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.
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Dual Momentum Model | $10,000 | $434,222 | 19.67% | 14.46% | 77.49% | -6.01% | -20.63% | 1.19 | 2.22 | 0.44 |
Equal Weight Portfolio | $10,000 | $51,790 | 8.15% | 13.35% | 32.37% | -35.75% | -48.53% | 0.51 | 0.72 | 0.92 |
Vanguard 500 Index Investor | $10,000 | $37,596 | 6.51% | 14.88% | 32.18% | -37.02% | -50.97% | 0.37 | 0.52 | 0.99 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 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 |
Year | Inflation | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Vanguard 500 Index Investor (VFINX) | Vanguard International Explorer Inv (VINEX) | Fidelity Select Consumer Staples Port (FDFAX) | Vanguard Long-Term Treasury Inv (VUSTX) | |||
---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | ||||||
1998 | 1.61% | 14.90% | $11,490 | 23.83% | $12,383 | 28.62% | $12,862 | 28.62% | 25.98% | 15.69% | 13.05% |
1999 | 2.68% | 77.49% | $20,393 | 23.49% | $15,291 | 21.07% | $15,571 | 21.07% | 90.29% | -20.47% | -8.66% |
2000 | 3.39% | 28.29% | $26,162 | 6.76% | $16,325 | -9.06% | $14,161 | -9.06% | -2.68% | 29.85% | 19.72% |
2001 | 1.55% | 5.04% | $27,480 | -11.59% | $14,434 | -12.02% | $12,459 | -12.02% | -22.52% | -0.47% | 4.31% |
2002 | 2.38% | 18.84% | $32,657 | -14.21% | $12,382 | -22.15% | $9,700 | -22.15% | -13.88% | -6.67% | 16.67% |
2003 | 1.88% | 66.06% | $54,230 | 32.37% | $16,390 | 28.50% | $12,464 | 28.50% | 57.37% | 14.11% | 2.68% |
2004 | 3.26% | 35.06% | $73,241 | 19.22% | $19,540 | 10.74% | $13,803 | 10.74% | 31.77% | 15.80% | 7.12% |
2005 | 3.42% | 15.85% | $84,852 | 10.28% | $21,550 | 4.77% | $14,462 | 4.77% | 20.49% | 5.86% | 6.61% |
2006 | 2.54% | 27.51% | $108,198 | 22.06% | $26,302 | 15.64% | $16,724 | 15.64% | 30.34% | 20.19% | 1.74% |
2007 | 4.08% | 18.41% | $128,115 | 10.60% | $29,090 | 5.39% | $17,625 | 5.39% | 5.15% | 21.49% | 9.24% |
2008 | 0.09% | 0.92% | $129,299 | -35.75% | $18,690 | -37.02% | $11,100 | -37.02% | -46.62% | -22.30% | 22.52% |
2009 | 2.72% | 28.98% | $166,769 | 31.31% | $24,543 | 26.49% | $14,040 | 26.49% | 47.12% | 20.94% | -12.05% |
2010 | 1.50% | 19.04% | $198,515 | 17.66% | $28,877 | 14.91% | $16,134 | 14.91% | 22.55% | 15.20% | 8.93% |
2011 | 2.96% | -2.01% | $194,524 | -3.53% | $27,859 | 1.97% | $16,451 | 1.97% | -19.74% | 8.84% | 29.28% |
2012 | 1.74% | 10.16% | $214,294 | 16.62% | $32,488 | 15.82% | $19,054 | 15.82% | 17.93% | 15.39% | 3.47% |
2013 | 1.50% | 25.17% | $268,222 | 28.02% | $41,592 | 32.18% | $25,185 | 32.18% | 30.24% | 21.63% | -13.03% |
2014 | 0.76% | 14.29% | $306,538 | 8.36% | $45,067 | 13.51% | $28,587 | 13.51% | -2.88% | 14.91% | 25.28% |
2015 | 0.73% | 0.91% | $309,326 | 3.97% | $46,857 | 1.25% | $28,944 | 1.25% | 8.60% | 1.90% | -1.54% |
2016 | 2.07% | 14.22% | $353,310 | 4.47% | $48,951 | 11.82% | $32,365 | 11.82% | -1.77% | 3.07% | 1.20% |
2017 | 2.11% | 30.76% | $462,005 | 23.83% | $60,618 | 21.67% | $39,377 | 21.67% | 38.77% | 12.06% | 8.58% |
2018 | 1.91% | -6.01% | $434,222 | -14.56% | $51,790 | -4.52% | $37,596 | -4.52% | -23.02% | -15.82% | -1.90% |
Year | Month | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Vanguard 500 Index Investor (VFINX) | Vanguard International Explorer Inv (VINEX) | Fidelity Select Consumer Staples Port (FDFAX) | Vanguard Long-Term Treasury Inv (VUSTX) | |||
---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | ||||||
1998 | 1 | -3.36% | $9,664 | 1.83% | $10,183 | 1.11% | $10,111 | 1.11% | 7.75% | -3.36% | 1.91% |
1998 | 2 | 7.19% | $10,359 | 6.09% | $10,803 | 7.19% | $10,838 | 7.19% | 5.57% | 5.51% | -0.75% |
1998 | 3 | 5.10% | $10,887 | 4.88% | $11,331 | 5.10% | $11,391 | 5.10% | 5.71% | 3.83% | 0.14% |
1998 | 4 | 1.01% | $10,997 | 1.19% | $11,466 | 1.01% | $11,506 | 1.01% | 5.09% | -2.53% | 0.40% |
1998 | 5 | 5.04% | $11,552 | 1.86% | $11,679 | -1.74% | $11,306 | -1.74% | 5.04% | 2.27% | 1.83% |
1998 | 6 | -0.38% | $11,508 | 1.93% | $11,904 | 4.07% | $11,766 | 4.07% | -0.38% | 2.10% | 2.35% |
1998 | 7 | 2.36% | $11,780 | -0.76% | $11,814 | -1.05% | $11,642 | -1.05% | 2.36% | -3.60% | -0.51% |
1998 | 8 | -12.74% | $10,279 | -12.31% | $10,359 | -14.47% | $9,957 | -14.47% | -12.74% | -9.72% | 4.83% |
1998 | 9 | 3.29% | $10,617 | 2.22% | $10,589 | 6.41% | $10,595 | 6.41% | -5.29% | 5.55% | 3.29% |
1998 | 10 | -1.69% | $10,437 | 7.18% | $11,350 | 8.16% | $11,460 | 8.16% | 4.47% | 8.90% | -1.69% |
1998 | 11 | 4.05% | $10,859 | 4.51% | $11,862 | 6.07% | $12,156 | 6.07% | 3.42% | 4.05% | 0.88% |
1998 | 12 | 5.81% | $11,490 | 4.39% | $12,383 | 5.81% | $12,862 | 5.81% | 4.22% | 3.15% | -0.16% |
1999 | 1 | 4.20% | $11,973 | 0.66% | $12,464 | 4.20% | $13,402 | 4.20% | 1.82% | -4.05% | 0.98% |
1999 | 2 | -3.12% | $11,599 | 0.33% | $12,505 | -3.12% | $12,984 | -3.12% | 5.06% | -0.95% | -4.76% |
1999 | 3 | 4.00% | $12,062 | 1.96% | $12,751 | 4.00% | $13,502 | 4.00% | 5.22% | -3.32% | -0.34% |
1999 | 4 | 8.29% | $13,062 | 3.62% | $13,212 | 3.85% | $14,023 | 3.85% | 8.29% | -1.29% | 0.19% |
1999 | 5 | -0.88% | $12,947 | -1.05% | $13,073 | -2.39% | $13,688 | -2.39% | -0.88% | 0.11% | -1.68% |
1999 | 6 | 12.43% | $14,557 | 6.40% | $13,910 | 5.56% | $14,448 | 5.56% | 12.43% | 1.21% | -1.05% |
1999 | 7 | 9.00% | $15,868 | 1.80% | $14,160 | -3.13% | $13,996 | -3.13% | 9.00% | -0.47% | -0.58% |
1999 | 8 | 3.19% | $16,374 | -0.06% | $14,152 | -0.50% | $13,926 | -0.50% | 3.19% | -2.88% | -0.49% |
1999 | 9 | -1.40% | $16,144 | -3.11% | $13,712 | -2.74% | $13,545 | -2.74% | -1.40% | -5.18% | 0.91% |
1999 | 10 | 1.85% | $16,443 | 3.10% | $14,137 | 6.33% | $14,402 | 6.33% | 1.85% | 1.13% | 0.12% |
1999 | 11 | 11.96% | $18,409 | 3.95% | $14,695 | 2.02% | $14,693 | 2.02% | 11.96% | -2.14% | -0.59% |
1999 | 12 | 10.78% | $20,393 | 4.06% | $15,291 | 5.98% | $15,571 | 5.98% | 10.78% | -4.59% | -1.60% |
2000 | 1 | 11.64% | $22,767 | -0.36% | $15,237 | -5.03% | $14,788 | -5.03% | 11.64% | -7.68% | 1.25% |
2000 | 2 | 17.38% | $26,724 | 2.95% | $15,686 | -1.91% | $14,506 | -1.91% | 17.38% | -6.62% | 2.96% |
2000 | 3 | -3.93% | $25,673 | 5.42% | $16,537 | 9.75% | $15,921 | 9.75% | -3.93% | 10.45% | 3.14% |
2000 | 4 | -11.47% | $22,728 | -4.18% | $15,846 | -3.00% | $15,443 | -3.00% | -11.47% | 1.93% | -0.66% |
2000 | 5 | -6.68% | $21,211 | -0.08% | $15,833 | -2.04% | $15,128 | -2.04% | -6.68% | 8.47% | -0.46% |
2000 | 6 | 1.95% | $21,625 | 3.48% | $16,384 | 2.49% | $15,506 | 2.49% | 5.99% | 1.95% | 2.30% |
2000 | 7 | -0.98% | $21,412 | -1.71% | $16,103 | -1.50% | $15,274 | -1.50% | -2.65% | -0.98% | 1.49% |
2000 | 8 | 0.99% | $21,625 | 3.56% | $16,676 | 6.19% | $16,219 | 6.19% | 3.50% | 0.99% | 2.08% |
2000 | 9 | 3.15% | $22,306 | -1.61% | $16,408 | -5.29% | $15,361 | -5.29% | -2.69% | 3.15% | -0.85% |
2000 | 10 | 6.13% | $23,673 | -1.02% | $16,240 | -0.43% | $15,295 | -0.43% | -8.77% | 6.13% | 1.57% |
2000 | 11 | 6.14% | $25,128 | -2.02% | $15,912 | -7.89% | $14,089 | -7.89% | -4.32% | 6.14% | 2.99% |
2000 | 12 | 4.12% | $26,162 | 2.60% | $16,325 | 0.51% | $14,161 | 0.51% | 3.16% | 4.12% | 2.45% |
2001 | 1 | -5.12% | $24,822 | 0.03% | $16,330 | 3.55% | $14,663 | 3.55% | 1.67% | -5.12% | 0.28% |
2001 | 2 | 1.79% | $25,267 | -4.04% | $15,670 | -9.14% | $13,323 | -9.14% | -4.78% | 1.79% | 1.80% |
2001 | 3 | -2.48% | $24,641 | -5.72% | $14,775 | -6.36% | $12,477 | -6.36% | -8.31% | -2.48% | -0.60% |
2001 | 4 | -2.56% | $24,010 | 4.14% | $15,387 | 7.77% | $13,446 | 7.77% | 5.83% | -1.17% | -2.56% |
2001 | 5 | 0.21% | $24,059 | 0.18% | $15,414 | 0.65% | $13,533 | 0.65% | -2.21% | 2.09% | 0.21% |
2001 | 6 | 0.76% | $24,242 | -2.58% | $15,016 | -2.45% | $13,202 | -2.45% | -4.34% | -0.96% | 0.76% |
2001 | 7 | 3.61% | $25,117 | -1.34% | $14,815 | -1.00% | $13,070 | -1.00% | -4.62% | 1.60% | 3.61% |
2001 | 8 | 4.22% | $26,177 | -1.32% | $14,619 | -6.27% | $12,250 | -6.27% | -1.90% | 4.22% | 2.02% |
2001 | 9 | -2.95% | $25,404 | -8.62% | $13,359 | -8.09% | $11,259 | -8.09% | -14.83% | -2.95% | 0.88% |
2001 | 10 | 5.12% | $26,705 | 1.70% | $13,586 | 1.90% | $11,473 | 1.90% | 3.19% | 0.02% | 5.12% |
2001 | 11 | 1.62% | $27,138 | 5.08% | $14,275 | 7.65% | $12,351 | 7.65% | 5.95% | 1.62% | -4.98% |
2001 | 12 | 1.26% | $27,480 | 1.11% | $14,434 | 0.87% | $12,459 | 0.87% | 1.19% | 1.26% | -1.91% |
2002 | 1 | 1.31% | $27,841 | -0.58% | $14,350 | -1.47% | $12,275 | -1.47% | -1.57% | 1.31% | 1.20% |
2002 | 2 | 3.21% | $28,735 | 0.14% | $14,371 | -1.94% | $12,037 | -1.94% | -0.85% | 3.21% | 1.24% |
2002 | 3 | 2.19% | $29,365 | 4.19% | $14,973 | 3.74% | $12,488 | 3.74% | 6.63% | 2.19% | -3.86% |
2002 | 4 | 2.91% | $30,219 | -0.07% | $14,963 | -6.07% | $11,729 | -6.07% | 2.91% | 2.97% | 3.73% |
2002 | 5 | 1.27% | $30,602 | 0.45% | $15,030 | -0.75% | $11,641 | -0.75% | 1.27% | 0.83% | 0.39% |
2002 | 6 | -4.52% | $29,218 | -5.49% | $14,204 | -7.13% | $10,810 | -7.13% | -4.52% | -4.83% | 1.76% |
2002 | 7 | 2.93% | $30,073 | -8.10% | $13,053 | -7.72% | $9,976 | -7.72% | -9.07% | -7.51% | 2.93% |
2002 | 8 | 4.28% | $31,360 | 0.01% | $13,054 | 0.65% | $10,041 | 0.65% | -1.44% | 0.81% | 4.28% |
2002 | 9 | 4.02% | $32,619 | -9.66% | $11,792 | -10.87% | $8,949 | -10.87% | -10.69% | -7.43% | 4.02% |
2002 | 10 | -2.84% | $31,694 | 5.09% | $12,393 | 8.78% | $9,735 | 8.78% | 2.14% | 4.35% | -2.84% |
2002 | 11 | -0.98% | $31,385 | 2.79% | $12,738 | 5.88% | $10,307 | 5.88% | 4.32% | -1.83% | -0.98% |
2002 | 12 | 4.05% | $32,657 | -2.80% | $12,382 | -5.89% | $9,700 | -5.89% | -2.47% | -0.02% | 4.05% |
2003 | 1 | -0.45% | $32,511 | -2.95% | $12,017 | -2.62% | $9,445 | -2.62% | -2.08% | -4.15% | -0.45% |
2003 | 2 | 3.03% | $33,495 | -2.71% | $11,692 | -1.52% | $9,302 | -1.52% | -2.62% | -3.98% | 3.03% |
2003 | 3 | -1.13% | $33,115 | -0.41% | $11,644 | 0.96% | $9,391 | 0.96% | -1.41% | -0.78% | -1.13% |
2003 | 4 | 8.25% | $35,849 | 7.59% | $12,527 | 8.25% | $10,166 | 8.25% | 10.65% | 3.87% | 0.91% |
2003 | 5 | 11.15% | $39,846 | 7.65% | $13,486 | 5.26% | $10,701 | 5.26% | 11.15% | 6.55% | 5.67% |
2003 | 6 | 3.80% | $41,361 | 2.30% | $13,796 | 1.26% | $10,836 | 1.26% | 3.80% | 1.84% | -1.48% |
2003 | 7 | 4.78% | $43,338 | 2.02% | $14,075 | 1.74% | $11,025 | 1.74% | 4.78% | -0.48% | -8.57% |
2003 | 8 | 4.08% | $45,105 | 2.32% | $14,401 | 1.93% | $11,238 | 1.93% | 4.08% | 0.96% | 1.43% |
2003 | 9 | 5.41% | $47,546 | 2.04% | $14,695 | -1.07% | $11,117 | -1.07% | 5.41% | 1.77% | 5.07% |
2003 | 10 | 5.22% | $50,028 | 4.78% | $15,397 | 5.64% | $11,744 | 5.64% | 5.22% | 3.48% | -2.58% |
2003 | 11 | 2.19% | $51,122 | 1.92% | $15,693 | 0.86% | $11,846 | 0.86% | 2.19% | 2.72% | 0.31% |
2003 | 12 | 6.08% | $54,230 | 4.44% | $16,390 | 5.22% | $12,464 | 5.22% | 6.08% | 2.02% | 1.23% |
2004 | 1 | 4.21% | $56,514 | 2.12% | $16,738 | 1.82% | $12,691 | 1.82% | 4.21% | 0.34% | 1.74% |
2004 | 2 | 3.52% | $58,502 | 3.38% | $17,304 | 1.38% | $12,866 | 1.38% | 3.52% | 5.25% | 1.96% |
2004 | 3 | 2.31% | $59,856 | 0.27% | $17,352 | -1.51% | $12,671 | -1.51% | 2.31% | 0.02% | 1.45% |
2004 | 4 | -1.98% | $58,671 | -0.88% | $17,199 | -1.58% | $12,472 | -1.58% | -1.98% | 0.92% | -5.52% |
2004 | 5 | -1.15% | $57,994 | -0.29% | $17,150 | 1.36% | $12,641 | 1.36% | -1.15% | -1.07% | -0.56% |
2004 | 6 | 3.21% | $59,856 | 1.96% | $17,486 | 1.93% | $12,885 | 1.93% | 3.21% | 0.73% | 0.87% |
2004 | 7 | -2.76% | $58,206 | -2.89% | $16,980 | -3.31% | $12,458 | -3.31% | -2.76% | -2.61% | 1.52% |
2004 | 8 | 3.39% | $60,177 | -0.07% | $16,968 | 0.38% | $12,506 | 0.38% | 0.87% | -1.47% | 3.39% |
2004 | 9 | 2.38% | $61,608 | 0.97% | $17,132 | 1.07% | $12,639 | 1.07% | 2.38% | -0.53% | 0.94% |
2004 | 10 | 3.03% | $63,472 | 2.30% | $17,527 | 1.51% | $12,831 | 1.51% | 3.03% | 2.37% | 1.46% |
2004 | 11 | 7.72% | $68,371 | 6.13% | $18,602 | 4.05% | $13,350 | 4.05% | 7.72% | 6.63% | -2.25% |
2004 | 12 | 7.12% | $73,241 | 5.04% | $19,540 | 3.39% | $13,803 | 3.39% | 7.12% | 4.61% | 2.22% |
2005 | 1 | 0.92% | $73,914 | -0.28% | $19,486 | -2.45% | $13,464 | -2.45% | 0.92% | 0.71% | 2.59% |
2005 | 2 | 4.31% | $77,096 | 2.37% | $19,949 | 2.09% | $13,746 | 2.09% | 4.31% | 0.72% | -1.24% |
2005 | 3 | -2.21% | $75,393 | -1.56% | $19,639 | -1.76% | $13,504 | -1.76% | -2.21% | -0.70% | -0.76% |
2005 | 4 | -2.02% | $73,869 | -2.26% | $19,194 | -1.91% | $13,246 | -1.91% | -2.02% | -2.85% | 3.22% |
2005 | 5 | 0.36% | $74,138 | 2.27% | $19,630 | 3.17% | $13,666 | 3.17% | 0.36% | 3.28% | 2.55% |
2005 | 6 | -1.24% | $73,221 | 0.54% | $19,736 | 0.13% | $13,683 | 0.13% | 2.72% | -1.24% | 1.64% |
2005 | 7 | 4.53% | $76,540 | 4.16% | $20,556 | 3.71% | $14,190 | 3.71% | 4.53% | 4.23% | -2.58% |
2005 | 8 | 2.03% | $78,091 | 0.10% | $20,576 | -0.91% | $14,060 | -0.91% | 2.03% | -0.82% | 2.87% |
2005 | 9 | 3.53% | $80,849 | 1.67% | $20,919 | 0.79% | $14,172 | 0.79% | 3.53% | 0.67% | -2.78% |
2005 | 10 | -4.10% | $77,531 | -2.04% | $20,492 | -1.68% | $13,934 | -1.68% | -4.10% | -0.34% | -1.74% |
2005 | 11 | 2.67% | $79,600 | 2.53% | $21,011 | 3.76% | $14,459 | 3.76% | 2.67% | 1.17% | 0.57% |
2005 | 12 | 6.60% | $84,852 | 2.56% | $21,550 | 0.02% | $14,462 | 0.02% | 6.60% | 1.07% | 2.33% |
2006 | 1 | 7.37% | $91,102 | 3.85% | $22,379 | 2.65% | $14,845 | 2.65% | 7.37% | 1.54% | -0.90% |
2006 | 2 | 0.62% | $91,671 | 0.78% | $22,554 | 0.26% | $14,884 | 0.26% | 0.62% | 1.46% | 0.81% |
2006 | 3 | 5.27% | $96,500 | 2.78% | $23,181 | 1.23% | $15,067 | 1.23% | 5.27% | 1.84% | -3.39% |
2006 | 4 | 5.50% | $101,804 | 2.72% | $23,812 | 1.33% | $15,268 | 1.33% | 5.50% | 1.34% | -1.96% |
2006 | 5 | -4.93% | $96,784 | -2.86% | $23,131 | -2.90% | $14,825 | -2.90% | -4.93% | -0.75% | -0.03% |
2006 | 6 | -2.15% | $94,701 | -0.13% | $23,102 | 0.13% | $14,844 | 0.13% | -2.15% | 1.65% | 0.71% |
2006 | 7 | 2.40% | $96,974 | 0.84% | $23,295 | 0.61% | $14,934 | 0.61% | -0.50% | 2.40% | 1.84% |
2006 | 8 | 3.00% | $99,882 | 2.57% | $23,895 | 2.36% | $15,287 | 2.36% | 2.36% | 3.00% | 2.74% |
2006 | 9 | 1.20% | $101,080 | 1.86% | $24,339 | 2.56% | $15,679 | 2.56% | 1.82% | 1.20% | 1.58% |
2006 | 10 | 1.06% | $102,155 | 2.66% | $24,987 | 3.25% | $16,189 | 3.25% | 3.66% | 1.06% | 0.77% |
2006 | 11 | 1.89% | $104,085 | 2.46% | $25,600 | 1.89% | $16,495 | 1.89% | 4.51% | 0.97% | 1.91% |
2006 | 12 | 3.95% | $108,198 | 2.74% | $26,302 | 1.39% | $16,724 | 1.39% | 3.95% | 2.89% | -2.14% |
2007 | 1 | 2.94% | $111,377 | 2.43% | $26,941 | 1.49% | $16,974 | 1.49% | 2.94% | 2.85% | -0.85% |
2007 | 2 | 0.32% | $111,736 | -0.98% | $26,677 | -1.97% | $16,640 | -1.97% | 0.32% | -1.29% | 2.93% |
2007 | 3 | 3.21% | $115,325 | 2.50% | $27,343 | 1.11% | $16,825 | 1.11% | 3.21% | 3.17% | -1.13% |
2007 | 4 | 3.87% | $119,787 | 4.00% | $28,436 | 4.42% | $17,568 | 4.42% | 3.87% | 3.71% | 0.86% |
2007 | 5 | 2.44% | $122,709 | 2.43% | $29,128 | 3.48% | $18,179 | 3.48% | 2.44% | 1.38% | -1.93% |
2007 | 6 | -1.13% | $121,325 | -1.56% | $28,673 | -1.68% | $17,874 | -1.68% | -1.13% | -1.88% | -0.88% |
2007 | 7 | -0.46% | $120,761 | -1.35% | $28,287 | -3.08% | $17,323 | -3.08% | -0.46% | -0.49% | 2.39% |
2007 | 8 | -2.97% | $117,171 | 0.62% | $28,463 | 1.50% | $17,582 | 1.50% | -2.97% | 3.34% | 1.97% |
2007 | 9 | 5.54% | $123,658 | 3.76% | $29,532 | 3.72% | $18,237 | 3.72% | 2.01% | 5.54% | 0.21% |
2007 | 10 | 3.17% | $127,572 | 3.57% | $30,586 | 1.58% | $18,525 | 1.58% | 5.96% | 3.17% | 1.40% |
2007 | 11 | 1.04% | $128,896 | -3.74% | $29,444 | -4.19% | $17,749 | -4.19% | -8.06% | 1.04% | 4.59% |
2007 | 12 | -0.61% | $128,115 | -1.20% | $29,090 | -0.70% | $17,625 | -0.70% | -2.30% | -0.61% | -0.48% |
2008 | 1 | -5.99% | $120,435 | -7.05% | $27,040 | -6.02% | $16,565 | -6.02% | -9.13% | -5.99% | 2.64% |
2008 | 2 | 0.35% | $120,857 | 0.03% | $27,048 | -3.25% | $16,026 | -3.25% | 2.26% | 1.09% | 0.35% |
2008 | 3 | 1.02% | $122,092 | 0.28% | $27,125 | -0.44% | $15,956 | -0.44% | -1.34% | 2.62% | 1.02% |
2008 | 4 | -1.84% | $119,846 | 2.22% | $27,727 | 4.85% | $16,730 | 4.85% | 2.24% | -0.43% | -1.84% |
2008 | 5 | -2.13% | $117,296 | 1.49% | $28,140 | 1.29% | $16,946 | 1.29% | 2.07% | 1.10% | -2.13% |
2008 | 6 | -8.44% | $107,398 | -8.15% | $25,847 | -8.44% | $15,516 | -8.44% | -7.91% | -8.10% | 1.80% |
2008 | 7 | 0.30% | $107,715 | -1.81% | $25,378 | -0.83% | $15,387 | -0.83% | -5.82% | 1.22% | 0.30% |
2008 | 8 | 1.80% | $109,660 | -0.17% | $25,336 | 1.45% | $15,610 | 1.45% | -3.39% | 1.43% | 1.80% |
2008 | 9 | 0.28% | $109,970 | -9.32% | $22,973 | -8.91% | $14,220 | -8.91% | -15.43% | -3.64% | 0.28% |
2008 | 10 | -3.63% | $105,980 | -18.75% | $18,665 | -16.79% | $11,832 | -16.79% | -24.14% | -15.33% | -3.63% |
2008 | 11 | 12.07% | $118,769 | -4.11% | $17,898 | -7.17% | $10,983 | -7.17% | -4.94% | -0.22% | 12.07% |
2008 | 12 | 8.87% | $129,299 | 4.43% | $18,690 | 1.07% | $11,100 | 1.07% | 9.18% | 3.04% | 8.87% |
2009 | 1 | -8.47% | $118,347 | -8.22% | $17,154 | -8.41% | $10,166 | -8.41% | -9.15% | -7.10% | -8.47% |
2009 | 2 | -1.01% | $117,153 | -8.22% | $15,744 | -10.66% | $9,083 | -10.66% | -7.18% | -6.82% | -1.01% |
2009 | 3 | 5.27% | $123,322 | 6.78% | $16,812 | 8.76% | $9,879 | 8.76% | 7.98% | 3.60% | 5.27% |
2009 | 4 | -4.99% | $117,170 | 9.43% | $18,398 | 9.56% | $10,823 | 9.56% | 13.97% | 4.77% | -4.99% |
2009 | 5 | 13.98% | $133,552 | 9.10% | $20,072 | 5.62% | $11,431 | 5.62% | 13.98% | 7.71% | -2.68% |
2009 | 6 | 1.96% | $136,164 | 1.21% | $20,315 | 0.22% | $11,456 | 0.22% | 1.96% | 1.45% | 0.70% |
2009 | 7 | 7.41% | $146,254 | 7.39% | $21,817 | 7.58% | $12,324 | 7.58% | 7.41% | 7.19% | 0.80% |
2009 | 8 | 5.19% | $153,852 | 3.56% | $22,594 | 3.60% | $12,768 | 3.60% | 5.19% | 1.89% | 1.68% |
2009 | 9 | 6.33% | $163,586 | 4.60% | $23,633 | 3.72% | $13,242 | 3.72% | 6.33% | 3.75% | 1.98% |
2009 | 10 | -1.67% | $160,856 | -0.72% | $23,462 | -1.87% | $12,995 | -1.87% | -1.67% | 1.37% | -1.45% |
2009 | 11 | 1.70% | $163,586 | 3.31% | $24,239 | 5.98% | $13,772 | 5.98% | 1.70% | 2.26% | 1.91% |
2009 | 12 | 1.95% | $166,769 | 1.25% | $24,543 | 1.95% | $14,040 | 1.95% | 1.53% | 0.28% | -5.66% |
2010 | 1 | -3.60% | $160,759 | -2.25% | $23,991 | -3.60% | $13,534 | -3.60% | -1.96% | -1.18% | 2.66% |
2010 | 2 | -0.89% | $159,332 | 1.44% | $24,337 | 3.09% | $13,952 | 3.09% | -0.89% | 2.11% | -0.21% |
2010 | 3 | 6.01% | $168,914 | 5.75% | $25,736 | 6.01% | $14,791 | 6.01% | 7.16% | 4.08% | -1.51% |
2010 | 4 | 1.58% | $171,579 | 0.53% | $25,872 | 1.58% | $15,025 | 1.58% | 1.04% | -1.03% | 2.76% |
2010 | 5 | -8.01% | $157,844 | -8.71% | $23,618 | -8.01% | $13,822 | -8.01% | -11.51% | -6.62% | 4.23% |
2010 | 6 | 4.67% | $165,209 | -2.62% | $23,000 | -5.24% | $13,098 | -5.24% | -0.16% | -2.46% | 4.67% |
2010 | 7 | -0.17% | $164,927 | 8.12% | $24,867 | 7.00% | $14,014 | 7.00% | 9.52% | 7.85% | -0.17% |
2010 | 8 | -2.64% | $160,580 | -3.10% | $24,097 | -4.53% | $13,379 | -4.53% | -2.64% | -2.13% | 7.08% |
2010 | 9 | 11.56% | $179,140 | 9.40% | $26,361 | 8.92% | $14,573 | 8.92% | 11.56% | 7.72% | -1.82% |
2010 | 10 | 3.67% | $185,719 | 3.58% | $27,305 | 3.79% | $15,125 | 3.79% | 3.67% | 3.28% | -3.29% |
2010 | 11 | -3.16% | $179,845 | -1.51% | $26,893 | 0.00% | $15,125 | 0.00% | -3.16% | -1.36% | -1.60% |
2010 | 12 | 10.38% | $198,515 | 7.38% | $28,877 | 6.67% | $16,134 | 6.67% | 10.38% | 5.08% | -3.58% |
2011 | 1 | 0.72% | $199,944 | 0.15% | $28,920 | 2.36% | $16,514 | 2.36% | 0.72% | -2.63% | -2.38% |
2011 | 2 | 1.25% | $202,445 | 2.27% | $29,577 | 3.42% | $17,078 | 3.42% | 1.25% | 2.15% | 1.24% |
2011 | 3 | 0.03% | $202,497 | 0.70% | $29,784 | 0.03% | $17,083 | 0.03% | 0.47% | 1.60% | 0.02% |
2011 | 4 | 2.95% | $208,466 | 4.67% | $31,175 | 2.95% | $17,586 | 2.95% | 4.92% | 6.15% | 2.04% |
2011 | 5 | 1.82% | $212,254 | -0.59% | $30,990 | -1.15% | $17,385 | -1.15% | -2.46% | 1.82% | 3.29% |
2011 | 6 | -2.39% | $207,175 | -2.29% | $30,280 | -1.67% | $17,094 | -1.67% | -2.80% | -2.39% | -2.00% |
2011 | 7 | -1.08% | $204,937 | -1.57% | $29,804 | -2.05% | $16,744 | -2.05% | -1.59% | -1.08% | 4.18% |
2011 | 8 | 0.00% | $204,937 | -5.05% | $28,301 | -5.45% | $15,832 | -5.45% | -9.69% | 0.00% | 8.68% |
2011 | 9 | -5.03% | $194,638 | -7.95% | $26,050 | -7.04% | $14,717 | -7.04% | -11.79% | -5.03% | 10.16% |
2011 | 10 | -3.34% | $188,146 | 8.07% | $28,153 | 10.91% | $16,323 | 10.91% | 8.18% | 5.11% | -3.34% |
2011 | 11 | 1.40% | $190,785 | -0.93% | $27,891 | -0.23% | $16,285 | -0.23% | -3.96% | 1.40% | 1.82% |
2011 | 12 | 1.96% | $194,524 | -0.12% | $27,859 | 1.02% | $16,451 | 1.02% | -3.32% | 1.96% | 3.13% |
2012 | 1 | -0.88% | $192,810 | 4.13% | $29,010 | 4.46% | $17,186 | 4.46% | 8.81% | -0.88% | 0.08% |
2012 | 2 | 4.31% | $201,114 | 5.40% | $30,576 | 4.31% | $17,926 | 4.31% | 5.59% | 6.30% | -2.11% |
2012 | 3 | 3.28% | $207,713 | 2.15% | $31,234 | 3.28% | $18,514 | 3.28% | 0.41% | 2.76% | -3.77% |
2012 | 4 | -0.64% | $206,385 | -0.40% | $31,110 | -0.64% | $18,396 | -0.64% | -0.68% | 0.13% | 4.37% |
2012 | 5 | -4.32% | $197,468 | -7.37% | $28,817 | -6.02% | $17,288 | -6.02% | -11.78% | -4.32% | 7.79% |
2012 | 6 | 5.71% | $208,741 | 4.56% | $30,131 | 4.11% | $17,999 | 4.11% | 3.86% | 5.71% | -1.44% |
2012 | 7 | 3.16% | $215,328 | 1.43% | $30,563 | 1.37% | $18,245 | 1.37% | -0.22% | 3.16% | 3.32% |
2012 | 8 | 0.05% | $215,435 | 1.73% | $31,092 | 2.24% | $18,654 | 2.24% | 2.90% | 0.05% | -1.06% |
2012 | 9 | 1.67% | $219,023 | 2.64% | $31,914 | 2.58% | $19,135 | 2.58% | 3.69% | 1.67% | -2.10% |
2012 | 10 | -0.95% | $216,934 | -0.54% | $31,741 | -1.86% | $18,779 | -1.86% | 1.19% | -0.95% | -0.43% |
2012 | 11 | 0.62% | $218,281 | 1.44% | $32,199 | 0.56% | $18,884 | 0.56% | 0.62% | 3.15% | 1.35% |
2012 | 12 | -1.83% | $214,294 | 0.90% | $32,488 | 0.90% | $19,054 | 0.90% | 3.62% | -1.83% | -1.99% |
2013 | 1 | 4.96% | $224,928 | 5.35% | $34,225 | 5.18% | $20,041 | 5.18% | 4.96% | 5.90% | -3.27% |
2013 | 2 | 0.19% | $225,365 | 1.07% | $34,592 | 1.34% | $20,309 | 1.34% | 0.19% | 1.69% | 1.26% |
2013 | 3 | 1.29% | $228,279 | 3.02% | $35,637 | 3.74% | $21,068 | 3.74% | 1.29% | 4.03% | 0.03% |
2013 | 4 | 3.03% | $235,189 | 2.88% | $36,663 | 1.91% | $21,470 | 1.91% | 3.70% | 3.03% | 3.87% |
2013 | 5 | -1.92% | $230,668 | -0.03% | $36,652 | 2.33% | $21,970 | 2.33% | -0.49% | -1.92% | -6.23% |
2013 | 6 | -1.35% | $227,553 | -1.76% | $36,008 | -1.35% | $21,673 | -1.35% | -2.16% | -1.76% | -3.26% |
2013 | 7 | 5.07% | $239,095 | 4.91% | $37,776 | 5.07% | $22,773 | 5.07% | 5.50% | 4.16% | -1.93% |
2013 | 8 | -2.91% | $232,133 | -2.39% | $36,874 | -2.91% | $22,110 | -2.91% | -0.66% | -3.60% | -1.28% |
2013 | 9 | 7.30% | $249,074 | 4.22% | $38,428 | 3.12% | $22,800 | 3.12% | 7.30% | 2.23% | 0.88% |
2013 | 10 | 3.99% | $259,014 | 4.57% | $40,183 | 4.59% | $23,846 | 4.59% | 3.99% | 5.12% | 1.32% |
2013 | 11 | 0.81% | $261,114 | 1.42% | $40,752 | 3.03% | $24,568 | 3.03% | 0.81% | 0.41% | -2.49% |
2013 | 12 | 2.72% | $268,222 | 2.06% | $41,592 | 2.51% | $25,185 | 2.51% | 2.72% | 0.95% | -2.37% |
2014 | 1 | -2.23% | $262,251 | -4.41% | $39,756 | -3.47% | $24,312 | -3.47% | -2.23% | -7.55% | 6.26% |
2014 | 2 | 5.94% | $277,832 | 5.54% | $41,959 | 4.56% | $25,420 | 4.56% | 5.94% | 6.13% | 0.60% |
2014 | 3 | 0.73% | $279,871 | 1.43% | $42,558 | 0.82% | $25,630 | 0.82% | 0.73% | 2.72% | 0.63% |
2014 | 4 | -0.62% | $278,123 | 1.05% | $43,005 | 0.72% | $25,815 | 0.72% | -0.62% | 3.05% | 1.82% |
2014 | 5 | 2.27% | $284,447 | 2.18% | $43,944 | 2.33% | $26,418 | 2.33% | 1.94% | 2.27% | 2.73% |
2014 | 6 | 0.24% | $285,123 | 1.14% | $44,444 | 2.05% | $26,960 | 2.05% | 1.13% | 0.24% | -0.16% |
2014 | 7 | -1.39% | $281,165 | -2.08% | $43,520 | -1.39% | $26,586 | -1.39% | -2.08% | -2.77% | 0.59% |
2014 | 8 | 3.98% | $292,360 | 3.07% | $44,855 | 3.98% | $27,644 | 3.98% | 0.62% | 4.60% | 4.23% |
2014 | 9 | -1.41% | $288,230 | -2.02% | $43,948 | -1.41% | $27,254 | -1.41% | -4.43% | -0.22% | -1.99% |
2014 | 10 | 3.14% | $297,282 | 1.35% | $44,541 | 2.42% | $27,914 | 2.42% | -1.51% | 3.14% | 2.61% |
2014 | 11 | 5.16% | $312,634 | 2.14% | $45,495 | 2.68% | $28,663 | 2.68% | -1.42% | 5.16% | 2.86% |
2014 | 12 | -1.95% | $306,538 | -0.94% | $45,067 | -0.26% | $28,587 | -0.26% | -0.61% | -1.95% | 2.82% |
2015 | 1 | 0.70% | $308,671 | -0.81% | $44,700 | -3.02% | $27,725 | -3.02% | -0.12% | 0.70% | 8.97% |
2015 | 2 | 3.68% | $320,025 | 5.41% | $47,117 | 5.74% | $29,316 | 5.74% | 6.81% | 3.68% | -5.66% |
2015 | 3 | -2.61% | $311,682 | -1.21% | $46,547 | -1.59% | $28,849 | -1.59% | 0.57% | -2.61% | 1.13% |
2015 | 4 | 3.45% | $322,442 | 1.26% | $47,133 | 0.95% | $29,123 | 0.95% | 3.45% | -0.63% | -3.07% |
2015 | 5 | 0.88% | $325,264 | 0.68% | $47,455 | 1.27% | $29,493 | 1.27% | 0.88% | -0.09% | -2.16% |
2015 | 6 | -1.14% | $321,560 | -1.57% | $46,712 | -1.93% | $28,923 | -1.93% | -1.14% | -1.63% | -3.73% |
2015 | 7 | 1.15% | $325,264 | 2.11% | $47,699 | 2.08% | $29,525 | 2.08% | 1.15% | 3.10% | 4.21% |
2015 | 8 | -4.99% | $309,036 | -6.33% | $44,678 | -6.05% | $27,740 | -6.05% | -4.99% | -7.96% | -0.71% |
2015 | 9 | 1.91% | $314,942 | -1.87% | $43,844 | -2.48% | $27,050 | -2.48% | -3.08% | -0.03% | 1.91% |
2015 | 10 | -0.48% | $313,434 | 6.11% | $46,525 | 8.42% | $29,329 | 8.42% | 4.59% | 5.33% | -0.48% |
2015 | 11 | 0.29% | $314,332 | -0.16% | $46,453 | 0.29% | $29,413 | 0.29% | 0.11% | -0.86% | -0.81% |
2015 | 12 | -1.59% | $309,326 | 0.87% | $46,857 | -1.59% | $28,944 | -1.59% | 0.60% | 3.60% | -0.34% |
2016 | 1 | -0.91% | $306,513 | -4.18% | $44,896 | -4.98% | $27,504 | -4.98% | -6.67% | -0.91% | 5.24% |
2016 | 2 | 2.86% | $315,278 | -0.84% | $44,520 | -0.15% | $27,464 | -0.15% | -2.40% | 0.03% | 2.86% |
2016 | 3 | 5.89% | $333,850 | 6.75% | $47,524 | 6.78% | $29,325 | 6.78% | 7.58% | 5.89% | 0.05% |
2016 | 4 | -0.21% | $333,152 | 0.28% | $47,655 | 0.37% | $29,434 | 0.37% | 0.66% | -0.21% | -0.63% |
2016 | 5 | -0.30% | $332,169 | 0.97% | $48,119 | 1.78% | $29,959 | 1.78% | 1.44% | -0.30% | 0.69% |
2016 | 6 | 4.24% | $346,252 | -0.35% | $47,950 | 0.25% | $30,034 | 0.25% | -5.54% | 4.24% | 6.57% |
2016 | 7 | -0.48% | $344,601 | 2.94% | $49,360 | 3.68% | $31,138 | 3.68% | 5.62% | -0.48% | 2.01% |
2016 | 8 | 0.13% | $345,048 | -0.28% | $49,219 | 0.13% | $31,178 | 0.13% | -0.18% | -0.81% | -1.00% |
2016 | 9 | 0.01% | $345,076 | 0.43% | $49,432 | 0.01% | $31,181 | 0.01% | 2.84% | -1.55% | -1.32% |
2016 | 10 | -3.17% | $334,149 | -2.08% | $48,406 | -1.83% | $30,609 | -1.83% | -3.17% | -1.23% | -4.23% |
2016 | 11 | 3.70% | $346,510 | -0.99% | $47,926 | 3.70% | $31,742 | 3.70% | -2.50% | -4.17% | -7.86% |
2016 | 12 | 1.96% | $353,310 | 2.14% | $48,951 | 1.96% | $32,365 | 1.96% | 1.53% | 2.92% | -0.35% |
2017 | 1 | 1.88% | $359,964 | 3.13% | $50,482 | 1.88% | $32,974 | 1.88% | 4.41% | 3.09% | 0.65% |
2017 | 2 | 3.96% | $374,228 | 3.50% | $52,247 | 3.96% | $34,281 | 3.96% | 1.82% | 4.71% | 1.57% |
2017 | 3 | 0.10% | $374,602 | 1.69% | $53,132 | 0.10% | $34,315 | 0.10% | 3.74% | 1.24% | -0.59% |
2017 | 4 | 5.39% | $394,778 | 2.67% | $54,551 | 1.02% | $34,664 | 1.02% | 5.39% | 1.61% | 1.58% |
2017 | 5 | 4.27% | $411,626 | 2.91% | $56,137 | 1.39% | $35,148 | 1.39% | 4.27% | 3.06% | 1.73% |
2017 | 6 | 0.51% | $413,706 | -0.38% | $55,927 | 0.61% | $35,362 | 0.61% | 0.51% | -2.24% | 0.63% |
2017 | 7 | 3.47% | $428,058 | 1.81% | $56,939 | 2.04% | $36,085 | 2.04% | 3.47% | -0.08% | -0.59% |
2017 | 8 | 0.39% | $429,722 | -0.53% | $56,639 | 0.29% | $36,191 | 0.29% | 0.39% | -2.26% | 3.27% |
2017 | 9 | 3.97% | $446,777 | 1.67% | $57,587 | 2.06% | $36,936 | 2.06% | 3.97% | -1.00% | -2.27% |
2017 | 10 | 1.82% | $454,889 | 0.76% | $58,026 | 2.32% | $37,792 | 2.32% | 1.82% | -1.85% | -0.02% |
2017 | 11 | 0.46% | $456,969 | 2.16% | $59,276 | 3.06% | $38,948 | 3.06% | 0.46% | 2.95% | 0.63% |
2017 | 12 | 1.10% | $462,005 | 2.26% | $60,618 | 1.10% | $39,377 | 1.10% | 3.14% | 2.54% | 1.78% |
2018 | 1 | 5.12% | $485,659 | 4.28% | $63,215 | 5.71% | $41,627 | 5.71% | 5.12% | 2.02% | -3.40% |
2018 | 2 | -3.69% | $467,715 | -4.88% | $60,133 | -3.69% | $40,089 | -3.69% | -4.02% | -6.91% | -2.89% |
2018 | 3 | -0.33% | $466,191 | -1.24% | $59,389 | -2.56% | $39,064 | -2.56% | -0.33% | -0.83% | 2.75% |
2018 | 4 | 0.28% | $467,498 | -1.47% | $58,519 | 0.37% | $39,210 | 0.37% | 0.28% | -5.05% | -2.04% |
2018 | 5 | 1.79% | $475,887 | -0.10% | $58,458 | 2.39% | $40,149 | 2.39% | -0.84% | -1.87% | 1.79% |
2018 | 6 | 0.61% | $478,767 | 0.72% | $58,882 | 0.61% | $40,392 | 0.61% | -2.16% | 3.73% | 0.66% |
2018 | 7 | 3.71% | $496,526 | 2.47% | $60,334 | 3.71% | $41,890 | 3.71% | 0.10% | 3.60% | -1.28% |
2018 | 8 | 3.25% | $512,644 | 0.32% | $60,530 | 3.25% | $43,250 | 3.25% | -1.77% | -0.50% | 1.18% |
2018 | 9 | 0.55% | $515,486 | -0.11% | $60,462 | 0.55% | $43,490 | 0.55% | -1.17% | 0.28% | -2.74% |
2018 | 10 | -6.85% | $480,180 | -6.56% | $56,497 | -6.85% | $40,511 | -6.85% | -11.76% | -1.07% | -2.82% |
2018 | 11 | 0.67% | $483,390 | 0.77% | $56,931 | 2.03% | $41,332 | 2.03% | -0.39% | 0.67% | 1.78% |
2018 | 12 | -10.17% | $434,222 | -9.03% | $51,790 | -9.04% | $37,596 | -9.04% | -7.88% | -10.17% | 5.50% |
Metric | Dual Momentum Model | Equal Weight Portfolio | Vanguard 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 Correlation | 0.44 | 0.92 | 0.99 |
Beta(*) | 0.39 | 0.82 | 1.00 |
Alpha (annualized) | 16.19% | 2.63% | -0.00% |
R2 | 16.33% | 84.40% | 100.00% |
Sharpe Ratio | 1.19 | 0.51 | 0.37 |
Sortino Ratio | 2.22 | 0.72 | 0.52 |
Treynor Ratio (%) | 43.79 | 8.30 | 5.52 |
Calmar Ratio | 0.76 | 0.19 | 0.67 |
Active Return | 13.16% | 1.64% | N/A |
Tracking Error | 16.02% | 5.89% | N/A |
Information Ratio | 0.82 | 0.28 | N/A |
Skewness | 0.11 | -1.00 | -0.67 |
Excess Kurtosis | 1.63 | 2.93 | 1.25 |
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 (%) | 86.11 | 87.96 | 100.00 |
Downside Capture Ratio (%) | 13.88 | 77.14 | 100.00 |
Safe Withdrawal Rate | 25.44% | 9.00% | 6.34% |
Perpetual Withdrawal Rate | 14.66% | 5.56% | 4.11% |
Positive Periods | 172 out of 252 (68.25%) | 157 out of 252 (62.30%) | 161 out of 252 (63.89%) |
Gain/Loss Ratio | 1.28 | 1.01 | 0.81 |
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|
Russian Debt Default | Jul 1998 | Oct 1998 | -12.74% | -12.98% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -20.63% | -29.29% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -17.78% | -48.53% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Mar 2000 | May 2000 | 3 months | Nov 2001 | 1 year 6 months | 1 year 9 months | -20.63% |
2 | Dec 2007 | Oct 2008 | 11 months | Dec 2008 | 2 months | 1 year 1 month | -17.78% |
3 | Oct 2018 | Dec 2018 | 3 months | -15.76% | |||
4 | Aug 1998 | Aug 1998 | 1 month | Jan 1999 | 5 months | 6 months | -12.74% |
5 | Jun 2011 | Oct 2011 | 5 months | Jul 2012 | 9 months | 1 year 2 months | -11.36% |
6 | Jan 2009 | Feb 2009 | 2 months | May 2009 | 3 months | 5 months | -9.39% |
7 | May 2010 | May 2010 | 1 month | Sep 2010 | 4 months | 5 months | -8.01% |
8 | May 2006 | Jun 2006 | 2 months | Oct 2006 | 4 months | 6 months | -6.98% |
9 | Aug 2015 | Jan 2016 | 6 months | Mar 2016 | 2 months | 8 months | -5.76% |
10 | Mar 2005 | Jun 2005 | 4 months | Aug 2005 | 2 months | 6 months | -5.03% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Apr 2011 | 2 years 2 months | 3 years 6 months | -48.53% |
2 | Sep 2000 | Mar 2003 | 2 years 7 months | Jan 2004 | 10 months | 3 years 5 months | -30.18% |
3 | Feb 2018 | Dec 2018 | 11 months | -18.07% | |||
4 | May 2011 | Sep 2011 | 5 months | Mar 2012 | 6 months | 11 months | -16.44% |
5 | Jul 1998 | Aug 1998 | 2 months | Dec 1998 | 4 months | 6 months | -12.98% |
6 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.08% |
7 | Apr 2012 | May 2012 | 2 months | Sep 2012 | 4 months | 6 months | -7.74% |
8 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -4.41% |
9 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.26% |
10 | Mar 2005 | Apr 2005 | 2 months | Jul 2005 | 3 months | 5 months | -3.78% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
4 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
5 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
6 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
7 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |
8 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
9 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.98% |
10 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.71% |
Worst 10 drawdowns included above |
Roll Period | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 22.25% | 130.41% | -16.93% | 9.99% | 54.57% | -41.79% | 8.17% | 53.61% | -43.32% |
3 years | 20.32% | 42.83% | 4.80% | 8.34% | 25.80% | -11.29% | 6.04% | 25.43% | -16.14% |
5 years | 20.25% | 38.21% | 8.92% | 8.51% | 21.66% | -1.87% | 6.17% | 22.85% | -6.73% |
7 years | 19.87% | 34.59% | 11.01% | 8.57% | 16.01% | 1.31% | 6.12% | 17.12% | -3.94% |
10 years | 19.23% | 29.05% | 12.45% | 7.71% | 12.27% | 2.33% | 5.14% | 14.17% | -3.51% |
15 years | 19.92% | 23.87% | 14.88% | 8.64% | 11.70% | 6.77% | 6.14% | 10.39% | 3.64% |
# | Start | End | Months | Assets | Asset Performance | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
66 | Jan 2019 | Jan 2019 | 1 | Please sign-in for forward signals | - | - | - | - |
65 | Nov 2018 | Dec 2018 | 2 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: -9.57% | -9.57% | -8.33% | -7.20% |
64 | Jun 2018 | Oct 2018 | 5 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.90% | 0.90% | -3.35% | 0.90% |
63 | May 2018 | May 2018 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.79% | 1.79% | -0.10% | 2.39% |
62 | Mar 2018 | Apr 2018 | 2 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -0.05% | -0.05% | -2.68% | -2.19% |
61 | Feb 2018 | Feb 2018 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -3.69% | -3.69% | -4.88% | -3.69% |
60 | Jan 2018 | Jan 2018 | 1 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 5.12% | 5.12% | 4.28% | 5.71% |
59 | Dec 2017 | Dec 2017 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.10% | 1.10% | 2.26% | 1.10% |
58 | Apr 2017 | Nov 2017 | 8 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 21.99% | 21.99% | 11.56% | 13.50% |
57 | Nov 2016 | Mar 2017 | 5 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 12.11% | 12.11% | 9.76% | 12.11% |
56 | Oct 2016 | Oct 2016 | 1 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -3.17% | -3.17% | -2.08% | -1.83% |
55 | Aug 2016 | Sep 2016 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.14% | 0.14% | 0.15% | 0.14% |
54 | Mar 2016 | Jul 2016 | 5 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 9.30% | 9.30% | 10.87% | 13.38% |
53 | Feb 2016 | Feb 2016 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 2.86% | 2.86% | -0.84% | -0.15% |
52 | Jan 2016 | Jan 2016 | 1 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: -0.91% | -0.91% | -4.18% | -4.98% |
51 | Nov 2015 | Dec 2015 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.31% | -1.31% | 0.71% | -1.31% |
50 | Sep 2015 | Oct 2015 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.42% | 1.42% | 4.13% | 5.73% |
49 | Apr 2015 | Aug 2015 | 5 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -0.85% | -0.85% | -4.01% | -3.85% |
48 | Oct 2014 | Mar 2015 | 6 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 8.14% | 8.14% | 5.92% | 5.85% |
47 | Jul 2014 | Sep 2014 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.09% | 1.09% | -1.12% | 1.09% |
46 | May 2014 | Jun 2014 | 2 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 2.52% | 2.52% | 3.35% | 4.43% |
45 | Sep 2013 | Apr 2014 | 8 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 19.81% | 19.81% | 16.63% | 16.76% |
44 | Jun 2013 | Aug 2013 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.63% | 0.63% | 0.61% | 0.63% |
43 | Apr 2013 | May 2013 | 2 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 1.05% | 1.05% | 2.85% | 4.28% |
42 | Jan 2013 | Mar 2013 | 3 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 6.53% | 6.53% | 9.69% | 10.57% |
41 | Dec 2012 | Dec 2012 | 1 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: -1.83% | -1.83% | 0.90% | 0.90% |
40 | Nov 2012 | Nov 2012 | 1 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 0.62% | 0.62% | 1.44% | 0.56% |
39 | May 2012 | Oct 2012 | 6 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 5.11% | 5.11% | 2.03% | 2.08% |
38 | Feb 2012 | Apr 2012 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 7.04% | 7.04% | 7.24% | 7.04% |
37 | Nov 2011 | Jan 2012 | 3 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 2.48% | 2.48% | 3.05% | 5.28% |
36 | Oct 2011 | Oct 2011 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -3.34% | -3.34% | 8.07% | 10.91% |
35 | May 2011 | Sep 2011 | 5 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: -6.63% | -6.63% | -16.44% | -16.31% |
34 | Mar 2011 | Apr 2011 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 2.97% | 2.97% | 5.40% | 2.97% |
33 | Aug 2010 | Feb 2011 | 7 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 22.75% | 22.75% | 18.94% | 21.86% |
32 | Jun 2010 | Jul 2010 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 4.49% | 4.49% | 5.29% | 1.39% |
31 | Mar 2010 | May 2010 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -0.93% | -0.93% | -2.95% | -0.93% |
30 | Feb 2010 | Feb 2010 | 1 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -0.89% | -0.89% | 1.44% | 3.09% |
29 | Dec 2009 | Jan 2010 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.73% | -1.73% | -1.02% | -1.73% |
28 | May 2009 | Nov 2009 | 7 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 39.61% | 39.61% | 31.75% | 27.25% |
27 | Jul 2008 | Apr 2009 | 10 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 9.10% | 9.10% | -28.82% | -30.25% |
26 | Jun 2008 | Jun 2008 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -8.44% | -8.44% | -8.15% | -8.44% |
25 | Feb 2008 | May 2008 | 4 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -2.61% | -2.61% | 4.07% | 2.30% |
24 | Sep 2007 | Jan 2008 | 5 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 2.79% | 2.79% | -5.00% | -5.79% |
23 | Dec 2006 | Aug 2007 | 9 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 12.57% | 12.57% | 11.18% | 6.59% |
22 | Nov 2006 | Nov 2006 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.89% | 1.89% | 2.46% | 1.89% |
21 | Jul 2006 | Oct 2006 | 4 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 7.87% | 7.87% | 8.16% | 9.06% |
20 | Jul 2005 | Jun 2006 | 12 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 29.34% | 29.34% | 17.06% | 8.49% |
19 | Jun 2005 | Jun 2005 | 1 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: -1.24% | -1.24% | 0.54% | 0.13% |
18 | Sep 2004 | May 2005 | 9 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 23.20% | 23.20% | 15.69% | 9.27% |
17 | Aug 2004 | Aug 2004 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 3.39% | 3.39% | -0.07% | 0.38% |
16 | May 2003 | Jul 2004 | 15 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 62.37% | 62.37% | 35.54% | 22.55% |
15 | Apr 2003 | Apr 2003 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 8.25% | 8.25% | 7.59% | 8.25% |
14 | Jul 2002 | Mar 2003 | 9 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 13.34% | 13.34% | -18.03% | -13.13% |
13 | Apr 2002 | Jun 2002 | 3 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -0.50% | -0.50% | -5.14% | -13.43% |
12 | Nov 2001 | Mar 2002 | 5 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 9.96% | 9.96% | 10.21% | 8.85% |
11 | Oct 2001 | Oct 2001 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 5.12% | 5.12% | 1.70% | 1.90% |
10 | Aug 2001 | Sep 2001 | 2 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 1.14% | 1.14% | -9.83% | -13.86% |
9 | Apr 2001 | Jul 2001 | 4 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.93% | 1.93% | 0.27% | 4.76% |
8 | Jun 2000 | Mar 2001 | 10 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 16.17% | 16.17% | -6.68% | -17.53% |
7 | Apr 1999 | May 2000 | 14 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: 75.85% | 75.85% | 24.17% | 12.04% |
6 | Dec 1998 | Mar 1999 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 11.08% | 11.08% | 7.49% | 11.08% |
5 | Nov 1998 | Nov 1998 | 1 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: 4.05% | 4.05% | 4.51% | 6.07% |
4 | Sep 1998 | Oct 1998 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 1.54% | 1.54% | 9.56% | 15.10% |
3 | May 1998 | Aug 1998 | 4 | 100.00% Vanguard International Explorer Inv (VINEX) | VINEX: -6.53% | -6.53% | -9.65% | -13.47% |
2 | Feb 1998 | Apr 1998 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 13.80% | 13.80% | 12.60% | 13.80% |
1 | Jan 1998 | Jan 1998 | 1 | 100.00% Fidelity Select Consumer Staples Port (FDFAX) | FDFAX: -3.36% | -3.36% | 1.83% | 1.11% |