Test Market Timing Models

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

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

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
Unit
Weight
Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
%
Portfolio Assets
Allocation
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Total
%

Market Timing Results (Jan 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 3 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$312,36117.81%14.37%79.57%-10.87%-22.12% 1.091.980.34
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%21.98%28.62%$12,198$12,86228.62%25.98%13.05%
19992.68%79.57%21.07%$21,905$15,57121.07%90.29%-8.66%
20003.39%17.66%-9.06%$25,773$14,161-9.06%-2.68%19.72%
20011.55%-0.86%-12.02%$25,551$12,459-12.02%-22.52%4.31%
20022.38%-6.57%-22.15%$23,873$9,700-22.15%-13.88%16.67%
20031.88%43.38%28.50%$34,231$12,46428.50%57.37%2.68%
20043.26%31.24%10.74%$44,926$13,80310.74%31.77%7.12%
20053.42%13.41%4.77%$50,949$14,4624.77%20.49%6.61%
20062.54%30.97%15.64%$66,729$16,72415.64%30.34%1.74%
20074.08%7.57%5.39%$71,778$17,6255.39%5.15%9.24%
20080.09%14.93%-37.02%$82,492$11,100-37.02%-46.62%22.52%
20092.72%28.98%26.49%$106,399$14,04026.49%47.12%-12.05%
20101.50%31.59%14.91%$140,012$16,13414.91%22.55%8.93%
20112.96%18.57%1.97%$166,015$16,4511.97%-19.74%29.28%
20121.74%11.35%15.82%$184,853$19,05415.82%17.93%3.47%
20131.50%29.17%32.18%$238,777$25,18532.18%30.24%-13.03%
20140.76%11.89%13.51%$267,165$28,58713.51%-2.88%25.28%
20150.73%-10.68%1.25%$238,644$28,9441.25%8.60%-1.54%
20162.07%-10.87%11.82%$212,710$32,36511.82%-1.77%1.20%
20172.11%30.76%21.67%$278,150$39,37721.67%38.77%8.58%
20181.91%12.30%-4.52%$312,361$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%
199835.71%5.10%$11,458$11,3915.10%5.71%0.14%
199845.09%1.01%$12,041$11,5061.01%5.09%0.40%
199855.04%-1.74%$12,649$11,306-1.74%5.04%1.83%
19986-0.38%4.07%$12,601$11,7664.07%-0.38%2.35%
199872.36%-1.05%$12,899$11,642-1.05%2.36%-0.51%
19988-12.74%-14.47%$11,255$9,957-14.47%-12.74%4.83%
199893.29%6.41%$11,625$10,5956.41%-5.29%3.29%
199810-1.69%8.16%$11,428$11,4608.16%4.47%-1.69%
1998110.88%6.07%$11,529$12,1566.07%3.42%0.88%
1998125.81%5.81%$12,198$12,8625.81%4.22%-0.16%
199914.20%4.20%$12,711$13,4024.20%1.82%0.98%
19992-3.12%-3.12%$12,314$12,984-3.12%5.06%-4.76%
199935.22%4.00%$12,956$13,5024.00%5.22%-0.34%
199948.29%3.85%$14,031$14,0233.85%8.29%0.19%
19995-0.88%-2.39%$13,907$13,688-2.39%-0.88%-1.68%
1999612.43%5.56%$15,636$14,4485.56%12.43%-1.05%
199979.00%-3.13%$17,044$13,996-3.13%9.00%-0.58%
199983.19%-0.50%$17,588$13,926-0.50%3.19%-0.49%
19999-1.40%-2.74%$17,341$13,545-2.74%-1.40%0.91%
1999101.85%6.33%$17,662$14,4026.33%1.85%0.12%
19991111.96%2.02%$19,774$14,6932.02%11.96%-0.59%
19991210.78%5.98%$21,905$15,5715.98%10.78%-1.60%
2000111.64%-5.03%$24,455$14,788-5.03%11.64%1.25%
2000217.38%-1.91%$28,705$14,506-1.91%17.38%2.96%
20003-3.93%9.76%$27,576$15,9229.76%-3.93%3.14%
20004-11.47%-3.01%$24,413$15,443-3.01%-11.47%-0.66%
20005-2.04%-2.04%$23,915$15,128-2.04%-6.68%-0.46%
200062.49%2.49%$24,510$15,5052.49%5.99%2.30%
200071.49%-1.49%$24,875$15,274-1.49%-2.65%1.49%
200082.08%6.19%$25,391$16,2196.19%3.50%2.08%
20009-5.29%-5.29%$24,048$15,361-5.29%-2.69%-0.85%
2000101.57%-0.43%$24,425$15,295-0.43%-8.77%1.57%
2000112.99%-7.88%$25,156$14,090-7.88%-4.32%2.99%
2000122.45%0.50%$25,773$14,1610.50%3.16%2.45%
200110.28%3.55%$25,847$14,6633.55%1.67%0.28%
200121.80%-9.14%$26,312$13,323-9.14%-4.78%1.80%
20013-0.60%-6.36%$26,153$12,477-6.36%-8.31%-0.60%
20014-2.56%7.77%$25,483$13,4467.77%5.83%-2.56%
200150.21%0.65%$25,535$13,5330.65%-2.21%0.21%
20016-2.45%-2.45%$24,910$13,202-2.45%-4.34%0.76%
20017-1.00%-1.00%$24,661$13,070-1.00%-4.62%3.61%
200182.02%-6.27%$25,160$12,250-6.27%-1.90%2.02%
200190.88%-8.09%$25,382$11,259-8.09%-14.83%0.88%
2001105.12%1.90%$26,682$11,4731.90%3.19%5.12%
200111-5.07%7.65%$25,330$12,3517.65%5.95%-5.07%
2001120.87%0.87%$25,551$12,4590.87%1.19%-1.82%
20021-1.47%-1.47%$25,175$12,275-1.47%-1.57%1.20%
20022-1.94%-1.94%$24,688$12,037-1.94%-0.85%1.24%
20023-3.86%3.74%$23,735$12,4883.74%6.63%-3.86%
200242.91%-6.07%$24,426$11,729-6.07%2.91%3.73%
200251.27%-0.75%$24,735$11,641-0.75%1.27%0.39%
20026-4.52%-7.13%$23,616$10,810-7.13%-4.52%1.76%
200272.93%-7.72%$24,308$9,976-7.72%-9.07%2.93%
200284.28%0.65%$25,348$10,0410.65%-1.44%4.28%
200294.02%-10.87%$26,366$8,949-10.87%-10.69%4.02%
200210-2.84%8.78%$25,618$9,7358.78%2.14%-2.84%
200211-0.98%5.88%$25,368$10,3075.88%4.32%-0.98%
200212-5.89%-5.89%$23,873$9,700-5.89%-2.47%4.05%
20031-2.62%-2.62%$23,247$9,445-2.62%-2.08%-0.45%
200323.03%-1.52%$23,950$9,302-1.52%-2.62%3.03%
20033-1.13%0.96%$23,679$9,3910.96%-1.41%-1.13%
200340.91%8.25%$23,894$10,1668.25%10.65%0.91%
200355.26%5.26%$25,151$10,7015.26%11.15%5.67%
200363.80%1.26%$26,108$10,8361.26%3.80%-1.48%
200374.78%1.74%$27,356$11,0251.74%4.78%-8.57%
200384.08%1.93%$28,471$11,2381.93%4.08%1.43%
200395.41%-1.07%$30,012$11,117-1.07%5.41%5.07%
2003105.22%5.64%$31,579$11,7445.64%5.22%-2.58%
2003112.19%0.86%$32,269$11,8460.86%2.19%0.31%
2003126.08%5.22%$34,231$12,4645.22%6.08%1.23%
200414.21%1.82%$35,673$12,6911.82%4.21%1.74%
200423.52%1.38%$36,928$12,8661.38%3.52%1.96%
200432.31%-1.51%$37,782$12,671-1.51%2.31%1.45%
20044-1.98%-1.58%$37,034$12,472-1.58%-1.98%-5.52%
20045-1.15%1.36%$36,607$12,6411.36%-1.15%-0.56%
200460.87%1.93%$36,926$12,8851.93%3.21%0.87%
20047-3.31%-3.31%$35,703$12,458-3.31%-2.76%1.52%
200483.39%0.38%$36,912$12,5060.38%0.87%3.39%
200492.38%1.07%$37,790$12,6391.07%2.38%0.94%
2004103.03%1.51%$38,933$12,8311.51%3.03%1.46%
2004117.72%4.05%$41,939$13,3504.05%7.72%-2.25%
2004127.12%3.39%$44,926$13,8033.39%7.12%2.22%
200510.92%-2.45%$45,338$13,464-2.45%0.92%2.59%
200524.31%2.09%$47,291$13,7462.09%4.31%-1.24%
20053-2.21%-1.76%$46,246$13,504-1.76%-2.21%-0.76%
20054-2.02%-1.91%$45,311$13,246-1.91%-2.02%3.22%
200552.55%3.17%$46,466$13,6663.17%0.36%2.55%
200561.64%0.13%$47,229$13,6830.13%2.72%1.64%
200573.71%3.71%$48,980$14,1903.71%4.53%-2.58%
200582.03%-0.91%$49,972$14,060-0.91%2.03%2.87%
200593.53%0.79%$51,737$14,1720.79%3.53%-2.78%
200510-4.10%-1.68%$49,614$13,934-1.68%-4.10%-1.74%
2005112.67%3.76%$50,938$14,4593.76%2.67%0.57%
2005120.02%0.02%$50,949$14,4620.02%6.60%2.33%
200617.37%2.65%$54,702$14,8452.65%7.37%-0.90%
200620.62%0.26%$55,043$14,8840.26%0.62%0.81%
200635.27%1.23%$57,943$15,0671.23%5.27%-3.39%
200645.50%1.33%$61,127$15,2681.33%5.50%-1.96%
20065-4.93%-2.90%$58,114$14,825-2.90%-4.93%-0.03%
20066-2.15%0.13%$56,863$14,8440.13%-2.15%0.71%
200671.84%0.61%$57,909$14,9340.61%-0.50%1.84%
200682.74%2.36%$59,494$15,2872.36%2.36%2.74%
200692.56%2.56%$61,019$15,6792.56%1.82%1.58%
2006103.25%3.25%$63,003$16,1893.25%3.66%0.77%
2006111.89%1.89%$64,193$16,4951.89%4.51%1.91%
2006123.95%1.39%$66,729$16,7241.39%3.95%-2.14%
200712.94%1.49%$68,690$16,9741.49%2.94%-0.85%
200720.32%-1.97%$68,911$16,640-1.97%0.32%2.93%
200733.21%1.11%$71,125$16,8251.11%3.21%-1.13%
200743.87%4.42%$73,876$17,5684.42%3.87%0.86%
200752.44%3.48%$75,679$18,1793.48%2.44%-1.93%
20076-1.13%-1.68%$74,825$17,874-1.68%-1.13%-0.88%
20077-3.08%-3.08%$72,517$17,323-3.08%-0.46%2.39%
200781.97%1.50%$73,948$17,5821.50%-2.97%1.97%
200790.21%3.72%$74,105$18,2373.72%2.01%0.21%
2007101.58%1.58%$75,275$18,5251.58%5.96%1.40%
200711-4.19%-4.19%$72,124$17,749-4.19%-8.06%4.59%
200712-0.48%-0.70%$71,778$17,625-0.70%-2.30%-0.48%
200812.64%-6.02%$73,675$16,565-6.02%-9.13%2.64%
200820.35%-3.25%$73,932$16,026-3.25%2.26%0.35%
200831.02%-0.44%$74,688$15,956-0.44%-1.34%1.02%
20084-1.84%4.85%$73,314$16,7304.85%2.24%-1.84%
200852.07%1.29%$74,835$16,9461.29%2.07%-2.13%
20086-8.44%-8.44%$68,520$15,516-8.44%-7.91%1.80%
200870.30%-0.83%$68,722$15,387-0.83%-5.82%0.30%
200881.80%1.45%$69,963$15,6101.45%-3.39%1.80%
200890.28%-8.91%$70,161$14,220-8.91%-15.43%0.28%
200810-3.63%-16.79%$67,616$11,832-16.79%-24.14%-3.63%
20081112.07%-7.17%$75,775$10,983-7.17%-4.94%12.07%
2008128.87%1.07%$82,492$11,1001.07%9.18%8.87%
20091-8.47%-8.41%$75,505$10,166-8.41%-9.15%-8.47%
20092-1.01%-10.66%$74,744$9,083-10.66%-7.18%-1.01%
200935.27%8.76%$78,679$9,8798.76%7.98%5.27%
20094-4.99%9.56%$74,754$10,8239.56%13.97%-4.99%
2009513.98%5.62%$85,206$11,4315.62%13.98%-2.68%
200961.96%0.22%$86,873$11,4560.22%1.96%0.70%
200977.41%7.58%$93,310$12,3247.58%7.41%0.80%
200985.19%3.60%$98,158$12,7683.60%5.19%1.68%
200996.33%3.72%$104,368$13,2423.72%6.33%1.98%
200910-1.67%-1.87%$102,626$12,995-1.87%-1.67%-1.45%
2009111.70%5.98%$104,368$13,7725.98%1.70%1.91%
2009121.95%1.95%$106,399$14,0401.95%1.53%-5.66%
20101-3.60%-3.60%$102,564$13,534-3.60%-1.96%2.66%
201023.09%3.09%$105,735$13,9523.09%-0.89%-0.21%
201036.01%6.01%$112,094$14,7916.01%7.16%-1.51%
201041.58%1.58%$113,863$15,0251.58%1.04%2.76%
20105-8.01%-8.01%$104,748$13,822-8.01%-11.51%4.23%
201064.67%-5.24%$109,635$13,098-5.24%-0.16%4.67%
20107-0.17%7.00%$109,448$14,0147.00%9.52%-0.17%
201087.08%-4.53%$117,196$13,379-4.53%-2.64%7.08%
2010911.56%8.92%$130,741$14,5738.92%11.56%-1.82%
2010103.67%3.79%$135,542$15,1253.79%3.67%-3.29%
201011-3.16%0.00%$131,256$15,1250.00%-3.16%-1.60%
2010126.67%6.67%$140,012$16,1346.67%10.38%-3.58%
201110.72%2.36%$141,020$16,5142.36%0.72%-2.38%
201123.42%3.42%$145,838$17,0783.42%1.25%1.24%
201130.03%0.03%$145,875$17,0830.03%0.47%0.02%
201142.95%2.95%$150,176$17,5862.95%4.92%2.04%
20115-2.46%-1.15%$146,488$17,385-1.15%-2.46%3.29%
20116-2.80%-1.67%$142,382$17,094-1.67%-2.80%-2.00%
20117-2.05%-2.05%$139,467$16,744-2.05%-1.59%4.18%
201188.68%-5.45%$151,576$15,832-5.45%-9.69%8.68%
2011910.16%-7.04%$166,980$14,717-7.04%-11.79%10.16%
201110-3.34%10.91%$161,411$16,32310.91%8.18%-3.34%
2011111.82%-0.23%$164,342$16,285-0.23%-3.96%1.82%
2011121.02%1.02%$166,015$16,4511.02%-3.32%3.13%
201214.46%4.46%$173,427$17,1864.46%8.81%0.08%
201224.31%4.31%$180,896$17,9264.31%5.59%-2.11%
201230.41%3.28%$181,633$18,5143.28%0.41%-3.77%
20124-0.68%-0.64%$180,405$18,396-0.64%-0.68%4.37%
20125-6.02%-6.02%$169,548$17,288-6.02%-11.78%7.79%
20126-1.44%4.11%$167,099$17,9994.11%3.86%-1.44%
201273.32%1.37%$172,651$18,2451.37%-0.22%3.32%
20128-1.06%2.24%$170,816$18,6542.24%2.90%-1.06%
201292.58%2.58%$175,217$19,1352.58%3.69%-2.10%
2012101.19%-1.86%$177,296$18,779-1.86%1.19%-0.43%
2012110.62%0.56%$178,396$18,8840.56%0.62%1.35%
2012123.62%0.90%$184,853$19,0540.90%3.62%-1.99%
201314.96%5.18%$194,027$20,0415.18%4.96%-3.27%
201320.19%1.34%$194,404$20,3091.34%0.19%1.26%
201331.29%3.74%$196,917$21,0683.74%1.29%0.03%
201341.91%1.91%$200,675$21,4701.91%3.70%3.87%
201352.33%2.33%$205,346$21,9702.33%-0.49%-6.23%
20136-1.35%-1.35%$202,573$21,673-1.35%-2.16%-3.26%
201375.07%5.07%$212,848$22,7735.07%5.50%-1.93%
20138-2.91%-2.91%$206,650$22,110-2.91%-0.66%-1.28%
201397.30%3.12%$221,731$22,8003.12%7.30%0.88%
2013103.99%4.59%$230,580$23,8464.59%3.99%1.32%
2013110.81%3.03%$232,450$24,5683.03%0.81%-2.49%
2013122.72%2.51%$238,777$25,1852.51%2.72%-2.37%
20141-3.47%-3.47%$230,493$24,312-3.47%-2.23%6.26%
201424.56%4.56%$241,005$25,4204.56%5.94%0.60%
201430.73%0.82%$242,774$25,6300.82%0.73%0.63%
20144-0.62%0.72%$241,258$25,8150.72%-0.62%1.82%
201452.33%2.33%$246,891$26,4182.33%1.94%2.73%
201462.05%2.05%$251,957$26,9602.05%1.13%-0.16%
20147-1.39%-1.39%$248,460$26,586-1.39%-2.08%0.59%
201483.98%3.98%$258,353$27,6443.98%0.62%4.23%
20149-1.41%-1.41%$254,703$27,254-1.41%-4.43%-1.99%
2014102.42%2.42%$260,875$27,9142.42%-1.51%2.61%
2014112.68%2.68%$267,873$28,6632.68%-1.42%2.86%
201412-0.26%-0.26%$267,165$28,587-0.26%-0.61%2.82%
20151-3.02%-3.02%$259,103$27,725-3.02%-0.12%8.97%
20152-5.66%5.74%$244,444$29,3165.74%6.81%-5.66%
201530.57%-1.59%$245,836$28,849-1.59%0.57%1.13%
201543.45%0.95%$254,322$29,1230.95%3.45%-3.07%
201550.88%1.27%$256,548$29,4931.27%0.88%-2.16%
20156-1.14%-1.93%$253,627$28,923-1.93%-1.14%-3.73%
201571.15%2.08%$256,548$29,5252.08%1.15%4.21%
20158-6.04%-6.04%$241,049$27,741-6.04%-4.99%-0.71%
201591.91%-2.49%$245,655$27,050-2.49%-3.08%1.91%
201510-0.48%8.42%$244,479$29,3298.42%4.59%-0.48%
201511-0.81%0.29%$242,506$29,4130.29%0.11%-0.81%
201512-1.59%-1.59%$238,644$28,944-1.59%0.60%-0.34%
20161-4.98%-4.98%$226,768$27,504-4.98%-6.67%5.24%
201622.86%-0.15%$233,252$27,464-0.15%-2.40%2.86%
201630.05%6.78%$233,374$29,3256.78%7.58%0.05%
201640.37%0.37%$234,246$29,4340.37%0.66%-0.63%
201651.78%1.78%$238,422$29,9591.78%1.44%0.69%
20166-5.54%0.25%$225,208$30,0340.25%-5.54%6.57%
201673.68%3.68%$233,487$31,1383.68%5.62%2.01%
201680.13%0.13%$233,790$31,1780.13%-0.18%-1.00%
201690.01%0.01%$233,809$31,1810.01%2.84%-1.32%
201610-3.17%-1.83%$226,406$30,609-1.83%-3.17%-4.23%
201611-7.86%3.70%$208,616$31,7423.70%-2.50%-7.86%
2016121.96%1.96%$212,710$32,3651.96%1.53%-0.35%
201711.88%1.88%$216,716$32,9741.88%4.41%0.65%
201723.96%3.96%$225,304$34,2813.96%1.82%1.57%
201730.10%0.10%$225,529$34,3150.10%3.74%-0.59%
201745.39%1.02%$237,676$34,6641.02%5.39%1.58%
201754.27%1.39%$247,819$35,1481.39%4.27%1.73%
201760.51%0.61%$249,072$35,3620.61%0.51%0.63%
201773.47%2.04%$257,712$36,0852.04%3.47%-0.59%
201780.39%0.29%$258,714$36,1910.29%0.39%3.27%
201793.97%2.06%$268,982$36,9362.06%3.97%-2.27%
2017101.82%2.32%$273,866$37,7922.32%1.82%-0.02%
2017110.46%3.06%$275,118$38,9483.06%0.46%0.63%
2017121.10%1.10%$278,150$39,3771.10%3.14%1.78%
201815.71%5.71%$294,040$41,6275.71%5.12%-3.40%
20182-3.69%-3.69%$283,176$40,089-3.69%-4.02%-2.89%
20183-0.33%-2.56%$282,253$39,064-2.56%-0.33%2.75%
201840.28%0.37%$283,044$39,2100.37%0.28%-2.04%
201851.79%2.39%$288,124$40,1492.39%-0.84%1.79%
201860.66%0.61%$290,023$40,3920.61%-2.16%0.66%
201873.71%3.71%$300,781$41,8903.71%0.10%-1.28%
201883.25%3.25%$310,545$43,2503.25%-1.77%1.18%
201890.55%0.55%$312,266$43,4900.55%-1.17%-2.74%
201810-6.85%-6.85%$290,879$40,511-6.85%-11.76%-2.82%
2018111.78%2.03%$296,068$41,3322.03%-0.39%1.78%
2018125.50%-9.04%$312,361$37,596-9.04%-7.88%5.50%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.46%0.62%
Arithmetic Mean (annualized)18.99%7.70%
Geometric Mean (monthly)1.38%0.53%
Geometric Mean (annualized)17.81%6.51%
Volatility (monthly)4.15%4.30%
Volatility (annualized)14.37%14.88%
Downside Deviation (monthly)2.21%2.98%
Max. Drawdown-22.12%-50.97%
US Market Correlation0.340.99
Beta(*)0.301.00
Alpha (annualized)15.30%0.00%
R29.46%100.00%
Sharpe Ratio1.090.37
Sortino Ratio1.980.52
Treynor Ratio (%)52.665.56
Calmar Ratio0.750.67
Active Return11.30%N/A
Tracking Error17.21%N/A
Information Ratio0.66N/A
Skewness0.13-0.67
Excess Kurtosis1.611.25
Historical Value-at-Risk (5%)-5.38%-7.77%
Analytical Value-at-Risk (5%)-5.36%-6.45%
Conditional Value-at-Risk (5%)-7.75%-10.06%
Upside Capture Ratio (%)77.54100.00
Downside Capture Ratio (%)12.14100.00
Safe Withdrawal Rate21.16%6.34%
Perpetual Withdrawal Rate13.31%4.11%
Positive Periods176 out of 252 (69.84%)161 out of 252 (63.89%)
Gain/Loss Ratio1.100.81
* 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 1998-12.74%-15.38%
Dotcom CrashMar 2000Oct 2002-17.73%-44.82%
Subprime CrisisNov 2007Mar 2009-10.18%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2014Nov 20162 yearsSep 201710 months2 years 10 months-22.12%
2Mar 2000Jan 20032 years 11 monthsSep 20038 months3 years 7 months-19.01%
3Aug 1998Aug 19981 monthMar 19997 months8 months-12.74%
4Jun 2007Oct 20081 year 5 monthsNov 20081 month1 year 6 months-10.65%
5Jan 2009Feb 20092 monthsMay 20093 months5 months-9.39%
6May 2010May 20101 monthAug 20103 months4 months-8.01%
7Apr 2012Jun 20123 monthsDec 20126 months9 months-8.00%
8May 2011Jul 20113 monthsAug 20111 month4 months-7.13%
9May 2006Jun 20062 monthsOct 20064 months6 months-6.98%
10Oct 2018Oct 20181 monthDec 20182 months3 months-6.85%
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 year19.35%79.57%-10.87%8.07%32.18%-37.02%
3 years17.23%37.11%-3.78%6.16%20.22%-14.60%
5 years17.25%24.63%5.08%5.94%17.81%-2.38%
7 years18.12%23.94%9.45%6.09%14.67%-1.64%
10 years18.37%22.71%12.29%5.39%12.97%-1.46%
15 years18.05%21.93%15.18%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 1998Feb 19982100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.38%8.38%8.38%
2Mar 1998Aug 19986100.00% Vanguard International Explorer Inv (VINEX)VINEX: 3.85%3.85%-8.13%
3Sep 1998Nov 19983100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.43%2.43%22.09%
4Dec 1998Feb 19993100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.81%6.81%6.81%
5Mar 1999Apr 200014100.00% Vanguard International Explorer Inv (VINEX)VINEX: 98.26%98.26%18.94%
6May 2000Jun 20002100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.40%0.40%0.40%
7Jul 2000Aug 20002100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.59%3.59%4.61%
8Sep 2000Sep 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -5.29%-5.29%-5.29%
9Oct 2000May 20018100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 6.18%6.18%-11.90%
10Jun 2001Jul 20012100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.42%-3.42%-3.42%
11Aug 2001Nov 20014100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.71%2.71%-5.51%
12Dec 2001Feb 20023100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.54%-2.54%-2.54%
13Mar 2002Mar 20021100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.86%-3.86%3.74%
14Apr 2002Jun 20023100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.50%-0.50%-13.43%
15Jul 2002Nov 20025100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.42%7.42%-4.66%
16Dec 2002Jan 20032100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.36%-8.36%-8.36%
17Feb 2003Apr 20033100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.78%2.78%7.63%
18May 2003May 20031100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.26%5.26%5.26%
19Jun 2003May 200412100.00% Vanguard International Explorer Inv (VINEX)VINEX: 45.55%45.55%18.13%
20Jun 2004Jun 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.87%0.87%1.93%
21Jul 2004Jul 20041100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.31%-3.31%-3.31%
22Aug 2004Aug 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.39%3.39%0.38%
23Sep 2004Apr 20058100.00% Vanguard International Explorer Inv (VINEX)VINEX: 22.75%22.75%5.92%
24May 2005Jun 20052100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.23%4.23%3.30%
25Jul 2005Jul 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.71%3.71%3.71%
26Aug 2005Nov 20054100.00% Vanguard International Explorer Inv (VINEX)VINEX: 4.00%4.00%1.89%
27Dec 2005Dec 20051100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.02%0.02%0.02%
28Jan 2006Jun 20066100.00% Vanguard International Explorer Inv (VINEX)VINEX: 11.61%11.61%2.64%
29Jul 2006Aug 20062100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.63%4.63%2.98%
30Sep 2006Nov 20063100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.90%7.90%7.90%
31Dec 2006Jun 20077100.00% Vanguard International Explorer Inv (VINEX)VINEX: 16.56%16.56%8.36%
32Jul 2007Jul 20071100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.08%-3.08%-3.08%
33Aug 2007Sep 20072100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.19%2.19%5.28%
34Oct 2007Nov 20072100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.67%-2.67%-2.67%
35Dec 2007Apr 20085100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.65%1.65%-5.74%
36May 2008May 20081100.00% Vanguard International Explorer Inv (VINEX)VINEX: 2.07%2.07%1.29%
37Jun 2008Jun 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.44%-8.44%-8.44%
38Jul 2008Apr 200910100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.10%9.10%-30.25%
39May 2009Nov 20097100.00% Vanguard International Explorer Inv (VINEX)VINEX: 39.61%39.61%27.25%
40Dec 2009May 20106100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.36%0.36%0.36%
41Jun 2010Aug 20103100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.88%11.88%-3.20%
42Sep 2010Nov 20103100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.00%12.00%13.05%
43Dec 2010Dec 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.67%6.67%6.67%
44Jan 2011Jan 20111100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.72%0.72%2.36%
45Feb 2011Apr 20113100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.49%6.49%6.49%
46May 2011Jun 20112100.00% Vanguard International Explorer Inv (VINEX)VINEX: -5.19%-5.19%-2.80%
47Jul 2011Jul 20111100.00% Vanguard 500 Index Investor (VFINX)VFINX: -2.05%-2.05%-2.05%
48Aug 2011Nov 20114100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 17.84%17.84%-2.74%
49Dec 2011Feb 20123100.00% Vanguard 500 Index Investor (VFINX)VFINX: 10.07%10.07%10.07%
50Mar 2012Apr 20122100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.27%-0.27%2.62%
51May 2012May 20121100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.02%-6.02%-6.02%
52Jun 2012Aug 20123100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.75%0.75%7.90%
53Sep 2012Sep 20121100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.58%2.58%2.58%
54Oct 2012Mar 20136100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.38%12.38%10.11%
55Apr 2013Aug 20135100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.94%4.94%4.94%
56Sep 2013Dec 20134100.00% Vanguard International Explorer Inv (VINEX)VINEX: 15.55%15.55%13.91%
57Jan 2014Feb 20142100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.93%0.93%0.93%
58Mar 2014Apr 20142100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.10%0.10%1.55%
59May 2014Jan 20159100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.40%7.40%7.40%
60Feb 2015Feb 20151100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -5.66%-5.66%5.74%
61Mar 2015Jul 20155100.00% Vanguard International Explorer Inv (VINEX)VINEX: 4.95%4.95%0.71%
62Aug 2015Aug 20151100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.04%-6.04%-6.04%
63Sep 2015Nov 20153100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.60%0.60%6.03%
64Dec 2015Jan 20162100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.49%-6.49%-6.49%
65Feb 2016Mar 20162100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.91%2.91%6.62%
66Apr 2016May 20162100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.16%2.16%2.16%
67Jun 2016Jun 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -5.54%-5.54%0.25%
68Jul 2016Sep 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.82%3.82%3.82%
69Oct 2016Oct 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -3.17%-3.17%-1.83%
70Nov 2016Nov 20161100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -7.86%-7.86%3.70%
71Dec 2016Mar 20174100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.11%8.11%8.11%
72Apr 2017Nov 20178100.00% Vanguard International Explorer Inv (VINEX)VINEX: 21.99%21.99%13.50%
73Dec 2017Feb 20183100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.93%2.93%2.93%
74Mar 2018Apr 20182100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.05%-0.05%-2.19%
75May 2018Jun 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.47%2.47%3.01%
76Jul 2018Oct 20184100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.30%0.30%0.30%
77Nov 2018Dec 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.39%7.39%-7.20%
78Jan 2019Jan 20191100.00% Vanguard Long-Term Treasury Inv (VUSTX)---