal Weight Portfolio | $10,000 | $36,359 | 6.04% | 15.41% | 34.36% | -40.53% | -54.78% | 0.33 | 0.45 | 0.96 |
Vanguard 500 Index Investor | $10,000 | $50,074 | 7.60% | 14.96% | 33.19% | -37.02% | -50.97% | 0.43 | 0.61 | 0.99 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Dual Momentum Model | 0.03% | 10.33% | 10.46% | 6.98% | 13.31% | 15.17% | 9.13% | 9.27% |
Equal Weight Portfolio | -12.61% | -9.52% | 6.85% | 4.61% | 9.68% | 6.04% | 10.48% | 10.70% |
Vanguard 500 Index Investor | -13.55% | -4.52% | 9.11% | 8.34% | 12.97% | 7.60% | 10.96% | 10.95% |
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. |
Year | Inflation | Return | Balance | Vanguard 500 Index Investor (VFINX) | Vanguard Total Intl Stock Index Inv (VGTSX) | Vanguard Long-Term Treasury Inv (VUSTX) | ||||
---|---|---|---|---|---|---|---|---|---|---|
Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | |||||
1997 | 1.70% | 33.19% | 15.30% | 33.19% | $13,319 | $11,530 | $13,319 | 33.19% | -0.77% | 13.90% |
1998 | 1.61% | 13.46% | 22.11% | 28.62% | $15,112 | $14,080 | $17,131 | 28.62% | 15.60% | 13.05% |
1999 | 2.68% | 29.98% | 25.57% | 21.07% | $19,643 | $17,679 | $20,740 | 21.07% | 29.92% | -8.66% |
2000 | 3.39% | 2.20% | -12.25% | -9.06% | $20,074 | $15,514 | $18,861 | -9.06% | -15.61% | 19.72% |
2001 | 1.55% | 4.31% | -16.11% | -12.02% | $20,939 | $13,014 | $16,594 | -12.02% | -20.15% | 4.31% |
2002 | 2.38% | 4.24% | -18.59% | -22.15% | $21,827 | $10,595 | $12,919 | -22.15% | -15.08% | 16.67% |
2003 | 1.88% | 49.14% | 34.36% | 28.50% | $32,552 | $14,236 | $16,601 | 28.50% | 40.34% | 2.68% |
2004 | 3.26% | 21.59% | 15.71% | 10.74% | $39,582 | $16,473 | $18,384 | 10.74% | 20.84% | 7.12% |
2005 | 3.42% | 3.41% | 10.15% | 4.77% | $40,930 | $18,144 | $19,262 | 4.77% | 15.57% | 6.61% |
2006 | 2.54% | 23.75% | 21.09% | 15.64% | $50,649 | $21,971 | $22,275 | 15.64% | 26.64% | 1.74% |
2007 | 4.08% | 15.52% | 10.41% | 5.39% | $58,511 | $24,257 | $23,475 | 5.39% | 15.52% | 9.24% |
2008 | 0.09% | 9.53% | -40.53% | -37.02% | $64,090 | $14,426 | $14,784 | -37.02% | -44.10% | 22.52% |
2009 | 2.72% | 26.75% | 31.67% | 26.49% | $81,236 | $18,995 | $18,700 | 26.49% | 36.73% | -12.05% |
2010 | 1.50% | 15.92% | 13.12% | 14.91% | $94,172 | $21,488 | $21,489 | 14.91% | 11.12% | 8.93% |
2011 | 2.96% | 21.58% | -6.57% | 1.97% | $114,498 | $20,075 | $21,911 | 1.97% | -14.56% | 29.28% |
2012 | 1.74% | 14.62% | 17.09% | 15.82% | $131,233 | $23,507 | $25,379 | 15.82% | 18.14% | 3.47% |
2013 | 1.50% | 21.57% | 23.44% | 32.18% | $159,538 | $29,017 | $33,544 | 32.18% | 15.04% | -13.03% |
2014 | 0.76% | 13.51% | 4.33% | 13.51% | $181,089 | $30,273 | $38,076 | 13.51% | -4.24% | 25.28% |
2015 | 0.73% | -8.40% | -1.54% | 1.25% | $165,881 | $29,807 | $38,551 | 1.25% | -4.37% | -1.54% |
2016 | 2.07% | 0.50% | 8.25% | 11.82% | $166,715 | $32,266 | $43,107 | 11.82% | 4.65% | 1.20% |
2017 | 2.11% | 21.55% | 24.54% | 21.67% | $202,640 | $40,185 | $52,447 | 21.67% | 27.40% | 8.58% |
2018 | 1.91% | 10.33% | -9.52% | -4.52% | $223,569 | $36,359 | $50,074 | -4.52% | -14.44% | -1.90% |
Year | Month | Return | Balance | Vanguard 500 Index Investor (VFINX) | Vanguard Total Intl Stock Index Inv (VGTSX) | Vanguard Long-Term Treasury Inv (VUSTX) | ||||
---|---|---|---|---|---|---|---|---|---|---|
Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | |||||
1997 | 1 | 6.22% | 1.92% | 6.22% | $10,622 | $10,192 | $10,622 | 6.22% | -2.37% | -0.65% |
1997 | 2 | 0.79% | 1.30% | 0.79% | $10,706 | $10,325 | $10,706 | 0.79% | 1.82% | -0.11% |
1997 | 3 | -4.14% | -2.12% | -4.14% | $10,263 | $10,107 | $10,263 | -4.14% | -0.10% | -2.29% |
1997 | 4 | 5.96% | 3.08% | 5.96% | $10,874 | $10,418 | $10,874 | 5.96% | 0.20% | 2.35% |
1997 | 5 | 6.09% | 6.31% | 6.09% | $11,536 | $11,076 | $11,536 | 6.09% | 6.54% | 0.98% |
1997 | 6 | 4.45% | 4.92% | 4.45% | $12,050 | $11,621 | $12,050 | 4.45% | 5.40% | 1.78% |
1997 | 7 | 7.97% | 4.78% | 7.97% | $13,010 | $12,176 | $13,010 | 7.97% | 1.59% | 5.34% |
1997 | 8 | -5.61% | -7.11% | -5.61% | $12,280 | $11,311 | $12,280 | -5.61% | -8.60% | -2.57% |
1997 | 9 | 5.47% | 5.49% | 5.47% | $12,951 | $11,932 | $12,951 | 5.47% | 5.51% | 2.63% |
1997 | 10 | -3.35% | -6.22% | -3.35% | $12,518 | $11,189 | $12,518 | -3.35% | -9.10% | 2.99% |
1997 | 11 | 4.60% | 1.70% | 4.60% | $13,093 | $11,380 | $13,093 | 4.60% | -1.19% | 1.27% |
1997 | 12 | 1.72% | 1.32% | 1.72% | $13,319 | $11,530 | $13,319 | 1.72% | 0.92% | 1.66% |
1998 | 1 | 1.11% | 2.07% | 1.11% | $13,467 | $11,770 | $13,467 | 1.11% | 3.04% | 1.91% |
1998 | 2 | 7.19% | 7.04% | 7.19% | $14,435 | $12,598 | $14,435 | 7.19% | 6.88% | -0.75% |
1998 | 3 | 5.10% | 4.16% | 5.10% | $15,172 | $13,122 | $15,172 | 5.10% | 3.22% | 0.14% |
1998 | 4 | 1.01% | 0.77% | 1.01% | $15,325 | $13,224 | $15,325 | 1.01% | 0.53% | 0.40% |
1998 | 5 | -1.74% | -1.63% | -1.74% | $15,058 | $13,009 | $15,058 | -1.74% | -1.51% | 1.83% |
1998 | 6 | 4.07% | 1.90% | 4.07% | $15,671 | $13,256 | $15,671 | 4.07% | -0.27% | 2.35% |
1998 | 7 | -1.05% | 0.01% | -1.05% | $15,506 | $13,258 | $15,506 | -1.05% | 1.08% | -0.51% |
1998 | 8 | -14.47% | -14.07% | -14.47% | $13,262 | $11,393 | $13,262 | -14.47% | -13.66% | 4.83% |
1998 | 9 | 3.29% | 2.17% | 6.41% | $13,697 | $11,640 | $14,112 | 6.41% | -2.07% | 3.29% |
1998 | 10 | -1.69% | 9.47% | 8.16% | $13,465 | $12,742 | $15,264 | 8.16% | 10.77% | -1.69% |
1998 | 11 | 6.07% | 5.70% | 6.07% | $14,283 | $13,469 | $16,191 | 6.07% | 5.34% | 0.88% |
1998 | 12 | 5.81% | 4.53% | 5.81% | $15,112 | $14,080 | $17,131 | 5.81% | 3.26% | -0.16% |
1999 | 1 | 4.20% | 1.79% | 4.20% | $15,747 | $14,331 | $17,851 | 4.20% | -0.63% | 0.98% |
1999 | 2 | -3.12% | -2.64% | -3.12% | $15,255 | $13,953 | $17,293 | -3.12% | -2.16% | -4.76% |
1999 | 3 | 4.00% | 4.48% | 4.00% | $15,865 | $14,578 | $17,984 | 4.00% | 4.97% | -0.34% |
1999 | 4 | 3.85% | 4.47% | 3.85% | $16,476 | $15,229 | $18,677 | 3.85% | 5.08% | 0.19% |
1999 | 5 | -2.39% | -3.70% | -2.39% | $16,082 | $14,666 | $18,231 | -2.39% | -5.00% | -1.68% |
1999 | 6 | 5.56% | 4.97% | 5.56% | $16,976 | $15,396 | $19,243 | 5.56% | 4.39% | -1.05% |
1999 | 7 | -3.13% | -0.43% | -3.13% | $16,444 | $15,330 | $18,641 | -3.13% | 2.27% | -0.58% |
1999 | 8 | 0.33% | -0.08% | -0.50% | $16,498 | $15,317 | $18,549 | -0.50% | 0.33% | -0.49% |
1999 | 9 | 0.82% | -0.96% | -2.74% | $16,634 | $15,170 | $18,041 | -2.74% | 0.82% | 0.91% |
1999 | 10 | 3.74% | 5.03% | 6.33% | $17,256 | $15,933 | $19,182 | 6.33% | 3.74% | 0.12% |
1999 | 11 | 4.08% | 3.05% | 2.02% | $17,959 | $16,419 | $19,570 | 2.02% | 4.08% | -0.59% |
1999 | 12 | 9.37% | 7.68% | 5.98% | $19,643 | $17,679 | $20,740 | 5.98% | 9.37% | -1.60% |
2000 | 1 | -6.22% | -5.63% | -5.03% | $18,421 | $16,685 | $19,696 | -5.03% | -6.22% | 1.25% |
2000 | 2 | 2.83% | 0.46% | -1.91% | $18,943 | $16,762 | $19,321 | -1.91% | 2.83% | 2.96% |
2000 | 3 | 3.48% | 6.61% | 9.75% | $19,601 | $17,871 | $21,205 | 9.75% | 3.48% | 3.14% |
2000 | 4 | -3.00% | -4.20% | -3.00% | $19,013 | $17,120 | $20,569 | -3.00% | -5.41% | -0.66% |
2000 | 5 | -2.04% | -2.36% | -2.04% | $18,626 | $16,716 | $20,150 | -2.04% | -2.67% | -0.46% |
2000 | 6 | 2.49% | 3.38% | 2.49% | $19,090 | $17,282 | $20,652 | 2.49% | 4.27% | 2.30% |
2000 | 7 | 1.49% | -2.98% | -1.50% | $19,374 | $16,767 | $20,343 | -1.50% | -4.46% | 1.49% |
2000 | 8 | 2.08% | 3.59% | 6.19% | $19,777 | $17,369 | $21,602 | 6.19% | 1.00% | 2.08% |
2000 | 9 | -5.29% | -5.15% | -5.29% | $18,731 | $16,475 | $20,459 | -5.29% | -5.00% | -0.85% |
2000 | 10 | 1.57% | -1.73% | -0.43% | $19,024 | $16,190 | $20,372 | -0.43% | -3.03% | 1.57% |
2000 | 11 | 2.99% | -6.16% | -7.89% | $19,594 | $15,192 | $18,765 | -7.89% | -4.44% | 2.99% |
2000 | 12 | 2.45% | 2.12% | 0.51% | $20,074 | $15,514 | $18,861 | 0.51% | 3.72% | 2.45% |
2001 | 1 | 0.28% | 2.32% | 3.55% | $20,131 | $15,874 | $19,530 | 3.55% | 1.10% | 0.28% |
2001 | 2 | 1.80% | -8.37% | -9.14% | $20,494 | $14,545 | $17,746 | -9.14% | -7.61% | 1.80% |
2001 | 3 | -0.60% | -6.75% | -6.36% | $20,370 | $13,562 | $16,618 | -6.36% | -7.15% | -0.60% |
2001 | 4 | -2.56% | 7.83% | 7.77% | $19,848 | $14,625 | $17,909 | 7.77% | 7.89% | -2.56% |
2001 | 5 | 0.21% | -1.44% | 0.65% | $19,888 | $14,415 | $18,025 | 0.65% | -3.52% | 0.21% |
2001 | 6 | 0.76% | -3.14% | -2.45% | $20,040 | $13,962 | $17,584 | -2.45% | -3.84% | 0.76% |
2001 | 7 | 3.61% | -1.72% | -1.00% | $20,764 | $13,722 | $17,409 | -1.00% | -2.43% | 3.61% |
2001 | 8 | 2.02% | -4.28% | -6.27% | $21,184 | $13,134 | $16,316 | -6.27% | -2.30% | 2.02% |
2001 | 9 | 0.88% | -9.41% | -8.09% | $21,370 | $11,898 | $14,996 | -8.09% | -10.73% | 0.88% |
2001 | 10 | 5.12% | 2.43% | 1.90% | $22,465 | $12,188 | $15,280 | 1.90% | 2.97% | 5.12% |
2001 | 11 | -4.98% | 5.60% | 7.65% | $21,346 | $12,871 | $16,450 | 7.65% | 3.56% | -4.98% |
2001 | 12 | -1.91% | 1.11% | 0.87% | $20,939 | $13,014 | $16,594 | 0.87% | 1.35% | -1.91% |
2002 | 1 | -1.47% | -3.05% | -1.47% | $20,630 | $12,617 | $16,349 | -1.47% | -4.63% | 1.20% |
2002 | 2 | 1.24% | -0.52% | -1.94% | $20,887 | $12,552 | $16,033 | -1.94% | 0.90% | 1.24% |
2002 | 3 | -3.86% | 4.73% | 3.74% | $20,081 | $13,145 | $16,633 | 3.74% | 5.71% | -3.86% |
2002 | 4 | 0.42% | -2.83% | -6.07% | $20,166 | $12,774 | $15,622 | -6.07% | 0.42% | 3.73% |
2002 | 5 | 1.16% | 0.20% | -0.75% | $20,400 | $12,800 | $15,505 | -0.75% | 1.16% | 0.39% |
2002 | 6 | -4.28% | -5.70% | -7.13% | $19,528 | $12,070 | $14,398 | -7.13% | -4.28% | 1.76% |
2002 | 7 | 2.93% | -8.76% | -7.72% | $20,100 | $11,012 | $13,287 | -7.72% | -9.80% | 2.93% |
2002 | 8 | 4.28% | 0.27% | 0.65% | $20,960 | $11,041 | $13,374 | 0.65% | -0.12% | 4.28% |
2002 | 9 | 4.02% | -10.88% | -10.87% | $21,802 | $9,840 | $11,919 | -10.87% | -10.88% | 4.02% |
2002 | 10 | -2.84% | 7.24% | 8.78% | $21,183 | $10,553 | $12,966 | 8.78% | 5.70% | -2.84% |
2002 | 11 | -0.98% | 5.31% | 5.88% | $20,977 | $11,113 | $13,728 | 5.88% | 4.75% | -0.98% |
2002 | 12 | 4.05% | -4.66% | -5.89% | $21,827 | $10,595 | $12,919 | -5.89% | -3.43% | 4.05% |
2003 | 1 | -0.45% | -3.19% | -2.62% | $21,729 | $10,257 | $12,580 | -2.62% | -3.76% | -0.45% |
2003 | 2 | 3.03% | -1.97% | -1.52% | $22,387 | $10,055 | $12,389 | -1.52% | -2.42% | 3.03% |
2003 | 3 | -1.13% | -0.49% | 0.96% | $22,133 | $10,006 | $12,507 | 0.96% | -1.93% | -1.13% |
2003 | 4 | 8.25% | 8.98% | 8.25% | $23,960 | $10,905 | $13,540 | 8.25% | 9.70% | 0.91% |
2003 | 5 | 5.26% | 5.71% | 5.26% | $25,221 | $11,527 | $14,252 | 5.26% | 6.15% | 5.67% |
2003 | 6 | 1.26% | 1.96% | 1.26% | $25,539 | $11,753 | $14,432 | 1.26% | 2.66% | -1.48% |
2003 | 7 | 3.18% | 2.46% | 1.74% | $26,350 | $12,042 | $14,684 | 1.74% | 3.18% | -8.57% |
2003 | 8 | 2.51% | 2.22% | 1.93% | $27,011 | $12,310 | $14,967 | 1.93% | 2.51% | 1.43% |
2003 | 9 | 2.78% | 0.85% | -1.07% | $27,762 | $12,415 | $14,807 | -1.07% | 2.78% | 5.07% |
2003 | 10 | 6.49% | 6.07% | 5.64% | $29,565 | $13,168 | $15,642 | 5.64% | 6.49% | -2.58% |
2003 | 11 | 2.13% | 1.50% | 0.86% | $30,196 | $13,365 | $15,778 | 0.86% | 2.13% | 0.31% |
2003 | 12 | 7.80% | 6.51% | 5.22% | $32,552 | $14,236 | $16,601 | 5.22% | 7.80% | 1.23% |
2004 | 1 | 1.60% | 1.71% | 1.82% | $33,072 | $14,479 | $16,904 | 1.82% | 1.60% | 1.74% |
2004 | 2 | 2.50% | 1.94% | 1.38% | $33,899 | $14,760 | $17,136 | 1.38% | 2.50% | 1.96% |
2004 | 3 | 0.45% | -0.53% | -1.51% | $34,051 | $14,681 | $16,877 | -1.51% | 0.45% | 1.45% |
2004 | 4 | -3.14% | -2.36% | -1.58% | $32,981 | $14,335 | $16,611 | -1.58% | -3.14% | -5.52% |
2004 | 5 | 0.46% | 0.91% | 1.36% | $33,134 | $14,465 | $16,836 | 1.36% | 0.46% | -0.56% |
2004 | 6 | 2.40% | 2.17% | 1.93% | $33,929 | $14,778 | $17,161 | 1.93% | 2.40% | 0.87% |
2004 | 7 | -3.31% | -3.32% | -3.31% | $32,806 | $14,287 | $16,593 | -3.31% | -3.34% | 1.52% |
2004 | 8 | 3.39% | 0.56% | 0.38% | $33,917 | $14,368 | $16,657 | 0.38% | 0.75% | 3.39% |
2004 | 9 | 0.94% | 2.02% | 1.07% | $34,234 | $14,657 | $16,834 | 1.07% | 2.96% | 0.94% |
2004 | 10 | 3.24% | 2.38% | 1.51% | $35,342 | $15,006 | $17,089 | 1.51% | 3.24% | 1.46% |
2004 | 11 | 7.23% | 5.64% | 4.05% | $37,897 | $15,852 | $17,781 | 4.05% | 7.23% | -2.25% |
2004 | 12 | 4.44% | 3.92% | 3.39% | $39,582 | $16,473 | $18,384 | 3.39% | 4.44% | 2.22% |
2005 | 1 | -1.67% | -2.06% | -2.45% | $38,922 | $16,133 | $17,933 | -2.45% | -1.67% | 2.59% |
2005 | 2 | 4.68% | 3.39% | 2.09% | $40,744 | $16,680 | $18,308 | 2.09% | 4.68% | -1.24% |
2005 | 3 | -2.93% | -2.34% | -1.76% | $39,550 | $16,289 | $17,986 | -1.76% | -2.93% | -0.76% |
2005 | 4 | -2.07% | -1.99% | -1.91% | $38,733 | $15,965 | $17,642 | -1.91% | -2.07% | 3.22% |
2005 | 5 | 0.08% | 1.62% | 3.17% | $38,765 | $16,224 | $18,201 | 3.17% | 0.08% | 2.55% |
2005 | 6 | 0.13% | 0.71% | 0.13% | $38,814 | $16,340 | $18,224 | 0.13% | 1.30% | 1.64% |
2005 | 7 | -2.58% | 3.69% | 3.71% | $37,813 | $16,943 | $18,900 | 3.71% | 3.68% | -2.58% |
2005 | 8 | -0.91% | 0.97% | -0.91% | $37,468 | $17,108 | $18,727 | -0.91% | 2.85% | 2.87% |
2005 | 9 | 4.73% | 2.76% | 0.79% | $39,238 | $17,580 | $18,876 | 0.79% | 4.73% | -2.78% |
2005 | 10 | -3.37% | -2.52% | -1.68% | $37,917 | $17,136 | $18,559 | -1.68% | -3.37% | -1.74% |
2005 | 11 | 2.67% | 3.22% | 3.76% | $38,929 | $17,688 | $19,258 | 3.76% | 2.67% | 0.57% |
2005 | 12 | 5.14% | 2.58% | 0.02% | $40,930 | $18,144 | $19,262 | 0.02% | 5.14% | 2.33% |
2006 | 1 | 6.87% | 4.76% | 2.65% | $43,741 | $19,007 | $19,771 | 2.65% | 6.87% | -0.90% |
2006 | 2 | -0.72% | -0.23% | 0.26% | $43,426 | $18,964 | $19,823 | 0.26% | -0.72% | 0.81% |
2006 | 3 | 3.17% | 2.20% | 1.23% | $44,803 | $19,381 | $20,067 | 1.23% | 3.17% | -3.39% |
2006 | 4 | 5.12% | 3.23% | 1.33% | $47,097 | $20,006 | $20,335 | 1.33% | 5.12% | -1.96% |
2006 | 5 | -4.45% | -3.67% | -2.90% | $45,003 | $19,272 | $19,746 | -2.90% | -4.45% | -0.03% |
2006 | 6 | -0.38% | -0.13% | 0.13% | $44,831 | $19,247 | $19,771 | 0.13% | -0.38% | 0.71% |
2006 | 7 | 1.15% | 0.88% | 0.61% | $45,347 | $19,417 | $19,891 | 0.61% | 1.15% | 1.84% |
2006 | 8 | 2.74% | 2.45% | 2.36% | $46,589 | $19,892 | $20,361 | 2.36% | 2.53% | 2.74% |
2006 | 9 | 0.25% | 1.41% | 2.56% | $46,704 | $20,171 | $20,883 | 2.56% | 0.25% | 1.58% |
2006 | 10 | 3.25% | 3.63% | 3.25% | $48,222 | $20,902 | $21,562 | 3.25% | 4.00% | 0.77% |
2006 | 11 | 1.89% | 2.81% | 1.89% | $49,133 | $21,489 | $21,969 | 1.89% | 3.73% | 1.91% |
2006 | 12 | 3.09% | 2.24% | 1.39% | $50,649 | $21,971 | $22,275 | 1.39% | 3.09% | -2.14% |
2007 | 1 | 0.96% | 1.23% | 1.49% | $51,137 | $22,240 | $22,607 | 1.49% | 0.96% | -0.85% |
2007 | 2 | 0.06% | -0.96% | -1.97% | $51,165 | $22,028 | $22,162 | -1.97% | 0.06% | 2.93% |
2007 | 3 | 2.80% | 1.96% | 1.11% | $52,599 | $22,458 | $22,409 | 1.11% | 2.80% | -1.13% |
2007 | 4 | 3.92% | 4.17% | 4.42% | $54,662 | $23,395 | $23,399 | 4.42% | 3.92% | 0.86% |
2007 | 5 | 3.09% | 3.29% | 3.48% | $56,354 | $24,164 | $24,212 | 3.48% | 3.09% | -1.93% |
2007 | 6 | 0.61% | -0.53% | -1.68% | $56,698 | $24,035 | $23,806 | -1.68% | 0.61% | -0.88% |
2007 | 7 | -1.06% | -2.07% | -3.08% | $56,096 | $23,537 | $23,072 | -3.08% | -1.06% | 2.39% |
2007 | 8 | -0.72% | 0.39% | 1.50% | $55,694 | $23,629 | $23,418 | 1.50% | -0.72% | 1.97% |
2007 | 9 | 6.38% | 5.05% | 3.72% | $59,249 | $24,823 | $24,290 | 3.72% | 6.38% | 0.21% |
2007 | 10 | 5.90% | 3.74% | 1.58% | $62,746 | $25,751 | $24,673 | 1.58% | 5.90% | 1.40% |
2007 | 11 | -4.57% | -4.38% | -4.19% | $59,879 | $24,624 | $23,640 | -4.19% | -4.57% | 4.59% |
2007 | 12 | -2.28% | -1.49% | -0.70% | $58,511 | $24,257 | $23,475 | -0.70% | -2.28% | -0.48% |
2008 | 1 | 2.64% | -7.28% | -6.02% | $60,057 | $22,490 | $22,063 | -6.02% | -8.55% | 2.64% |
2008 | 2 | 0.35% | -1.46% | -3.25% | $60,267 | $22,162 | $21,345 | -3.25% | 0.33% | 0.35% |
2008 | 3 | 1.02% | -0.58% | -0.44% | $60,883 | $22,034 | $21,251 | -0.44% | -0.71% | 1.02% |
2008 | 4 | -1.84% | 5.35% | 4.85% | $59,763 | $23,213 | $22,283 | 4.85% | 5.85% | -1.84% |
2008 | 5 | -2.13% | 1.40% | 1.29% | $58,492 | $23,539 | $22,571 | 1.29% | 1.51% | -2.13% |
2008 | 6 | -8.99% | -8.71% | -8.44% | $53,234 | $21,488 | $20,666 | -8.44% | -8.99% | 1.80% |
2008 | 7 | 0.30% | -2.25% | -0.83% | $53,391 | $21,004 | $20,494 | -0.83% | -3.67% | 0.30% |
2008 | 8 | 1.80% | -1.83% | 1.45% | $54,355 | $20,621 | $20,791 | 1.45% | -5.10% | 1.80% |
2008 | 9 | 0.28% | -11.00% | -8.91% | $54,509 | $18,354 | $18,939 | -8.91% | -13.09% | 0.28% |
2008 | 10 | -3.63% | -19.44% | -16.79% | $52,532 | $14,786 | $15,759 | -16.79% | -22.09% | -3.63% |
2008 | 11 | 12.07% | -6.73% | -7.17% | $58,871 | $13,790 | $14,628 | -7.17% | -6.29% | 12.07% |
2008 | 12 | 8.87% | 4.61% | 1.07% | $64,090 | $14,426 | $14,784 | 1.07% | 8.16% | 8.87% |
2009 | 1 | -8.47% | -10.18% | -8.41% | $58,661 | $12,957 | $13,540 | -8.41% | -11.96% | -8.47% |
2009 | 2 | -1.01% | -10.12% | -10.66% | $58,070 | $11,646 | $12,097 | -10.66% | -9.58% | -1.01% |
2009 | 3 | 5.27% | 9.04% | 8.76% | $61,127 | $12,698 | $13,157 | 8.76% | 9.31% | 5.27% |
2009 | 4 | -4.99% | 11.17% | 9.56% | $58,078 | $14,117 | $14,415 | 9.56% | 12.78% | -4.99% |
2009 | 5 | 14.35% | 9.99% | 5.62% | $66,414 | $15,526 | $15,225 | 5.62% | 14.35% | -2.68% |
2009 | 6 | -1.32% | -0.55% | 0.22% | $65,536 | $15,441 | $15,258 | 0.22% | -1.32% | 0.70% |
2009 | 7 | 9.96% | 8.77% | 7.58% | $72,062 | $16,795 | $16,414 | 7.58% | 9.96% | 0.80% |
2009 | 8 | 3.50% | 3.55% | 3.60% | $74,585 | $17,391 | $17,005 | 3.60% | 3.50% | 1.68% |
2009 | 9 | 5.15% | 4.43% | 3.72% | $78,424 | $18,161 | $17,637 | 3.72% | 5.15% | 1.98% |
2009 | 10 | -2.17% | -2.02% | -1.87% | $76,724 | $17,795 | $17,308 | -1.87% | -2.17% | -1.45% |
2009 | 11 | 3.86% | 4.92% | 5.98% | $79,685 | $18,671 | $18,343 | 5.98% | 3.86% | 1.91% |
2009 | 12 | 1.95% | 1.74% | 1.95% | $81,236 | $18,995 | $18,700 | 1.95% | 1.53% | -5.66% |
2010 | 1 | -3.60% | -4.33% | -3.60% | $78,308 | $18,172 | $18,026 | -3.60% | -5.07% | 2.66% |
2010 | 2 | 3.09% | 1.66% | 3.09% | $80,729 | $18,473 | $18,583 | 3.09% | 0.22% | -0.21% |
2010 | 3 | 6.01% | 6.36% | 6.01% | $85,584 | $19,648 | $19,701 | 6.01% | 6.71% | -1.51% |
2010 | 4 | 1.58% | -0.07% | 1.58% | $86,935 | $19,635 | $20,012 | 1.58% | -1.71% | 2.76% |
2010 | 5 | -8.01% | -9.39% | -8.01% | $79,975 | $17,791 | $18,410 | -8.01% | -10.78% | 4.23% |
2010 | 6 | 4.67% | -3.20% | -5.24% | $83,707 | $17,221 | $17,445 | -5.24% | -1.17% | 4.67% |
2010 | 7 | -0.17% | 8.66% | 7.00% | $83,564 | $18,713 | $18,666 | 7.00% | 10.33% | -0.17% |
2010 | 8 | -3.22% | -3.87% | -4.53% | $80,876 | $17,988 | $17,820 | -4.53% | -3.22% | 7.08% |
2010 | 9 | 10.41% | 9.67% | 8.92% | $89,298 | $19,727 | $19,410 | 8.92% | 10.41% | -1.82% |
2010 | 10 | 3.55% | 3.67% | 3.79% | $92,464 | $20,450 | $20,145 | 3.79% | 3.55% | -3.29% |
2010 | 11 | -4.52% | -2.26% | 0.00% | $88,283 | $19,988 | $20,145 | 0.00% | -4.52% | -1.60% |
2010 | 12 | 6.67% | 7.51% | 6.67% | $94,172 | $21,488 | $21,489 | 6.67% | 8.34% | -3.58% |
2011 | 1 | 0.70% | 1.53% | 2.36% | $94,830 | $21,816 | $21,995 | 2.36% | 0.70% | -2.38% |
2011 | 2 | 3.42% | 3.06% | 3.42% | $98,069 | $22,485 | $22,747 | 3.42% | 2.71% | 1.24% |
2011 | 3 | 0.03% | -0.20% | 0.03% | $98,094 | $22,439 | $22,753 | 0.03% | -0.43% | 0.02% |
2011 | 4 | 2.95% | 4.09% | 2.95% | $100,986 | $23,357 | $23,423 | 2.95% | 5.24% | 2.04% |
2011 | 5 | -1.15% | -2.01% | -1.15% | $99,829 | $22,889 | $23,155 | -1.15% | -2.87% | 3.29% |
2011 | 6 | -1.67% | -1.59% | -1.67% | $98,160 | $22,525 | $22,768 | -1.67% | -1.51% | -2.00% |
2011 | 7 | -2.05% | -1.79% | -2.05% | $96,151 | $22,122 | $22,302 | -2.05% | -1.53% | 4.18% |
2011 | 8 | 8.68% | -6.95% | -5.45% | $104,498 | $20,585 | $21,087 | -5.45% | -8.45% | 8.68% |
2011 | 9 | 10.16% | -9.67% | -7.04% | $115,118 | $18,595 | $19,602 | -7.04% | -12.29% | 10.16% |
2011 | 10 | -3.34% | 10.57% | 10.91% | $111,279 | $20,560 | $21,741 | 10.91% | 10.22% | -3.34% |
2011 | 11 | -0.23% | -1.56% | -0.23% | $111,019 | $20,240 | $21,691 | -0.23% | -2.88% | 1.82% |
2011 | 12 | 3.13% | -0.81% | 1.02% | $114,498 | $20,075 | $21,911 | 1.02% | -2.64% | 3.13% |
2012 | 1 | 4.46% | 5.87% | 4.46% | $119,610 | $21,254 | $22,889 | 4.46% | 7.27% | 0.08% |
2012 | 2 | 4.31% | 4.72% | 4.31% | $124,761 | $22,257 | $23,875 | 4.31% | 5.14% | -2.11% |
2012 | 3 | 3.28% | 1.27% | 3.28% | $128,855 | $22,540 | $24,659 | 3.28% | -0.75% | -3.77% |
2012 | 4 | -0.64% | -1.21% | -0.64% | $128,031 | $22,267 | $24,501 | -0.64% | -1.78% | 4.37% |
2012 | 5 | -6.02% | -8.58% | -6.02% | $120,326 | $20,357 | $23,027 | -6.02% | -11.14% | 7.79% |
2012 | 6 | -1.44% | 5.07% | 4.11% | $118,588 | $21,389 | $23,973 | 4.11% | 6.03% | -1.44% |
2012 | 7 | 1.37% | 0.91% | 1.37% | $120,213 | $21,583 | $24,301 | 1.37% | 0.44% | 3.32% |
2012 | 8 | 2.24% | 2.48% | 2.24% | $122,905 | $22,118 | $24,845 | 2.24% | 2.72% | -1.06% |
2012 | 9 | 2.58% | 3.10% | 2.58% | $126,072 | $22,804 | $25,486 | 2.58% | 3.62% | -2.10% |
2012 | 10 | -1.86% | -0.65% | -1.86% | $123,727 | $22,656 | $25,012 | -1.86% | 0.56% | -0.43% |
2012 | 11 | 1.82% | 1.19% | 0.56% | $125,975 | $22,925 | $25,152 | 0.56% | 1.82% | 1.35% |
2012 | 12 | 4.17% | 2.54% | 0.90% | $131,233 | $23,507 | $25,379 | 0.90% | 4.17% | -1.99% |
2013 | 1 | 3.34% | 4.26% | 5.18% | $135,613 | $24,508 | $26,692 | 5.18% | 3.34% | -3.27% |
2013 | 2 | -1.23% | 0.06% | 1.34% | $133,948 | $24,521 | $27,050 | 1.34% | -1.23% | 1.26% |
2013 | 3 | 0.77% | 2.25% | 3.74% | $134,975 | $25,074 | $28,061 | 3.74% | 0.77% | 0.03% |
2013 | 4 | 1.91% | 2.74% | 1.91% | $137,551 | $25,761 | $28,597 | 1.91% | 3.58% | 3.87% |
2013 | 5 | 2.33% | -0.31% | 2.33% | $140,752 | $25,681 | $29,262 | 2.33% | -2.95% | -6.23% |
2013 | 6 | -1.35% | -2.55% | -1.35% | $138,851 | $25,027 | $28,867 | -1.35% | -3.75% | -3.26% |
2013 | 7 | 5.07% | 4.82% | 5.07% | $145,894 | $26,232 | $30,331 | 5.07% | 4.56% | -1.93% |
2013 | 8 | -2.91% | -2.27% | -2.91% | $141,646 | $25,637 | $29,448 | -2.91% | -1.63% | -1.28% |
2013 | 9 | 3.12% | 5.17% | 3.12% | $146,068 | $26,962 | $30,367 | 3.12% | 7.21% | 0.88% |
2013 | 10 | 3.41% | 4.00% | 4.59% | $151,051 | $28,040 | $31,760 | 4.59% | 3.41% | 1.32% |
2013 | 11 | 3.03% | 1.57% | 3.03% | $155,626 | $28,481 | $32,722 | 3.03% | 0.12% | -2.49% |
2013 | 12 | 2.51% | 1.88% | 2.51% | $159,538 | $29,017 | $33,544 | 2.51% | 1.25% | -2.37% |
2014 | 1 | -3.47% | -4.12% | -3.47% | $154,003 | $27,821 | $32,381 | -3.47% | -4.78% | 6.26% |
2014 | 2 | 4.56% | 4.98% | 4.56% | $161,027 | $29,205 | $33,857 | 4.56% | 5.39% | 0.60% |
2014 | 3 | 0.82% | 0.62% | 0.82% | $162,353 | $29,385 | $34,136 | 0.82% | 0.41% | 0.63% |
2014 | 4 | 0.72% | 1.02% | 0.72% | $163,529 | $29,684 | $34,383 | 0.72% | 1.31% | 1.82% |
2014 | 5 | 2.33% | 2.11% | 2.33% | $167,347 | $30,311 | $35,186 | 2.33% | 1.88% | 2.73% |
2014 | 6 | 2.05% | 1.90% | 2.05% | $170,781 | $30,886 | $35,908 | 2.05% | 1.74% | -0.16% |
2014 | 7 | -1.39% | -1.50% | -1.39% | $168,411 | $30,423 | $35,410 | -1.39% | -1.61% | 0.59% |
2014 | 8 | 3.98% | 2.52% | 3.98% | $175,116 | $31,188 | $36,820 | 3.98% | 1.05% | 4.23% |
2014 | 9 | -1.41% | -3.21% | -1.41% | $172,642 | $30,187 | $36,300 | -1.41% | -5.01% | -1.99% |
2014 | 10 | 2.42% | 1.06% | 2.42% | $176,826 | $30,506 | $37,179 | 2.42% | -0.31% | 2.61% |
2014 | 11 | 2.68% | 1.22% | 2.68% | $181,569 | $30,878 | $38,177 | 2.68% | -0.25% | 2.86% |
2014 | 12 | -0.26% | -1.96% | -0.26% | $181,089 | $30,273 | $38,076 | -0.26% | -3.65% | 2.82% |
2015 | 1 | -3.02% | -1.44% | -3.02% | $175,625 | $29,836 | $36,927 | -3.02% | 0.13% | 8.97% |
2015 | 2 | 5.74% | 5.63% | 5.74% | $185,705 | $31,516 | $39,046 | 5.74% | 5.52% | -5.66% |
2015 | 3 | -1.59% | -1.57% | -1.59% | $182,745 | $31,022 | $38,424 | -1.59% | -1.54% | 1.13% |
2015 | 4 | 0.95% | 3.02% | 0.95% | $184,480 | $31,958 | $38,789 | 0.95% | 5.08% | -3.07% |
2015 | 5 | -0.94% | 0.16% | 1.27% | $182,738 | $32,010 | $39,282 | 1.27% | -0.94% | -2.16% |
2015 | 6 | -2.69% | -2.31% | -1.93% | $177,821 | $31,270 | $38,523 | -1.93% | -2.69% | -3.73% |
2015 | 7 | -0.80% | 0.64% | 2.08% | $176,392 | $31,470 | $39,324 | 2.08% | -0.80% | 4.21% |
2015 | 8 | -6.05% | -6.67% | -6.05% | $165,726 | $29,371 | $36,946 | -6.05% | -7.29% | -0.71% |
2015 | 9 | 1.91% | -3.19% | -2.48% | $168,893 | $28,434 | $36,028 | -2.48% | -3.90% | 1.91% |
2015 | 10 | -0.48% | 7.34% | 8.42% | $168,084 | $30,521 | $39,063 | 8.42% | 6.26% | -0.48% |
2015 | 11 | 0.29% | -0.52% | 0.29% | $168,566 | $30,362 | $39,175 | 0.29% | -1.32% | -0.81% |
2015 | 12 | -1.59% | -1.83% | -1.59% | $165,881 | $29,807 | $38,551 | -1.59% | -2.07% | -0.34% |
2016 | 1 | -4.98% | -5.28% | -4.98% | $157,626 | $28,232 | $36,632 | -4.98% | -5.59% | 5.24% |
2016 | 2 | 2.86% | -1.21% | -0.15% | $162,133 | $27,892 | $36,579 | -0.15% | -2.27% | 2.86% |
2016 | 3 | 0.05% | 7.48% | 6.78% | $162,218 | $29,978 | $39,058 | 6.78% | 8.19% | 0.05% |
2016 | 4 | 0.37% | 1.30% | 0.37% | $162,824 | $30,367 | $39,204 | 0.37% | 2.22% | -0.63% |
2016 | 5 | -1.02% | 0.38% | 1.78% | $161,167 | $30,483 | $39,903 | 1.78% | -1.02% | 0.69% |
2016 | 6 | 0.25% | -0.35% | 0.25% | $161,570 | $30,377 | $40,002 | 0.25% | -0.94% | 6.57% |
2016 | 7 | 3.68% | 4.04% | 3.68% | $167,510 | $31,605 | $41,473 | 3.68% | 4.41% | 2.01% |
2016 | 8 | 0.13% | 0.43% | 0.13% | $167,727 | $31,743 | $41,527 | 0.13% | 0.74% | -1.00% |
2016 | 9 | 1.37% | 0.69% | 0.01% | $170,019 | $31,961 | $41,530 | 0.01% | 1.37% | -1.32% |
2016 | 10 | -1.72% | -1.78% | -1.83% | $167,099 | $31,393 | $40,769 | -1.83% | -1.72% | -4.23% |
2016 | 11 | -2.15% | 0.77% | 3.70% | $163,506 | $31,636 | $42,277 | 3.70% | -2.15% | -7.86% |
2016 | 12 | 1.96% | 1.99% | 1.96% | $166,715 | $32,266 | $43,107 | 1.96% | 2.02% | -0.35% |
2017 | 1 | 1.88% | 2.88% | 1.88% | $169,854 | $33,194 | $43,918 | 1.88% | 3.87% | 0.65% |
2017 | 2 | 3.96% | 2.73% | 3.96% | $176,585 | $34,101 | $45,659 | 3.96% | 1.50% | 1.57% |
2017 | 3 | 0.10% | 1.46% | 0.10% | $176,762 | $34,599 | $45,704 | 0.10% | 2.82% | -0.59% |
2017 | 4 | 2.20% | 1.61% | 1.02% | $180,648 | $35,156 | $46,170 | 1.02% | 2.20% | 1.58% |
2017 | 5 | 1.39% | 2.20% | 1.39% | $183,166 | $35,930 | $46,813 | 1.39% | 3.01% | 1.73% |
2017 | 6 | 0.52% | 0.57% | 0.61% | $184,127 | $36,134 | $47,099 | 0.61% | 0.52% | 0.63% |
2017 | 7 | 3.42% | 2.73% | 2.04% | $190,423 | $37,121 | $48,061 | 2.04% | 3.42% | -0.59% |
2017 | 8 | 0.64% | 0.47% | 0.29% | $191,638 | $37,294 | $48,202 | 0.29% | 0.64% | 3.27% |
2017 | 9 | 1.81% | 1.93% | 2.06% | $195,101 | $38,015 | $49,195 | 2.06% | 1.81% | -2.27% |
2017 | 10 | 1.94% | 2.13% | 2.32% | $198,877 | $38,823 | $50,335 | 2.32% | 1.94% | -0.02% |
2017 | 11 | 0.78% | 1.92% | 3.06% | $200,431 | $39,569 | $51,875 | 3.06% | 0.78% | 0.63% |
2017 | 12 | 1.10% | 1.56% | 1.10% | $202,640 | $40,185 | $52,447 | 1.10% | 2.01% | 1.78% |
2018 | 1 | 5.71% | 5.65% | 5.71% | $214,216 | $42,457 | $55,443 | 5.71% | 5.59% | -3.40% |
2018 | 2 | -3.69% | -4.42% | -3.69% | $206,302 | $40,581 | $53,394 | -3.69% | -5.14% | -2.89% |
2018 | 3 | -2.56% | -1.60% | -2.56% | $201,030 | $39,934 | $52,030 | -2.56% | -0.64% | 2.75% |
2018 | 4 | 0.83% | 0.60% | 0.37% | $202,695 | $40,174 | $52,224 | 0.37% | 0.83% | -2.04% |
2018 | 5 | 1.79% | 0.24% | 2.39% | $206,332 | $40,270 | $53,475 | 2.39% | -1.92% | 1.79% |
2018 | 6 | 0.61% | -0.74% | 0.61% | $207,581 | $39,972 | $53,798 | 0.61% | -2.08% | 0.66% |
2018 | 7 | 3.71% | 3.09% | 3.71% | $215,281 | $41,209 | $55,794 | 3.71% | 2.48% | -1.28% |
2018 | 8 | 3.25% | 0.53% | 3.25% | $222,269 | $41,426 | $57,605 | 3.25% | -2.19% | 1.18% |
2018 | 9 | 0.55% | 0.43% | 0.55% | $223,501 | $41,603 | $57,924 | 0.55% | 0.30% | -2.74% |
2018 | 10 | -6.85% | -7.60% | -6.85% | $208,194 | $38,441 | $53,957 | -6.85% | -8.35% | -2.82% |
2018 | 11 | 1.78% | 1.64% | 2.03% | $211,908 | $39,072 | $55,051 | 2.03% | 1.26% | 1.78% |
2018 | 12 | 5.50% | -6.94% | -9.04% | $223,569 | $36,359 | $50,074 | -9.04% | -4.85% | 5.50% |
Metric | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|
Arithmetic Mean (monthly) | 1.25% | 0.59% | 0.71% |
Arithmetic Mean (annualized) | 16.11% | 7.32% | 8.81% |
Geometric Mean (monthly) | 1.18% | 0.49% | 0.61% |
Geometric Mean (annualized) | 15.17% | 6.04% | 7.60% |
Volatility (monthly) | 3.73% | 4.45% | 4.32% |
Volatility (annualized) | 12.92% | 15.41% | 14.96% |
Downside Deviation (monthly) | 2.07% | 3.13% | 2.95% |
Max. Drawdown | -16.28% | -54.78% | -50.97% |
US Market Correlation | 0.47 | 0.96 | 0.99 |
Beta(*) | 0.41 | 0.98 | 1.00 |
Alpha (annualized) | 11.58% | -1.24% | 0.00% |
R2 | 22.24% | 91.03% | 100.00% |
Sharpe Ratio | 1.00 | 0.33 | 0.43 |
Sortino Ratio | 1.74 | 0.45 | 0.61 |
Treynor Ratio (%) | 31.83 | 5.11 | 6.41 |
Calmar Ratio | 1.53 | 0.48 | 0.67 |
Active Return | 7.57% | -1.55% | N/A |
Tracking Error | 14.44% | 4.62% | N/A |
Information Ratio | 0.52 | -0.34 | N/A |
Skewness | -0.14 | -0.73 | -0.65 |
Excess Kurtosis | 1.41 | 1.65 | 1.11 |
Historical Value-at-Risk (5%) | -4.56% | -7.55% | -7.17% |
Analytical Value-at-Risk (5%) | -4.88% | -6.73% | -6.40% |
Conditional Value-at-Risk (5%) | -6.82% | -10.44% | -9.69% |
Upside Capture Ratio (%) | 77.89 | 95.72 | 100.00 |
Downside Capture Ratio (%) | 30.96 | 102.36 | 100.00 |
Safe Withdrawal Rate | 15.90% | 6.85% | 7.80% |
Perpetual Withdrawal Rate | 11.34% | 3.71% | 5.10% |
Positive Periods | 179 out of 264 (67.80%) | 162 out of 264 (61.36%) | 170 out of 264 (64.39%) |
Gain/Loss Ratio | 1.13 | 0.89 | 0.83 |
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -5.61% | -8.10% | -5.61% |
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -14.07% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -13.07% | -44.94% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -16.28% | -54.78% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Oct 2008 | 1 year | Dec 2008 | 2 months | 1 year 2 months | -16.28% |
2 | Jul 1998 | Aug 1998 | 2 months | Jan 1999 | 5 months | 7 months | -15.38% |
3 | Mar 2015 | Jan 2016 | 11 months | Jul 2017 | 1 year 6 months | 2 years 5 months | -15.12% |
4 | Nov 2001 | Jun 2002 | 8 months | Apr 2003 | 10 months | 1 year 6 months | -13.07% |
5 | Jan 2009 | Feb 2009 | 2 months | May 2009 | 3 months | 5 months | -9.39% |
6 | Mar 2005 | Aug 2005 | 6 months | Dec 2005 | 4 months | 10 months | -8.04% |
7 | May 2010 | May 2010 | 1 month | Sep 2010 | 4 months | 5 months | -8.01% |
8 | Apr 2012 | Jun 2012 | 3 months | Dec 2012 | 6 months | 9 months | -7.97% |
9 | Oct 2018 | Oct 2018 | 1 month | Dec 2018 | 2 months | 3 months | -6.85% |
10 | Jan 2000 | Jan 2000 | 1 month | Aug 2000 | 7 months | 8 months | -6.22% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2013 | 4 years 2 months | 5 years 6 months | -54.78% |
2 | Apr 2000 | Sep 2002 | 2 years 6 months | Dec 2005 | 3 years 3 months | 5 years 9 months | -44.94% |
3 | Feb 2018 | Dec 2018 | 11 months | -14.36% | |||
4 | Aug 1998 | Aug 1998 | 1 month | Nov 1998 | 3 months | 4 months | -14.07% |
5 | Jun 2015 | Feb 2016 | 9 months | Dec 2016 | 10 months | 1 year 7 months | -12.87% |
6 | Aug 1997 | Oct 1997 | 3 months | Feb 1998 | 4 months | 7 months | -8.10% |
7 | Jan 2000 | Jan 2000 | 1 month | Mar 2000 | 2 months | 3 months | -5.63% |
8 | Sep 2014 | Jan 2015 | 5 months | Feb 2015 | 1 month | 6 months | -4.34% |
9 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -4.12% |
10 | May 2006 | Jun 2006 | 2 months | Sep 2006 | 3 months | 5 months | -3.79% |
Worst 10 drawdowns included above |
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 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
4 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
5 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
6 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
7 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |
8 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
9 | Aug 1997 | Aug 1997 | 1 month | Nov 1997 | 3 months | 4 months | -5.61% |
10 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.98% |
Worst 10 drawdowns included above |
Roll Period | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 15.47% | 53.85% | -16.28% | 7.98% | 58.62% | -47.45% | 9.07% | 53.61% | -43.32% |
3 years | 14.74% | 30.15% | 1.48% | 5.97% | 24.65% | -17.58% | 6.80% | 27.53% | -16.14% |
5 years | 15.29% | 24.26% | 6.37% | 5.53% | 20.33% | -5.28% | 6.09% | 22.85% | -6.73% |
7 years | 15.98% | 21.31% | 9.36% | 5.79% | 13.29% | -1.06% | 6.08% | 17.12% | -3.94% |
10 years | 16.03% | 20.43% | 12.23% | 5.29% | 10.98% | -1.79% | 5.31% | 14.17% | -3.51% |
15 years | 15.97% | 18.37% | 13.71% | 5.76% | 9.93% | 3.56% | 5.98% | 10.39% | 3.64% |
# | Start | End | Months | Assets | Asset Performance | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
1 | Jan 1997 | Aug 1998 | 20 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 32.62% | 32.62% | 13.93% | 32.62% |
2 | Sep 1998 | Oct 1998 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.54% | 1.54% | 11.84% | 15.10% |
3 | Nov 1998 | Jul 1999 | 9 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 22.13% | 22.13% | 20.31% | 22.13% |
4 | Aug 1999 | Mar 2000 | 8 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 19.20% | 19.20% | 16.58% | 13.75% |
5 | Apr 2000 | Jun 2000 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -2.61% | -2.61% | -3.29% | -2.61% |
6 | Jul 2000 | Aug 2000 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 3.59% | 3.59% | 0.51% | 4.60% |
7 | Sep 2000 | Sep 2000 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -5.29% | -5.29% | -5.15% | -5.29% |
8 | Oct 2000 | Dec 2001 | 15 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 11.79% | 11.79% | -21.01% | -18.89% |
9 | Jan 2002 | Jan 2002 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.47% | -1.47% | -3.05% | -1.47% |
10 | Feb 2002 | Mar 2002 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -2.66% | -2.66% | 4.19% | 1.73% |
11 | Apr 2002 | Jun 2002 | 3 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: -2.75% | -2.75% | -8.18% | -13.43% |
12 | Jul 2002 | Mar 2003 | 9 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 13.34% | 13.34% | -17.10% | -13.13% |
13 | Apr 2003 | Jun 2003 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 15.39% | 15.39% | 17.46% | 15.39% |
14 | Jul 2003 | Jun 2004 | 12 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 32.85% | 32.85% | 25.74% | 18.91% |
15 | Jul 2004 | Jul 2004 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -3.31% | -3.31% | -3.32% | -3.31% |
16 | Aug 2004 | Sep 2004 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 4.35% | 4.35% | 2.59% | 1.45% |
17 | Oct 2004 | May 2005 | 8 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 13.24% | 13.24% | 10.69% | 8.12% |
18 | Jun 2005 | Jun 2005 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.13% | 0.13% | 0.71% | 0.13% |
19 | Jul 2005 | Jul 2005 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -2.58% | -2.58% | 3.69% | 3.71% |
20 | Aug 2005 | Aug 2005 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -0.91% | -0.91% | 0.97% | -0.91% |
21 | Sep 2005 | Jul 2006 | 11 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 21.03% | 21.03% | 13.50% | 6.22% |
22 | Aug 2006 | Aug 2006 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 2.74% | 2.74% | 2.45% | 2.36% |
23 | Sep 2006 | Sep 2006 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 0.25% | 0.25% | 1.41% | 2.56% |
24 | Oct 2006 | Nov 2006 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 5.20% | 5.20% | 6.54% | 5.20% |
25 | Dec 2006 | Dec 2007 | 13 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 19.09% | 19.09% | 12.88% | 6.85% |
26 | Jan 2008 | May 2008 | 5 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -0.03% | -0.03% | -2.96% | -3.85% |
27 | Jun 2008 | Jun 2008 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: -8.99% | -8.99% | -8.71% | -8.44% |
28 | Jul 2008 | Apr 2009 | 10 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 9.10% | 9.10% | -34.30% | -30.25% |
29 | May 2009 | Nov 2009 | 7 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 37.20% | 37.20% | 32.26% | 27.25% |
30 | Dec 2009 | May 2010 | 6 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.36% | 0.36% | -4.71% | 0.36% |
31 | Jun 2010 | Jul 2010 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 4.49% | 4.49% | 5.18% | 1.39% |
32 | Aug 2010 | Nov 2010 | 4 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 5.65% | 5.65% | 6.81% | 7.92% |
33 | Dec 2010 | Dec 2010 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 6.67% | 6.67% | 7.51% | 6.67% |
34 | Jan 2011 | Jan 2011 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 0.70% | 0.70% | 1.53% | 2.36% |
35 | Feb 2011 | Jul 2011 | 6 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.39% | 1.39% | 1.40% | 1.39% |
36 | Aug 2011 | Oct 2011 | 3 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 15.73% | 15.73% | -7.06% | -2.51% |
37 | Nov 2011 | Nov 2011 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -0.23% | -0.23% | -1.56% | -0.23% |
38 | Dec 2011 | Dec 2011 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 3.13% | 3.13% | -0.81% | 1.02% |
39 | Jan 2012 | May 2012 | 5 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 5.09% | 5.09% | 1.40% | 5.09% |
40 | Jun 2012 | Jun 2012 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -1.44% | -1.44% | 5.07% | 4.11% |
41 | Jul 2012 | Oct 2012 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 4.33% | 4.33% | 5.92% | 4.33% |
42 | Nov 2012 | Mar 2013 | 5 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 9.09% | 9.09% | 10.67% | 12.19% |
43 | Apr 2013 | Sep 2013 | 6 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 8.22% | 8.22% | 7.53% | 8.22% |
44 | Oct 2013 | Oct 2013 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 3.41% | 3.41% | 4.00% | 4.59% |
45 | Nov 2013 | Apr 2015 | 18 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 22.13% | 22.13% | 13.97% | 22.13% |
46 | May 2015 | Jul 2015 | 3 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: -4.38% | -4.38% | -1.53% | 1.38% |
47 | Aug 2015 | Aug 2015 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.05% | -6.05% | -6.67% | -6.05% |
48 | Sep 2015 | Oct 2015 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.42% | 1.42% | 3.92% | 5.73% |
49 | Nov 2015 | Jan 2016 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.22% | -6.22% | -7.50% | -6.22% |
50 | Feb 2016 | Mar 2016 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 2.91% | 2.91% | 6.18% | 6.62% |
51 | Apr 2016 | Apr 2016 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.37% | 0.37% | 1.30% | 0.37% |
52 | May 2016 | May 2016 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: -1.02% | -1.02% | 0.38% | 1.78% |
53 | Jun 2016 | Aug 2016 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 4.07% | 4.07% | 4.13% | 4.07% |
54 | Sep 2016 | Nov 2016 | 3 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: -2.52% | -2.52% | -0.33% | 1.81% |
55 | Dec 2016 | Mar 2017 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 8.11% | 8.11% | 9.37% | 8.11% |
56 | Apr 2017 | Apr 2017 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 2.20% | 2.20% | 1.61% | 1.02% |
57 | May 2017 | May 2017 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.39% | 1.39% | 2.20% | 1.39% |
58 | Jun 2017 | Nov 2017 | 6 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 9.43% | 9.43% | 10.13% | 10.81% |
59 | Dec 2017 | Mar 2018 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.30% | 0.30% | 0.92% | 0.30% |
60 | Apr 2018 | Apr 2018 | 1 | 100.00% Vanguard Total Intl Stock Index Inv (VGTSX) | VGTSX: 0.83% | 0.83% | 0.60% | 0.37% |
61 | May 2018 | May 2018 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.79% | 1.79% | 0.24% | 2.39% |
62 | Jun 2018 | Oct 2018 | 5 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.90% | 0.90% | -4.54% | 0.90% |
63 | Nov 2018 | Dec 2018 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 7.39% | 7.39% | -5.42% | -7.20% |
64 | Jan 2019 | Jan 2019 | 1 | Please sign-in for forward signals | - | - | - | - |