Test Market Timing Models

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

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

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
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Weight
Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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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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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 multiple weighted performance windows to rank the assets by weighted average of asset performance. 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$434,22219.67%14.46%77.49%-6.01%-20.63% 1.192.230.44
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)Fidelity Select Consumer Staples Port (FDFAX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19981.61%14.90%28.62%$11,490$12,86228.62%25.98%15.69%13.05%
19992.68%77.49%21.07%$20,393$15,57121.07%90.29%-20.47%-8.66%
20003.39%28.29%-9.06%$26,162$14,161-9.06%-2.68%29.85%19.72%
20011.55%5.04%-12.02%$27,480$12,459-12.02%-22.52%-0.47%4.31%
20022.38%18.84%-22.15%$32,657$9,700-22.15%-13.88%-6.67%16.67%
20031.88%66.06%28.50%$54,230$12,46428.50%57.37%14.11%2.68%
20043.26%35.06%10.74%$73,241$13,80310.74%31.77%15.80%7.12%
20053.42%15.85%4.77%$84,852$14,4624.77%20.49%5.86%6.61%
20062.54%27.51%15.64%$108,198$16,72415.64%30.34%20.19%1.74%
20074.08%18.41%5.39%$128,115$17,6255.39%5.15%21.49%9.24%
20080.09%0.92%-37.02%$129,299$11,100-37.02%-46.62%-22.30%22.52%
20092.72%28.98%26.49%$166,769$14,04026.49%47.12%20.94%-12.05%
20101.50%19.04%14.91%$198,515$16,13414.91%22.55%15.20%8.93%
20112.96%-2.01%1.97%$194,524$16,4511.97%-19.74%8.84%29.28%
20121.74%10.16%15.82%$214,294$19,05415.82%17.93%15.39%3.47%
20131.50%25.17%32.18%$268,222$25,18532.18%30.24%21.63%-13.03%
20140.76%14.29%13.51%$306,538$28,58713.51%-2.88%14.91%25.28%
20150.73%0.91%1.25%$309,326$28,9441.25%8.60%1.90%-1.54%
20162.07%14.22%11.82%$353,310$32,36511.82%-1.77%3.07%1.20%
20172.11%30.76%21.67%$462,005$39,37721.67%38.77%12.06%8.58%
20181.91%-6.01%-4.52%$434,222$37,596-4.52%-23.02%-15.82%-1.90%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard International Explorer Inv (VINEX)Fidelity Select Consumer Staples Port (FDFAX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19981-3.36%1.11%$9,664$10,1111.11%7.75%-3.36%1.91%
199827.19%7.19%$10,359$10,8387.19%5.57%5.51%-0.75%
199835.10%5.10%$10,887$11,3915.10%5.71%3.83%0.14%
199841.01%1.01%$10,997$11,5061.01%5.09%-2.53%0.40%
199855.04%-1.74%$11,552$11,306-1.74%5.04%2.27%1.83%
19986-0.38%4.07%$11,508$11,7664.07%-0.38%2.10%2.35%
199872.36%-1.05%$11,780$11,642-1.05%2.36%-3.60%-0.51%
19988-12.74%-14.47%$10,279$9,957-14.47%-12.74%-9.72%4.83%
199893.29%6.41%$10,617$10,5956.41%-5.29%5.55%3.29%
199810-1.69%8.16%$10,437$11,4608.16%4.47%8.90%-1.69%
1998114.05%6.07%$10,859$12,1566.07%3.42%4.05%0.88%
1998125.81%5.81%$11,490$12,8625.81%4.22%3.15%-0.16%
199914.20%4.20%$11,973$13,4024.20%1.82%-4.05%0.98%
19992-3.12%-3.12%$11,599$12,984-3.12%5.06%-0.95%-4.76%
199934.00%4.00%$12,062$13,5024.00%5.22%-3.32%-0.34%
199948.29%3.85%$13,062$14,0233.85%8.29%-1.29%0.19%
19995-0.88%-2.39%$12,947$13,688-2.39%-0.88%0.11%-1.68%
1999612.43%5.56%$14,557$14,4485.56%12.43%1.21%-1.05%
199979.00%-3.13%$15,868$13,996-3.13%9.00%-0.47%-0.58%
199983.19%-0.50%$16,374$13,926-0.50%3.19%-2.88%-0.49%
19999-1.40%-2.74%$16,144$13,545-2.74%-1.40%-5.18%0.91%
1999101.85%6.33%$16,443$14,4026.33%1.85%1.13%0.12%
19991111.96%2.02%$18,409$14,6932.02%11.96%-2.14%-0.59%
19991210.78%5.98%$20,393$15,5715.98%10.78%-4.59%-1.60%
2000111.64%-5.03%$22,767$14,788-5.03%11.64%-7.68%1.25%
2000217.38%-1.91%$26,724$14,506-1.91%17.38%-6.62%2.96%
20003-3.93%9.76%$25,673$15,9229.76%-3.93%10.45%3.14%
20004-11.47%-3.01%$22,728$15,443-3.01%-11.47%1.93%-0.66%
20005-6.68%-2.04%$21,211$15,128-2.04%-6.68%8.47%-0.46%
200061.95%2.49%$21,625$15,5052.49%5.99%1.95%2.30%
20007-0.98%-1.49%$21,412$15,274-1.49%-2.65%-0.98%1.49%
200080.99%6.19%$21,625$16,2196.19%3.50%0.99%2.08%
200093.15%-5.29%$22,306$15,361-5.29%-2.69%3.15%-0.85%
2000106.13%-0.43%$23,673$15,295-0.43%-8.77%6.13%1.57%
2000116.14%-7.88%$25,128$14,090-7.88%-4.32%6.14%2.99%
2000124.12%0.50%$26,162$14,1610.50%3.16%4.12%2.45%
20011-5.12%3.55%$24,822$14,6633.55%1.67%-5.12%0.28%
200121.79%-9.14%$25,267$13,323-9.14%-4.78%1.79%1.80%
20013-2.48%-6.36%$24,641$12,477-6.36%-8.31%-2.48%-0.60%
20014-2.56%7.77%$24,010$13,4467.77%5.83%-1.17%-2.56%
200150.21%0.65%$24,059$13,5330.65%-2.21%2.09%0.21%
200160.76%-2.45%$24,242$13,202-2.45%-4.34%-0.96%0.76%
200173.61%-1.00%$25,117$13,070-1.00%-4.62%1.60%3.61%
200184.22%-6.27%$26,177$12,250-6.27%-1.90%4.22%2.02%
20019-2.95%-8.09%$25,404$11,259-8.09%-14.83%-2.95%0.88%
2001105.12%1.90%$26,705$11,4731.90%3.19%0.02%5.12%
2001111.62%7.65%$27,138$12,3517.65%5.95%1.62%-5.07%
2001121.26%0.87%$27,480$12,4590.87%1.19%1.26%-1.82%
200211.31%-1.47%$27,841$12,275-1.47%-1.57%1.31%1.20%
200223.21%-1.94%$28,735$12,037-1.94%-0.85%3.21%1.24%
200232.19%3.74%$29,365$12,4883.74%6.63%2.19%-3.86%
200242.91%-6.07%$30,219$11,729-6.07%2.91%2.97%3.73%
200251.27%-0.75%$30,602$11,641-0.75%1.27%0.83%0.39%
20026-4.52%-7.13%$29,218$10,810-7.13%-4.52%-4.83%1.76%
200272.93%-7.72%$30,073$9,976-7.72%-9.07%-7.51%2.93%
200284.28%0.65%$31,360$10,0410.65%-1.44%0.81%4.28%
200294.02%-10.87%$32,619$8,949-10.87%-10.69%-7.43%4.02%
200210-2.84%8.78%$31,694$9,7358.78%2.14%4.35%-2.84%
200211-0.98%5.88%$31,385$10,3075.88%4.32%-1.83%-0.98%
2002124.05%-5.89%$32,657$9,700-5.89%-2.47%-0.02%4.05%
20031-0.45%-2.62%$32,511$9,445-2.62%-2.08%-4.15%-0.45%
200323.03%-1.52%$33,495$9,302-1.52%-2.62%-3.98%3.03%
20033-1.13%0.96%$33,115$9,3910.96%-1.41%-0.78%-1.13%
200348.25%8.25%$35,849$10,1668.25%10.65%3.87%0.91%
2003511.15%5.26%$39,846$10,7015.26%11.15%6.55%5.67%
200363.80%1.26%$41,361$10,8361.26%3.80%1.84%-1.48%
200374.78%1.74%$43,338$11,0251.74%4.78%-0.48%-8.57%
200384.08%1.93%$45,105$11,2381.93%4.08%0.96%1.43%
200395.41%-1.07%$47,546$11,117-1.07%5.41%1.77%5.07%
2003105.22%5.64%$50,028$11,7445.64%5.22%3.48%-2.58%
2003112.19%0.86%$51,122$11,8460.86%2.19%2.72%0.31%
2003126.08%5.22%$54,230$12,4645.22%6.08%2.02%1.23%
200414.21%1.82%$56,514$12,6911.82%4.21%0.34%1.74%
200423.52%1.38%$58,502$12,8661.38%3.52%5.25%1.96%
200432.31%-1.51%$59,856$12,671-1.51%2.31%0.02%1.45%
20044-1.98%-1.58%$58,671$12,472-1.58%-1.98%0.92%-5.52%
20045-1.15%1.36%$57,994$12,6411.36%-1.15%-1.07%-0.56%
200463.21%1.93%$59,856$12,8851.93%3.21%0.73%0.87%
20047-2.76%-3.31%$58,206$12,458-3.31%-2.76%-2.61%1.52%
200483.39%0.38%$60,177$12,5060.38%0.87%-1.47%3.39%
200492.38%1.07%$61,608$12,6391.07%2.38%-0.53%0.94%
2004103.03%1.51%$63,472$12,8311.51%3.03%2.37%1.46%
2004117.72%4.05%$68,371$13,3504.05%7.72%6.63%-2.25%
2004127.12%3.39%$73,241$13,8033.39%7.12%4.61%2.22%
200510.92%-2.45%$73,914$13,464-2.45%0.92%0.71%2.59%
200524.31%2.09%$77,096$13,7462.09%4.31%0.72%-1.24%
20053-2.21%-1.76%$75,393$13,504-1.76%-2.21%-0.70%-0.76%
20054-2.02%-1.91%$73,869$13,246-1.91%-2.02%-2.85%3.22%
200550.36%3.17%$74,138$13,6663.17%0.36%3.28%2.55%
20056-1.24%0.13%$73,221$13,6830.13%2.72%-1.24%1.64%
200574.53%3.71%$76,540$14,1903.71%4.53%4.23%-2.58%
200582.03%-0.91%$78,091$14,060-0.91%2.03%-0.82%2.87%
200593.53%0.79%$80,849$14,1720.79%3.53%0.67%-2.78%
200510-4.10%-1.68%$77,531$13,934-1.68%-4.10%-0.34%-1.74%
2005112.67%3.76%$79,600$14,4593.76%2.67%1.17%0.57%
2005126.60%0.02%$84,852$14,4620.02%6.60%1.07%2.33%
200617.37%2.65%$91,102$14,8452.65%7.37%1.54%-0.90%
200620.62%0.26%$91,671$14,8840.26%0.62%1.46%0.81%
200635.27%1.23%$96,500$15,0671.23%5.27%1.84%-3.39%
200645.50%1.33%$101,804$15,2681.33%5.50%1.34%-1.96%
20065-4.93%-2.90%$96,784$14,825-2.90%-4.93%-0.75%-0.03%
20066-2.15%0.13%$94,701$14,8440.13%-2.15%1.65%0.71%
200672.40%0.61%$96,974$14,9340.61%-0.50%2.40%1.84%
200683.00%2.36%$99,882$15,2872.36%2.36%3.00%2.74%
200691.20%2.56%$101,080$15,6792.56%1.82%1.20%1.58%
2006101.06%3.25%$102,155$16,1893.25%3.66%1.06%0.77%
2006111.89%1.89%$104,085$16,4951.89%4.51%0.97%1.91%
2006123.95%1.39%$108,198$16,7241.39%3.95%2.89%-2.14%
200712.94%1.49%$111,377$16,9741.49%2.94%2.85%-0.85%
200720.32%-1.97%$111,736$16,640-1.97%0.32%-1.29%2.93%
200733.21%1.11%$115,325$16,8251.11%3.21%3.17%-1.13%
200743.87%4.42%$119,787$17,5684.42%3.87%3.71%0.86%
200752.44%3.48%$122,709$18,1793.48%2.44%1.38%-1.93%
20076-1.13%-1.68%$121,325$17,874-1.68%-1.13%-1.88%-0.88%
20077-0.46%-3.08%$120,761$17,323-3.08%-0.46%-0.49%2.39%
20078-2.97%1.50%$117,171$17,5821.50%-2.97%3.34%1.97%
200795.54%3.72%$123,658$18,2373.72%2.01%5.54%0.21%
2007103.17%1.58%$127,572$18,5251.58%5.96%3.17%1.40%
2007111.04%-4.19%$128,896$17,749-4.19%-8.06%1.04%4.59%
200712-0.61%-0.70%$128,115$17,625-0.70%-2.30%-0.61%-0.48%
20081-5.99%-6.02%$120,435$16,565-6.02%-9.13%-5.99%2.64%
200820.35%-3.25%$120,857$16,026-3.25%2.26%1.09%0.35%
200831.02%-0.44%$122,092$15,956-0.44%-1.34%2.62%1.02%
20084-1.84%4.85%$119,846$16,7304.85%2.24%-0.43%-1.84%
20085-2.13%1.29%$117,296$16,9461.29%2.07%1.10%-2.13%
20086-8.44%-8.44%$107,398$15,516-8.44%-7.91%-8.10%1.80%
200870.30%-0.83%$107,715$15,387-0.83%-5.82%1.22%0.30%
200881.80%1.45%$109,660$15,6101.45%-3.39%1.43%1.80%
200890.28%-8.91%$109,970$14,220-8.91%-15.43%-3.64%0.28%
200810-3.63%-16.79%$105,980$11,832-16.79%-24.14%-15.33%-3.63%
20081112.07%-7.17%$118,769$10,983-7.17%-4.94%-0.22%12.07%
2008128.87%1.07%$129,299$11,1001.07%9.18%3.04%8.87%
20091-8.47%-8.41%$118,347$10,166-8.41%-9.15%-7.10%-8.47%
20092-1.01%-10.66%$117,153$9,083-10.66%-7.18%-6.82%-1.01%
200935.27%8.76%$123,322$9,8798.76%7.98%3.60%5.27%
20094-4.99%9.56%$117,170$10,8239.56%13.97%4.77%-4.99%
2009513.98%5.62%$133,552$11,4315.62%13.98%7.71%-2.68%
200961.96%0.22%$136,164$11,4560.22%1.96%1.45%0.70%
200977.41%7.58%$146,254$12,3247.58%7.41%7.19%0.80%
200985.19%3.60%$153,852$12,7683.60%5.19%1.89%1.68%
200996.33%3.72%$163,586$13,2423.72%6.33%3.75%1.98%
200910-1.67%-1.87%$160,856$12,995-1.87%-1.67%1.37%-1.45%
2009111.70%5.98%$163,586$13,7725.98%1.70%2.26%1.91%
2009121.95%1.95%$166,769$14,0401.95%1.53%0.28%-5.66%
20101-3.60%-3.60%$160,759$13,534-3.60%-1.96%-1.18%2.66%
20102-0.89%3.09%$159,332$13,9523.09%-0.89%2.11%-0.21%
201036.01%6.01%$168,914$14,7916.01%7.16%4.08%-1.51%
201041.58%1.58%$171,579$15,0251.58%1.04%-1.03%2.76%
20105-8.01%-8.01%$157,844$13,822-8.01%-11.51%-6.62%4.23%
201064.67%-5.24%$165,209$13,098-5.24%-0.16%-2.46%4.67%
20107-0.17%7.00%$164,927$14,0147.00%9.52%7.85%-0.17%
20108-2.64%-4.53%$160,580$13,379-4.53%-2.64%-2.13%7.08%
2010911.56%8.92%$179,140$14,5738.92%11.56%7.72%-1.82%
2010103.67%3.79%$185,719$15,1253.79%3.67%3.28%-3.29%
201011-3.16%0.00%$179,845$15,1250.00%-3.16%-1.36%-1.60%
20101210.38%6.67%$198,515$16,1346.67%10.38%5.08%-3.58%
201110.72%2.36%$199,944$16,5142.36%0.72%-2.63%-2.38%
201121.25%3.42%$202,445$17,0783.42%1.25%2.15%1.24%
201130.03%0.03%$202,497$17,0830.03%0.47%1.60%0.02%
201142.95%2.95%$208,466$17,5862.95%4.92%6.15%2.04%
201151.82%-1.15%$212,254$17,385-1.15%-2.46%1.82%3.29%
20116-2.39%-1.67%$207,175$17,094-1.67%-2.80%-2.39%-2.00%
20117-1.08%-2.05%$204,937$16,744-2.05%-1.59%-1.08%4.18%
201180.00%-5.45%$204,937$15,832-5.45%-9.69%0.00%8.68%
20119-5.03%-7.04%$194,638$14,717-7.04%-11.79%-5.03%10.16%
201110-3.34%10.91%$188,146$16,32310.91%8.18%5.11%-3.34%
2011111.40%-0.23%$190,785$16,285-0.23%-3.96%1.40%1.82%
2011121.96%1.02%$194,524$16,4511.02%-3.32%1.96%3.13%
20121-0.88%4.46%$192,810$17,1864.46%8.81%-0.88%0.08%
201224.31%4.31%$201,114$17,9264.31%5.59%6.30%-2.11%
201233.28%3.28%$207,713$18,5143.28%0.41%2.76%-3.77%
20124-0.64%-0.64%$206,385$18,396-0.64%-0.68%0.13%4.37%
20125-4.32%-6.02%$197,468$17,288-6.02%-11.78%-4.32%7.79%
201265.71%4.11%$208,741$17,9994.11%3.86%5.71%-1.44%
201273.16%1.37%$215,328$18,2451.37%-0.22%3.16%3.32%
201280.05%2.24%$215,435$18,6542.24%2.90%0.05%-1.06%
201291.67%2.58%$219,023$19,1352.58%3.69%1.67%-2.10%
201210-0.95%-1.86%$216,934$18,779-1.86%1.19%-0.95%-0.43%
2012110.62%0.56%$218,281$18,8840.56%0.62%3.15%1.35%
201212-1.83%0.90%$214,294$19,0540.90%3.62%-1.83%-1.99%
201314.96%5.18%$224,928$20,0415.18%4.96%5.90%-3.27%
201320.19%1.34%$225,365$20,3091.34%0.19%1.69%1.26%
201331.29%3.74%$228,279$21,0683.74%1.29%4.03%0.03%
201343.03%1.91%$235,189$21,4701.91%3.70%3.03%3.87%
20135-1.92%2.33%$230,668$21,9702.33%-0.49%-1.92%-6.23%
20136-1.35%-1.35%$227,553$21,673-1.35%-2.16%-1.76%-3.26%
201375.07%5.07%$239,095$22,7735.07%5.50%4.16%-1.93%
20138-2.91%-2.91%$232,133$22,110-2.91%-0.66%-3.60%-1.28%
201397.30%3.12%$249,074$22,8003.12%7.30%2.23%0.88%
2013103.99%4.59%$259,014$23,8464.59%3.99%5.12%1.32%
2013110.81%3.03%$261,114$24,5683.03%0.81%0.41%-2.49%
2013122.72%2.51%$268,222$25,1852.51%2.72%0.95%-2.37%
20141-2.23%-3.47%$262,251$24,312-3.47%-2.23%-7.55%6.26%
201425.94%4.56%$277,832$25,4204.56%5.94%6.13%0.60%
201430.73%0.82%$279,871$25,6300.82%0.73%2.72%0.63%
20144-0.62%0.72%$278,123$25,8150.72%-0.62%3.05%1.82%
201452.27%2.33%$284,447$26,4182.33%1.94%2.27%2.73%
201460.24%2.05%$285,123$26,9602.05%1.13%0.24%-0.16%
20147-1.39%-1.39%$281,165$26,586-1.39%-2.08%-2.77%0.59%
201483.98%3.98%$292,360$27,6443.98%0.62%4.60%4.23%
20149-1.41%-1.41%$288,230$27,254-1.41%-4.43%-0.22%-1.99%
2014103.14%2.42%$297,282$27,9142.42%-1.51%3.14%2.61%
2014115.16%2.68%$312,634$28,6632.68%-1.42%5.16%2.86%
201412-1.95%-0.26%$306,538$28,587-0.26%-0.61%-1.95%2.82%
201510.70%-3.02%$308,671$27,725-3.02%-0.12%0.70%8.97%
201523.68%5.74%$320,025$29,3165.74%6.81%3.68%-5.66%
20153-2.61%-1.59%$311,682$28,849-1.59%0.57%-2.61%1.13%
201543.45%0.95%$322,442$29,1230.95%3.45%-0.63%-3.07%
201550.88%1.27%$325,264$29,4931.27%0.88%-0.09%-2.16%
20156-1.14%-1.93%$321,560$28,923-1.93%-1.14%-1.63%-3.73%
201571.15%2.08%$325,264$29,5252.08%1.15%3.10%4.21%
20158-4.99%-6.04%$309,036$27,741-6.04%-4.99%-7.96%-0.71%
201591.91%-2.49%$314,942$27,050-2.49%-3.08%-0.03%1.91%
201510-0.48%8.42%$313,434$29,3298.42%4.59%5.33%-0.48%
2015110.29%0.29%$314,332$29,4130.29%0.11%-0.86%-0.81%
201512-1.59%-1.59%$309,326$28,944-1.59%0.60%3.60%-0.34%
20161-0.91%-4.98%$306,513$27,504-4.98%-6.67%-0.91%5.24%
201622.86%-0.15%$315,278$27,464-0.15%-2.40%0.03%2.86%
201635.89%6.78%$333,850$29,3256.78%7.58%5.89%0.05%
20164-0.21%0.37%$333,152$29,4340.37%0.66%-0.21%-0.63%
20165-0.30%1.78%$332,169$29,9591.78%1.44%-0.30%0.69%
201664.24%0.25%$346,252$30,0340.25%-5.54%4.24%6.57%
20167-0.48%3.68%$344,601$31,1383.68%5.62%-0.48%2.01%
201680.13%0.13%$345,048$31,1780.13%-0.18%-0.81%-1.00%
201690.01%0.01%$345,076$31,1810.01%2.84%-1.55%-1.32%
201610-3.17%-1.83%$334,149$30,609-1.83%-3.17%-1.23%-4.23%
2016113.70%3.70%$346,510$31,7423.70%-2.50%-4.17%-7.86%
2016121.96%1.96%$353,310$32,3651.96%1.53%2.92%-0.35%
201711.88%1.88%$359,964$32,9741.88%4.41%3.09%0.65%
201723.96%3.96%$374,228$34,2813.96%1.82%4.71%1.57%
201730.10%0.10%$374,602$34,3150.10%3.74%1.24%-0.59%
201745.39%1.02%$394,778$34,6641.02%5.39%1.61%1.58%
201754.27%1.39%$411,626$35,1481.39%4.27%3.06%1.73%
201760.51%0.61%$413,706$35,3620.61%0.51%-2.24%0.63%
201773.47%2.04%$428,058$36,0852.04%3.47%-0.08%-0.59%
201780.39%0.29%$429,722$36,1910.29%0.39%-2.26%3.27%
201793.97%2.06%$446,777$36,9362.06%3.97%-1.00%-2.27%
2017101.82%2.32%$454,889$37,7922.32%1.82%-1.85%-0.02%
2017110.46%3.06%$456,969$38,9483.06%0.46%2.95%0.63%
2017121.10%1.10%$462,005$39,3771.10%3.14%2.54%1.78%
201815.12%5.71%$485,659$41,6275.71%5.12%2.02%-3.40%
20182-3.69%-3.69%$467,715$40,089-3.69%-4.02%-6.91%-2.89%
20183-0.33%-2.56%$466,191$39,064-2.56%-0.33%-0.83%2.75%
201840.28%0.37%$467,498$39,2100.37%0.28%-5.05%-2.04%
201851.79%2.39%$475,887$40,1492.39%-0.84%-1.87%1.79%
201860.61%0.61%$478,767$40,3920.61%-2.16%3.73%0.66%
201873.71%3.71%$496,526$41,8903.71%0.10%3.60%-1.28%
201883.25%3.25%$512,644$43,2503.25%-1.77%-0.50%1.18%
201890.55%0.55%$515,486$43,4900.55%-1.17%0.28%-2.74%
201810-6.85%-6.85%$480,180$40,511-6.85%-11.76%-1.07%-2.82%
2018110.67%2.03%$483,390$41,3322.03%-0.39%0.67%1.78%
201812-10.17%-9.04%$434,222$37,596-9.04%-7.88%-10.17%5.50%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.59%0.62%
Arithmetic Mean (annualized)20.88%7.70%
Geometric Mean (monthly)1.51%0.53%
Geometric Mean (annualized)19.67%6.51%
Volatility (monthly)4.17%4.30%
Volatility (annualized)14.46%14.88%
Downside Deviation (monthly)2.15%2.98%
Max. Drawdown-20.63%-50.97%
US Market Correlation0.440.99
Beta(*)0.391.00
Alpha (annualized)16.19%0.00%
R216.33%100.00%
Sharpe Ratio1.190.37
Sortino Ratio2.230.52
Treynor Ratio (%)43.895.56
Calmar Ratio0.760.67
Active Return13.16%N/A
Tracking Error16.02%N/A
Information Ratio0.82N/A
Skewness0.11-0.67
Excess Kurtosis1.631.25
Historical Value-at-Risk (5%)-4.99%-7.77%
Analytical Value-at-Risk (5%)-5.27%-6.45%
Conditional Value-at-Risk (5%)-7.83%-10.06%
Upside Capture Ratio (%)86.11100.00
Downside Capture Ratio (%)13.88100.00
Safe Withdrawal Rate25.44%6.34%
Perpetual Withdrawal Rate14.66%4.11%
Positive Periods172 out of 252 (68.25%)161 out of 252 (63.89%)
Gain/Loss Ratio1.280.81
* 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 2002-20.63%-44.82%
Subprime CrisisNov 2007Mar 2009-17.78%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 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 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 year21.14%77.49%-6.01%8.07%32.18%-37.02%
3 years20.23%38.65%8.72%6.16%20.22%-14.60%
5 years19.87%36.39%9.28%5.94%17.81%-2.38%
7 years19.70%33.06%11.32%6.09%14.67%-1.64%
10 years19.19%29.05%12.56%5.39%12.97%-1.46%
15 years19.50%23.37%14.88%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 1998Jan 19981100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -3.36%-3.36%1.11%
2Feb 1998Apr 19983100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.80%13.80%13.80%
3May 1998Aug 19984100.00% Vanguard International Explorer Inv (VINEX)VINEX: -6.53%-6.53%-13.47%
4Sep 1998Oct 19982100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.54%1.54%15.10%
5Nov 1998Nov 19981100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 4.05%4.05%6.07%
6Dec 1998Mar 19994100.00% Vanguard 500 Index Investor (VFINX)VFINX: 11.08%11.08%11.08%
7Apr 1999May 200014100.00% Vanguard International Explorer Inv (VINEX)VINEX: 75.85%75.85%12.04%
8Jun 2000Mar 200110100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 16.17%16.17%-17.53%
9Apr 2001Jul 20014100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.93%1.93%4.76%
10Aug 2001Sep 20012100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 1.14%1.14%-13.86%
11Oct 2001Oct 20011100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 5.12%5.12%1.90%
12Nov 2001Mar 20025100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 9.96%9.96%8.85%
13Apr 2002Jun 20023100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.50%-0.50%-13.43%
14Jul 2002Mar 20039100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 13.34%13.34%-13.13%
15Apr 2003Apr 20031100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.25%8.25%8.25%
16May 2003Jul 200415100.00% Vanguard International Explorer Inv (VINEX)VINEX: 62.37%62.37%22.55%
17Aug 2004Aug 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.39%3.39%0.38%
18Sep 2004May 20059100.00% Vanguard International Explorer Inv (VINEX)VINEX: 23.20%23.20%9.27%
19Jun 2005Jun 20051100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -1.24%-1.24%0.13%
20Jul 2005Jun 200612100.00% Vanguard International Explorer Inv (VINEX)VINEX: 29.34%29.34%8.49%
21Jul 2006Oct 20064100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 7.87%7.87%9.06%
22Nov 2006Nov 20061100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.89%1.89%1.89%
23Dec 2006Aug 20079100.00% Vanguard International Explorer Inv (VINEX)VINEX: 12.57%12.57%6.59%
24Sep 2007Jan 20085100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 2.79%2.79%-5.79%
25Feb 2008May 20084100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -2.61%-2.61%2.30%
26Jun 2008Jun 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.44%-8.44%-8.44%
27Jul 2008Apr 200910100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.10%9.10%-30.25%
28May 2009Nov 20097100.00% Vanguard International Explorer Inv (VINEX)VINEX: 39.61%39.61%27.25%
29Dec 2009Jan 20102100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.73%-1.73%-1.73%
30Feb 2010Feb 20101100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.89%-0.89%3.09%
31Mar 2010May 20103100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.93%-0.93%-0.93%
32Jun 2010Jul 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.49%4.49%1.39%
33Aug 2010Feb 20117100.00% Vanguard International Explorer Inv (VINEX)VINEX: 22.75%22.75%21.86%
34Mar 2011Apr 20112100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.97%2.97%2.97%
35May 2011Sep 20115100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -6.63%-6.63%-16.31%
36Oct 2011Oct 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -3.34%-3.34%10.91%
37Nov 2011Jan 20123100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 2.48%2.48%5.28%
38Feb 2012Apr 20123100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.04%7.04%7.04%
39May 2012Oct 20126100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 5.11%5.11%2.08%
40Nov 2012Nov 20121100.00% Vanguard International Explorer Inv (VINEX)VINEX: 0.62%0.62%0.56%
41Dec 2012Dec 20121100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -1.83%-1.83%0.90%
42Jan 2013Mar 20133100.00% Vanguard International Explorer Inv (VINEX)VINEX: 6.53%6.53%10.57%
43Apr 2013May 20132100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 1.05%1.05%4.28%
44Jun 2013Aug 20133100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.63%0.63%0.63%
45Sep 2013Apr 20148100.00% Vanguard International Explorer Inv (VINEX)VINEX: 19.81%19.81%16.76%
46May 2014Jun 20142100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 2.52%2.52%4.43%
47Jul 2014Sep 20143100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.09%1.09%1.09%
48Oct 2014Mar 20156100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 8.14%8.14%5.85%
49Apr 2015Aug 20155100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.85%-0.85%-3.84%
50Sep 2015Oct 20152100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.42%1.42%5.72%
51Nov 2015Dec 20152100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.31%-1.31%-1.31%
52Jan 2016Jan 20161100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -0.91%-0.91%-4.98%
53Feb 2016Feb 20161100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.86%2.86%-0.15%
54Mar 2016Jul 20165100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: 9.30%9.30%13.38%
55Aug 2016Sep 20162100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.14%0.14%0.14%
56Oct 2016Oct 20161100.00% Vanguard International Explorer Inv (VINEX)VINEX: -3.17%-3.17%-1.83%
57Nov 2016Mar 20175100.00% Vanguard 500 Index Investor (VFINX)VFINX: 12.11%12.11%12.11%
58Apr 2017Nov 20178100.00% Vanguard International Explorer Inv (VINEX)VINEX: 21.99%21.99%13.50%
59Dec 2017Dec 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.10%1.10%1.10%
60Jan 2018Jan 20181100.00% Vanguard International Explorer Inv (VINEX)VINEX: 5.12%5.12%5.71%
61Feb 2018Feb 20181100.00% Vanguard 500 Index Investor (VFINX)VFINX: -3.69%-3.69%-3.69%
62Mar 2018Apr 20182100.00% Vanguard International Explorer Inv (VINEX)VINEX: -0.05%-0.05%-2.19%
63May 2018May 20181100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 1.79%1.79%2.39%
64Jun 2018Oct 20185100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.90%0.90%0.90%
65Nov 2018Dec 20182100.00% Fidelity Select Consumer Staples Port (FDFAX)FDFAX: -9.57%-9.57%-7.20%
66Jan 2019Jan 20191100.00% Vanguard Long-Term Treasury Inv (VUSTX)---