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.

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 as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Time Period #2
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Time Period #4
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Time Period #5
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Volatility Period
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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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Market Timing Results (Jan 1997 - Dec 2018) Save

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 a single performance window of 1 calendar month(s). 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 International Explorer Inv (VINEX) [Dec 1996 - Jul 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Dual Momentum Model$10,000$378,06417.95%14.45%63.91%-11.71%-23.67% 1.081.870.44
Equal Weight Portfolio$10,000$57,6788.29%15.51%52.57%-41.80%-55.28% 0.460.640.92
Vanguard 500 Index Investor$10,000$50,0747.60%14.96%33.19%-37.02%-50.97% 0.430.610.99
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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
  • Additional trading costs and taxes for tactical asset allocation 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 (3-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 section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard International Explorer Inv (VINEX)Vanguard Long-Term Treasury Inv (VUSTX)
Dual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
19971.70%16.03%7.55%33.19%$11,603$10,755$13,31933.19%-14.13%13.90%
19981.61%33.56%27.76%28.62%$15,497$13,741$17,13128.62%25.98%13.05%
19992.68%41.56%52.57%21.07%$21,938$20,964$20,74021.07%90.29%-8.66%
20003.39%25.42%-4.75%-9.06%$27,514$19,969$18,861-9.06%-2.68%19.72%
20011.55%5.26%-17.29%-12.02%$28,960$16,516$16,594-12.02%-22.52%4.31%
20022.38%-11.71%-17.95%-22.15%$25,568$13,552$12,919-22.15%-13.88%16.67%
20031.88%63.91%42.39%28.50%$41,908$19,297$16,60128.50%57.37%2.68%
20043.26%34.19%20.89%10.74%$56,236$23,328$18,38410.74%31.77%7.12%
20053.42%16.22%12.49%4.77%$65,355$26,243$19,2624.77%20.49%6.61%
20062.54%37.76%22.89%15.64%$90,035$32,250$22,27515.64%30.34%1.74%
20074.08%8.61%5.38%5.39%$97,791$33,984$23,4755.39%5.15%9.24%
20080.09%1.77%-41.80%-37.02%$99,517$19,780$14,784-37.02%-46.62%22.52%
20092.72%45.68%36.62%26.49%$144,981$27,023$18,70026.49%47.12%-12.05%
20101.50%-5.35%18.82%14.91%$137,222$32,107$21,48914.91%22.55%8.93%
20112.96%29.64%-9.42%1.97%$177,894$29,084$21,9111.97%-19.74%29.28%
20121.74%32.54%17.00%15.82%$235,779$34,027$25,37915.82%17.93%3.47%
20131.50%19.16%31.28%32.18%$280,947$44,669$33,54432.18%30.24%-13.03%
20140.76%10.98%5.08%13.51%$311,798$46,936$38,07613.51%-2.88%25.28%
20150.73%3.69%4.91%1.25%$323,316$49,243$38,5511.25%8.60%-1.54%
20162.07%-7.42%4.93%11.82%$299,328$51,671$43,10711.82%-1.77%1.20%
20172.11%29.57%30.04%21.67%$387,848$67,195$52,44721.67%38.77%8.58%
20181.91%-2.52%-14.16%-4.52%$378,064$57,678$50,074-4.52%-23.02%-1.90%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard International Explorer Inv (VINEX)Vanguard Long-Term Treasury Inv (VUSTX)
Dual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
19971-0.65%1.14%6.22%$9,935$10,114$10,6226.22%-3.94%-0.65%
199720.79%1.18%0.79%$10,013$10,234$10,7060.79%1.58%-0.11%
19973-0.41%-2.27%-4.14%$9,972$10,001$10,263-4.14%-0.41%-2.29%
199742.35%1.52%5.96%$10,206$10,153$10,8745.96%-2.91%2.35%
199756.09%6.47%6.09%$10,827$10,810$11,5366.09%6.84%0.98%
199762.90%3.68%4.45%$11,141$11,207$12,0504.45%2.90%1.78%
199777.97%2.33%7.97%$12,029$11,469$13,0107.97%-3.31%5.34%
19978-5.61%-5.17%-5.61%$11,354$10,876$12,280-5.61%-4.73%-2.57%
199792.63%3.21%5.47%$11,653$11,225$12,9515.47%0.95%2.63%
199710-3.35%-3.45%-3.35%$11,263$10,837$12,518-3.35%-3.56%2.99%
1997111.27%-0.25%4.60%$11,406$10,810$13,0934.60%-5.10%1.27%
1997121.72%-0.51%1.72%$11,603$10,755$13,3191.72%-2.74%1.66%
199811.11%4.43%1.11%$11,732$11,232$13,4671.11%7.75%1.91%
199825.57%6.38%7.19%$12,385$11,948$14,4357.19%5.57%-0.75%
199835.10%5.41%5.10%$13,017$12,595$15,1725.10%5.71%0.14%
199845.09%3.05%1.01%$13,680$12,979$15,3251.01%5.09%0.40%
199855.04%1.65%-1.74%$14,370$13,193$15,058-1.74%5.04%1.83%
19986-0.38%1.85%4.07%$14,316$13,437$15,6714.07%-0.38%2.35%
19987-1.05%0.65%-1.05%$14,165$13,525$15,506-1.05%2.36%-0.51%
19988-12.74%-13.61%-14.47%$12,360$11,684$13,262-14.47%-12.74%4.83%
199893.29%0.56%6.41%$12,766$11,750$14,1126.41%-5.29%3.29%
1998108.16%6.32%8.16%$13,809$12,492$15,2648.16%4.47%-1.69%
1998116.07%4.75%6.07%$14,647$13,085$16,1916.07%3.42%0.88%
1998125.81%5.01%5.81%$15,497$13,741$17,1315.81%4.22%-0.16%
199914.20%3.01%4.20%$16,149$14,155$17,8514.20%1.82%0.98%
19992-3.12%0.97%-3.12%$15,644$14,292$17,293-3.12%5.06%-4.76%
199935.22%4.61%4.00%$16,460$14,950$17,9844.00%5.22%-0.34%
199948.29%6.07%3.85%$17,825$15,858$18,6773.85%8.29%0.19%
19995-0.88%-1.63%-2.39%$17,668$15,599$18,231-2.39%-0.88%-1.68%
19996-1.05%8.99%5.56%$17,482$17,002$19,2435.56%12.43%-1.05%
199979.00%2.94%-3.13%$19,056$17,501$18,641-3.13%9.00%-0.58%
199983.19%1.35%-0.50%$19,664$17,737$18,549-0.50%3.19%-0.49%
19999-1.40%-2.07%-2.74%$19,388$17,369$18,041-2.74%-1.40%0.91%
1999100.12%4.09%6.33%$19,411$18,080$19,1826.33%1.85%0.12%
1999112.02%6.99%2.02%$19,804$19,344$19,5702.02%11.96%-0.59%
19991210.78%8.38%5.98%$21,938$20,964$20,7405.98%10.78%-1.60%
2000111.64%3.30%-5.03%$24,492$21,657$19,696-5.03%11.64%1.25%
2000217.38%7.74%-1.91%$28,748$23,332$19,321-1.91%17.38%2.96%
20003-3.93%2.91%9.76%$27,618$24,012$21,2069.76%-3.93%3.14%
20004-3.01%-7.24%-3.01%$26,788$22,274$20,569-3.01%-11.47%-0.66%
20005-0.46%-4.36%-2.04%$26,665$21,303$20,150-2.04%-6.68%-0.46%
200062.30%4.24%2.49%$27,278$22,207$20,6512.49%5.99%2.30%
20007-2.65%-2.07%-1.49%$26,554$21,746$20,343-1.49%-2.65%1.49%
200082.08%4.84%6.19%$27,106$22,800$21,6026.19%3.50%2.08%
20009-5.29%-3.99%-5.29%$25,672$21,890$20,459-5.29%-2.69%-0.85%
2000101.57%-4.60%-0.43%$26,074$20,883$20,372-0.43%-8.77%1.57%
2000112.99%-6.10%-7.88%$26,855$19,609$18,767-7.88%-4.32%2.99%
2000122.45%1.83%0.50%$27,514$19,969$18,8610.50%3.16%2.45%
200111.67%2.61%3.55%$27,974$20,490$19,5303.55%1.67%0.28%
20012-9.14%-6.96%-9.14%$25,418$19,064$17,746-9.14%-4.78%1.80%
20013-0.60%-7.33%-6.36%$25,264$17,665$16,618-6.36%-8.31%-0.60%
20014-2.56%6.80%7.77%$24,617$18,867$17,9097.77%5.83%-2.56%
200150.65%-0.78%0.65%$24,777$18,720$18,0250.65%-2.21%0.21%
20016-2.45%-3.39%-2.45%$24,171$18,086$17,584-2.45%-4.34%0.76%
200173.61%-2.81%-1.00%$25,044$17,577$17,409-1.00%-4.62%3.61%
200182.02%-4.09%-6.27%$25,551$16,859$16,316-6.27%-1.90%2.02%
200190.88%-11.46%-8.09%$25,776$14,927$14,996-8.09%-14.83%0.88%
2001105.12%2.54%1.90%$27,096$15,306$15,2801.90%3.19%5.12%
2001115.95%6.80%7.65%$28,709$16,347$16,4507.65%5.95%-5.07%
2001120.87%1.03%0.87%$28,960$16,516$16,5940.87%1.19%-1.82%
20021-1.57%-1.52%-1.47%$28,507$16,265$16,349-1.47%-1.57%1.20%
200221.24%-1.39%-1.94%$28,861$16,039$16,033-1.94%-0.85%1.24%
20023-3.86%5.19%3.74%$27,748$16,871$16,6333.74%6.63%-3.86%
200242.91%-1.58%-6.07%$28,555$16,604$15,622-6.07%2.91%3.73%
200251.27%0.26%-0.75%$28,916$16,646$15,505-0.75%1.27%0.39%
20026-4.52%-5.83%-7.13%$27,608$15,676$14,398-7.13%-4.52%1.76%
200272.93%-8.40%-7.72%$28,417$14,360$13,287-7.72%-9.07%2.93%
200284.28%-0.39%0.65%$29,633$14,303$13,3740.65%-1.44%4.28%
20029-10.87%-10.78%-10.87%$26,411$12,761$11,919-10.87%-10.69%4.02%
200210-2.84%5.46%8.78%$25,661$13,458$12,9668.78%2.14%-2.84%
2002115.88%5.10%5.88%$27,169$14,144$13,7285.88%4.32%-0.98%
200212-5.89%-4.18%-5.89%$25,568$13,552$12,919-5.89%-2.47%4.05%
20031-0.45%-2.35%-2.62%$25,454$13,234$12,580-2.62%-2.08%-0.45%
200323.03%-2.07%-1.52%$26,224$12,960$12,389-1.52%-2.62%3.03%
20033-1.13%-0.23%0.96%$25,927$12,931$12,5070.96%-1.41%-1.13%
200348.25%9.45%8.25%$28,067$14,153$13,5408.25%10.65%0.91%
2003511.15%8.21%5.26%$31,196$15,314$14,2525.26%11.15%5.67%
200363.80%2.53%1.26%$32,382$15,702$14,4321.26%3.80%-1.48%
200374.78%3.26%1.74%$33,930$16,214$14,6841.74%4.78%-8.57%
200384.08%3.01%1.93%$35,314$16,701$14,9671.93%4.08%1.43%
200395.41%2.17%-1.07%$37,225$17,064$14,807-1.07%5.41%5.07%
2003105.22%5.43%5.64%$39,168$17,991$15,6425.64%5.22%-2.58%
2003110.86%1.53%0.86%$39,507$18,265$15,7780.86%2.19%0.31%
2003126.08%5.65%5.22%$41,908$19,297$16,6015.22%6.08%1.23%
200414.21%3.02%1.82%$43,673$19,879$16,9041.82%4.21%1.74%
200423.52%2.45%1.38%$45,210$20,366$17,1361.38%3.52%1.96%
200432.31%0.40%-1.51%$46,256$20,447$16,877-1.51%2.31%1.45%
20044-1.98%-1.78%-1.58%$45,341$20,084$16,611-1.58%-1.98%-5.52%
20045-0.56%0.10%1.36%$45,088$20,104$16,8361.36%-1.15%-0.56%
200461.93%2.57%1.93%$45,958$20,621$17,1611.93%3.21%0.87%
20047-2.76%-3.03%-3.31%$44,691$19,995$16,593-3.31%-2.76%1.52%
200483.39%0.63%0.38%$46,205$20,121$16,6570.38%0.87%3.39%
200492.38%1.72%1.07%$47,303$20,467$16,8341.07%2.38%0.94%
2004103.03%2.27%1.51%$48,735$20,932$17,0891.51%3.03%1.46%
2004117.72%5.88%4.05%$52,496$22,163$17,7814.05%7.72%-2.25%
2004127.12%5.26%3.39%$56,236$23,328$18,3843.39%7.12%2.22%
200510.92%-0.77%-2.45%$56,752$23,149$17,933-2.45%0.92%2.59%
200524.31%3.20%2.09%$59,196$23,890$18,3082.09%4.31%-1.24%
20053-2.21%-1.98%-1.76%$57,888$23,416$17,986-1.76%-2.21%-0.76%
200543.22%-1.97%-1.91%$59,755$22,955$17,642-1.91%-2.02%3.22%
200552.55%1.77%3.17%$61,278$23,361$18,2013.17%0.36%2.55%
200560.13%1.42%0.13%$61,356$23,693$18,2240.13%2.72%1.64%
200574.53%4.12%3.71%$64,136$24,669$18,9003.71%4.53%-2.58%
200582.03%0.56%-0.91%$65,436$24,807$18,727-0.91%2.03%2.87%
200593.53%2.16%0.79%$67,748$25,343$18,8760.79%3.53%-2.78%
200510-4.10%-2.89%-1.68%$64,967$24,610$18,559-1.68%-4.10%-1.74%
2005110.57%3.22%3.76%$65,340$25,402$19,2583.76%2.67%0.57%
2005120.02%3.31%0.02%$65,355$26,243$19,2620.02%6.60%2.33%
200617.37%5.01%2.65%$70,169$27,556$19,7712.65%7.37%-0.90%
200620.62%0.44%0.26%$70,606$27,679$19,8230.26%0.62%0.81%
200635.27%3.25%1.23%$74,326$28,578$20,0671.23%5.27%-3.39%
200645.50%3.41%1.33%$78,411$29,554$20,3351.33%5.50%-1.96%
20065-4.93%-3.91%-2.90%$74,545$28,397$19,746-2.90%-4.93%-0.03%
200660.71%-1.01%0.13%$75,072$28,110$19,7710.13%-2.15%0.71%
200671.84%0.05%0.61%$76,453$28,125$19,8910.61%-0.50%1.84%
200682.36%2.36%2.36%$78,259$28,789$20,3612.36%2.36%2.74%
200692.56%2.19%2.56%$80,265$29,420$20,8832.56%1.82%1.58%
2006103.25%3.46%3.25%$82,874$30,437$21,5623.25%3.66%0.77%
2006114.51%3.20%1.89%$86,613$31,411$21,9691.89%4.51%1.91%
2006123.95%2.67%1.39%$90,035$32,250$22,2751.39%3.95%-2.14%
200712.94%2.22%1.49%$92,681$32,965$22,6071.49%2.94%-0.85%
200720.32%-0.82%-1.97%$92,980$32,693$22,162-1.97%0.32%2.93%
20073-1.13%2.16%1.11%$91,930$33,400$22,4091.11%3.21%-1.13%
200743.87%4.14%4.42%$95,487$34,784$23,3994.42%3.87%0.86%
200753.48%2.96%3.48%$98,807$35,813$24,2123.48%2.44%-1.93%
20076-1.68%-1.40%-1.68%$97,151$35,311$23,806-1.68%-1.13%-0.88%
200772.39%-1.77%-3.08%$99,469$34,684$23,072-3.08%-0.46%2.39%
200781.97%-0.74%1.50%$101,433$34,428$23,4181.50%-2.97%1.97%
200793.72%2.87%3.72%$105,210$35,416$24,2903.72%2.01%0.21%
2007101.58%3.77%1.58%$106,871$36,751$24,6731.58%5.96%1.40%
200711-8.06%-6.12%-4.19%$98,261$34,502$23,640-4.19%-8.06%4.59%
200712-0.48%-1.50%-0.70%$97,791$33,984$23,475-0.70%-2.30%-0.48%
200812.64%-7.57%-6.02%$100,374$31,410$22,063-6.02%-9.13%2.64%
200820.35%-0.50%-3.25%$100,725$31,254$21,345-3.25%2.26%0.35%
20083-1.34%-0.89%-0.44%$99,378$30,976$21,251-0.44%-1.34%1.02%
20084-1.84%3.55%4.85%$97,550$32,075$22,2834.85%2.24%-1.84%
200851.29%1.68%1.29%$98,811$32,615$22,5711.29%2.07%-2.13%
20086-7.91%-8.17%-8.44%$91,000$29,950$20,666-8.44%-7.91%1.80%
200870.30%-3.33%-0.83%$91,268$28,953$20,494-0.83%-5.82%0.30%
200881.80%-0.97%1.45%$92,916$28,672$20,7911.45%-3.39%1.80%
20089-8.91%-12.17%-8.91%$84,641$25,183$18,939-8.91%-15.43%0.28%
200810-3.63%-20.47%-16.79%$81,570$20,029$15,759-16.79%-24.14%-3.63%
20081112.07%-6.06%-7.17%$91,413$18,816$14,628-7.17%-4.94%12.07%
2008128.87%5.12%1.07%$99,517$19,780$14,7841.07%9.18%8.87%
20091-9.15%-8.78%-8.41%$90,413$18,043$13,540-8.41%-9.15%-8.47%
20092-1.01%-8.92%-10.66%$89,501$16,434$12,097-10.66%-7.18%-1.01%
200935.27%8.37%8.76%$94,214$17,810$13,1578.76%7.98%5.27%
200949.56%11.77%9.56%$103,220$19,905$14,4159.56%13.97%-4.99%
2009513.98%9.80%5.62%$117,651$21,856$15,2255.62%13.98%-2.68%
200961.96%1.09%0.22%$119,952$22,094$15,2580.22%1.96%0.70%
200977.41%7.49%7.58%$128,841$23,750$16,4147.58%7.41%0.80%
200983.60%4.40%3.60%$133,478$24,794$17,0053.60%5.19%1.68%
200996.33%5.02%3.72%$141,924$26,039$17,6373.72%6.33%1.98%
200910-1.67%-1.77%-1.87%$139,555$25,579$17,308-1.87%-1.67%-1.45%
2009111.91%3.84%5.98%$142,214$26,561$18,3435.98%1.70%1.91%
2009121.95%1.74%1.95%$144,981$27,023$18,7001.95%1.53%-5.66%
20101-3.60%-2.78%-3.60%$139,756$26,271$18,026-3.60%-1.96%2.66%
20102-0.21%1.10%3.09%$139,465$26,561$18,5833.09%-0.89%-0.21%
201036.01%6.59%6.01%$147,852$28,311$19,7016.01%7.16%-1.51%
201041.04%1.31%1.58%$149,396$28,682$20,0121.58%1.04%2.76%
20105-8.01%-9.76%-8.01%$137,437$25,883$18,410-8.01%-11.51%4.23%
201064.67%-2.70%-5.24%$143,849$25,185$17,445-5.24%-0.16%4.67%
20107-0.17%8.26%7.00%$143,603$27,265$18,6667.00%9.52%-0.17%
20108-2.64%-3.58%-4.53%$139,819$26,288$17,820-4.53%-2.64%7.08%
20109-1.82%10.24%8.92%$137,271$28,979$19,4108.92%11.56%-1.82%
2010103.67%3.73%3.79%$142,312$30,060$20,1453.79%3.67%-3.29%
2010110.00%-1.58%0.00%$142,312$29,585$20,1450.00%-3.16%-1.60%
201012-3.58%8.53%6.67%$137,222$32,107$21,4896.67%10.38%-3.58%
201110.72%1.54%2.36%$138,209$32,601$21,9952.36%0.72%-2.38%
201123.42%2.33%3.42%$142,931$33,362$22,7473.42%1.25%1.24%
201130.03%0.25%0.03%$142,968$33,445$22,7530.03%0.47%0.02%
201144.92%3.93%2.95%$149,999$34,760$23,4232.95%4.92%2.04%
20115-2.46%-1.80%-1.15%$146,316$34,134$23,155-1.15%-2.46%3.29%
20116-2.00%-2.24%-1.67%$143,395$33,371$22,768-1.67%-2.80%-2.00%
201174.18%-1.82%-2.05%$149,388$32,764$22,302-2.05%-1.59%4.18%
201188.68%-7.57%-5.45%$162,358$30,284$21,087-5.45%-9.69%8.68%
2011910.16%-9.42%-7.04%$178,858$27,433$19,602-7.04%-11.79%10.16%
201110-3.34%9.55%10.91%$172,893$30,052$21,74110.91%8.18%-3.34%
201111-0.23%-2.09%-0.23%$172,489$29,423$21,691-0.23%-3.96%1.82%
2011123.13%-1.15%1.02%$177,894$29,084$21,9111.02%-3.32%3.13%
201214.46%6.64%4.46%$185,836$31,015$22,8894.46%8.81%0.08%
201225.59%4.95%4.31%$196,227$32,550$23,8754.31%5.59%-2.11%
201230.41%1.84%3.28%$197,027$33,150$24,6593.28%0.41%-3.77%
20124-0.64%-0.66%-0.64%$195,767$32,932$24,501-0.64%-0.68%4.37%
201257.79%-8.90%-6.02%$211,013$30,002$23,027-6.02%-11.78%7.79%
20126-1.44%3.98%4.11%$207,965$31,197$23,9734.11%3.86%-1.44%
201271.37%0.57%1.37%$210,814$31,376$24,3011.37%-0.22%3.32%
201282.24%2.57%2.24%$215,535$32,183$24,8452.24%2.90%-1.06%
201293.69%3.13%2.58%$223,489$33,191$25,4862.58%3.69%-2.10%
2012101.19%-0.34%-1.86%$226,140$33,079$25,012-1.86%1.19%-0.43%
2012110.62%0.59%0.56%$227,543$33,275$25,1520.56%0.62%1.35%
2012123.62%2.26%0.90%$235,779$34,027$25,3790.90%3.62%-1.99%
201314.96%5.07%5.18%$247,480$35,752$26,6925.18%4.96%-3.27%
201321.34%0.77%1.34%$250,793$36,026$27,0501.34%0.19%1.26%
201333.74%2.52%3.74%$260,169$36,932$28,0613.74%1.29%0.03%
201341.91%2.80%1.91%$265,135$37,968$28,5971.91%3.70%3.87%
20135-0.49%0.92%2.33%$263,830$38,317$29,2622.33%-0.49%-6.23%
20136-1.35%-1.76%-1.35%$260,267$37,643$28,867-1.35%-2.16%-3.26%
20137-1.93%5.29%5.07%$255,246$39,633$30,3315.07%5.50%-1.93%
20138-0.66%-1.79%-2.91%$253,564$38,925$29,448-2.91%-0.66%-1.28%
201390.88%5.21%3.12%$255,793$40,953$30,3673.12%7.30%0.88%
2013103.99%4.29%4.59%$266,002$42,710$31,7604.59%3.99%1.32%
2013113.03%1.92%3.03%$274,057$43,529$32,7223.03%0.81%-2.49%
2013122.51%2.62%2.51%$280,947$44,669$33,5442.51%2.72%-2.37%
20141-2.23%-2.85%-3.47%$274,693$43,397$32,381-3.47%-2.23%6.26%
201420.60%5.25%4.56%$276,336$45,676$33,8574.56%5.94%0.60%
201430.73%0.78%0.82%$278,364$46,032$34,1360.82%0.73%0.63%
201440.72%0.05%0.72%$280,379$46,054$34,3830.72%-0.62%1.82%
201452.33%2.14%2.33%$286,926$47,038$35,1862.33%1.94%2.73%
201462.05%1.59%2.05%$292,814$47,787$35,9082.05%1.13%-0.16%
20147-1.39%-1.74%-1.39%$288,749$46,957$35,410-1.39%-2.08%0.59%
201484.23%2.30%3.98%$300,959$48,038$36,8203.98%0.62%4.23%
20149-1.41%-2.92%-1.41%$296,707$46,634$36,300-1.41%-4.43%-1.99%
2014102.61%0.46%2.42%$304,458$46,847$37,1792.42%-1.51%2.61%
2014112.68%0.63%2.68%$312,624$47,142$38,1772.68%-1.42%2.86%
201412-0.26%-0.44%-0.26%$311,798$46,936$38,076-0.26%-0.61%2.82%
201518.97%-1.57%-3.02%$339,754$46,199$36,927-3.02%-0.12%8.97%
20152-5.66%6.27%5.74%$320,532$49,098$39,0465.74%6.81%-5.66%
201530.57%-0.51%-1.59%$322,356$48,846$38,424-1.59%0.57%1.13%
201543.45%2.20%0.95%$333,485$49,921$38,7890.95%3.45%-3.07%
201550.88%1.07%1.27%$336,403$50,457$39,2821.27%0.88%-2.16%
20156-1.93%-1.54%-1.93%$329,901$49,682$38,523-1.93%-1.14%-3.73%
201574.21%1.62%2.08%$343,783$50,485$39,3242.08%1.15%4.21%
20158-6.04%-5.52%-6.04%$323,013$47,701$36,948-6.04%-4.99%-0.71%
201591.91%-2.79%-2.49%$329,186$46,372$36,028-2.49%-3.08%1.91%
201510-0.48%6.51%8.42%$327,610$49,390$39,0638.42%4.59%-0.48%
2015110.29%0.20%0.29%$328,548$49,488$39,1750.29%0.11%-0.81%
201512-1.59%-0.50%-1.59%$323,316$49,243$38,551-1.59%0.60%-0.34%
20161-6.67%-5.82%-4.98%$301,761$46,376$36,632-4.98%-6.67%5.24%
201622.86%-1.27%-0.15%$310,390$45,785$36,579-0.15%-2.40%2.86%
201630.05%7.18%6.78%$310,552$49,071$39,0586.78%7.58%0.05%
201640.66%0.52%0.37%$312,609$49,325$39,2040.37%0.66%-0.63%
201651.44%1.61%1.78%$317,096$50,119$39,9031.78%1.44%0.69%
201660.25%-2.65%0.25%$317,889$48,793$40,0020.25%-5.54%6.57%
201673.68%4.65%3.68%$329,575$51,060$41,4733.68%5.62%2.01%
20168-0.18%-0.02%0.13%$328,991$51,048$41,5270.13%-0.18%-1.00%
201690.01%1.43%0.01%$329,018$51,776$41,5300.01%2.84%-1.32%
201610-3.17%-2.50%-1.83%$318,600$50,481$40,769-1.83%-3.17%-4.23%
201611-7.86%0.60%3.70%$293,566$50,785$42,2773.70%-2.50%-7.86%
2016121.96%1.75%1.96%$299,328$51,671$43,1071.96%1.53%-0.35%
201711.88%3.15%1.88%$304,965$53,297$43,9181.88%4.41%0.65%
201721.82%2.89%3.96%$310,509$54,838$45,6593.96%1.82%1.57%
201730.10%1.92%0.10%$310,820$55,892$45,7040.10%3.74%-0.59%
201745.39%3.20%1.02%$327,560$57,681$46,1701.02%5.39%1.58%
201754.27%2.83%1.39%$341,540$59,314$46,8131.39%4.27%1.73%
201760.51%0.56%0.61%$343,265$59,645$47,0990.61%0.51%0.63%
201772.04%2.76%2.04%$350,276$61,289$48,0612.04%3.47%-0.59%
201780.39%0.34%0.29%$351,638$61,498$48,2020.29%0.39%3.27%
201793.97%3.01%2.06%$365,595$63,352$49,1952.06%3.97%-2.27%
2017101.82%2.07%2.32%$372,233$64,661$50,3352.32%1.82%-0.02%
2017113.06%1.76%3.06%$383,620$65,798$51,8753.06%0.46%0.63%
2017121.10%2.12%1.10%$387,848$67,195$52,4471.10%3.14%1.78%
201815.12%5.42%5.71%$407,705$70,834$55,4435.71%5.12%-3.40%
20182-3.69%-3.86%-3.69%$392,642$68,101$53,394-3.69%-4.02%-2.89%
201832.75%-1.44%-2.56%$403,456$67,120$52,030-2.56%-0.33%2.75%
20184-2.04%0.33%0.37%$395,238$67,339$52,2240.37%0.28%-2.04%
201852.39%0.78%2.39%$404,702$67,863$53,4752.39%-0.84%1.79%
201860.61%-0.78%0.61%$407,151$67,336$53,7980.61%-2.16%0.66%
201873.71%1.90%3.71%$422,254$68,617$55,7943.71%0.10%-1.28%
201883.25%0.74%3.25%$435,961$69,122$57,6053.25%-1.77%1.18%
201890.55%-0.31%0.55%$438,378$68,908$57,9240.55%-1.17%-2.74%
201810-6.85%-9.30%-6.85%$408,353$62,497$53,957-6.85%-11.76%-2.82%
2018111.78%0.82%2.03%$415,638$63,008$55,0512.03%-0.39%1.78%
201812-9.04%-8.46%-9.04%$378,064$57,678$50,074-9.04%-7.88%5.50%
Portfolio return and risk metrics
MetricDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.47%0.77%0.71%
Arithmetic Mean (annualized)19.16%9.62%8.81%
Geometric Mean (monthly)1.39%0.67%0.61%
Geometric Mean (annualized)17.95%8.29%7.60%
Volatility (monthly)4.17%4.48%4.32%
Volatility (annualized)14.45%15.51%14.96%
Downside Deviation (monthly)2.33%3.12%2.95%
Max. Drawdown-23.67%-55.28%-50.97%
US Market Correlation0.440.920.99
Beta(*)0.400.931.00
Alpha (annualized)14.24%1.30%-0.00%
R217.37%81.13%100.00%
Sharpe Ratio1.080.460.43
Sortino Ratio1.870.640.61
Treynor Ratio (%)38.737.656.41
Calmar Ratio0.390.290.67
Active Return10.36%0.69%N/A
Tracking Error15.89%6.81%N/A
Information Ratio0.650.10N/A
Skewness-0.10-0.86-0.65
Excess Kurtosis1.542.081.11
Historical Value-at-Risk (5%)-6.00%-8.34%-7.58%
Analytical Value-at-Risk (5%)-5.39%-6.60%-6.40%
Conditional Value-at-Risk (5%)-8.56%-10.80%-9.88%
Upside Capture Ratio (%)77.7497.24100.00
Downside Capture Ratio (%)17.1492.79100.00
Safe Withdrawal Rate20.15%9.16%7.80%
Perpetual Withdrawal Rate13.43%5.70%5.10%
Positive Periods183 out of 264 (69.32%)168 out of 264 (63.64%)170 out of 264 (64.39%)
Gain/Loss Ratio1.120.890.83
* 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 PeriodStartEndDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Asian CrisisJul 1997Jan 1998-6.37%-6.22%-5.61%
Russian Debt DefaultJul 1998Oct 1998-13.66%-13.61%-15.38%
Dotcom CrashMar 2000Oct 2002-15.92%-46.86%-44.82%
Subprime CrisisNov 2007Mar 2009-23.67%-55.28%-50.97%

Drawdowns for Dual Momentum Model

Drawdowns for Dual Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearMay 20097 months1 year 7 months-23.67%
2Mar 2000Jun 20011 year 4 monthsDec 20016 months1 year 10 months-15.92%
3Aug 2015Nov 20161 year 4 monthsJul 20178 months2 years-14.61%
4Sep 2002Jan 20035 monthsMay 20034 months9 months-14.10%
5Jun 1998Aug 19983 monthsNov 19983 months6 months-13.99%
6Oct 2018Dec 20183 months-13.76%
7May 2010Dec 20108 monthsApr 20114 months1 year-8.15%
8Aug 1997Oct 19973 monthsFeb 19984 months7 months-6.37%
9Feb 2015Feb 20151 monthJul 20155 months6 months-5.66%
10May 2006May 20061 monthSep 20064 months5 months-4.93%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20134 years 1 month5 years 5 months-55.28%
2Apr 2000Sep 20022 years 6 monthsJul 20052 years 10 months5 years 4 months-46.86%
3Feb 2018Dec 201811 months-18.57%
4Aug 1998Aug 19981 monthDec 19984 months5 months-13.61%
5Aug 2015Feb 20167 monthsJul 20165 months1 year-9.31%
6Aug 1997Dec 19975 monthsFeb 19982 months7 months-6.22%
7May 2006Jun 20062 monthsOct 20064 months6 months-4.89%
8Jun 2007Aug 20073 monthsOct 20072 months5 months-3.87%
9Sep 2014Jan 20155 monthsFeb 20151 month6 months-3.83%
10Oct 2005Oct 20051 monthNov 20051 month2 months-2.89%
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 PeriodDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year19.48%63.91%-11.71%10.69%52.57%-41.80%9.22%33.19%-37.02%
3 years18.72%36.73%2.13%9.08%27.98%-13.53%7.23%27.53%-14.60%
5 years18.56%30.77%6.12%7.80%20.19%-2.05%6.20%17.81%-2.38%
7 years19.33%28.13%10.91%7.97%13.92%2.61%6.18%14.67%-1.64%
10 years19.27%24.88%12.76%7.45%12.42%2.57%5.61%12.97%-1.46%
15 years19.30%22.24%15.79%7.75%11.26%5.52%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 PerformanceDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
1Jan 1997Jan 19971100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.65%-0.65%1.14%6.22%
2Feb 1997Feb 19971100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.79%0.79%1.18%0.79%
3Mar 1997Mar 19971100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.41%-0.41%-2.27%-4.14%
4Apr 1997Apr 19971100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.35%2.35%1.52%5.96%
5May 1997May 19971100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.09%6.09%6.47%6.09%
6Jun 1997Jun 19971100.00% Vanguard International Explorer Inv (VINEX)VINEX: 2.90%2.90%3.68%4.45%
7Jul 1997Aug 19972100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.91%1.91%-2.96%1.91%
8Sep 1997Sep 19971100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.63%2.63%3.21%5.47%
9Oct 1997Oct 19971100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.35%-3.35%-3.45%-3.35%
10Nov 1997Nov 19971100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.27%1.27%-0.25%4.60%
11Dec 1997Jan 19982100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.85%2.85%3.90%2.85%
12Feb 1998Feb 19981100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.57%5.57%6.38%7.19%
13Mar 1998Mar 19981100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.10%5.10%5.41%5.10%
14Apr 1998Jun 19983100.00% Vanguard International Explorer Inv (VINEX)VINEX: 9.98%9.98%6.69%3.29%
15Jul 1998Jul 19981100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.05%-1.05%0.65%-1.05%
16Aug 1998Aug 19981100.00% Vanguard International Explorer Inv (VINEX)VINEX: -12.74%-12.74%-13.61%-14.47%
17Sep 1998Sep 19981100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.29%3.29%0.56%6.41%
18Oct 1998Feb 19995100.00% Vanguard 500 Index Investor (VFINX)VFINX: 22.54%22.54%21.64%22.54%
19Mar 1999May 19993100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.94%12.94%9.14%5.42%
20Jun 1999Jun 19991100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.05%-1.05%8.99%5.56%
21Jul 1999Sep 19993100.00% Vanguard International Explorer Inv (VINEX)VINEX: 10.90%10.90%2.16%-6.25%
22Oct 1999Oct 19991100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.12%0.12%4.09%6.33%
23Nov 1999Nov 19991100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.02%2.02%6.99%2.02%
24Dec 1999Mar 20004100.00% Vanguard International Explorer Inv (VINEX)VINEX: 39.46%39.46%24.14%8.36%
25Apr 2000Apr 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.01%-3.01%-7.24%-3.01%
26May 2000Jun 20002100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.83%1.83%-0.30%0.40%
27Jul 2000Jul 20001100.00% Vanguard International Explorer Inv (VINEX)VINEX: -2.65%-2.65%-2.07%-1.49%
28Aug 2000Aug 20001100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.08%2.08%4.84%6.19%
29Sep 2000Sep 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -5.29%-5.29%-3.99%-5.29%
30Oct 2000Dec 20003100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.17%7.17%-8.78%-7.81%
31Jan 2001Jan 20011100.00% Vanguard International Explorer Inv (VINEX)VINEX: 1.67%1.67%2.61%3.55%
32Feb 2001Feb 20011100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.14%-9.14%-6.96%-9.14%
33Mar 2001Apr 20012100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.15%-3.15%-1.03%0.92%
34May 2001Jun 20012100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.81%-1.81%-4.14%-1.81%
35Jul 2001Oct 20014100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 12.10%12.10%-15.37%-13.10%
36Nov 2001Nov 20011100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.95%5.95%6.80%7.65%
37Dec 2001Dec 20011100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.87%0.87%1.03%0.87%
38Jan 2002Jan 20021100.00% Vanguard International Explorer Inv (VINEX)VINEX: -1.57%-1.57%-1.52%-1.47%
39Feb 2002Mar 20022100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.66%-2.66%3.72%1.73%
40Apr 2002Jun 20023100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.50%-0.50%-7.08%-13.43%
41Jul 2002Aug 20022100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.33%7.33%-8.76%-7.12%
42Sep 2002Sep 20021100.00% Vanguard 500 Index Investor (VFINX)VFINX: -10.87%-10.87%-10.78%-10.87%
43Oct 2002Oct 20021100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.84%-2.84%5.46%8.78%
44Nov 2002Dec 20022100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.36%-0.36%0.70%-0.36%
45Jan 2003Mar 20033100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.40%1.40%-4.59%-3.19%
46Apr 2003Apr 20031100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.25%8.25%9.45%8.25%
47May 2003Oct 20036100.00% Vanguard International Explorer Inv (VINEX)VINEX: 39.55%39.55%27.12%15.53%
48Nov 2003Nov 20031100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.86%0.86%1.53%0.86%
49Dec 2003Apr 20045100.00% Vanguard International Explorer Inv (VINEX)VINEX: 14.77%14.77%9.96%5.28%
50May 2004May 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.56%-0.56%0.10%1.36%
51Jun 2004Jun 20041100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.93%1.93%2.57%1.93%
52Jul 2004Jul 20041100.00% Vanguard International Explorer Inv (VINEX)VINEX: -2.76%-2.76%-3.03%-3.31%
53Aug 2004Aug 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.39%3.39%0.63%0.38%
54Sep 2004Mar 20057100.00% Vanguard International Explorer Inv (VINEX)VINEX: 25.29%25.29%16.38%7.98%
55Apr 2005May 20052100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.86%5.86%-0.24%1.19%
56Jun 2005Jun 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.13%0.13%1.42%0.13%
57Jul 2005Oct 20054100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.89%5.89%3.87%1.84%
58Nov 2005Nov 20051100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.57%0.57%3.22%3.76%
59Dec 2005Dec 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.02%0.02%3.31%0.02%
60Jan 2006May 20065100.00% Vanguard International Explorer Inv (VINEX)VINEX: 14.06%14.06%8.21%2.51%
61Jun 2006Jul 20062100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.56%2.56%-0.96%0.74%
62Aug 2006Oct 20063100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.40%8.40%8.22%8.40%
63Nov 2006Feb 20074100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.19%12.19%7.41%2.78%
64Mar 2007Mar 20071100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.13%-1.13%2.16%1.11%
65Apr 2007Apr 20071100.00% Vanguard International Explorer Inv (VINEX)VINEX: 3.87%3.87%4.14%4.42%
66May 2007Jun 20072100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.74%1.74%1.51%1.74%
67Jul 2007Aug 20072100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.41%4.41%-2.50%-1.63%
68Sep 2007Oct 20072100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.36%5.36%6.75%5.36%
69Nov 2007Nov 20071100.00% Vanguard International Explorer Inv (VINEX)VINEX: -8.06%-8.06%-6.12%-4.19%
70Dec 2007Feb 20083100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.51%2.51%-9.41%-9.71%
71Mar 2008Mar 20081100.00% Vanguard International Explorer Inv (VINEX)VINEX: -1.34%-1.34%-0.89%-0.44%
72Apr 2008Apr 20081100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.84%-1.84%3.55%4.85%
73May 2008May 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.29%1.29%1.68%1.29%
74Jun 2008Jun 20081100.00% Vanguard International Explorer Inv (VINEX)VINEX: -7.91%-7.91%-8.17%-8.44%
75Jul 2008Aug 20082100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.11%2.11%-4.27%0.60%
76Sep 2008Sep 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.91%-8.91%-12.17%-8.91%
77Oct 2008Dec 20083100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 17.58%17.58%-21.46%-21.94%
78Jan 2009Jan 20091100.00% Vanguard International Explorer Inv (VINEX)VINEX: -9.15%-9.15%-8.78%-8.41%
79Feb 2009Mar 20092100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.20%4.20%-1.29%-2.83%
80Apr 2009Apr 20091100.00% Vanguard 500 Index Investor (VFINX)VFINX: 9.56%9.56%11.77%9.56%
81May 2009Jul 20093100.00% Vanguard International Explorer Inv (VINEX)VINEX: 24.82%24.82%19.31%13.87%
82Aug 2009Aug 20091100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.60%3.60%4.40%3.60%
83Sep 2009Oct 20092100.00% Vanguard International Explorer Inv (VINEX)VINEX: 4.55%4.55%3.16%1.78%
84Nov 2009Nov 20091100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.91%1.91%3.84%5.98%
85Dec 2009Jan 20102100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.73%-1.73%-1.09%-1.73%
86Feb 2010Feb 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.21%-0.21%1.10%3.09%
87Mar 2010Mar 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.01%6.01%6.59%6.01%
88Apr 2010Apr 20101100.00% Vanguard International Explorer Inv (VINEX)VINEX: 1.04%1.04%1.31%1.58%
89May 2010May 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.01%-8.01%-9.76%-8.01%
90Jun 2010Jul 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.49%4.49%5.34%1.39%
91Aug 2010Aug 20101100.00% Vanguard International Explorer Inv (VINEX)VINEX: -2.64%-2.64%-3.58%-4.53%
92Sep 2010Sep 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.82%-1.82%10.24%8.92%
93Oct 2010Oct 20101100.00% Vanguard International Explorer Inv (VINEX)VINEX: 3.67%3.67%3.73%3.79%
94Nov 2010Nov 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.00%0.00%-1.58%0.00%
95Dec 2010Dec 20101100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.58%-3.58%8.53%6.67%
96Jan 2011Jan 20111100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.72%0.72%1.54%2.36%
97Feb 2011Mar 20112100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.44%3.44%2.59%3.44%
98Apr 2011May 20112100.00% Vanguard International Explorer Inv (VINEX)VINEX: 2.34%2.34%2.06%1.77%
99Jun 2011Oct 20115100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 18.16%18.16%-11.96%-6.11%
100Nov 2011Nov 20111100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.23%-0.23%-2.09%-0.23%
101Dec 2011Dec 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.13%3.13%-1.15%1.02%
102Jan 2012Jan 20121100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.46%4.46%6.64%4.46%
103Feb 2012Mar 20122100.00% Vanguard International Explorer Inv (VINEX)VINEX: 6.02%6.02%6.88%7.73%
104Apr 2012Apr 20121100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.64%-0.64%-0.66%-0.64%
105May 2012Jun 20122100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 6.23%6.23%-5.27%-2.16%
106Jul 2012Aug 20122100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.64%3.64%3.16%3.64%
107Sep 2012Jan 20135100.00% Vanguard International Explorer Inv (VINEX)VINEX: 14.82%14.82%11.09%7.43%
108Feb 2013Apr 20133100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.13%7.13%6.20%7.13%
109May 2013May 20131100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.49%-0.49%0.92%2.33%
110Jun 2013Jun 20131100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.35%-1.35%-1.76%-1.35%
111Jul 2013Jul 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.93%-1.93%5.29%5.07%
112Aug 2013Aug 20131100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.66%-0.66%-1.79%-2.91%
113Sep 2013Sep 20131100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.88%0.88%5.21%3.12%
114Oct 2013Oct 20131100.00% Vanguard International Explorer Inv (VINEX)VINEX: 3.99%3.99%4.29%4.59%
115Nov 2013Dec 20132100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.62%5.62%4.59%5.62%
116Jan 2014Jan 20141100.00% Vanguard International Explorer Inv (VINEX)VINEX: -2.23%-2.23%-2.85%-3.47%
117Feb 2014Feb 20141100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.60%0.60%5.25%4.56%
118Mar 2014Mar 20141100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.73%0.73%0.78%0.82%
119Apr 2014Jul 20144100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.73%3.73%2.01%3.73%
120Aug 2014Aug 20141100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.23%4.23%2.30%3.98%
121Sep 2014Sep 20141100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.41%-1.41%-2.92%-1.41%
122Oct 2014Oct 20141100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.61%2.61%0.46%2.42%
123Nov 2014Dec 20142100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.41%2.41%0.19%2.41%
124Jan 2015Feb 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.80%2.80%4.61%2.55%
125Mar 2015May 20153100.00% Vanguard International Explorer Inv (VINEX)VINEX: 4.95%4.95%2.77%0.60%
126Jun 2015Jun 20151100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.93%-1.93%-1.54%-1.93%
127Jul 2015Jul 20151100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.21%4.21%1.62%2.08%
128Aug 2015Aug 20151100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.04%-6.04%-5.52%-6.04%
129Sep 2015Oct 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.42%1.42%3.54%5.72%
130Nov 2015Dec 20152100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.31%-1.31%-0.30%-1.31%
131Jan 2016Jan 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -6.67%-6.67%-5.82%-4.98%
132Feb 2016Mar 20162100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.91%2.91%5.81%6.62%
133Apr 2016May 20162100.00% Vanguard International Explorer Inv (VINEX)VINEX: 2.11%2.11%2.14%2.16%
134Jun 2016Jul 20162100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.94%3.94%1.88%3.94%
135Aug 2016Aug 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.18%-0.18%-0.02%0.13%
136Sep 2016Sep 20161100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.01%0.01%1.43%0.01%
137Oct 2016Oct 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -3.17%-3.17%-2.50%-1.83%
138Nov 2016Nov 20161100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -7.86%-7.86%0.60%3.70%
139Dec 2016Jan 20172100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.88%3.88%4.95%3.88%
140Feb 2017Feb 20171100.00% Vanguard International Explorer Inv (VINEX)VINEX: 1.82%1.82%2.89%3.96%
141Mar 2017Mar 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.10%0.10%1.92%0.10%
142Apr 2017Jun 20173100.00% Vanguard International Explorer Inv (VINEX)VINEX: 10.44%10.44%6.72%3.05%
143Jul 2017Jul 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.04%2.04%2.76%2.04%
144Aug 2017Oct 20173100.00% Vanguard International Explorer Inv (VINEX)VINEX: 6.27%6.27%5.50%4.73%
145Nov 2017Dec 20172100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.20%4.20%3.92%4.20%
146Jan 2018Jan 20181100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.12%5.12%5.42%5.71%
147Feb 2018Feb 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.69%-3.69%-3.86%-3.69%
148Mar 2018Apr 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.66%0.66%-1.12%-2.19%
149May 2018Oct 20186100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.32%3.32%-7.19%3.32%
150Nov 2018Nov 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.78%1.78%0.82%2.03%
151Dec 2018Dec 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -9.04%-9.04%-8.46%-9.04%
152Jan 2019Jan 20191Please sign-in for forward signals----