Test Market Timing Models

Tactical Allocation Overview

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:

  • Shiller PE Ratio Market Valuation
  • Seasonal Model
  • Moving Averages - Single Asset
  • Moving Averages - Portfolio Assets
  • Momentum - Relative Strength
  • Momentum - Dual Momentum
  • Momentum - Adaptive Allocation
  • Target Volatility

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

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio 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 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.

Model Configuration

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Timing Periods
Length
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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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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
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Model Simulation Results (Jan 1998 - Dec 2018) Save

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 multiple weighted performance windows to rank the assets by weighted average of asset performance. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for Vanguard International Explorer Inv (VINEX) [Dec 1996 - Dec 2022].

Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Dual Momentum Model$10,000$434,22219.67%14.46%77.49%-6.01%-20.63% 1.192.220.44
Equal Weight Portfolio$10,000$51,7908.15%13.35%32.37%-35.75%-48.53% 0.510.720.92
Vanguard 500 Index Investor$10,000$37,5966.51%14.88%32.18%-37.02%-50.97% 0.370.520.99

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Dual Momentum Model-15.76%-6.01%-6.01%11.97%10.11%12.88%19.67%11.30%10.47%
Equal Weight Portfolio-14.34%-14.56%-14.56%3.39%4.48%10.73%8.15%10.39%10.24%
Vanguard 500 Index Investor-13.55%-4.52%-4.52%9.11%8.34%12.97%6.51%10.96%10.95%
Trailing return and volatility are as of last full calendar month ending December 2018
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The selected portfolio allocation for comparison assumes monthly rebalancing.
  • An equal-weight allocation is used for the assets held by the momentum model.
  • The results for the tactical asset allocation model assume monthly rebalancing trades.
  • The relative strength signal is based on total return including dividends.

Annual Returns

YearInflationDual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard International Explorer Inv (VINEX)Fidelity Select Consumer Staples Port (FDFAX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
19981.61%14.90%$11,49023.83%$12,38328.62%$12,86228.62%25.98%15.69%13.05%
19992.68%77.49%$20,39323.49%$15,29121.07%$15,57121.07%90.29%-20.47%-8.66%
20003.39%28.29%$26,1626.76%$16,325-9.06%$14,161-9.06%-2.68%29.85%19.72%
20011.55%5.04%$27,480-11.59%$14,434-12.02%$12,459-12.02%-22.52%-0.47%4.31%
20022.38%18.84%$32,657-14.21%$12,382-22.15%$9,700-22.15%-13.88%-6.67%16.67%
20031.88%66.06%$54,23032.37%$16,39028.50%$12,46428.50%57.37%14.11%2.68%
20043.26%35.06%$73,24119.22%$19,54010.74%$13,80310.74%31.77%15.80%7.12%
20053.42%15.85%$84,85210.28%$21,5504.77%$14,4624.77%20.49%5.86%6.61%
20062.54%27.51%$108,19822.06%$26,30215.64%$16,72415.64%30.34%20.19%1.74%
20074.08%18.41%$128,11510.60%$29,0905.39%$17,6255.39%5.15%21.49%9.24%
20080.09%0.92%$129,299-35.75%$18,690-37.02%$11,100-37.02%-46.62%-22.30%22.52%
20092.72%28.98%$166,76931.31%$24,54326.49%$14,04026.49%47.12%20.94%-12.05%
20101.50%19.04%$198,51517.66%$28,87714.91%$16,13414.91%22.55%15.20%8.93%
20112.96%-2.01%$194,524-3.53%$27,8591.97%$16,4511.97%-19.74%8.84%29.28%
20121.74%10.16%$214,29416.62%$32,48815.82%$19,05415.82%17.93%15.39%3.47%
20131.50%25.17%$268,22228.02%$41,59232.18%$25,18532.18%30.24%21.63%-13.03%
20140.76%14.29%$306,5388.36%$45,06713.51%$28,58713.51%-2.88%14.91%25.28%
20150.73%0.91%$309,3263.97%$46,8571.25%$28,9441.25%8.60%1.90%-1.54%
20162.07%14.22%$353,3104.47%$48,95111.82%$32,36511.82%-1.77%3.07%1.20%
20172.11%30.76%$462,00523.83%$60,61821.67%$39,37721.67%38.77%12.06%8.58%
20181.91%-6.01%$434,222-14.56%$51,790-4.52%$37,596-4.52%-23.02%-15.82%-1.90%

Monthly Returns

YearMonthDual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard International Explorer Inv (VINEX)Fidelity Select Consumer Staples Port (FDFAX)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalance
19981-3.36%$9,6641.83%$10,1831.11%$10,1111.11%7.75%-3.36%1.91%
199827.19%$10,3596.09%$10,8037.19%$10,8387.19%5.57%5.51%-0.75%
199835.10%$10,8874.88%$11,3315.10%$11,3915.10%5.71%3.83%0.14%
199841.01%$10,9971.19%$11,4661.01%$11,5061.01%5.09%-2.53%0.40%
199855.04%$11,5521.86%$11,679-1.74%$11,306-1.74%5.04%2.27%1.83%
19986-0.38%$11,5081.93%$11,9044.07%$11,7664.07%-0.38%2.10%2.35%
199872.36%$11,780-0.76%$11,814-1.05%$11,642-1.05%2.36%-3.60%-0.51%
19988-12.74%$10,279-12.31%$10,359-14.47%$9,957-14.47%-12.74%-9.72%4.83%
199893.29%$10,6172.22%$10,5896.41%$10,5956.41%-5.29%5.55%3.29%
199810-1.69%$10,4377.18%$11,3508.16%$11,4608.16%4.47%8.90%-1.69%
1998114.05%$10,8594.51%$11,8626.07%$12,1566.07%3.42%4.05%0.88%
1998125.81%$11,4904.39%$12,3835.81%$12,8625.81%4.22%3.15%-0.16%
199914.20%$11,9730.66%$12,4644.20%$13,4024.20%1.82%-4.05%0.98%
19992-3.12%$11,5990.33%$12,505-3.12%$12,984-3.12%5.06%-0.95%-4.76%
199934.00%$12,0621.96%$12,7514.00%$13,5024.00%5.22%-3.32%-0.34%
199948.29%$13,0623.62%$13,2123.85%$14,0233.85%8.29%-1.29%0.19%
19995-0.88%$12,947-1.05%$13,073-2.39%$13,688-2.39%-0.88%0.11%-1.68%
1999612.43%$14,5576.40%$13,9105.56%$14,4485.56%12.43%1.21%-1.05%
199979.00%$15,8681.80%$14,160-3.13%$13,996-3.13%9.00%-0.47%-0.58%
199983.19%$16,374-0.06%$14,152-0.50%$13,926-0.50%3.19%-2.88%-0.49%
19999-1.40%$16,144-3.11%$13,712-2.74%$13,545-2.74%-1.40%-5.18%0.91%
1999101.85%$16,4433.10%$14,1376.33%$14,4026.33%1.85%1.13%0.12%
19991111.96%$18,4093.95%$14,6952.02%$14,6932.02%11.96%-2.14%-0.59%
19991210.78%$20,3934.06%$15,2915.98%$15,5715.98%10.78%-4.59%-1.60%
2000111.64%$22,767-0.36%$15,237-5.03%$14,788-5.03%11.64%-7.68%1.25%
2000217.38%$26,7242.95%$15,686-1.91%$14,506-1.91%17.38%-6.62%2.96%
20003-3.93%$25,6735.42%$16,5379.75%$15,9219.75%-3.93%10.45%3.14%
20004-11.47%$22,728-4.18%$15,846-3.00%$15,443-3.00%-11.47%1.93%-0.66%
20005-6.68%$21,211-0.08%$15,833-2.04%$15,128-2.04%-6.68%8.47%-0.46%
200061.95%$21,6253.48%$16,3842.49%$15,5062.49%5.99%1.95%2.30%
20007-0.98%$21,412-1.71%$16,103-1.50%$15,274-1.50%-2.65%-0.98%1.49%
200080.99%$21,6253.56%$16,6766.19%$16,2196.19%3.50%0.99%2.08%
200093.15%$22,306-1.61%$16,408-5.29%$15,361-5.29%-2.69%3.15%-0.85%
2000106.13%$23,673-1.02%$16,240-0.43%$15,295-0.43%-8.77%6.13%1.57%
2000116.14%$25,128-2.02%$15,912-7.89%$14,089-7.89%-4.32%6.14%2.99%
2000124.12%$26,1622.60%$16,3250.51%$14,1610.51%3.16%4.12%2.45%
20011-5.12%$24,8220.03%$16,3303.55%$14,6633.55%1.67%-5.12%0.28%
200121.79%$25,267-4.04%$15,670-9.14%$13,323-9.14%-4.78%1.79%1.80%
20013-2.48%$24,641-5.72%$14,775-6.36%$12,477-6.36%-8.31%-2.48%-0.60%
20014-2.56%$24,0104.14%$15,3877.77%$13,4467.77%5.83%-1.17%-2.56%
200150.21%$24,0590.18%$15,4140.65%$13,5330.65%-2.21%2.09%0.21%
200160.76%$24,242-2.58%$15,016-2.45%$13,202-2.45%-4.34%-0.96%0.76%
200173.61%$25,117-1.34%$14,815-1.00%$13,070-1.00%-4.62%1.60%3.61%
200184.22%$26,177-1.32%$14,619-6.27%$12,250-6.27%-1.90%4.22%2.02%
20019-2.95%$25,404-8.62%$13,359-8.09%$11,259-8.09%-14.83%-2.95%0.88%
2001105.12%$26,7051.70%$13,5861.90%$11,4731.90%3.19%0.02%5.12%
2001111.62%$27,1385.08%$14,2757.65%$12,3517.65%5.95%1.62%-4.98%
2001121.26%$27,4801.11%$14,4340.87%$12,4590.87%1.19%1.26%-1.91%
200211.31%$27,841-0.58%$14,350-1.47%$12,275-1.47%-1.57%1.31%1.20%
200223.21%$28,7350.14%$14,371-1.94%$12,037-1.94%-0.85%3.21%1.24%
200232.19%$29,3654.19%$14,9733.74%$12,4883.74%6.63%2.19%-3.86%
200242.91%$30,219-0.07%$14,963-6.07%$11,729-6.07%2.91%2.97%3.73%
200251.27%$30,6020.45%$15,030-0.75%$11,641-0.75%1.27%0.83%0.39%
20026-4.52%$29,218-5.49%$14,204-7.13%$10,810-7.13%-4.52%-4.83%1.76%
200272.93%$30,073-8.10%$13,053-7.72%$9,976-7.72%-9.07%-7.51%2.93%
200284.28%$31,3600.01%$13,0540.65%$10,0410.65%-1.44%0.81%4.28%
200294.02%$32,619-9.66%$11,792-10.87%$8,949-10.87%-10.69%-7.43%4.02%
200210-2.84%$31,6945.09%$12,3938.78%$9,7358.78%2.14%4.35%-2.84%
200211-0.98%$31,3852.79%$12,7385.88%$10,3075.88%4.32%-1.83%-0.98%
2002124.05%$32,657-2.80%$12,382-5.89%$9,700-5.89%-2.47%-0.02%4.05%
20031-0.45%$32,511-2.95%$12,017-2.62%$9,445-2.62%-2.08%-4.15%-0.45%
200323.03%$33,495-2.71%$11,692-1.52%$9,302-1.52%-2.62%-3.98%3.03%
20033-1.13%$33,115-0.41%$11,6440.96%$9,3910.96%-1.41%-0.78%-1.13%
200348.25%$35,8497.59%$12,5278.25%$10,1668.25%10.65%3.87%0.91%
2003511.15%$39,8467.65%$13,4865.26%$10,7015.26%11.15%6.55%5.67%
200363.80%$41,3612.30%$13,7961.26%$10,8361.26%3.80%1.84%-1.48%
200374.78%$43,3382.02%$14,0751.74%$11,0251.74%4.78%-0.48%-8.57%
200384.08%$45,1052.32%$14,4011.93%$11,2381.93%4.08%0.96%1.43%
200395.41%$47,5462.04%$14,695-1.07%$11,117-1.07%5.41%1.77%5.07%
2003105.22%$50,0284.78%$15,3975.64%$11,7445.64%5.22%3.48%-2.58%
2003112.19%$51,1221.92%$15,6930.86%$11,8460.86%2.19%2.72%0.31%
2003126.08%$54,2304.44%$16,3905.22%$12,4645.22%6.08%2.02%1.23%
200414.21%$56,5142.12%$16,7381.82%$12,6911.82%4.21%0.34%1.74%
200423.52%$58,5023.38%$17,3041.38%$12,8661.38%3.52%5.25%1.96%
200432.31%$59,8560.27%$17,352-1.51%$12,671-1.51%2.31%0.02%1.45%
20044-1.98%$58,671-0.88%$17,199-1.58%$12,472-1.58%-1.98%0.92%-5.52%
20045-1.15%$57,994-0.29%$17,1501.36%$12,6411.36%-1.15%-1.07%-0.56%
200463.21%$59,8561.96%$17,4861.93%$12,8851.93%3.21%0.73%0.87%
20047-2.76%$58,206-2.89%$16,980-3.31%$12,458-3.31%-2.76%-2.61%1.52%
200483.39%$60,177-0.07%$16,9680.38%$12,5060.38%0.87%-1.47%3.39%
200492.38%$61,6080.97%$17,1321.07%$12,6391.07%2.38%-0.53%0.94%
2004103.03%$63,4722.30%$17,5271.51%$12,8311.51%3.03%2.37%1.46%
2004117.72%$68,3716.13%$18,6024.05%$13,3504.05%7.72%6.63%-2.25%
2004127.12%$73,2415.04%$19,5403.39%$13,8033.39%7.12%4.61%2.22%
200510.92%$73,914-0.28%$19,486-2.45%$13,464-2.45%0.92%0.71%2.59%
200524.31%$77,0962.37%$19,9492.09%$13,7462.09%4.31%0.72%-1.24%
20053-2.21%$75,393-1.56%$19,639-1.76%$13,504-1.76%-2.21%-0.70%-0.76%
20054-2.02%$73,869-2.26%$19,194-1.91%$13,246-1.91%-2.02%-2.85%3.22%
200550.36%$74,1382.27%$19,6303.17%$13,6663.17%0.36%3.28%2.55%
20056-1.24%$73,2210.54%$19,7360.13%$13,6830.13%2.72%-1.24%1.64%
200574.53%$76,5404.16%$20,5563.71%$14,1903.71%4.53%4.23%-2.58%
200582.03%$78,0910.10%$20,576-0.91%$14,060-0.91%2.03%-0.82%2.87%
200593.53%$80,8491.67%$20,9190.79%$14,1720.79%3.53%0.67%-2.78%
200510-4.10%$77,531-2.04%$20,492-1.68%$13,934-1.68%-4.10%-0.34%-1.74%
2005112.67%$79,6002.53%$21,0113.76%$14,4593.76%2.67%1.17%0.57%
2005126.60%$84,8522.56%$21,5500.02%$14,4620.02%6.60%1.07%2.33%
200617.37%$91,1023.85%$22,3792.65%$14,8452.65%7.37%1.54%-0.90%
200620.62%$91,6710.78%$22,5540.26%$14,8840.26%0.62%1.46%0.81%
200635.27%$96,5002.78%$23,1811.23%$15,0671.23%5.27%1.84%-3.39%
200645.50%$101,8042.72%$23,8121.33%$15,2681.33%5.50%1.34%-1.96%
20065-4.93%$96,784-2.86%$23,131-2.90%$14,825-2.90%-4.93%-0.75%-0.03%
20066-2.15%$94,701-0.13%$23,1020.13%$14,8440.13%-2.15%1.65%0.71%
200672.40%$96,9740.84%$23,2950.61%$14,9340.61%-0.50%2.40%1.84%
200683.00%$99,8822.57%$23,8952.36%$15,2872.36%2.36%3.00%2.74%
200691.20%$101,0801.86%$24,3392.56%$15,6792.56%1.82%1.20%1.58%
2006101.06%$102,1552.66%$24,9873.25%$16,1893.25%3.66%1.06%0.77%
2006111.89%$104,0852.46%$25,6001.89%$16,4951.89%4.51%0.97%1.91%
2006123.95%$108,1982.74%$26,3021.39%$16,7241.39%3.95%2.89%-2.14%
200712.94%$111,3772.43%$26,9411.49%$16,9741.49%2.94%2.85%-0.85%
200720.32%$111,736-0.98%$26,677-1.97%$16,640-1.97%0.32%-1.29%2.93%
200733.21%$115,3252.50%$27,3431.11%$16,8251.11%3.21%3.17%-1.13%
200743.87%$119,7874.00%$28,4364.42%$17,5684.42%3.87%3.71%0.86%
200752.44%$122,7092.43%$29,1283.48%$18,1793.48%2.44%1.38%-1.93%
20076-1.13%$121,325-1.56%$28,673-1.68%$17,874-1.68%-1.13%-1.88%-0.88%
20077-0.46%$120,761-1.35%$28,287-3.08%$17,323-3.08%-0.46%-0.49%2.39%
20078-2.97%$117,1710.62%$28,4631.50%$17,5821.50%-2.97%3.34%1.97%
200795.54%$123,6583.76%$29,5323.72%$18,2373.72%2.01%5.54%0.21%
2007103.17%$127,5723.57%$30,5861.58%$18,5251.58%5.96%3.17%1.40%
2007111.04%$128,896-3.74%$29,444-4.19%$17,749-4.19%-8.06%1.04%4.59%
200712-0.61%$128,115-1.20%$29,090-0.70%$17,625-0.70%-2.30%-0.61%-0.48%
20081-5.99%$120,435-7.05%$27,040-6.02%$16,565-6.02%-9.13%-5.99%2.64%
200820.35%$120,8570.03%$27,048-3.25%$16,026-3.25%2.26%1.09%0.35%
200831.02%$122,0920.28%$27,125-0.44%$15,956-0.44%-1.34%2.62%1.02%
20084-1.84%$119,8462.22%$27,7274.85%$16,7304.85%2.24%-0.43%-1.84%
20085-2.13%$117,2961.49%$28,1401.29%$16,9461.29%2.07%1.10%-2.13%
20086-8.44%$107,398-8.15%$25,847-8.44%$15,516-8.44%-7.91%-8.10%1.80%
200870.30%$107,715-1.81%$25,378-0.83%$15,387-0.83%-5.82%1.22%0.30%
200881.80%$109,660-0.17%$25,3361.45%$15,6101.45%-3.39%1.43%1.80%
200890.28%$109,970-9.32%$22,973-8.91%$14,220-8.91%-15.43%-3.64%0.28%
200810-3.63%$105,980-18.75%$18,665-16.79%$11,832-16.79%-24.14%-15.33%-3.63%
20081112.07%$118,769-4.11%$17,898-7.17%$10,983-7.17%-4.94%-0.22%12.07%
2008128.87%$129,2994.43%$18,6901.07%$11,1001.07%9.18%3.04%8.87%
20091-8.47%$118,347-8.22%$17,154-8.41%$10,166-8.41%-9.15%-7.10%-8.47%
20092-1.01%$117,153-8.22%$15,744-10.66%$9,083-10.66%-7.18%-6.82%-1.01%
200935.27%$123,3226.78%$16,8128.76%$9,8798.76%7.98%3.60%5.27%
20094-4.99%$117,1709.43%$18,3989.56%$10,8239.56%13.97%4.77%-4.99%
2009513.98%$133,5529.10%$20,0725.62%$11,4315.62%13.98%7.71%-2.68%
200961.96%$136,1641.21%$20,3150.22%$11,4560.22%1.96%1.45%0.70%
200977.41%$146,2547.39%$21,8177.58%$12,3247.58%7.41%7.19%0.80%
200985.19%$153,8523.56%$22,5943.60%$12,7683.60%5.19%1.89%1.68%
200996.33%$163,5864.60%$23,6333.72%$13,2423.72%6.33%3.75%1.98%
200910-1.67%$160,856-0.72%$23,462-1.87%$12,995-1.87%-1.67%1.37%-1.45%
2009111.70%$163,5863.31%$24,2395.98%$13,7725.98%1.70%2.26%1.91%
2009121.95%$166,7691.25%$24,5431.95%$14,0401.95%1.53%0.28%-5.66%
20101-3.60%$160,759-2.25%$23,991-3.60%$13,534-3.60%-1.96%-1.18%2.66%
20102-0.89%$159,3321.44%$24,3373.09%$13,9523.09%-0.89%2.11%-0.21%
201036.01%$168,9145.75%$25,7366.01%$14,7916.01%7.16%4.08%-1.51%
201041.58%$171,5790.53%$25,8721.58%$15,0251.58%1.04%-1.03%2.76%
20105-8.01%$157,844-8.71%$23,618-8.01%$13,822-8.01%-11.51%-6.62%4.23%
201064.67%$165,209-2.62%$23,000-5.24%$13,098-5.24%-0.16%-2.46%4.67%
20107-0.17%$164,9278.12%$24,8677.00%$14,0147.00%9.52%7.85%-0.17%
20108-2.64%$160,580-3.10%$24,097-4.53%$13,379-4.53%-2.64%-2.13%7.08%
2010911.56%$179,1409.40%$26,3618.92%$14,5738.92%11.56%7.72%-1.82%
2010103.67%$185,7193.58%$27,3053.79%$15,1253.79%3.67%3.28%-3.29%
201011-3.16%$179,845-1.51%$26,8930.00%$15,1250.00%-3.16%-1.36%-1.60%
20101210.38%$198,5157.38%$28,8776.67%$16,1346.67%10.38%5.08%-3.58%
201110.72%$199,9440.15%$28,9202.36%$16,5142.36%0.72%-2.63%-2.38%
201121.25%$202,4452.27%$29,5773.42%$17,0783.42%1.25%2.15%1.24%
201130.03%$202,4970.70%$29,7840.03%$17,0830.03%0.47%1.60%0.02%
201142.95%$208,4664.67%$31,1752.95%$17,5862.95%4.92%6.15%2.04%
201151.82%$212,254-0.59%$30,990-1.15%$17,385-1.15%-2.46%1.82%3.29%
20116-2.39%$207,175-2.29%$30,280-1.67%$17,094-1.67%-2.80%-2.39%-2.00%
20117-1.08%$204,937-1.57%$29,804-2.05%$16,744-2.05%-1.59%-1.08%4.18%
201180.00%$204,937-5.05%$28,301-5.45%$15,832-5.45%-9.69%0.00%8.68%
20119-5.03%$194,638-7.95%$26,050-7.04%$14,717-7.04%-11.79%-5.03%10.16%
201110-3.34%$188,1468.07%$28,15310.91%$16,32310.91%8.18%5.11%-3.34%
2011111.40%$190,785-0.93%$27,891-0.23%$16,285-0.23%-3.96%1.40%1.82%
2011121.96%$194,524-0.12%$27,8591.02%$16,4511.02%-3.32%1.96%3.13%
20121-0.88%$192,8104.13%$29,0104.46%$17,1864.46%8.81%-0.88%0.08%
201224.31%$201,1145.40%$30,5764.31%$17,9264.31%5.59%6.30%-2.11%
201233.28%$207,7132.15%$31,2343.28%$18,5143.28%0.41%2.76%-3.77%
20124-0.64%$206,385-0.40%$31,110-0.64%$18,396-0.64%-0.68%0.13%4.37%
20125-4.32%$197,468-7.37%$28,817-6.02%$17,288-6.02%-11.78%-4.32%7.79%
201265.71%$208,7414.56%$30,1314.11%$17,9994.11%3.86%5.71%-1.44%
201273.16%$215,3281.43%$30,5631.37%$18,2451.37%-0.22%3.16%3.32%
201280.05%$215,4351.73%$31,0922.24%$18,6542.24%2.90%0.05%-1.06%
201291.67%$219,0232.64%$31,9142.58%$19,1352.58%3.69%1.67%-2.10%
201210-0.95%$216,934-0.54%$31,741-1.86%$18,779-1.86%1.19%-0.95%-0.43%
2012110.62%$218,2811.44%$32,1990.56%$18,8840.56%0.62%3.15%1.35%
201212-1.83%$214,2940.90%$32,4880.90%$19,0540.90%3.62%-1.83%-1.99%
201314.96%$224,9285.35%$34,2255.18%$20,0415.18%4.96%5.90%-3.27%
201320.19%$225,3651.07%$34,5921.34%$20,3091.34%0.19%1.69%1.26%
201331.29%$228,2793.02%$35,6373.74%$21,0683.74%1.29%4.03%0.03%
201343.03%$235,1892.88%$36,6631.91%$21,4701.91%3.70%3.03%3.87%
20135-1.92%$230,668-0.03%$36,6522.33%$21,9702.33%-0.49%-1.92%-6.23%
20136-1.35%$227,553-1.76%$36,008-1.35%$21,673-1.35%-2.16%-1.76%-3.26%
201375.07%$239,0954.91%$37,7765.07%$22,7735.07%5.50%4.16%-1.93%
20138-2.91%$232,133-2.39%$36,874-2.91%$22,110-2.91%-0.66%-3.60%-1.28%
201397.30%$249,0744.22%$38,4283.12%$22,8003.12%7.30%2.23%0.88%
2013103.99%$259,0144.57%$40,1834.59%$23,8464.59%3.99%5.12%1.32%
2013110.81%$261,1141.42%$40,7523.03%$24,5683.03%0.81%0.41%-2.49%
2013122.72%$268,2222.06%$41,5922.51%$25,1852.51%2.72%0.95%-2.37%
20141-2.23%$262,251-4.41%$39,756-3.47%$24,312-3.47%-2.23%-7.55%6.26%
201425.94%$277,8325.54%$41,9594.56%$25,4204.56%5.94%6.13%0.60%
201430.73%$279,8711.43%$42,5580.82%$25,6300.82%0.73%2.72%0.63%
20144-0.62%$278,1231.05%$43,0050.72%$25,8150.72%-0.62%3.05%1.82%
201452.27%$284,4472.18%$43,9442.33%$26,4182.33%1.94%2.27%2.73%
201460.24%$285,1231.14%$44,4442.05%$26,9602.05%1.13%0.24%-0.16%
20147-1.39%$281,165-2.08%$43,520-1.39%$26,586-1.39%-2.08%-2.77%0.59%
201483.98%$292,3603.07%$44,8553.98%$27,6443.98%0.62%4.60%4.23%
20149-1.41%$288,230-2.02%$43,948-1.41%$27,254-1.41%-4.43%-0.22%-1.99%
2014103.14%$297,2821.35%$44,5412.42%$27,9142.42%-1.51%3.14%2.61%
2014115.16%$312,6342.14%$45,4952.68%$28,6632.68%-1.42%5.16%2.86%
201412-1.95%$306,538-0.94%$45,067-0.26%$28,587-0.26%-0.61%-1.95%2.82%
201510.70%$308,671-0.81%$44,700-3.02%$27,725-3.02%-0.12%0.70%8.97%
201523.68%$320,0255.41%$47,1175.74%$29,3165.74%6.81%3.68%-5.66%
20153-2.61%$311,682-1.21%$46,547-1.59%$28,849-1.59%0.57%-2.61%1.13%
201543.45%$322,4421.26%$47,1330.95%$29,1230.95%3.45%-0.63%-3.07%
201550.88%$325,2640.68%$47,4551.27%$29,4931.27%0.88%-0.09%-2.16%
20156-1.14%$321,560-1.57%$46,712-1.93%$28,923-1.93%-1.14%-1.63%-3.73%
201571.15%$325,2642.11%$47,6992.08%$29,5252.08%1.15%3.10%4.21%
20158-4.99%$309,036-6.33%$44,678-6.05%$27,740-6.05%-4.99%-7.96%-0.71%
201591.91%$314,942-1.87%$43,844-2.48%$27,050-2.48%-3.08%-0.03%1.91%
201510-0.48%$313,4346.11%$46,5258.42%$29,3298.42%4.59%5.33%-0.48%
2015110.29%$314,332-0.16%$46,4530.29%$29,4130.29%0.11%-0.86%-0.81%
201512-1.59%$309,3260.87%$46,857-1.59%$28,944-1.59%0.60%3.60%-0.34%
20161-0.91%$306,513-4.18%$44,896-4.98%$27,504-4.98%-6.67%-0.91%5.24%
201622.86%$315,278-0.84%$44,520-0.15%$27,464-0.15%-2.40%0.03%2.86%
201635.89%$333,8506.75%$47,5246.78%$29,3256.78%7.58%5.89%0.05%
20164-0.21%$333,1520.28%$47,6550.37%$29,4340.37%0.66%-0.21%-0.63%
20165-0.30%$332,1690.97%$48,1191.78%$29,9591.78%1.44%-0.30%0.69%
201664.24%$346,252-0.35%$47,9500.25%$30,0340.25%-5.54%4.24%6.57%
20167-0.48%$344,6012.94%$49,3603.68%$31,1383.68%5.62%-0.48%2.01%
201680.13%$345,048-0.28%$49,2190.13%$31,1780.13%-0.18%-0.81%-1.00%
201690.01%$345,0760.43%$49,4320.01%$31,1810.01%2.84%-1.55%-1.32%
201610-3.17%$334,149-2.08%$48,406-1.83%$30,609-1.83%-3.17%-1.23%-4.23%
2016113.70%$346,510-0.99%$47,9263.70%$31,7423.70%-2.50%-4.17%-7.86%
2016121.96%$353,3102.14%$48,9511.96%$32,3651.96%1.53%2.92%-0.35%
201711.88%$359,9643.13%$50,4821.88%$32,9741.88%4.41%3.09%0.65%
201723.96%$374,2283.50%$52,2473.96%$34,2813.96%1.82%4.71%1.57%
201730.10%$374,6021.69%$53,1320.10%$34,3150.10%3.74%1.24%-0.59%
201745.39%$394,7782.67%$54,5511.02%$34,6641.02%5.39%1.61%1.58%
201754.27%$411,6262.91%$56,1371.39%$35,1481.39%4.27%3.06%1.73%
201760.51%$413,706-0.38%$55,9270.61%$35,3620.61%0.51%-2.24%0.63%
201773.47%$428,0581.81%$56,9392.04%$36,0852.04%3.47%-0.08%-0.59%
201780.39%$429,722-0.53%$56,6390.29%$36,1910.29%0.39%-2.26%3.27%
201793.97%$446,7771.67%$57,5872.06%$36,9362.06%3.97%-1.00%-2.27%
2017101.82%$454,8890.76%$58,0262.32%$37,7922.32%1.82%-1.85%-0.02%
2017110.46%$456,9692.16%$59,2763.06%$38,9483.06%0.46%2.95%0.63%
2017121.10%$462,0052.26%$60,6181.10%$39,3771.10%3.14%2.54%1.78%
201815.12%$485,6594.28%$63,2155.71%$41,6275.71%5.12%2.02%-3.40%
20182-3.69%$467,715-4.88%$60,133-3.69%$40,089-3.69%-4.02%-6.91%-2.89%
20183-0.33%$466,191-1.24%$59,389-2.56%$39,064-2.56%-0.33%-0.83%2.75%
201840.28%$467,498-1.47%$58,5190.37%$39,2100.37%0.28%-5.05%-2.04%
201851.79%$475,887-0.10%$58,4582.39%$40,1492.39%-0.84%-1.87%1.79%
201860.61%$478,7670.72%$58,8820.61%$40,3920.61%-2.16%3.73%0.66%
201873.71%$496,5262.47%$60,3343.71%$41,8903.71%0.10%3.60%-1.28%
201883.25%$512,6440.32%$60,5303.25%$43,2503.25%-1.77%-0.50%1.18%
201890.55%$515,486-0.11%$60,4620.55%$43,4900.55%-1.17%0.28%-2.74%
201810-6.85%$480,180-6.56%$56,497-6.85%$40,511-6.85%-11.76%-1.07%-2.82%
2018110.67%$483,3900.77%$56,9312.03%$41,3322.03%-0.39%0.67%1.78%
201812-10.17%$434,222-9.03%$51,790-9.04%$37,596-9.04%-7.88%-10.17%5.50%

Risk and Return Metrics

MetricDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.59%0.73%0.62%
Arithmetic Mean (annualized)20.88%9.13%7.70%
Geometric Mean (monthly)1.51%0.65%0.53%
Geometric Mean (annualized)19.67%8.15%6.51%
Standard Deviation (monthly)4.17%3.85%4.30%
Standard Deviation (annualized)14.46%13.35%14.88%
Downside Deviation (monthly)2.15%2.68%2.98%
Maximum Drawdown-20.63%-48.53%-50.97%
Stock Market Correlation0.440.920.99
Beta(*)0.390.821.00
Alpha (annualized)16.19%2.63%-0.00%
R216.33%84.40%100.00%
Sharpe Ratio1.190.510.37
Sortino Ratio2.220.720.52
Treynor Ratio (%)43.798.305.52
Calmar Ratio0.760.190.67
Active Return13.16%1.64%N/A
Tracking Error16.02%5.89%N/A
Information Ratio0.820.28N/A
Skewness0.11-1.00-0.67
Excess Kurtosis1.632.931.25
Historical Value-at-Risk (5%)-4.96%-7.19%-7.42%
Analytical Value-at-Risk (5%)-5.27%-5.61%-6.45%
Conditional Value-at-Risk (5%)-7.61%-9.57%-9.88%
Upside Capture Ratio (%)86.1187.96100.00
Downside Capture Ratio (%)13.8877.14100.00
Safe Withdrawal Rate25.44%9.00%6.34%
Perpetual Withdrawal Rate14.66%5.56%4.11%
Positive Periods172 out of 252 (68.25%)157 out of 252 (62.30%)161 out of 252 (63.89%)
Gain/Loss Ratio1.281.010.81
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Russian Debt DefaultJul 1998Oct 1998-12.74%-12.98%-15.38%
Dotcom CrashMar 2000Oct 2002-20.63%-29.29%-44.82%
Subprime CrisisNov 2007Mar 2009-17.78%-48.53%-50.97%

Drawdowns for Dual Momentum Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2000May 20003 monthsNov 20011 year 6 months1 year 9 months-20.63%
2Dec 2007Oct 200811 monthsDec 20082 months1 year 1 month-17.78%
3Oct 2018Dec 20183 months-15.76%
4Aug 1998Aug 19981 monthJan 19995 months6 months-12.74%
5Jun 2011Oct 20115 monthsJul 20129 months1 year 2 months-11.36%
6Jan 2009Feb 20092 monthsMay 20093 months5 months-9.39%
7May 2010May 20101 monthSep 20104 months5 months-8.01%
8May 2006Jun 20062 monthsOct 20064 months6 months-6.98%
9Aug 2015Jan 20166 monthsMar 20162 months8 months-5.76%
10Mar 2005Jun 20054 monthsAug 20052 months6 months-5.03%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-48.53%
2Sep 2000Mar 20032 years 7 monthsJan 200410 months3 years 5 months-30.18%
3Feb 2018Dec 201811 months-18.07%
4May 2011Sep 20115 monthsMar 20126 months11 months-16.44%
5Jul 1998Aug 19982 monthsDec 19984 months6 months-12.98%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.08%
7Apr 2012May 20122 monthsSep 20124 months6 months-7.74%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-4.41%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.26%
10Mar 2005Apr 20052 monthsJul 20053 months5 months-3.78%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

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

Roll PeriodDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year22.25%130.41%-16.93%9.99%54.57%-41.79%8.17%53.61%-43.32%
3 years20.32%42.83%4.80%8.34%25.80%-11.29%6.04%25.43%-16.14%
5 years20.25%38.21%8.92%8.51%21.66%-1.87%6.17%22.85%-6.73%
7 years19.87%34.59%11.01%8.57%16.01%1.31%6.12%17.12%-3.94%
10 years19.23%29.05%12.45%7.71%12.27%2.33%5.14%14.17%-3.51%
15 years19.92%23.87%14.88%8.64%11.70%6.77%6.14%10.39%3.64%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Timing Periods

#StartEndMonthsAssetsAsset PerformanceDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
66Jan 2019Jan 20191Please sign-in for forward signals----
65Nov 2018Dec 20182100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -9.57%-9.57%-8.33%-7.20%
64Jun 2018Oct 20185100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.90%0.90%-3.35%0.90%
63May 2018May 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.79%1.79%-0.10%2.39%
62Mar 2018Apr 20182100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.05%-0.05%-2.68%-2.19%
61Feb 2018Feb 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.69%-3.69%-4.88%-3.69%
60Jan 2018Jan 20181100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.12%5.12%4.28%5.71%
59Dec 2017Dec 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.10%1.10%2.26%1.10%
58Apr 2017Nov 20178100.00% Vanguard International Explorer Inv (VINEX)VINEX: 21.99%21.99%11.56%13.50%
57Nov 2016Mar 20175100.00% Vanguard 500 Index Investor (VFINX)VFINX: 12.11%12.11%9.76%12.11%
56Oct 2016Oct 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -3.17%-3.17%-2.08%-1.83%
55Aug 2016Sep 20162100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.14%0.14%0.15%0.14%
54Mar 2016Jul 20165100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 9.30%9.30%10.87%13.38%
53Feb 2016Feb 20161100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.86%2.86%-0.84%-0.15%
52Jan 2016Jan 20161100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -0.91%-0.91%-4.18%-4.98%
51Nov 2015Dec 20152100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.31%-1.31%0.71%-1.31%
50Sep 2015Oct 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.42%1.42%4.13%5.73%
49Apr 2015Aug 20155100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.85%-0.85%-4.01%-3.85%
48Oct 2014Mar 20156100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 8.14%8.14%5.92%5.85%
47Jul 2014Sep 20143100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.09%1.09%-1.12%1.09%
46May 2014Jun 20142100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 2.52%2.52%3.35%4.43%
45Sep 2013Apr 20148100.00% Vanguard International Explorer Inv (VINEX)VINEX: 19.81%19.81%16.63%16.76%
44Jun 2013Aug 20133100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.63%0.63%0.61%0.63%
43Apr 2013May 20132100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 1.05%1.05%2.85%4.28%
42Jan 2013Mar 20133100.00% Vanguard International Explorer Inv (VINEX)VINEX: 6.53%6.53%9.69%10.57%
41Dec 2012Dec 20121100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -1.83%-1.83%0.90%0.90%
40Nov 2012Nov 20121100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.62%0.62%1.44%0.56%
39May 2012Oct 20126100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 5.11%5.11%2.03%2.08%
38Feb 2012Apr 20123100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.04%7.04%7.24%7.04%
37Nov 2011Jan 20123100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 2.48%2.48%3.05%5.28%
36Oct 2011Oct 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.34%-3.34%8.07%10.91%
35May 2011Sep 20115100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -6.63%-6.63%-16.44%-16.31%
34Mar 2011Apr 20112100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.97%2.97%5.40%2.97%
33Aug 2010Feb 20117100.00% Vanguard International Explorer Inv (VINEX)VINEX: 22.75%22.75%18.94%21.86%
32Jun 2010Jul 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.49%4.49%5.29%1.39%
31Mar 2010May 20103100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.93%-0.93%-2.95%-0.93%
30Feb 2010Feb 20101100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.89%-0.89%1.44%3.09%
29Dec 2009Jan 20102100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.73%-1.73%-1.02%-1.73%
28May 2009Nov 20097100.00% Vanguard International Explorer Inv (VINEX)VINEX: 39.61%39.61%31.75%27.25%
27Jul 2008Apr 200910100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.10%9.10%-28.82%-30.25%
26Jun 2008Jun 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.44%-8.44%-8.15%-8.44%
25Feb 2008May 20084100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.61%-2.61%4.07%2.30%
24Sep 2007Jan 20085100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 2.79%2.79%-5.00%-5.79%
23Dec 2006Aug 20079100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.57%12.57%11.18%6.59%
22Nov 2006Nov 20061100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.89%1.89%2.46%1.89%
21Jul 2006Oct 20064100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 7.87%7.87%8.16%9.06%
20Jul 2005Jun 200612100.00% Vanguard International Explorer Inv (VINEX)VINEX: 29.34%29.34%17.06%8.49%
19Jun 2005Jun 20051100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -1.24%-1.24%0.54%0.13%
18Sep 2004May 20059100.00% Vanguard International Explorer Inv (VINEX)VINEX: 23.20%23.20%15.69%9.27%
17Aug 2004Aug 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.39%3.39%-0.07%0.38%
16May 2003Jul 200415100.00% Vanguard International Explorer Inv (VINEX)VINEX: 62.37%62.37%35.54%22.55%
15Apr 2003Apr 20031100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.25%8.25%7.59%8.25%
14Jul 2002Mar 20039100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 13.34%13.34%-18.03%-13.13%
13Apr 2002Jun 20023100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.50%-0.50%-5.14%-13.43%
12Nov 2001Mar 20025100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 9.96%9.96%10.21%8.85%
11Oct 2001Oct 20011100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.12%5.12%1.70%1.90%
10Aug 2001Sep 20012100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 1.14%1.14%-9.83%-13.86%
9Apr 2001Jul 20014100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.93%1.93%0.27%4.76%
8Jun 2000Mar 200110100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 16.17%16.17%-6.68%-17.53%
7Apr 1999May 200014100.00% Vanguard International Explorer Inv (VINEX)VINEX: 75.85%75.85%24.17%12.04%
6Dec 1998Mar 19994100.00% Vanguard 500 Index Investor (VFINX)VFINX: 11.08%11.08%7.49%11.08%
5Nov 1998Nov 19981100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 4.05%4.05%4.51%6.07%
4Sep 1998Oct 19982100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.54%1.54%9.56%15.10%
3May 1998Aug 19984100.00% Vanguard International Explorer Inv (VINEX)VINEX: -6.53%-6.53%-9.65%-13.47%
2Feb 1998Apr 19983100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.80%13.80%12.60%13.80%
1Jan 1998Jan 19981100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -3.36%-3.36%1.83%1.11%