Test Market Timing Models

This tool allows you to test different market timing and tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the FAQ section.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds as follows:
  • PE10 >= 22 - 40% stocks, 60% bonds
  • 14 <= PE10 < 22 - 60% stocks, 40% bonds
  • PE10 < 14 - 80% stocks, 20% bonds
The balanced 60% stock and 40% bond allocation is used as the benchmark portfolio.

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
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Weight
Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Total
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Market Timing Results (Jan 1998 - Dec 2018)

Market timing results from 1998 to 2018 are based on dual momentum model holding the best performing asset. Absolute momentum based trend following filter is used to switch any selected assets that have a negative excess return over the risk free rate to Vanguard Long-Term Treasury Inv (VUSTX). The model uses a single performance window of 12 calendar month(s). Timing model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for Vanguard International Explorer Inv (VINEX) [Dec 1996 - Oct 2019].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$123,99812.74%14.86%57.37%-8.93%-28.01% 0.761.230.50
Vanguard 500 Index Investor$10,000$37,5966.51%14.88%32.18%-37.02%-50.97% 0.370.520.99
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Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The selected portfolio allocation for comparison assumes monthly rebalancing
  • An equal-weight allocation is used for the assets held by the momentum model
  • The results for the timing portfolio assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard International Explorer Inv (VINEX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19981.61%28.62%28.62%$12,862$12,86228.62%25.98%13.05%
19992.68%57.37%21.07%$20,240$15,57121.07%90.29%-8.66%
20003.39%-3.35%-9.06%$19,563$14,161-9.06%-2.68%19.72%
20011.55%4.31%-12.02%$20,406$12,459-12.02%-22.52%4.31%
20022.38%16.67%-22.15%$23,808$9,700-22.15%-13.88%16.67%
20031.88%21.87%28.50%$29,015$12,46428.50%57.37%2.68%
20043.26%31.77%10.74%$38,234$13,80310.74%31.77%7.12%
20053.42%20.49%4.77%$46,069$14,4624.77%20.49%6.61%
20062.54%30.34%15.64%$60,049$16,72415.64%30.34%1.74%
20074.08%5.15%5.39%$63,143$17,6255.39%5.15%9.24%
20080.09%12.18%-37.02%$70,835$11,100-37.02%-46.62%22.52%
20092.72%-5.74%26.49%$66,768$14,04026.49%47.12%-12.05%
20101.50%13.63%14.91%$75,870$16,13414.91%22.55%8.93%
20112.96%-5.88%1.97%$71,410$16,4511.97%-19.74%29.28%
20121.74%9.65%15.82%$78,299$19,05415.82%17.93%3.47%
20131.50%36.33%32.18%$106,743$25,18532.18%30.24%-13.03%
20140.76%7.53%13.51%$114,778$28,58713.51%-2.88%25.28%
20150.73%-5.16%1.25%$108,858$28,9441.25%8.60%-1.54%
20162.07%0.59%11.82%$109,497$32,36511.82%-1.77%1.20%
20172.11%24.35%21.67%$136,162$39,37721.67%38.77%8.58%
20181.91%-8.93%-4.52%$123,998$37,596-4.52%-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)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
199811.11%1.11%$10,111$10,1111.11%7.75%1.91%
199827.19%7.19%$10,838$10,8387.19%5.57%-0.75%
199835.10%5.10%$11,391$11,3915.10%5.71%0.14%
199841.01%1.01%$11,506$11,5061.01%5.09%0.40%
19985-1.74%-1.74%$11,306$11,306-1.74%5.04%1.83%
199864.07%4.07%$11,766$11,7664.07%-0.38%2.35%
19987-1.05%-1.05%$11,642$11,642-1.05%2.36%-0.51%
19988-14.47%-14.47%$9,957$9,957-14.47%-12.74%4.83%
199896.41%6.41%$10,595$10,5956.41%-5.29%3.29%
1998108.16%8.16%$11,460$11,4608.16%4.47%-1.69%
1998116.07%6.07%$12,156$12,1566.07%3.42%0.88%
1998125.81%5.81%$12,862$12,8625.81%4.22%-0.16%
199914.20%4.20%$13,402$13,4024.20%1.82%0.98%
19992-3.12%-3.12%$12,984$12,984-3.12%5.06%-4.76%
199934.00%4.00%$13,502$13,5024.00%5.22%-0.34%
199943.85%3.85%$14,023$14,0233.85%8.29%0.19%
19995-2.39%-2.39%$13,688$13,688-2.39%-0.88%-1.68%
199965.56%5.56%$14,448$14,4485.56%12.43%-1.05%
199979.00%-3.13%$15,749$13,996-3.13%9.00%-0.58%
199983.19%-0.50%$16,251$13,926-0.50%3.19%-0.49%
19999-1.40%-2.74%$16,023$13,545-2.74%-1.40%0.91%
1999101.85%6.33%$16,320$14,4026.33%1.85%0.12%
19991111.96%2.02%$18,271$14,6932.02%11.96%-0.59%
19991210.78%5.98%$20,240$15,5715.98%10.78%-1.60%
2000111.64%-5.03%$22,597$14,788-5.03%11.64%1.25%
2000217.38%-1.91%$26,524$14,506-1.91%17.38%2.96%
20003-3.93%9.76%$25,481$15,9229.76%-3.93%3.14%
20004-11.47%-3.01%$22,558$15,443-3.01%-11.47%-0.66%
20005-6.68%-2.04%$21,052$15,128-2.04%-6.68%-0.46%
200065.99%2.49%$22,313$15,5052.49%5.99%2.30%
20007-2.65%-1.49%$21,721$15,274-1.49%-2.65%1.49%
200083.50%6.19%$22,481$16,2196.19%3.50%2.08%
20009-2.69%-5.29%$21,876$15,361-5.29%-2.69%-0.85%
200010-8.77%-0.43%$19,957$15,295-0.43%-8.77%1.57%
200011-4.32%-7.88%$19,094$14,090-7.88%-4.32%2.99%
2000122.45%0.50%$19,563$14,1610.50%3.16%2.45%
200110.28%3.55%$19,618$14,6633.55%1.67%0.28%
200121.80%-9.14%$19,972$13,323-9.14%-4.78%1.80%
20013-0.60%-6.36%$19,851$12,477-6.36%-8.31%-0.60%
20014-2.56%7.77%$19,342$13,4467.77%5.83%-2.56%
200150.21%0.65%$19,382$13,5330.65%-2.21%0.21%
200160.76%-2.45%$19,529$13,202-2.45%-4.34%0.76%
200173.61%-1.00%$20,235$13,070-1.00%-4.62%3.61%
200182.02%-6.27%$20,644$12,250-6.27%-1.90%2.02%
200190.88%-8.09%$20,826$11,259-8.09%-14.83%0.88%
2001105.12%1.90%$21,893$11,4731.90%3.19%5.12%
200111-5.07%7.65%$20,783$12,3517.65%5.95%-5.07%
200112-1.82%0.87%$20,406$12,4590.87%1.19%-1.82%
200211.20%-1.47%$20,651$12,275-1.47%-1.57%1.20%
200221.24%-1.94%$20,907$12,037-1.94%-0.85%1.24%
20023-3.86%3.74%$20,101$12,4883.74%6.63%-3.86%
200243.73%-6.07%$20,851$11,729-6.07%2.91%3.73%
200250.39%-0.75%$20,933$11,641-0.75%1.27%0.39%
200261.76%-7.13%$21,301$10,810-7.13%-4.52%1.76%
200272.93%-7.72%$21,924$9,976-7.72%-9.07%2.93%
200284.28%0.65%$22,863$10,0410.65%-1.44%4.28%
200294.02%-10.87%$23,781$8,949-10.87%-10.69%4.02%
200210-2.84%8.78%$23,106$9,7358.78%2.14%-2.84%
200211-0.98%5.88%$22,881$10,3075.88%4.32%-0.98%
2002124.05%-5.89%$23,808$9,700-5.89%-2.47%4.05%
20031-0.45%-2.62%$23,702$9,445-2.62%-2.08%-0.45%
200323.03%-1.52%$24,419$9,302-1.52%-2.62%3.03%
20033-1.13%0.96%$24,142$9,3910.96%-1.41%-1.13%
200340.91%8.25%$24,361$10,1668.25%10.65%0.91%
200355.67%5.26%$25,744$10,7015.26%11.15%5.67%
20036-1.48%1.26%$25,361$10,8361.26%3.80%-1.48%
20037-8.57%1.74%$23,187$11,0251.74%4.78%-8.57%
200384.08%1.93%$24,133$11,2381.93%4.08%1.43%
200395.41%-1.07%$25,439$11,117-1.07%5.41%5.07%
2003105.22%5.64%$26,767$11,7445.64%5.22%-2.58%
2003112.19%0.86%$27,352$11,8460.86%2.19%0.31%
2003126.08%5.22%$29,015$12,4645.22%6.08%1.23%
200414.21%1.82%$30,237$12,6911.82%4.21%1.74%
200423.52%1.38%$31,301$12,8661.38%3.52%1.96%
200432.31%-1.51%$32,025$12,671-1.51%2.31%1.45%
20044-1.98%-1.58%$31,391$12,472-1.58%-1.98%-5.52%
20045-1.15%1.36%$31,029$12,6411.36%-1.15%-0.56%
200463.21%1.93%$32,025$12,8851.93%3.21%0.87%
20047-2.76%-3.31%$31,142$12,458-3.31%-2.76%1.52%
200480.87%0.38%$31,414$12,5060.38%0.87%3.39%
200492.38%1.07%$32,161$12,6391.07%2.38%0.94%
2004103.03%1.51%$33,134$12,8311.51%3.03%1.46%
2004117.72%4.05%$35,691$13,3504.05%7.72%-2.25%
2004127.12%3.39%$38,234$13,8033.39%7.12%2.22%
200510.92%-2.45%$38,585$13,464-2.45%0.92%2.59%
200524.31%2.09%$40,246$13,7462.09%4.31%-1.24%
20053-2.21%-1.76%$39,357$13,504-1.76%-2.21%-0.76%
20054-2.02%-1.91%$38,561$13,246-1.91%-2.02%3.22%
200550.36%3.17%$38,702$13,6663.17%0.36%2.55%
200562.72%0.13%$39,755$13,6830.13%2.72%1.64%
200574.53%3.71%$41,556$14,1903.71%4.53%-2.58%
200582.03%-0.91%$42,399$14,060-0.91%2.03%2.87%
200593.53%0.79%$43,896$14,1720.79%3.53%-2.78%
200510-4.10%-1.68%$42,094$13,934-1.68%-4.10%-1.74%
2005112.67%3.76%$43,218$14,4593.76%2.67%0.57%
2005126.60%0.02%$46,069$14,4620.02%6.60%2.33%
200617.37%2.65%$49,463$14,8452.65%7.37%-0.90%
200620.62%0.26%$49,771$14,8840.26%0.62%0.81%
200635.27%1.23%$52,394$15,0671.23%5.27%-3.39%
200645.50%1.33%$55,273$15,2681.33%5.50%-1.96%
20065-4.93%-2.90%$52,548$14,825-2.90%-4.93%-0.03%
20066-2.15%0.13%$51,417$14,8440.13%-2.15%0.71%
20067-0.50%0.61%$51,160$14,9340.61%-0.50%1.84%
200682.36%2.36%$52,368$15,2872.36%2.36%2.74%
200691.82%2.56%$53,319$15,6792.56%1.82%1.58%
2006103.66%3.25%$55,273$16,1893.25%3.66%0.77%
2006114.51%1.89%$57,767$16,4951.89%4.51%1.91%
2006123.95%1.39%$60,049$16,7241.39%3.95%-2.14%
200712.94%1.49%$61,814$16,9741.49%2.94%-0.85%
200720.32%-1.97%$62,013$16,640-1.97%0.32%2.93%
200733.21%1.11%$64,005$16,8251.11%3.21%-1.13%
200743.87%4.42%$66,481$17,5684.42%3.87%0.86%
200752.44%3.48%$68,103$18,1793.48%2.44%-1.93%
20076-1.13%-1.68%$67,335$17,874-1.68%-1.13%-0.88%
20077-0.46%-3.08%$67,022$17,323-3.08%-0.46%2.39%
20078-2.97%1.50%$65,029$17,5821.50%-2.97%1.97%
200792.01%3.72%$66,339$18,2373.72%2.01%0.21%
2007105.96%1.58%$70,294$18,5251.58%5.96%1.40%
200711-8.06%-4.19%$64,631$17,749-4.19%-8.06%4.59%
200712-2.30%-0.70%$63,143$17,625-0.70%-2.30%-0.48%
20081-6.02%-6.02%$59,344$16,565-6.02%-9.13%2.64%
200820.35%-3.25%$59,552$16,026-3.25%2.26%0.35%
200831.02%-0.44%$60,160$15,956-0.44%-1.34%1.02%
20084-1.84%4.85%$59,054$16,7304.85%2.24%-1.84%
20085-2.13%1.29%$57,798$16,9461.29%2.07%-2.13%
200861.80%-8.44%$58,837$15,516-8.44%-7.91%1.80%
200870.30%-0.83%$59,011$15,387-0.83%-5.82%0.30%
200881.80%1.45%$60,076$15,6101.45%-3.39%1.80%
200890.28%-8.91%$60,246$14,220-8.91%-15.43%0.28%
200810-3.63%-16.79%$58,060$11,832-16.79%-24.14%-3.63%
20081112.07%-7.17%$65,067$10,983-7.17%-4.94%12.07%
2008128.87%1.07%$70,835$11,1001.07%9.18%8.87%
20091-8.47%-8.41%$64,835$10,166-8.41%-9.15%-8.47%
20092-1.01%-10.66%$64,181$9,083-10.66%-7.18%-1.01%
200935.27%8.76%$67,561$9,8798.76%7.98%5.27%
20094-4.99%9.56%$64,190$10,8239.56%13.97%-4.99%
20095-2.68%5.62%$62,472$11,4315.62%13.98%-2.68%
200960.70%0.22%$62,911$11,4560.22%1.96%0.70%
200970.80%7.58%$63,414$12,3247.58%7.41%0.80%
200981.68%3.60%$64,481$12,7683.60%5.19%1.68%
200991.98%3.72%$65,760$13,2423.72%6.33%1.98%
200910-1.67%-1.87%$64,662$12,995-1.87%-1.67%-1.45%
2009111.70%5.98%$65,760$13,7725.98%1.70%1.91%
2009121.53%1.95%$66,768$14,0401.95%1.53%-5.66%
20101-1.96%-3.60%$65,461$13,534-3.60%-1.96%2.66%
20102-0.89%3.09%$64,880$13,9523.09%-0.89%-0.21%
201037.16%6.01%$69,528$14,7916.01%7.16%-1.51%
201041.04%1.58%$70,254$15,0251.58%1.04%2.76%
20105-11.51%-8.01%$62,168$13,822-8.01%-11.51%4.23%
20106-5.24%-5.24%$58,911$13,098-5.24%-0.16%4.67%
201077.00%7.00%$63,032$14,0147.00%9.52%-0.17%
20108-2.64%-4.53%$61,371$13,379-4.53%-2.64%7.08%
2010911.56%8.92%$68,465$14,5738.92%11.56%-1.82%
2010103.67%3.79%$70,979$15,1253.79%3.67%-3.29%
201011-3.16%0.00%$68,734$15,1250.00%-3.16%-1.60%
20101210.38%6.67%$75,870$16,1346.67%10.38%-3.58%
201110.72%2.36%$76,416$16,5142.36%0.72%-2.38%
201121.25%3.42%$77,371$17,0783.42%1.25%1.24%
201130.47%0.03%$77,736$17,0830.03%0.47%0.02%
201144.92%2.95%$81,559$17,5862.95%4.92%2.04%
20115-2.46%-1.15%$79,556$17,385-1.15%-2.46%3.29%
20116-2.80%-1.67%$77,326$17,094-1.67%-2.80%-2.00%
20117-1.59%-2.05%$76,097$16,744-2.05%-1.59%4.18%
20118-9.69%-5.45%$68,724$15,832-5.45%-9.69%8.68%
20119-7.04%-7.04%$63,884$14,717-7.04%-11.79%10.16%
20111010.91%10.91%$70,856$16,32310.91%8.18%-3.34%
201111-0.23%-0.23%$70,691$16,285-0.23%-3.96%1.82%
2011121.02%1.02%$71,410$16,4511.02%-3.32%3.13%
201214.46%4.46%$74,598$17,1864.46%8.81%0.08%
201224.31%4.31%$77,811$17,9264.31%5.59%-2.11%
201233.28%3.28%$80,364$18,5143.28%0.41%-3.77%
20124-0.64%-0.64%$79,850$18,396-0.64%-0.68%4.37%
20125-6.02%-6.02%$75,045$17,288-6.02%-11.78%7.79%
20126-1.44%4.11%$73,961$17,9994.11%3.86%-1.44%
201271.37%1.37%$74,974$18,2451.37%-0.22%3.32%
201282.24%2.24%$76,653$18,6542.24%2.90%-1.06%
201292.58%2.58%$78,628$19,1352.58%3.69%-2.10%
201210-1.86%-1.86%$77,166$18,779-1.86%1.19%-0.43%
2012110.56%0.56%$77,598$18,8840.56%0.62%1.35%
2012120.90%0.90%$78,299$19,0540.90%3.62%-1.99%
201314.96%5.18%$82,184$20,0415.18%4.96%-3.27%
201321.34%1.34%$83,285$20,3091.34%0.19%1.26%
201333.74%3.74%$86,398$21,0683.74%1.29%0.03%
201341.91%1.91%$88,047$21,4701.91%3.70%3.87%
201352.33%2.33%$90,097$21,9702.33%-0.49%-6.23%
20136-2.16%-1.35%$88,146$21,673-1.35%-2.16%-3.26%
201375.50%5.07%$92,994$22,7735.07%5.50%-1.93%
20138-0.66%-2.91%$92,381$22,110-2.91%-0.66%-1.28%
201397.30%3.12%$99,123$22,8003.12%7.30%0.88%
2013103.99%4.59%$103,079$23,8464.59%3.99%1.32%
2013110.81%3.03%$103,915$24,5683.03%0.81%-2.49%
2013122.72%2.51%$106,743$25,1852.51%2.72%-2.37%
20141-3.47%-3.47%$103,040$24,312-3.47%-2.23%6.26%
201425.94%4.56%$109,162$25,4204.56%5.94%0.60%
201430.73%0.82%$109,963$25,6300.82%0.73%0.63%
20144-0.62%0.72%$109,276$25,8150.72%-0.62%1.82%
201451.94%2.33%$111,393$26,4182.33%1.94%2.73%
201461.13%2.05%$112,652$26,9602.05%1.13%-0.16%
20147-2.08%-1.39%$110,306$26,586-1.39%-2.08%0.59%
201480.62%3.98%$110,993$27,6443.98%0.62%4.23%
20149-1.41%-1.41%$109,425$27,254-1.41%-4.43%-1.99%
2014102.42%2.42%$112,076$27,9142.42%-1.51%2.61%
2014112.68%2.68%$115,083$28,6632.68%-1.42%2.86%
201412-0.26%-0.26%$114,778$28,587-0.26%-0.61%2.82%
20151-3.02%-3.02%$111,315$27,725-3.02%-0.12%8.97%
201525.74%5.74%$117,704$29,3165.74%6.81%-5.66%
20153-1.59%-1.59%$115,828$28,849-1.59%0.57%1.13%
201540.95%0.95%$116,928$29,1230.95%3.45%-3.07%
201551.27%1.27%$118,416$29,4931.27%0.88%-2.16%
20156-1.93%-1.93%$116,127$28,923-1.93%-1.14%-3.73%
201572.08%2.08%$118,542$29,5252.08%1.15%4.21%
20158-6.04%-6.04%$111,381$27,741-6.04%-4.99%-0.71%
20159-2.49%-2.49%$108,607$27,050-2.49%-3.08%1.91%
201510-0.48%8.42%$108,087$29,3298.42%4.59%-0.48%
2015110.11%0.29%$108,209$29,4130.29%0.11%-0.81%
2015120.60%-1.59%$108,858$28,944-1.59%0.60%-0.34%
20161-6.67%-4.98%$101,601$27,504-4.98%-6.67%5.24%
20162-2.40%-0.15%$99,161$27,464-0.15%-2.40%2.86%
201630.05%6.78%$99,212$29,3256.78%7.58%0.05%
201640.37%0.37%$99,583$29,4340.37%0.66%-0.63%
201651.78%1.78%$101,359$29,9591.78%1.44%0.69%
201660.25%0.25%$101,612$30,0340.25%-5.54%6.57%
201673.68%3.68%$105,348$31,1383.68%5.62%2.01%
201680.13%0.13%$105,484$31,1780.13%-0.18%-1.00%
201690.01%0.01%$105,493$31,1810.01%2.84%-1.32%
201610-1.83%-1.83%$103,559$30,609-1.83%-3.17%-4.23%
2016113.70%3.70%$107,390$31,7423.70%-2.50%-7.86%
2016121.96%1.96%$109,497$32,3651.96%1.53%-0.35%
201711.88%1.88%$111,559$32,9741.88%4.41%0.65%
201723.96%3.96%$115,980$34,2813.96%1.82%1.57%
201730.10%0.10%$116,096$34,3150.10%3.74%-0.59%
201741.02%1.02%$117,278$34,6641.02%5.39%1.58%
201751.39%1.39%$118,913$35,1481.39%4.27%1.73%
201760.51%0.61%$119,513$35,3620.61%0.51%0.63%
201773.47%2.04%$123,659$36,0852.04%3.47%-0.59%
201780.39%0.29%$124,140$36,1910.29%0.39%3.27%
201793.97%2.06%$129,067$36,9362.06%3.97%-2.27%
2017101.82%2.32%$131,411$37,7922.32%1.82%-0.02%
2017110.46%3.06%$132,012$38,9483.06%0.46%0.63%
2017123.14%1.10%$136,162$39,3771.10%3.14%1.78%
201815.12%5.71%$143,133$41,6275.71%5.12%-3.40%
20182-4.02%-3.69%$137,377$40,089-3.69%-4.02%-2.89%
20183-0.33%-2.56%$136,929$39,064-2.56%-0.33%2.75%
201840.28%0.37%$137,313$39,2100.37%0.28%-2.04%
20185-0.84%2.39%$136,162$40,1492.39%-0.84%1.79%
20186-2.16%0.61%$133,220$40,3920.61%-2.16%0.66%
201873.71%3.71%$138,162$41,8903.71%0.10%-1.28%
201883.25%3.25%$142,647$43,2503.25%-1.77%1.18%
201890.55%0.55%$143,437$43,4900.55%-1.17%-2.74%
201810-6.85%-6.85%$133,613$40,511-6.85%-11.76%-2.82%
2018112.03%2.03%$136,321$41,3322.03%-0.39%1.78%
201812-9.04%-9.04%$123,998$37,596-9.04%-7.88%5.50%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.10%0.62%
Arithmetic Mean (annualized)13.97%7.70%
Geometric Mean (monthly)1.00%0.53%
Geometric Mean (annualized)12.74%6.51%
Volatility (monthly)4.29%4.30%
Volatility (annualized)14.86%14.88%
Downside Deviation (monthly)2.56%2.98%
Max. Drawdown-28.01%-50.97%
US Market Correlation0.500.99
Beta(*)0.451.00
Alpha (annualized)9.77%0.00%
R220.59%100.00%
Sharpe Ratio0.760.37
Sortino Ratio1.230.52
Treynor Ratio (%)24.865.56
Calmar Ratio0.330.67
Active Return6.23%N/A
Tracking Error15.54%N/A
Information Ratio0.40N/A
Skewness-0.12-0.67
Excess Kurtosis1.631.25
Historical Value-at-Risk (5%)-6.67%-7.77%
Analytical Value-at-Risk (5%)-5.96%-6.45%
Conditional Value-at-Risk (5%)-9.22%-10.06%
Upside Capture Ratio (%)77.84100.00
Downside Capture Ratio (%)39.69100.00
Safe Withdrawal Rate16.78%6.34%
Perpetual Withdrawal Rate9.41%4.11%
Positive Periods167 out of 252 (66.27%)161 out of 252 (63.89%)
Gain/Loss Ratio1.010.81
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndTiming PortfolioVanguard 500 Index Investor
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-28.01%-44.82%
Subprime CrisisNov 2007Mar 2009-17.78%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2000Nov 20009 monthsOct 20032 years 11 months3 years 8 months-28.01%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-21.67%
3Nov 2007May 20087 monthsDec 20087 months1 year 2 months-17.78%
4Jan 2009Jun 20101 year 6 monthsOct 20104 months1 year 10 months-16.83%
5Aug 2015Feb 20167 monthsMay 20171 year 3 months1 year 10 months-16.35%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
7Oct 2018Dec 20183 months-13.55%
8May 2006Jul 20063 monthsOct 20063 months6 months-7.44%
9Feb 2018Jun 20185 monthsSep 20183 months8 months-6.93%
10Jun 2007Aug 20073 monthsOct 20072 months5 months-4.51%
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%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year13.90%57.37%-8.93%8.07%32.18%-37.02%
3 years12.52%27.44%0.27%6.16%20.22%-14.60%
5 years12.67%24.09%3.04%5.94%17.81%-2.38%
7 years12.76%21.12%6.33%6.09%14.67%-1.64%
10 years12.21%20.24%5.76%5.39%12.97%-1.46%
15 years12.66%15.15%10.17%6.00%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioVanguard 500 Index Investor
1Jan 1998Jun 199918100.00% Vanguard 500 Index Investor (VFINX)VFINX: 44.48%44.48%44.48%
2Jul 1999Nov 200017100.00% Vanguard International Explorer Inv (VINEX)VINEX: 32.16%32.16%-2.48%
3Dec 2000Jul 200332100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 21.44%21.44%-21.76%
4Aug 2003Dec 200753100.00% Vanguard International Explorer Inv (VINEX)VINEX: 172.32%172.32%59.87%
5Jan 2008Jan 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.02%-6.02%-6.02%
6Feb 2008Sep 200920100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 10.81%10.81%-20.06%
7Oct 2009May 20108100.00% Vanguard International Explorer Inv (VINEX)VINEX: -5.46%-5.46%4.38%
8Jun 2010Jul 20102100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.39%1.39%1.39%
9Aug 2010Aug 201113100.00% Vanguard International Explorer Inv (VINEX)VINEX: 9.03%9.03%12.97%
10Sep 2011May 20129100.00% Vanguard 500 Index Investor (VFINX)VFINX: 9.20%9.20%9.20%
11Jun 2012Jun 20121100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.44%-1.44%4.11%
12Jul 2012Dec 20126100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.86%5.86%5.86%
13Jan 2013Jan 20131100.00% Vanguard International Explorer Inv (VINEX)VINEX: 4.96%4.96%5.18%
14Feb 2013May 20134100.00% Vanguard 500 Index Investor (VFINX)VFINX: 9.63%9.63%9.63%
15Jun 2013Dec 20137100.00% Vanguard International Explorer Inv (VINEX)VINEX: 18.48%18.48%14.63%
16Jan 2014Jan 20141100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.47%-3.47%-3.47%
17Feb 2014Aug 20147100.00% Vanguard International Explorer Inv (VINEX)VINEX: 7.72%7.72%13.71%
18Sep 2014Sep 201513100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.15%-2.15%-2.15%
19Oct 2015Oct 20151100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.48%-0.48%8.42%
20Nov 2015Feb 20164100.00% Vanguard International Explorer Inv (VINEX)VINEX: -8.26%-8.26%-6.36%
21Mar 2016Mar 20161100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.05%0.05%6.78%
22Apr 2016May 201714100.00% Vanguard 500 Index Investor (VFINX)VFINX: 19.86%19.86%19.86%
23Jun 2017Jun 201813100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.03%12.03%14.92%
24Jul 2018Dec 20186100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.92%-6.92%-6.92%
25Jan 2019Jan 20191100.00% Vanguard Long-Term Treasury Inv (VUSTX)---