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 1998 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 12 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 - Mar 2021].
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 | $123,997 | 12.74% | 14.85% | 57.37% | -8.93% | -28.01% | 0.76 | 1.23 | 0.50 |
Equal Weight Portfolio | $10,000 | $53,628 | 8.33% | 15.71% | 52.57% | -41.80% | -55.28% | 0.47 | 0.66 | 0.93 |
Vanguard 500 Index Investor | $10,000 | $37,596 | 6.51% | 14.88% | 32.18% | -37.02% | -50.97% | 0.37 | 0.52 | 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 | -13.55% | -8.93% | 4.44% | 3.04% | 5.76% | 12.74% | 10.97% | 10.32% |
Equal Weight Portfolio | -16.30% | -14.16% | 5.41% | 5.24% | 11.30% | 8.33% | 11.73% | 10.97% |
Vanguard 500 Index Investor | -13.55% | -4.52% | 9.11% | 8.34% | 12.97% | 6.51% | 10.96% | 10.95% |
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. |
Year | Inflation | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Vanguard 500 Index Investor (VFINX) | Vanguard International Explorer Inv (VINEX) | Vanguard Long-Term Treasury Inv (VUSTX) | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
1998 | 1.61% | 28.62% | $12,862 | 27.76% | $12,776 | 28.62% | $12,862 | 28.62% | 25.98% | 13.05% |
1999 | 2.68% | 57.37% | $20,240 | 52.57% | $19,492 | 21.07% | $15,571 | 21.07% | 90.29% | -8.66% |
2000 | 3.39% | -3.35% | $19,563 | -4.75% | $18,566 | -9.06% | $14,161 | -9.06% | -2.68% | 19.72% |
2001 | 1.55% | 4.31% | $20,405 | -17.29% | $15,356 | -12.02% | $12,459 | -12.02% | -22.52% | 4.31% |
2002 | 2.38% | 16.67% | $23,808 | -17.95% | $12,601 | -22.15% | $9,700 | -22.15% | -13.88% | 16.67% |
2003 | 1.88% | 21.87% | $29,015 | 42.39% | $17,942 | 28.50% | $12,464 | 28.50% | 57.37% | 2.68% |
2004 | 3.26% | 31.77% | $38,234 | 20.89% | $21,690 | 10.74% | $13,803 | 10.74% | 31.77% | 7.12% |
2005 | 3.42% | 20.49% | $46,069 | 12.49% | $24,400 | 4.77% | $14,462 | 4.77% | 20.49% | 6.61% |
2006 | 2.54% | 30.34% | $60,049 | 22.89% | $29,985 | 15.64% | $16,724 | 15.64% | 30.34% | 1.74% |
2007 | 4.08% | 5.15% | $63,143 | 5.38% | $31,597 | 5.39% | $17,625 | 5.39% | 5.15% | 9.24% |
2008 | 0.09% | 12.18% | $70,835 | -41.80% | $18,391 | -37.02% | $11,100 | -37.02% | -46.62% | 22.52% |
2009 | 2.72% | -5.74% | $66,768 | 36.62% | $25,125 | 26.49% | $14,040 | 26.49% | 47.12% | -12.05% |
2010 | 1.50% | 13.63% | $75,869 | 18.82% | $29,853 | 14.91% | $16,134 | 14.91% | 22.55% | 8.93% |
2011 | 2.96% | -5.88% | $71,410 | -9.42% | $27,041 | 1.97% | $16,451 | 1.97% | -19.74% | 29.28% |
2012 | 1.74% | 9.65% | $78,298 | 17.00% | $31,638 | 15.82% | $19,054 | 15.82% | 17.93% | 3.47% |
2013 | 1.50% | 36.33% | $106,743 | 31.28% | $41,532 | 32.18% | $25,185 | 32.18% | 30.24% | -13.03% |
2014 | 0.76% | 7.53% | $114,778 | 5.08% | $43,640 | 13.51% | $28,587 | 13.51% | -2.88% | 25.28% |
2015 | 0.73% | -5.16% | $108,858 | 4.91% | $45,785 | 1.25% | $28,944 | 1.25% | 8.60% | -1.54% |
2016 | 2.07% | 0.59% | $109,497 | 4.93% | $48,043 | 11.82% | $32,365 | 11.82% | -1.77% | 1.20% |
2017 | 2.11% | 24.35% | $136,161 | 30.04% | $62,476 | 21.67% | $39,377 | 21.67% | 38.77% | 8.58% |
2018 | 1.91% | -8.93% | $123,997 | -14.16% | $53,628 | -4.52% | $37,596 | -4.52% | -23.02% | -1.90% |
Year | Month | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Vanguard 500 Index Investor (VFINX) | Vanguard International Explorer Inv (VINEX) | Vanguard Long-Term Treasury Inv (VUSTX) | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
1998 | 1 | 1.11% | $10,111 | 4.43% | $10,443 | 1.11% | $10,111 | 1.11% | 7.75% | 1.91% |
1998 | 2 | 7.19% | $10,838 | 6.38% | $11,109 | 7.19% | $10,838 | 7.19% | 5.57% | -0.75% |
1998 | 3 | 5.10% | $11,391 | 5.41% | $11,710 | 5.10% | $11,391 | 5.10% | 5.71% | 0.14% |
1998 | 4 | 1.01% | $11,506 | 3.05% | $12,067 | 1.01% | $11,506 | 1.01% | 5.09% | 0.40% |
1998 | 5 | -1.74% | $11,306 | 1.65% | $12,267 | -1.74% | $11,306 | -1.74% | 5.04% | 1.83% |
1998 | 6 | 4.07% | $11,766 | 1.85% | $12,493 | 4.07% | $11,766 | 4.07% | -0.38% | 2.35% |
1998 | 7 | -1.05% | $11,642 | 0.65% | $12,575 | -1.05% | $11,642 | -1.05% | 2.36% | -0.51% |
1998 | 8 | -14.47% | $9,957 | -13.61% | $10,864 | -14.47% | $9,957 | -14.47% | -12.74% | 4.83% |
1998 | 9 | 6.41% | $10,595 | 0.56% | $10,925 | 6.41% | $10,595 | 6.41% | -5.29% | 3.29% |
1998 | 10 | 8.16% | $11,460 | 6.32% | $11,615 | 8.16% | $11,460 | 8.16% | 4.47% | -1.69% |
1998 | 11 | 6.07% | $12,156 | 4.75% | $12,166 | 6.07% | $12,156 | 6.07% | 3.42% | 0.88% |
1998 | 12 | 5.81% | $12,862 | 5.01% | $12,776 | 5.81% | $12,862 | 5.81% | 4.22% | -0.16% |
1999 | 1 | 4.20% | $13,402 | 3.01% | $13,161 | 4.20% | $13,402 | 4.20% | 1.82% | 0.98% |
1999 | 2 | -3.12% | $12,984 | 0.97% | $13,288 | -3.12% | $12,984 | -3.12% | 5.06% | -4.76% |
1999 | 3 | 4.00% | $13,502 | 4.61% | $13,900 | 4.00% | $13,502 | 4.00% | 5.22% | -0.34% |
1999 | 4 | 3.85% | $14,023 | 6.07% | $14,745 | 3.85% | $14,023 | 3.85% | 8.29% | 0.19% |
1999 | 5 | -2.39% | $13,688 | -1.63% | $14,504 | -2.39% | $13,688 | -2.39% | -0.88% | -1.68% |
1999 | 6 | 5.56% | $14,448 | 8.99% | $15,808 | 5.56% | $14,448 | 5.56% | 12.43% | -1.05% |
1999 | 7 | 9.00% | $15,749 | 2.94% | $16,272 | -3.13% | $13,996 | -3.13% | 9.00% | -0.58% |
1999 | 8 | 3.19% | $16,251 | 1.35% | $16,491 | -0.50% | $13,926 | -0.50% | 3.19% | -0.49% |
1999 | 9 | -1.40% | $16,023 | -2.07% | $16,150 | -2.74% | $13,545 | -2.74% | -1.40% | 0.91% |
1999 | 10 | 1.85% | $16,320 | 4.09% | $16,810 | 6.33% | $14,402 | 6.33% | 1.85% | 0.12% |
1999 | 11 | 11.96% | $18,271 | 6.99% | $17,985 | 2.02% | $14,693 | 2.02% | 11.96% | -0.59% |
1999 | 12 | 10.78% | $20,240 | 8.38% | $19,492 | 5.98% | $15,571 | 5.98% | 10.78% | -1.60% |
2000 | 1 | 11.64% | $22,597 | 3.30% | $20,136 | -5.03% | $14,788 | -5.03% | 11.64% | 1.25% |
2000 | 2 | 17.38% | $26,524 | 7.74% | $21,694 | -1.91% | $14,506 | -1.91% | 17.38% | 2.96% |
2000 | 3 | -3.93% | $25,481 | 2.91% | $22,325 | 9.75% | $15,921 | 9.75% | -3.93% | 3.14% |
2000 | 4 | -11.47% | $22,558 | -7.23% | $20,710 | -3.00% | $15,443 | -3.00% | -11.47% | -0.66% |
2000 | 5 | -6.68% | $21,052 | -4.36% | $19,807 | -2.04% | $15,128 | -2.04% | -6.68% | -0.46% |
2000 | 6 | 5.99% | $22,313 | 4.24% | $20,648 | 2.49% | $15,506 | 2.49% | 5.99% | 2.30% |
2000 | 7 | -2.65% | $21,721 | -2.08% | $20,219 | -1.50% | $15,274 | -1.50% | -2.65% | 1.49% |
2000 | 8 | 3.50% | $22,481 | 4.84% | $21,199 | 6.19% | $16,219 | 6.19% | 3.50% | 2.08% |
2000 | 9 | -2.69% | $21,876 | -3.99% | $20,353 | -5.29% | $15,361 | -5.29% | -2.69% | -0.85% |
2000 | 10 | -8.77% | $19,957 | -4.60% | $19,417 | -0.43% | $15,295 | -0.43% | -8.77% | 1.57% |
2000 | 11 | -4.32% | $19,094 | -6.10% | $18,231 | -7.89% | $14,089 | -7.89% | -4.32% | 2.99% |
2000 | 12 | 2.45% | $19,563 | 1.84% | $18,566 | 0.51% | $14,161 | 0.51% | 3.16% | 2.45% |
2001 | 1 | 0.28% | $19,618 | 2.61% | $19,051 | 3.55% | $14,663 | 3.55% | 1.67% | 0.28% |
2001 | 2 | 1.80% | $19,972 | -6.96% | $17,725 | -9.14% | $13,323 | -9.14% | -4.78% | 1.80% |
2001 | 3 | -0.60% | $19,851 | -7.33% | $16,425 | -6.36% | $12,477 | -6.36% | -8.31% | -0.60% |
2001 | 4 | -2.56% | $19,342 | 6.80% | $17,542 | 7.77% | $13,446 | 7.77% | 5.83% | -2.56% |
2001 | 5 | 0.21% | $19,382 | -0.78% | $17,406 | 0.65% | $13,533 | 0.65% | -2.21% | 0.21% |
2001 | 6 | 0.76% | $19,529 | -3.39% | $16,816 | -2.45% | $13,202 | -2.45% | -4.34% | 0.76% |
2001 | 7 | 3.61% | $20,235 | -2.81% | $16,343 | -1.00% | $13,070 | -1.00% | -4.62% | 3.61% |
2001 | 8 | 2.02% | $20,644 | -4.09% | $15,675 | -6.27% | $12,250 | -6.27% | -1.90% | 2.02% |
2001 | 9 | 0.88% | $20,826 | -11.46% | $13,879 | -8.09% | $11,259 | -8.09% | -14.83% | 0.88% |
2001 | 10 | 5.12% | $21,893 | 2.54% | $14,231 | 1.90% | $11,473 | 1.90% | 3.19% | 5.12% |
2001 | 11 | -4.98% | $20,802 | 6.80% | $15,200 | 7.65% | $12,351 | 7.65% | 5.95% | -4.98% |
2001 | 12 | -1.91% | $20,405 | 1.03% | $15,356 | 0.87% | $12,459 | 0.87% | 1.19% | -1.91% |
2002 | 1 | 1.20% | $20,650 | -1.52% | $15,123 | -1.47% | $12,275 | -1.47% | -1.57% | 1.20% |
2002 | 2 | 1.24% | $20,907 | -1.39% | $14,912 | -1.94% | $12,037 | -1.94% | -0.85% | 1.24% |
2002 | 3 | -3.86% | $20,101 | 5.19% | $15,686 | 3.74% | $12,488 | 3.74% | 6.63% | -3.86% |
2002 | 4 | 3.73% | $20,851 | -1.58% | $15,438 | -6.07% | $11,729 | -6.07% | 2.91% | 3.73% |
2002 | 5 | 0.39% | $20,933 | 0.26% | $15,477 | -0.75% | $11,641 | -0.75% | 1.27% | 0.39% |
2002 | 6 | 1.76% | $21,301 | -5.83% | $14,575 | -7.13% | $10,810 | -7.13% | -4.52% | 1.76% |
2002 | 7 | 2.93% | $21,924 | -8.40% | $13,351 | -7.72% | $9,976 | -7.72% | -9.07% | 2.93% |
2002 | 8 | 4.28% | $22,863 | -0.39% | $13,299 | 0.65% | $10,041 | 0.65% | -1.44% | 4.28% |
2002 | 9 | 4.02% | $23,781 | -10.78% | $11,865 | -10.87% | $8,949 | -10.87% | -10.69% | 4.02% |
2002 | 10 | -2.84% | $23,106 | 5.46% | $12,513 | 8.78% | $9,735 | 8.78% | 2.14% | -2.84% |
2002 | 11 | -0.98% | $22,881 | 5.10% | $13,151 | 5.88% | $10,307 | 5.88% | 4.32% | -0.98% |
2002 | 12 | 4.05% | $23,808 | -4.18% | $12,601 | -5.89% | $9,700 | -5.89% | -2.47% | 4.05% |
2003 | 1 | -0.45% | $23,702 | -2.35% | $12,304 | -2.62% | $9,445 | -2.62% | -2.08% | -0.45% |
2003 | 2 | 3.03% | $24,419 | -2.07% | $12,050 | -1.52% | $9,302 | -1.52% | -2.62% | 3.03% |
2003 | 3 | -1.13% | $24,142 | -0.23% | $12,023 | 0.96% | $9,391 | 0.96% | -1.41% | -1.13% |
2003 | 4 | 0.91% | $24,361 | 9.45% | $13,159 | 8.25% | $10,166 | 8.25% | 10.65% | 0.91% |
2003 | 5 | 5.67% | $25,744 | 8.21% | $14,239 | 5.26% | $10,701 | 5.26% | 11.15% | 5.67% |
2003 | 6 | -1.48% | $25,361 | 2.53% | $14,599 | 1.26% | $10,836 | 1.26% | 3.80% | -1.48% |
2003 | 7 | -8.57% | $23,187 | 3.26% | $15,076 | 1.74% | $11,025 | 1.74% | 4.78% | -8.57% |
2003 | 8 | 4.08% | $24,133 | 3.01% | $15,529 | 1.93% | $11,238 | 1.93% | 4.08% | 1.43% |
2003 | 9 | 5.41% | $25,438 | 2.17% | $15,866 | -1.07% | $11,117 | -1.07% | 5.41% | 5.07% |
2003 | 10 | 5.22% | $26,767 | 5.43% | $16,727 | 5.64% | $11,744 | 5.64% | 5.22% | -2.58% |
2003 | 11 | 2.19% | $27,352 | 1.53% | $16,982 | 0.86% | $11,846 | 0.86% | 2.19% | 0.31% |
2003 | 12 | 6.08% | $29,015 | 5.65% | $17,942 | 5.22% | $12,464 | 5.22% | 6.08% | 1.23% |
2004 | 1 | 4.21% | $30,237 | 3.02% | $18,483 | 1.82% | $12,691 | 1.82% | 4.21% | 1.74% |
2004 | 2 | 3.52% | $31,300 | 2.45% | $18,935 | 1.38% | $12,866 | 1.38% | 3.52% | 1.96% |
2004 | 3 | 2.31% | $32,025 | 0.40% | $19,011 | -1.51% | $12,671 | -1.51% | 2.31% | 1.45% |
2004 | 4 | -1.98% | $31,391 | -1.78% | $18,673 | -1.58% | $12,472 | -1.58% | -1.98% | -5.52% |
2004 | 5 | -1.15% | $31,029 | 0.10% | $18,692 | 1.36% | $12,641 | 1.36% | -1.15% | -0.56% |
2004 | 6 | 3.21% | $32,025 | 2.57% | $19,173 | 1.93% | $12,885 | 1.93% | 3.21% | 0.87% |
2004 | 7 | -2.76% | $31,142 | -3.03% | $18,591 | -3.31% | $12,458 | -3.31% | -2.76% | 1.52% |
2004 | 8 | 0.87% | $31,414 | 0.63% | $18,708 | 0.38% | $12,506 | 0.38% | 0.87% | 3.39% |
2004 | 9 | 2.38% | $32,160 | 1.72% | $19,030 | 1.07% | $12,639 | 1.07% | 2.38% | 0.94% |
2004 | 10 | 3.03% | $33,134 | 2.27% | $19,462 | 1.51% | $12,831 | 1.51% | 3.03% | 1.46% |
2004 | 11 | 7.72% | $35,691 | 5.88% | $20,607 | 4.05% | $13,350 | 4.05% | 7.72% | -2.25% |
2004 | 12 | 7.12% | $38,234 | 5.26% | $21,690 | 3.39% | $13,803 | 3.39% | 7.12% | 2.22% |
2005 | 1 | 0.92% | $38,584 | -0.77% | $21,524 | -2.45% | $13,464 | -2.45% | 0.92% | 2.59% |
2005 | 2 | 4.31% | $40,246 | 3.20% | $22,212 | 2.09% | $13,746 | 2.09% | 4.31% | -1.24% |
2005 | 3 | -2.21% | $39,357 | -1.98% | $21,772 | -1.76% | $13,504 | -1.76% | -2.21% | -0.76% |
2005 | 4 | -2.02% | $38,561 | -1.97% | $21,343 | -1.91% | $13,246 | -1.91% | -2.02% | 3.22% |
2005 | 5 | 0.36% | $38,701 | 1.77% | $21,720 | 3.17% | $13,666 | 3.17% | 0.36% | 2.55% |
2005 | 6 | 2.72% | $39,754 | 1.42% | $22,030 | 0.13% | $13,683 | 0.13% | 2.72% | 1.64% |
2005 | 7 | 4.53% | $41,556 | 4.12% | $22,937 | 3.71% | $14,190 | 3.71% | 4.53% | -2.58% |
2005 | 8 | 2.03% | $42,398 | 0.56% | $23,065 | -0.91% | $14,060 | -0.91% | 2.03% | 2.87% |
2005 | 9 | 3.53% | $43,896 | 2.16% | $23,564 | 0.79% | $14,172 | 0.79% | 3.53% | -2.78% |
2005 | 10 | -4.10% | $42,094 | -2.89% | $22,882 | -1.68% | $13,934 | -1.68% | -4.10% | -1.74% |
2005 | 11 | 2.67% | $43,217 | 3.22% | $23,618 | 3.76% | $14,459 | 3.76% | 2.67% | 0.57% |
2005 | 12 | 6.60% | $46,069 | 3.31% | $24,400 | 0.02% | $14,462 | 0.02% | 6.60% | 2.33% |
2006 | 1 | 7.37% | $49,463 | 5.01% | $25,621 | 2.65% | $14,845 | 2.65% | 7.37% | -0.90% |
2006 | 2 | 0.62% | $49,771 | 0.44% | $25,735 | 0.26% | $14,884 | 0.26% | 0.62% | 0.81% |
2006 | 3 | 5.27% | $52,393 | 3.25% | $26,571 | 1.23% | $15,067 | 1.23% | 5.27% | -3.39% |
2006 | 4 | 5.50% | $55,273 | 3.41% | $27,479 | 1.33% | $15,268 | 1.33% | 5.50% | -1.96% |
2006 | 5 | -4.93% | $52,548 | -3.91% | $26,403 | -2.90% | $14,825 | -2.90% | -4.93% | -0.03% |
2006 | 6 | -2.15% | $51,416 | -1.01% | $26,136 | 0.13% | $14,844 | 0.13% | -2.15% | 0.71% |
2006 | 7 | -0.50% | $51,159 | 0.05% | $26,150 | 0.61% | $14,934 | 0.61% | -0.50% | 1.84% |
2006 | 8 | 2.36% | $52,368 | 2.36% | $26,768 | 2.36% | $15,287 | 2.36% | 2.36% | 2.74% |
2006 | 9 | 1.82% | $53,319 | 2.19% | $27,354 | 2.56% | $15,679 | 2.56% | 1.82% | 1.58% |
2006 | 10 | 3.66% | $55,273 | 3.46% | $28,300 | 3.25% | $16,189 | 3.25% | 3.66% | 0.77% |
2006 | 11 | 4.51% | $57,766 | 3.20% | $29,205 | 1.89% | $16,495 | 1.89% | 4.51% | 1.91% |
2006 | 12 | 3.95% | $60,049 | 2.67% | $29,985 | 1.39% | $16,724 | 1.39% | 3.95% | -2.14% |
2007 | 1 | 2.94% | $61,813 | 2.22% | $30,650 | 1.49% | $16,974 | 1.49% | 2.94% | -0.85% |
2007 | 2 | 0.32% | $62,013 | -0.82% | $30,397 | -1.97% | $16,640 | -1.97% | 0.32% | 2.93% |
2007 | 3 | 3.21% | $64,005 | 2.16% | $31,055 | 1.11% | $16,825 | 1.11% | 3.21% | -1.13% |
2007 | 4 | 3.87% | $66,481 | 4.14% | $32,341 | 4.42% | $17,568 | 4.42% | 3.87% | 0.86% |
2007 | 5 | 2.44% | $68,103 | 2.96% | $33,298 | 3.48% | $18,179 | 3.48% | 2.44% | -1.93% |
2007 | 6 | -1.13% | $67,334 | -1.40% | $32,831 | -1.68% | $17,874 | -1.68% | -1.13% | -0.88% |
2007 | 7 | -0.46% | $67,021 | -1.77% | $32,248 | -3.08% | $17,323 | -3.08% | -0.46% | 2.39% |
2007 | 8 | -2.97% | $65,029 | -0.74% | $32,011 | 1.50% | $17,582 | 1.50% | -2.97% | 1.97% |
2007 | 9 | 2.01% | $66,338 | 2.87% | $32,929 | 3.72% | $18,237 | 3.72% | 2.01% | 0.21% |
2007 | 10 | 5.96% | $70,294 | 3.77% | $34,171 | 1.58% | $18,525 | 1.58% | 5.96% | 1.40% |
2007 | 11 | -8.06% | $64,631 | -6.12% | $32,079 | -4.19% | $17,749 | -4.19% | -8.06% | 4.59% |
2007 | 12 | -2.30% | $63,143 | -1.50% | $31,597 | -0.70% | $17,625 | -0.70% | -2.30% | -0.48% |
2008 | 1 | -6.02% | $59,344 | -7.57% | $29,204 | -6.02% | $16,565 | -6.02% | -9.13% | 2.64% |
2008 | 2 | 0.35% | $59,552 | -0.50% | $29,060 | -3.25% | $16,026 | -3.25% | 2.26% | 0.35% |
2008 | 3 | 1.02% | $60,160 | -0.89% | $28,801 | -0.44% | $15,956 | -0.44% | -1.34% | 1.02% |
2008 | 4 | -1.84% | $59,054 | 3.55% | $29,823 | 4.85% | $16,730 | 4.85% | 2.24% | -1.84% |
2008 | 5 | -2.13% | $57,797 | 1.68% | $30,325 | 1.29% | $16,946 | 1.29% | 2.07% | -2.13% |
2008 | 6 | 1.80% | $58,837 | -8.17% | $27,847 | -8.44% | $15,516 | -8.44% | -7.91% | 1.80% |
2008 | 7 | 0.30% | $59,011 | -3.33% | $26,920 | -0.83% | $15,387 | -0.83% | -5.82% | 0.30% |
2008 | 8 | 1.80% | $60,076 | -0.97% | $26,659 | 1.45% | $15,610 | 1.45% | -3.39% | 1.80% |
2008 | 9 | 0.28% | $60,246 | -12.17% | $23,415 | -8.91% | $14,220 | -8.91% | -15.43% | 0.28% |
2008 | 10 | -3.63% | $58,060 | -20.47% | $18,622 | -16.79% | $11,832 | -16.79% | -24.14% | -3.63% |
2008 | 11 | 12.07% | $65,066 | -6.06% | $17,495 | -7.17% | $10,983 | -7.17% | -4.94% | 12.07% |
2008 | 12 | 8.87% | $70,835 | 5.12% | $18,391 | 1.07% | $11,100 | 1.07% | 9.18% | 8.87% |
2009 | 1 | -8.47% | $64,835 | -8.78% | $16,776 | -8.41% | $10,166 | -8.41% | -9.15% | -8.47% |
2009 | 2 | -1.01% | $64,181 | -8.92% | $15,280 | -10.66% | $9,083 | -10.66% | -7.18% | -1.01% |
2009 | 3 | 5.27% | $67,560 | 8.37% | $16,559 | 8.76% | $9,879 | 8.76% | 7.98% | 5.27% |
2009 | 4 | -4.99% | $64,190 | 11.77% | $18,508 | 9.56% | $10,823 | 9.56% | 13.97% | -4.99% |
2009 | 5 | -2.68% | $62,472 | 9.80% | $20,321 | 5.62% | $11,431 | 5.62% | 13.98% | -2.68% |
2009 | 6 | 0.70% | $62,910 | 1.09% | $20,542 | 0.22% | $11,456 | 0.22% | 1.96% | 0.70% |
2009 | 7 | 0.80% | $63,414 | 7.49% | $22,082 | 7.58% | $12,324 | 7.58% | 7.41% | 0.80% |
2009 | 8 | 1.68% | $64,481 | 4.40% | $23,053 | 3.60% | $12,768 | 3.60% | 5.19% | 1.68% |
2009 | 9 | 1.98% | $65,759 | 5.02% | $24,211 | 3.72% | $13,242 | 3.72% | 6.33% | 1.98% |
2009 | 10 | -1.67% | $64,662 | -1.77% | $23,782 | -1.87% | $12,995 | -1.87% | -1.67% | -1.45% |
2009 | 11 | 1.70% | $65,759 | 3.84% | $24,696 | 5.98% | $13,772 | 5.98% | 1.70% | 1.91% |
2009 | 12 | 1.53% | $66,768 | 1.74% | $25,125 | 1.95% | $14,040 | 1.95% | 1.53% | -5.66% |
2010 | 1 | -1.96% | $65,460 | -2.78% | $24,426 | -3.60% | $13,534 | -3.60% | -1.96% | 2.66% |
2010 | 2 | -0.89% | $64,879 | 1.10% | $24,696 | 3.09% | $13,952 | 3.09% | -0.89% | -0.21% |
2010 | 3 | 7.16% | $69,527 | 6.59% | $26,323 | 6.01% | $14,791 | 6.01% | 7.16% | -1.51% |
2010 | 4 | 1.04% | $70,254 | 1.31% | $26,668 | 1.58% | $15,025 | 1.58% | 1.04% | 2.76% |
2010 | 5 | -11.51% | $62,168 | -9.76% | $24,066 | -8.01% | $13,822 | -8.01% | -11.51% | 4.23% |
2010 | 6 | -5.24% | $58,911 | -2.70% | $23,417 | -5.24% | $13,098 | -5.24% | -0.16% | 4.67% |
2010 | 7 | 7.00% | $63,032 | 8.26% | $25,350 | 7.00% | $14,014 | 7.00% | 9.52% | -0.17% |
2010 | 8 | -2.64% | $61,371 | -3.58% | $24,442 | -4.53% | $13,379 | -4.53% | -2.64% | 7.08% |
2010 | 9 | 11.56% | $68,464 | 10.24% | $26,944 | 8.92% | $14,573 | 8.92% | 11.56% | -1.82% |
2010 | 10 | 3.67% | $70,979 | 3.73% | $27,949 | 3.79% | $15,125 | 3.79% | 3.67% | -3.29% |
2010 | 11 | -3.16% | $68,734 | -1.58% | $27,507 | 0.00% | $15,125 | 0.00% | -3.16% | -1.60% |
2010 | 12 | 10.38% | $75,869 | 8.53% | $29,853 | 6.67% | $16,134 | 6.67% | 10.38% | -3.58% |
2011 | 1 | 0.72% | $76,415 | 1.54% | $30,312 | 2.36% | $16,514 | 2.36% | 0.72% | -2.38% |
2011 | 2 | 1.25% | $77,371 | 2.33% | $31,019 | 3.42% | $17,078 | 3.42% | 1.25% | 1.24% |
2011 | 3 | 0.47% | $77,735 | 0.25% | $31,096 | 0.03% | $17,083 | 0.03% | 0.47% | 0.02% |
2011 | 4 | 4.92% | $81,558 | 3.93% | $32,319 | 2.95% | $17,586 | 2.95% | 4.92% | 2.04% |
2011 | 5 | -2.46% | $79,556 | -1.80% | $31,738 | -1.15% | $17,385 | -1.15% | -2.46% | 3.29% |
2011 | 6 | -2.80% | $77,326 | -2.24% | $31,027 | -1.67% | $17,094 | -1.67% | -2.80% | -2.00% |
2011 | 7 | -1.59% | $76,097 | -1.82% | $30,463 | -2.05% | $16,744 | -2.05% | -1.59% | 4.18% |
2011 | 8 | -9.69% | $68,724 | -7.57% | $28,158 | -5.45% | $15,832 | -5.45% | -9.69% | 8.68% |
2011 | 9 | -7.04% | $63,884 | -9.42% | $25,507 | -7.04% | $14,717 | -7.04% | -11.79% | 10.16% |
2011 | 10 | 10.91% | $70,856 | 9.55% | $27,942 | 10.91% | $16,323 | 10.91% | 8.18% | -3.34% |
2011 | 11 | -0.23% | $70,690 | -2.09% | $27,357 | -0.23% | $16,285 | -0.23% | -3.96% | 1.82% |
2011 | 12 | 1.02% | $71,410 | -1.15% | $27,041 | 1.02% | $16,451 | 1.02% | -3.32% | 3.13% |
2012 | 1 | 4.46% | $74,598 | 6.64% | $28,837 | 4.46% | $17,186 | 4.46% | 8.81% | 0.08% |
2012 | 2 | 4.31% | $77,811 | 4.95% | $30,264 | 4.31% | $17,926 | 4.31% | 5.59% | -2.11% |
2012 | 3 | 3.28% | $80,364 | 1.84% | $30,822 | 3.28% | $18,514 | 3.28% | 0.41% | -3.77% |
2012 | 4 | -0.64% | $79,850 | -0.66% | $30,619 | -0.64% | $18,396 | -0.64% | -0.68% | 4.37% |
2012 | 5 | -6.02% | $75,045 | -8.90% | $27,895 | -6.02% | $17,288 | -6.02% | -11.78% | 7.79% |
2012 | 6 | -1.44% | $73,961 | 3.98% | $29,006 | 4.11% | $17,999 | 4.11% | 3.86% | -1.44% |
2012 | 7 | 1.37% | $74,974 | 0.57% | $29,173 | 1.37% | $18,245 | 1.37% | -0.22% | 3.32% |
2012 | 8 | 2.24% | $76,653 | 2.57% | $29,923 | 2.24% | $18,654 | 2.24% | 2.90% | -1.06% |
2012 | 9 | 2.58% | $78,628 | 3.13% | $30,860 | 2.58% | $19,135 | 2.58% | 3.69% | -2.10% |
2012 | 10 | -1.86% | $77,166 | -0.34% | $30,757 | -1.86% | $18,779 | -1.86% | 1.19% | -0.43% |
2012 | 11 | 0.56% | $77,598 | 0.59% | $30,938 | 0.56% | $18,884 | 0.56% | 0.62% | 1.35% |
2012 | 12 | 0.90% | $78,298 | 2.26% | $31,638 | 0.90% | $19,054 | 0.90% | 3.62% | -1.99% |
2013 | 1 | 4.96% | $82,184 | 5.07% | $33,241 | 5.18% | $20,041 | 5.18% | 4.96% | -3.27% |
2013 | 2 | 1.34% | $83,284 | 0.77% | $33,496 | 1.34% | $20,309 | 1.34% | 0.19% | 1.26% |
2013 | 3 | 3.74% | $86,398 | 2.52% | $34,339 | 3.74% | $21,068 | 3.74% | 1.29% | 0.03% |
2013 | 4 | 1.91% | $88,047 | 2.80% | $35,302 | 1.91% | $21,470 | 1.91% | 3.70% | 3.87% |
2013 | 5 | 2.33% | $90,096 | 0.92% | $35,626 | 2.33% | $21,970 | 2.33% | -0.49% | -6.23% |
2013 | 6 | -2.16% | $88,146 | -1.76% | $35,000 | -1.35% | $21,673 | -1.35% | -2.16% | -3.26% |
2013 | 7 | 5.50% | $92,994 | 5.29% | $36,850 | 5.07% | $22,773 | 5.07% | 5.50% | -1.93% |
2013 | 8 | -0.66% | $92,381 | -1.79% | $36,192 | -2.91% | $22,110 | -2.91% | -0.66% | -1.28% |
2013 | 9 | 7.30% | $99,123 | 5.21% | $38,078 | 3.12% | $22,800 | 3.12% | 7.30% | 0.88% |
2013 | 10 | 3.99% | $103,079 | 4.29% | $39,711 | 4.59% | $23,846 | 4.59% | 3.99% | 1.32% |
2013 | 11 | 0.81% | $103,914 | 1.92% | $40,473 | 3.03% | $24,568 | 3.03% | 0.81% | -2.49% |
2013 | 12 | 2.72% | $106,743 | 2.62% | $41,532 | 2.51% | $25,185 | 2.51% | 2.72% | -2.37% |
2014 | 1 | -3.47% | $103,040 | -2.85% | $40,350 | -3.47% | $24,312 | -3.47% | -2.23% | 6.26% |
2014 | 2 | 5.94% | $109,161 | 5.25% | $42,468 | 4.56% | $25,420 | 4.56% | 5.94% | 0.60% |
2014 | 3 | 0.73% | $109,962 | 0.78% | $42,799 | 0.82% | $25,630 | 0.82% | 0.73% | 0.63% |
2014 | 4 | -0.62% | $109,276 | 0.05% | $42,821 | 0.72% | $25,815 | 0.72% | -0.62% | 1.82% |
2014 | 5 | 1.94% | $111,393 | 2.14% | $43,735 | 2.33% | $26,418 | 2.33% | 1.94% | 2.73% |
2014 | 6 | 1.13% | $112,651 | 1.59% | $44,431 | 2.05% | $26,960 | 2.05% | 1.13% | -0.16% |
2014 | 7 | -2.08% | $110,306 | -1.74% | $43,660 | -1.39% | $26,586 | -1.39% | -2.08% | 0.59% |
2014 | 8 | 0.62% | $110,992 | 2.30% | $44,665 | 3.98% | $27,644 | 3.98% | 0.62% | 4.23% |
2014 | 9 | -1.41% | $109,424 | -2.92% | $43,360 | -1.41% | $27,254 | -1.41% | -4.43% | -1.99% |
2014 | 10 | 2.42% | $112,076 | 0.46% | $43,558 | 2.42% | $27,914 | 2.42% | -1.51% | 2.61% |
2014 | 11 | 2.68% | $115,082 | 0.63% | $43,832 | 2.68% | $28,663 | 2.68% | -1.42% | 2.86% |
2014 | 12 | -0.26% | $114,778 | -0.44% | $43,640 | -0.26% | $28,587 | -0.26% | -0.61% | 2.82% |
2015 | 1 | -3.02% | $111,315 | -1.57% | $42,955 | -3.02% | $27,725 | -3.02% | -0.12% | 8.97% |
2015 | 2 | 5.74% | $117,704 | 6.27% | $45,650 | 5.74% | $29,316 | 5.74% | 6.81% | -5.66% |
2015 | 3 | -1.59% | $115,828 | -0.51% | $45,416 | -1.59% | $28,849 | -1.59% | 0.57% | 1.13% |
2015 | 4 | 0.95% | $116,927 | 2.20% | $46,416 | 0.95% | $29,123 | 0.95% | 3.45% | -3.07% |
2015 | 5 | 1.27% | $118,415 | 1.07% | $46,914 | 1.27% | $29,493 | 1.27% | 0.88% | -2.16% |
2015 | 6 | -1.93% | $116,126 | -1.54% | $46,194 | -1.93% | $28,923 | -1.93% | -1.14% | -3.73% |
2015 | 7 | 2.08% | $118,542 | 1.62% | $46,940 | 2.08% | $29,525 | 2.08% | 1.15% | 4.21% |
2015 | 8 | -6.05% | $111,374 | -5.52% | $44,350 | -6.05% | $27,740 | -6.05% | -4.99% | -0.71% |
2015 | 9 | -2.48% | $108,607 | -2.78% | $43,116 | -2.48% | $27,050 | -2.48% | -3.08% | 1.91% |
2015 | 10 | -0.48% | $108,087 | 6.51% | $45,922 | 8.42% | $29,329 | 8.42% | 4.59% | -0.48% |
2015 | 11 | 0.11% | $108,208 | 0.20% | $46,013 | 0.29% | $29,413 | 0.29% | 0.11% | -0.81% |
2015 | 12 | 0.60% | $108,858 | -0.50% | $45,785 | -1.59% | $28,944 | -1.59% | 0.60% | -0.34% |
2016 | 1 | -6.67% | $101,601 | -5.82% | $43,120 | -4.98% | $27,504 | -4.98% | -6.67% | 5.24% |
2016 | 2 | -2.40% | $99,160 | -1.27% | $42,570 | -0.15% | $27,464 | -0.15% | -2.40% | 2.86% |
2016 | 3 | 0.05% | $99,212 | 7.18% | $45,626 | 6.78% | $29,325 | 6.78% | 7.58% | 0.05% |
2016 | 4 | 0.37% | $99,583 | 0.52% | $45,862 | 0.37% | $29,434 | 0.37% | 0.66% | -0.63% |
2016 | 5 | 1.78% | $101,358 | 1.61% | $46,600 | 1.78% | $29,959 | 1.78% | 1.44% | 0.69% |
2016 | 6 | 0.25% | $101,612 | -2.65% | $45,367 | 0.25% | $30,034 | 0.25% | -5.54% | 6.57% |
2016 | 7 | 3.68% | $105,347 | 4.65% | $47,475 | 3.68% | $31,138 | 3.68% | 5.62% | 2.01% |
2016 | 8 | 0.13% | $105,484 | -0.02% | $47,464 | 0.13% | $31,178 | 0.13% | -0.18% | -1.00% |
2016 | 9 | 0.01% | $105,492 | 1.43% | $48,140 | 0.01% | $31,181 | 0.01% | 2.84% | -1.32% |
2016 | 10 | -1.83% | $103,558 | -2.50% | $46,937 | -1.83% | $30,609 | -1.83% | -3.17% | -4.23% |
2016 | 11 | 3.70% | $107,389 | 0.60% | $47,219 | 3.70% | $31,742 | 3.70% | -2.50% | -7.86% |
2016 | 12 | 1.96% | $109,497 | 1.75% | $48,043 | 1.96% | $32,365 | 1.96% | 1.53% | -0.35% |
2017 | 1 | 1.88% | $111,559 | 3.15% | $49,555 | 1.88% | $32,974 | 1.88% | 4.41% | 0.65% |
2017 | 2 | 3.96% | $115,980 | 2.89% | $50,987 | 3.96% | $34,281 | 3.96% | 1.82% | 1.57% |
2017 | 3 | 0.10% | $116,096 | 1.92% | $51,967 | 0.10% | $34,315 | 0.10% | 3.74% | -0.59% |
2017 | 4 | 1.02% | $117,278 | 3.20% | $53,631 | 1.02% | $34,664 | 1.02% | 5.39% | 1.58% |
2017 | 5 | 1.39% | $118,912 | 2.83% | $55,149 | 1.39% | $35,148 | 1.39% | 4.27% | 1.73% |
2017 | 6 | 0.51% | $119,513 | 0.56% | $55,457 | 0.61% | $35,362 | 0.61% | 0.51% | 0.63% |
2017 | 7 | 3.47% | $123,659 | 2.76% | $56,985 | 2.04% | $36,085 | 2.04% | 3.47% | -0.59% |
2017 | 8 | 0.39% | $124,140 | 0.34% | $57,180 | 0.29% | $36,191 | 0.29% | 0.39% | 3.27% |
2017 | 9 | 3.97% | $129,067 | 3.01% | $58,903 | 2.06% | $36,936 | 2.06% | 3.97% | -2.27% |
2017 | 10 | 1.82% | $131,410 | 2.07% | $60,120 | 2.32% | $37,792 | 2.32% | 1.82% | -0.02% |
2017 | 11 | 0.46% | $132,011 | 1.76% | $61,178 | 3.06% | $38,948 | 3.06% | 0.46% | 0.63% |
2017 | 12 | 3.14% | $136,161 | 2.12% | $62,476 | 1.10% | $39,377 | 1.10% | 3.14% | 1.78% |
2018 | 1 | 5.12% | $143,133 | 5.42% | $65,860 | 5.71% | $41,627 | 5.71% | 5.12% | -3.40% |
2018 | 2 | -4.02% | $137,377 | -3.86% | $63,319 | -3.69% | $40,089 | -3.69% | -4.02% | -2.89% |
2018 | 3 | -0.33% | $136,929 | -1.44% | $62,407 | -2.56% | $39,064 | -2.56% | -0.33% | 2.75% |
2018 | 4 | 0.28% | $137,313 | 0.33% | $62,611 | 0.37% | $39,210 | 0.37% | 0.28% | -2.04% |
2018 | 5 | -0.84% | $136,161 | 0.78% | $63,098 | 2.39% | $40,149 | 2.39% | -0.84% | 1.79% |
2018 | 6 | -2.16% | $133,219 | -0.78% | $62,607 | 0.61% | $40,392 | 0.61% | -2.16% | 0.66% |
2018 | 7 | 3.71% | $138,161 | 1.90% | $63,799 | 3.71% | $41,890 | 3.71% | 0.10% | -1.28% |
2018 | 8 | 3.25% | $142,646 | 0.74% | $64,268 | 3.25% | $43,250 | 3.25% | -1.77% | 1.18% |
2018 | 9 | 0.55% | $143,437 | -0.31% | $64,070 | 0.55% | $43,490 | 0.55% | -1.17% | -2.74% |
2018 | 10 | -6.85% | $133,613 | -9.30% | $58,109 | -6.85% | $40,511 | -6.85% | -11.76% | -2.82% |
2018 | 11 | 2.03% | $136,321 | 0.82% | $58,584 | 2.03% | $41,332 | 2.03% | -0.39% | 1.78% |
2018 | 12 | -9.04% | $123,997 | -8.46% | $53,628 | -9.04% | $37,596 | -9.04% | -7.88% | 5.50% |
Metric | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|
Arithmetic Mean (monthly) | 1.10% | 0.77% | 0.62% |
Arithmetic Mean (annualized) | 13.96% | 9.69% | 7.70% |
Geometric Mean (monthly) | 1.00% | 0.67% | 0.53% |
Geometric Mean (annualized) | 12.74% | 8.33% | 6.51% |
Volatility (monthly) | 4.29% | 4.53% | 4.30% |
Volatility (annualized) | 14.85% | 15.71% | 14.88% |
Downside Deviation (monthly) | 2.56% | 3.16% | 2.98% |
Max. Drawdown | -28.01% | -55.28% | -50.97% |
US Market Correlation | 0.50 | 0.93 | 0.99 |
Beta(*) | 0.45 | 0.96 | 1.00 |
Alpha (annualized) | 9.77% | 2.13% | -0.00% |
R2 | 20.61% | 82.77% | 100.00% |
Sharpe Ratio | 0.76 | 0.47 | 0.37 |
Sortino Ratio | 1.23 | 0.66 | 0.52 |
Treynor Ratio (%) | 24.76 | 7.66 | 5.52 |
Calmar Ratio | 0.33 | 0.29 | 0.67 |
Active Return | 6.23% | 1.82% | N/A |
Tracking Error | 15.54% | 6.55% | N/A |
Information Ratio | 0.40 | 0.28 | N/A |
Skewness | -0.12 | -0.87 | -0.67 |
Excess Kurtosis | 1.63 | 2.05 | 1.25 |
Historical Value-at-Risk (5%) | -6.33% | -8.27% | -7.42% |
Analytical Value-at-Risk (5%) | -5.96% | -6.68% | -6.45% |
Conditional Value-at-Risk (5%) | -9.02% | -10.80% | -9.88% |
Upside Capture Ratio (%) | 77.84 | 102.45 | 100.00 |
Downside Capture Ratio (%) | 39.69 | 93.12 | 100.00 |
Safe Withdrawal Rate | 16.78% | 9.49% | 6.34% |
Perpetual Withdrawal Rate | 9.41% | 5.72% | 4.11% |
Positive Periods | 167 out of 252 (66.27%) | 161 out of 252 (63.89%) | 161 out of 252 (63.89%) |
Gain/Loss Ratio | 1.01 | 0.88 | 0.81 |
* 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 |
---|---|---|---|---|---|
Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% | -13.61% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -28.01% | -46.85% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -17.78% | -55.28% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Mar 2000 | Nov 2000 | 9 months | Oct 2003 | 2 years 11 months | 3 years 8 months | -28.01% |
2 | May 2011 | Sep 2011 | 5 months | Jan 2013 | 1 year 4 months | 1 year 9 months | -21.67% |
3 | Nov 2007 | May 2008 | 7 months | Dec 2008 | 7 months | 1 year 2 months | -17.78% |
4 | Jan 2009 | Jun 2010 | 1 year 6 months | Oct 2010 | 4 months | 1 year 10 months | -16.83% |
5 | Aug 2015 | Feb 2016 | 7 months | May 2017 | 1 year 3 months | 1 year 10 months | -16.35% |
6 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
7 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
8 | May 2006 | Jul 2006 | 3 months | Oct 2006 | 3 months | 6 months | -7.44% |
9 | Feb 2018 | Jun 2018 | 5 months | Sep 2018 | 3 months | 8 months | -6.93% |
10 | Jun 2007 | Aug 2007 | 3 months | Oct 2007 | 2 months | 5 months | -4.51% |
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 | Mar 2013 | 4 years 1 month | 5 years 5 months | -55.28% |
2 | Apr 2000 | Sep 2002 | 2 years 6 months | Jul 2005 | 2 years 10 months | 5 years 4 months | -46.85% |
3 | Feb 2018 | Dec 2018 | 11 months | -18.57% | |||
4 | Aug 1998 | Aug 1998 | 1 month | Dec 1998 | 4 months | 5 months | -13.61% |
5 | Aug 2015 | Feb 2016 | 7 months | Jul 2016 | 5 months | 1 year | -9.31% |
6 | May 2006 | Jun 2006 | 2 months | Oct 2006 | 4 months | 6 months | -4.89% |
7 | Jun 2007 | Aug 2007 | 3 months | Oct 2007 | 2 months | 5 months | -3.87% |
8 | Sep 2014 | Jan 2015 | 5 months | Feb 2015 | 1 month | 6 months | -3.83% |
9 | Oct 2005 | Oct 2005 | 1 month | Nov 2005 | 1 month | 2 months | -2.89% |
10 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -2.85% |
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 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.98% |
10 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.71% |
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 | 14.67% | 104.29% | -24.70% | 10.98% | 63.25% | -47.42% | 8.17% | 53.61% | -43.32% |
3 years | 12.39% | 31.40% | -4.36% | 7.80% | 30.26% | -18.64% | 6.04% | 25.43% | -16.14% |
5 years | 12.75% | 26.61% | 1.88% | 7.86% | 22.68% | -4.20% | 6.17% | 22.85% | -6.73% |
7 years | 12.75% | 23.00% | 5.64% | 7.79% | 15.76% | 0.35% | 6.12% | 17.12% | -3.94% |
10 years | 12.09% | 20.24% | 5.73% | 6.71% | 12.85% | 1.27% | 5.14% | 14.17% | -3.51% |
15 years | 12.75% | 16.07% | 10.17% | 7.92% | 11.83% | 4.85% | 6.14% | 10.39% | 3.64% |
# | Start | End | Months | Assets | Asset Performance | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
25 | Jan 2019 | Jan 2019 | 1 | Please sign-in for forward signals | - | - | - | - |
24 | Jul 2018 | Dec 2018 | 6 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.92% | -6.92% | -14.34% | -6.92% |
23 | Jun 2017 | Jun 2018 | 13 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 12.03% | 12.03% | 13.52% | 14.92% |
22 | Apr 2016 | May 2017 | 14 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 19.86% | 19.86% | 20.87% | 19.86% |
21 | Mar 2016 | Mar 2016 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 0.05% | 0.05% | 7.18% | 6.78% |
20 | Nov 2015 | Feb 2016 | 4 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -8.26% | -8.26% | -7.30% | -6.36% |
19 | Oct 2015 | Oct 2015 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -0.48% | -0.48% | 6.51% | 8.42% |
18 | Sep 2014 | Sep 2015 | 13 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -2.15% | -2.15% | -3.47% | -2.15% |
17 | Feb 2014 | Aug 2014 | 7 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 7.72% | 7.72% | 10.69% | 13.71% |
16 | Jan 2014 | Jan 2014 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -3.47% | -3.47% | -2.85% | -3.47% |
15 | Jun 2013 | Dec 2013 | 7 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 18.48% | 18.48% | 16.58% | 14.63% |
14 | Feb 2013 | May 2013 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 9.63% | 9.63% | 7.17% | 9.63% |
13 | Jan 2013 | Jan 2013 | 1 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 4.96% | 4.96% | 5.07% | 5.18% |
12 | Jul 2012 | Dec 2012 | 6 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 5.86% | 5.86% | 9.07% | 5.86% |
11 | Jun 2012 | Jun 2012 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -1.44% | -1.44% | 3.98% | 4.11% |
10 | Sep 2011 | May 2012 | 9 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 9.20% | 9.20% | -0.93% | 9.20% |
9 | Aug 2010 | Aug 2011 | 13 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 9.03% | 9.03% | 11.08% | 12.97% |
8 | Jun 2010 | Jul 2010 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.39% | 1.39% | 5.34% | 1.39% |
7 | Oct 2009 | May 2010 | 8 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -5.46% | -5.46% | -0.60% | 4.38% |
6 | Feb 2008 | Sep 2009 | 20 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 10.81% | 10.81% | -17.10% | -20.06% |
5 | Jan 2008 | Jan 2008 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.02% | -6.02% | -7.57% | -6.02% |
4 | Aug 2003 | Dec 2007 | 53 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 172.32% | 172.32% | 109.59% | 59.87% |
3 | Dec 2000 | Jul 2003 | 32 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 21.43% | 21.43% | -17.31% | -21.75% |
2 | Jul 1999 | Nov 2000 | 17 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 32.16% | 32.16% | 15.33% | -2.49% |
1 | Jan 1998 | Jun 1999 | 18 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 44.48% | 44.48% | 58.08% | 44.48% |