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.
Tactical asset allocation model results from Jan 1999 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.
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Dual Momentum Model | $10,000 | $611,495 | 22.83% | 16.76% | 85.12% | 0.78% | -20.50% | 1.21 | 2.41 | 0.37 |
Equal Weight Portfolio | $10,000 | $55,211 | 8.92% | 17.31% | 69.08% | -52.90% | -61.76% | 0.48 | 0.69 | 0.90 |
Vanguard 500 Index Investor | $10,000 | $29,231 | 5.51% | 14.47% | 32.18% | -37.02% | -50.97% | 0.32 | 0.45 | 0.99 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Dual Momentum Model | 0.03% | 10.71% | 12.31% | 10.02% | 19.72% | 22.83% | 10.37% | 9.81% |
Equal Weight Portfolio | -15.25% | -6.98% | 8.38% | 7.95% | 16.60% | 8.92% | 11.33% | 10.50% |
Vanguard 500 Index Investor | -13.55% | -4.52% | 9.11% | 8.34% | 12.97% | 5.51% | 10.96% | 10.95% |
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. |
Year | Inflation | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Vanguard 500 Index Investor (VFINX) | Invesco International Small-Mid Com A (OSMAX) | Vanguard Long-Term Treasury Inv (VUSTX) | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
1999 | 2.68% | 58.35% | $15,835 | 42.68% | $14,268 | 21.07% | $12,107 | 21.07% | 66.22% | -8.66% |
2000 | 3.39% | 5.65% | $16,729 | -22.16% | $11,106 | -9.06% | $11,010 | -9.06% | -34.55% | 19.72% |
2001 | 1.55% | 4.31% | $17,450 | -15.27% | $9,410 | -12.02% | $9,687 | -12.02% | -18.60% | 4.31% |
2002 | 2.38% | 12.20% | $19,578 | -15.18% | $7,981 | -22.15% | $7,542 | -22.15% | -8.17% | 16.67% |
2003 | 1.88% | 85.12% | $36,242 | 54.74% | $12,351 | 28.50% | $9,691 | 28.50% | 85.05% | 2.68% |
2004 | 3.26% | 32.76% | $48,115 | 20.15% | $14,839 | 10.74% | $10,732 | 10.74% | 29.88% | 7.12% |
2005 | 3.42% | 33.67% | $64,316 | 18.53% | $17,589 | 4.77% | $11,244 | 4.77% | 33.67% | 6.61% |
2006 | 2.54% | 28.12% | $82,403 | 26.17% | $22,192 | 15.64% | $13,003 | 15.64% | 36.53% | 1.74% |
2007 | 4.08% | 11.31% | $91,720 | 13.70% | $25,232 | 5.39% | $13,703 | 5.39% | 21.43% | 9.24% |
2008 | 0.09% | 10.20% | $101,071 | -52.90% | $11,885 | -37.02% | $8,630 | -37.02% | -65.97% | 22.52% |
2009 | 2.72% | 54.92% | $156,585 | 69.08% | $20,096 | 26.49% | $10,916 | 26.49% | 121.67% | -12.05% |
2010 | 1.50% | 30.78% | $204,774 | 25.79% | $25,279 | 14.91% | $12,544 | 14.91% | 37.19% | 8.93% |
2011 | 2.96% | 9.57% | $224,375 | -9.78% | $22,805 | 1.97% | $12,791 | 1.97% | -20.44% | 29.28% |
2012 | 1.74% | 16.73% | $261,912 | 19.27% | $27,201 | 15.82% | $14,815 | 15.82% | 22.65% | 3.47% |
2013 | 1.50% | 44.86% | $379,417 | 38.45% | $37,660 | 32.18% | $19,582 | 32.18% | 44.86% | -13.03% |
2014 | 0.76% | 12.34% | $426,225 | 6.66% | $40,169 | 13.51% | $22,227 | 13.51% | 0.11% | 25.28% |
2015 | 0.73% | 1.28% | $431,678 | 7.95% | $43,364 | 1.25% | $22,504 | 1.25% | 14.90% | -1.54% |
2016 | 2.07% | 0.78% | $435,057 | 5.59% | $45,786 | 11.82% | $25,164 | 11.82% | -0.49% | 1.20% |
2017 | 2.11% | 26.95% | $552,318 | 29.64% | $59,356 | 21.67% | $30,616 | 21.67% | 37.93% | 8.58% |
2018 | 1.91% | 10.71% | $611,495 | -6.98% | $55,211 | -4.52% | $29,231 | -4.52% | -9.46% | -1.90% |
Year | Month | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor | Vanguard 500 Index Investor (VFINX) | Invesco International Small-Mid Com A (OSMAX) | Vanguard Long-Term Treasury Inv (VUSTX) | |||
---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | |||||
1999 | 1 | 4.20% | $10,420 | 2.23% | $10,223 | 4.20% | $10,420 | 4.20% | 0.26% | 0.98% |
1999 | 2 | -3.12% | $10,095 | 2.06% | $10,434 | -3.12% | $10,095 | -3.12% | 7.24% | -4.76% |
1999 | 3 | 4.00% | $10,498 | 3.24% | $10,772 | 4.00% | $10,498 | 4.00% | 2.49% | -0.34% |
1999 | 4 | 11.45% | $11,700 | 7.65% | $11,596 | 3.85% | $10,903 | 3.85% | 11.45% | 0.19% |
1999 | 5 | 1.41% | $11,865 | -0.49% | $11,539 | -2.39% | $10,642 | -2.39% | 1.41% | -1.68% |
1999 | 6 | 6.94% | $12,688 | 6.25% | $12,260 | 5.56% | $11,233 | 5.56% | 6.94% | -1.05% |
1999 | 7 | 10.84% | $14,063 | 3.85% | $12,733 | -3.13% | $10,882 | -3.13% | 10.84% | -0.58% |
1999 | 8 | 1.99% | $14,343 | 0.75% | $12,828 | -0.50% | $10,828 | -0.50% | 1.99% | -0.49% |
1999 | 9 | 0.75% | $14,450 | -1.00% | $12,700 | -2.74% | $10,531 | -2.74% | 0.75% | 0.91% |
1999 | 10 | -1.99% | $14,162 | 2.17% | $12,975 | 6.33% | $11,197 | 6.33% | -1.99% | 0.12% |
1999 | 11 | 5.58% | $14,953 | 3.80% | $13,469 | 2.02% | $11,424 | 2.02% | 5.58% | -0.59% |
1999 | 12 | 5.90% | $15,835 | 5.94% | $14,268 | 5.98% | $12,107 | 5.98% | 5.90% | -1.60% |
2000 | 1 | -0.50% | $15,756 | -2.77% | $13,874 | -5.03% | $11,498 | -5.03% | -0.50% | 1.25% |
2000 | 2 | 14.34% | $18,015 | 6.22% | $14,736 | -1.91% | $11,278 | -1.91% | 14.34% | 2.96% |
2000 | 3 | -1.71% | $17,706 | 4.02% | $15,328 | 9.75% | $12,378 | 9.75% | -1.71% | 3.14% |
2000 | 4 | -10.51% | $15,845 | -6.76% | $14,293 | -3.00% | $12,007 | -3.00% | -10.51% | -0.66% |
2000 | 5 | -2.04% | $15,522 | -4.29% | $13,680 | -2.04% | $11,762 | -2.04% | -6.53% | -0.46% |
2000 | 6 | 2.49% | $15,909 | 3.10% | $14,104 | 2.49% | $12,056 | 2.49% | 3.70% | 2.30% |
2000 | 7 | 1.49% | $16,146 | -3.80% | $13,569 | -1.50% | $11,875 | -1.50% | -6.09% | 1.49% |
2000 | 8 | 2.08% | $16,481 | 5.65% | $14,335 | 6.19% | $12,610 | 6.19% | 5.11% | 2.08% |
2000 | 9 | -5.29% | $15,610 | -7.14% | $13,311 | -5.29% | $11,943 | -5.29% | -9.00% | -0.85% |
2000 | 10 | 1.57% | $15,854 | -6.42% | $12,457 | -0.43% | $11,892 | -0.43% | -12.41% | 1.57% |
2000 | 11 | 2.99% | $16,329 | -10.33% | $11,170 | -7.89% | $10,954 | -7.89% | -12.77% | 2.99% |
2000 | 12 | 2.45% | $16,729 | -0.58% | $11,106 | 0.51% | $11,010 | 0.51% | -1.67% | 2.45% |
2001 | 1 | 0.28% | $16,777 | 3.21% | $11,463 | 3.55% | $11,401 | 3.55% | 2.88% | 0.28% |
2001 | 2 | 1.80% | $17,079 | -9.17% | $10,412 | -9.14% | $10,359 | -9.14% | -9.20% | 1.80% |
2001 | 3 | -0.60% | $16,976 | -7.47% | $9,634 | -6.36% | $9,701 | -6.36% | -8.59% | -0.60% |
2001 | 4 | -2.56% | $16,540 | 7.86% | $10,391 | 7.77% | $10,454 | 7.77% | 7.95% | -2.56% |
2001 | 5 | 0.21% | $16,574 | -0.74% | $10,315 | 0.65% | $10,522 | 0.65% | -2.12% | 0.21% |
2001 | 6 | 0.76% | $16,700 | -2.65% | $10,041 | -2.45% | $10,265 | -2.45% | -2.85% | 0.76% |
2001 | 7 | 3.61% | $17,304 | -2.61% | $9,779 | -1.00% | $10,162 | -1.00% | -4.23% | 3.61% |
2001 | 8 | 2.02% | $17,654 | -4.79% | $9,311 | -6.27% | $9,525 | -6.27% | -3.31% | 2.02% |
2001 | 9 | 0.88% | $17,809 | -11.08% | $8,279 | -8.09% | $8,754 | -8.09% | -14.07% | 0.88% |
2001 | 10 | 5.12% | $18,721 | 4.27% | $8,632 | 1.90% | $8,920 | 1.90% | 6.64% | 5.12% |
2001 | 11 | -4.98% | $17,789 | 7.35% | $9,267 | 7.65% | $9,603 | 7.65% | 7.05% | -4.98% |
2001 | 12 | -1.91% | $17,450 | 1.55% | $9,410 | 0.87% | $9,687 | 0.87% | 2.22% | -1.91% |
2002 | 1 | 4.21% | $18,185 | 1.37% | $9,539 | -1.47% | $9,544 | -1.47% | 4.21% | 1.20% |
2002 | 2 | 2.57% | $18,653 | 0.32% | $9,570 | -1.94% | $9,359 | -1.94% | 2.57% | 1.24% |
2002 | 3 | 8.12% | $20,169 | 5.93% | $10,138 | 3.74% | $9,709 | 3.74% | 8.12% | -3.86% |
2002 | 4 | 1.33% | $20,436 | -2.37% | $9,897 | -6.07% | $9,120 | -6.07% | 1.33% | 3.73% |
2002 | 5 | 0.55% | $20,548 | -0.10% | $9,887 | -0.75% | $9,051 | -0.75% | 0.55% | 0.39% |
2002 | 6 | -4.01% | $19,723 | -5.57% | $9,335 | -7.13% | $8,405 | -7.13% | -4.01% | 1.76% |
2002 | 7 | -8.59% | $18,029 | -8.15% | $8,574 | -7.72% | $7,756 | -7.72% | -8.59% | 2.93% |
2002 | 8 | 4.28% | $18,801 | -0.35% | $8,544 | 0.65% | $7,807 | 0.65% | -1.36% | 4.28% |
2002 | 9 | 4.02% | $19,556 | -10.76% | $7,624 | -10.87% | $6,958 | -10.87% | -10.65% | 4.02% |
2002 | 10 | -2.84% | $19,001 | 3.62% | $7,900 | 8.78% | $7,569 | 8.78% | -1.54% | -2.84% |
2002 | 11 | -0.98% | $18,816 | 6.14% | $8,386 | 5.88% | $8,014 | 5.88% | 6.41% | -0.98% |
2002 | 12 | 4.05% | $19,578 | -4.82% | $7,981 | -5.89% | $7,542 | -5.89% | -3.75% | 4.05% |
2003 | 1 | -0.45% | $19,491 | -2.01% | $7,821 | -2.62% | $7,344 | -2.62% | -1.39% | -0.45% |
2003 | 2 | 3.03% | $20,081 | -1.89% | $7,674 | -1.52% | $7,232 | -1.52% | -2.26% | 3.03% |
2003 | 3 | -1.13% | $19,853 | -0.46% | $7,638 | 0.96% | $7,301 | 0.96% | -1.88% | -1.13% |
2003 | 4 | 8.25% | $21,492 | 12.14% | $8,566 | 8.25% | $7,904 | 8.25% | 16.03% | 0.91% |
2003 | 5 | 7.73% | $23,153 | 6.50% | $9,122 | 5.26% | $8,320 | 5.26% | 7.73% | 5.67% |
2003 | 6 | 7.06% | $24,788 | 4.16% | $9,502 | 1.26% | $8,425 | 1.26% | 7.06% | -1.48% |
2003 | 7 | 9.01% | $27,021 | 5.38% | $10,013 | 1.74% | $8,572 | 1.74% | 9.01% | -8.57% |
2003 | 8 | 5.95% | $28,628 | 3.94% | $10,407 | 1.93% | $8,737 | 1.93% | 5.95% | 1.43% |
2003 | 9 | 6.57% | $30,508 | 2.75% | $10,693 | -1.07% | $8,644 | -1.07% | 6.57% | 5.07% |
2003 | 10 | 14.29% | $34,866 | 9.96% | $11,758 | 5.64% | $9,131 | 5.64% | 14.29% | -2.58% |
2003 | 11 | -0.86% | $34,566 | 0.00% | $11,759 | 0.86% | $9,210 | 0.86% | -0.86% | 0.31% |
2003 | 12 | 4.85% | $36,242 | 5.03% | $12,351 | 5.22% | $9,691 | 5.22% | 4.85% | 1.23% |
2004 | 1 | 3.32% | $37,447 | 2.57% | $12,668 | 1.82% | $9,868 | 1.82% | 3.32% | 1.74% |
2004 | 2 | 2.49% | $38,377 | 1.93% | $12,913 | 1.38% | $10,003 | 1.38% | 2.49% | 1.96% |
2004 | 3 | 7.92% | $41,416 | 3.20% | $13,327 | -1.51% | $9,852 | -1.51% | 7.92% | 1.45% |
2004 | 4 | -1.92% | $40,622 | -1.75% | $13,094 | -1.58% | $9,697 | -1.58% | -1.92% | -5.52% |
2004 | 5 | -3.84% | $39,062 | -1.24% | $12,931 | 1.36% | $9,828 | 1.36% | -3.84% | -0.56% |
2004 | 6 | 1.96% | $39,828 | 1.95% | $13,183 | 1.93% | $10,018 | 1.93% | 1.96% | 0.87% |
2004 | 7 | -3.92% | $38,268 | -3.61% | $12,706 | -3.31% | $9,686 | -3.31% | -3.92% | 1.52% |
2004 | 8 | 3.39% | $39,564 | 0.76% | $12,803 | 0.38% | $9,723 | 0.38% | 1.14% | 3.39% |
2004 | 9 | 5.80% | $41,858 | 3.43% | $13,243 | 1.07% | $9,827 | 1.07% | 5.80% | 0.94% |
2004 | 10 | 2.74% | $43,005 | 2.13% | $13,525 | 1.51% | $9,976 | 1.51% | 2.74% | 1.46% |
2004 | 11 | 6.96% | $45,999 | 5.50% | $14,269 | 4.05% | $10,380 | 4.05% | 6.96% | -2.25% |
2004 | 12 | 4.60% | $48,115 | 4.00% | $14,839 | 3.39% | $10,732 | 3.39% | 4.60% | 2.22% |
2005 | 1 | 0.00% | $48,115 | -1.23% | $14,657 | -2.45% | $10,468 | -2.45% | 0.00% | 2.59% |
2005 | 2 | 6.98% | $51,474 | 4.54% | $15,322 | 2.09% | $10,688 | 2.09% | 6.98% | -1.24% |
2005 | 3 | -1.00% | $50,957 | -1.38% | $15,111 | -1.76% | $10,500 | -1.76% | -1.00% | -0.76% |
2005 | 4 | -2.31% | $49,780 | -2.11% | $14,792 | -1.91% | $10,299 | -1.91% | -2.31% | 3.22% |
2005 | 5 | 2.60% | $51,072 | 2.88% | $15,218 | 3.17% | $10,625 | 3.17% | 2.60% | 2.55% |
2005 | 6 | 3.37% | $52,795 | 1.75% | $15,484 | 0.13% | $10,638 | 0.13% | 3.37% | 1.64% |
2005 | 7 | 6.80% | $56,383 | 5.25% | $16,297 | 3.71% | $11,033 | 3.71% | 6.80% | -2.58% |
2005 | 8 | -0.81% | $55,924 | -0.86% | $16,156 | -0.91% | $10,932 | -0.91% | -0.81% | 2.87% |
2005 | 9 | 8.26% | $60,546 | 4.53% | $16,888 | 0.79% | $11,019 | 0.79% | 8.26% | -2.78% |
2005 | 10 | -2.37% | $59,111 | -2.02% | $16,546 | -1.68% | $10,834 | -1.68% | -2.37% | -1.74% |
2005 | 11 | 3.50% | $61,178 | 3.63% | $17,147 | 3.76% | $11,242 | 3.76% | 3.50% | 0.57% |
2005 | 12 | 5.13% | $64,316 | 2.58% | $17,589 | 0.02% | $11,244 | 0.02% | 5.13% | 2.33% |
2006 | 1 | 12.55% | $72,387 | 7.60% | $18,925 | 2.65% | $11,542 | 2.65% | 12.55% | -0.90% |
2006 | 2 | -1.72% | $71,143 | -0.73% | $18,787 | 0.26% | $11,572 | 0.26% | -1.72% | 0.81% |
2006 | 3 | 6.91% | $76,056 | 4.07% | $19,552 | 1.23% | $11,714 | 1.23% | 6.91% | -3.39% |
2006 | 4 | 8.39% | $82,437 | 4.86% | $20,502 | 1.33% | $11,871 | 1.33% | 8.39% | -1.96% |
2006 | 5 | -7.55% | $76,216 | -5.22% | $19,432 | -2.90% | $11,527 | -2.90% | -7.55% | -0.03% |
2006 | 6 | -6.20% | $71,494 | -3.03% | $18,842 | 0.13% | $11,541 | 0.13% | -6.20% | 0.71% |
2006 | 7 | 1.84% | $72,809 | -0.21% | $18,803 | 0.61% | $11,612 | 0.61% | -1.03% | 1.84% |
2006 | 8 | 2.74% | $74,802 | 3.93% | $19,542 | 2.36% | $11,886 | 2.36% | 5.50% | 2.74% |
2006 | 9 | -2.44% | $72,980 | 0.06% | $19,554 | 2.56% | $12,190 | 2.56% | -2.44% | 1.58% |
2006 | 10 | 3.25% | $75,353 | 6.75% | $20,874 | 3.25% | $12,587 | 3.25% | 10.25% | 0.77% |
2006 | 11 | 5.88% | $79,783 | 3.88% | $21,685 | 1.89% | $12,825 | 1.89% | 5.88% | 1.91% |
2006 | 12 | 3.28% | $82,403 | 2.34% | $22,192 | 1.39% | $13,003 | 1.39% | 3.28% | -2.14% |
2007 | 1 | 0.26% | $82,617 | 0.88% | $22,386 | 1.49% | $13,197 | 1.49% | 0.26% | -0.85% |
2007 | 2 | 2.67% | $84,825 | 0.35% | $22,465 | -1.97% | $12,937 | -1.97% | 2.67% | 2.93% |
2007 | 3 | 3.94% | $88,166 | 2.53% | $23,032 | 1.11% | $13,081 | 1.11% | 3.94% | -1.13% |
2007 | 4 | 5.01% | $92,581 | 4.71% | $24,118 | 4.42% | $13,659 | 4.42% | 5.01% | 0.86% |
2007 | 5 | 8.64% | $100,582 | 6.06% | $25,579 | 3.48% | $14,134 | 3.48% | 8.64% | -1.93% |
2007 | 6 | 1.77% | $102,360 | 0.05% | $25,591 | -1.68% | $13,897 | -1.68% | 1.77% | -0.88% |
2007 | 7 | 0.75% | $103,126 | -1.17% | $25,292 | -3.08% | $13,468 | -3.08% | 0.75% | 2.39% |
2007 | 8 | -9.27% | $93,561 | -3.89% | $24,309 | 1.50% | $13,670 | 1.50% | -9.27% | 1.97% |
2007 | 9 | 0.21% | $93,760 | 7.60% | $26,155 | 3.72% | $14,179 | 3.72% | 11.47% | 0.21% |
2007 | 10 | 11.14% | $104,205 | 6.36% | $27,818 | 1.58% | $14,403 | 1.58% | 11.14% | 1.40% |
2007 | 11 | -11.56% | $92,161 | -7.87% | $25,629 | -4.19% | $13,800 | -4.19% | -11.56% | 4.59% |
2007 | 12 | -0.48% | $91,720 | -1.55% | $25,232 | -0.70% | $13,703 | -0.70% | -2.39% | -0.48% |
2008 | 1 | 2.64% | $94,143 | -10.09% | $22,685 | -6.02% | $12,879 | -6.02% | -14.17% | 2.64% |
2008 | 2 | 0.35% | $94,473 | 2.09% | $23,159 | -3.25% | $12,460 | -3.25% | 7.44% | 0.35% |
2008 | 3 | 1.02% | $95,438 | -5.17% | $21,962 | -0.44% | $12,405 | -0.44% | -9.90% | 1.02% |
2008 | 4 | -1.84% | $93,682 | 3.92% | $22,824 | 4.85% | $13,008 | 4.85% | 2.99% | -1.84% |
2008 | 5 | -2.13% | $91,689 | 3.57% | $23,639 | 1.29% | $13,176 | 1.29% | 5.85% | -2.13% |
2008 | 6 | -8.44% | $83,952 | -7.23% | $21,930 | -8.44% | $12,064 | -8.44% | -6.02% | 1.80% |
2008 | 7 | 0.30% | $84,200 | -7.80% | $20,219 | -0.83% | $11,964 | -0.83% | -14.78% | 0.30% |
2008 | 8 | 1.80% | $85,720 | -3.50% | $19,512 | 1.45% | $12,137 | 1.45% | -8.44% | 1.80% |
2008 | 9 | 0.28% | $85,963 | -17.02% | $16,190 | -8.91% | $11,056 | -8.91% | -25.14% | 0.28% |
2008 | 10 | -3.63% | $82,844 | -23.58% | $12,372 | -16.79% | $9,199 | -16.79% | -30.37% | -3.63% |
2008 | 11 | 12.07% | $92,841 | -7.71% | $11,418 | -7.17% | $8,539 | -7.17% | -8.25% | 12.07% |
2008 | 12 | 8.87% | $101,071 | 4.10% | $11,885 | 1.07% | $8,630 | 1.07% | 7.13% | 8.87% |
2009 | 1 | -8.47% | $92,511 | -6.82% | $11,074 | -8.41% | $7,904 | -8.41% | -5.23% | -8.47% |
2009 | 2 | -1.01% | $91,578 | -3.95% | $10,637 | -10.66% | $7,062 | -10.66% | 2.76% | -1.01% |
2009 | 3 | 5.27% | $96,400 | 9.14% | $11,609 | 8.76% | $7,681 | 8.76% | 9.52% | 5.27% |
2009 | 4 | -4.99% | $91,590 | 15.57% | $13,417 | 9.56% | $8,415 | 9.56% | 21.57% | -4.99% |
2009 | 5 | 27.75% | $117,011 | 16.69% | $15,655 | 5.62% | $8,887 | 5.62% | 27.75% | -2.68% |
2009 | 6 | 4.54% | $122,326 | 2.38% | $16,028 | 0.22% | $8,907 | 0.22% | 4.54% | 0.70% |
2009 | 7 | 13.54% | $138,888 | 10.56% | $17,720 | 7.58% | $9,582 | 7.58% | 13.54% | 0.80% |
2009 | 8 | -2.55% | $135,344 | 0.52% | $17,813 | 3.60% | $9,927 | 3.60% | -2.55% | 1.68% |
2009 | 9 | 7.06% | $144,896 | 5.39% | $18,773 | 3.72% | $10,296 | 3.72% | 7.06% | 1.98% |
2009 | 10 | -1.01% | $143,433 | -1.44% | $18,503 | -1.87% | $10,103 | -1.87% | -1.01% | -1.45% |
2009 | 11 | 5.26% | $150,982 | 5.62% | $19,543 | 5.98% | $10,708 | 5.98% | 5.26% | 1.91% |
2009 | 12 | 3.71% | $156,585 | 2.83% | $20,096 | 1.95% | $10,916 | 1.95% | 3.71% | -5.66% |
2010 | 1 | -7.14% | $145,400 | -5.37% | $19,016 | -3.60% | $10,523 | -3.60% | -7.14% | 2.66% |
2010 | 2 | 3.09% | $149,895 | 3.28% | $19,639 | 3.09% | $10,848 | 3.09% | 3.46% | -0.21% |
2010 | 3 | 8.66% | $162,871 | 7.33% | $21,080 | 6.01% | $11,500 | 6.01% | 8.66% | -1.51% |
2010 | 4 | 2.35% | $166,692 | 1.96% | $21,493 | 1.58% | $11,682 | 1.58% | 2.35% | 2.76% |
2010 | 5 | -12.99% | $145,040 | -10.50% | $19,237 | -8.01% | $10,747 | -8.01% | -12.99% | 4.23% |
2010 | 6 | 4.67% | $151,807 | -3.42% | $18,580 | -5.24% | $10,184 | -5.24% | -1.59% | 4.67% |
2010 | 7 | -0.17% | $151,548 | 8.99% | $20,251 | 7.00% | $10,896 | 7.00% | 10.99% | -0.17% |
2010 | 8 | -1.01% | $150,024 | -2.77% | $19,690 | -4.53% | $10,403 | -4.53% | -1.01% | 7.08% |
2010 | 9 | 12.49% | $168,758 | 10.70% | $21,798 | 8.92% | $11,330 | 8.92% | 12.49% | -1.82% |
2010 | 10 | 9.79% | $185,284 | 6.79% | $23,278 | 3.79% | $11,760 | 3.79% | 9.79% | -3.29% |
2010 | 11 | -0.12% | $185,056 | -0.06% | $23,263 | 0.00% | $11,760 | 0.00% | -0.12% | -1.60% |
2010 | 12 | 10.66% | $204,774 | 8.66% | $25,279 | 6.67% | $12,544 | 6.67% | 10.66% | -3.58% |
2011 | 1 | -4.50% | $195,553 | -1.07% | $25,008 | 2.36% | $12,840 | 2.36% | -4.50% | -2.38% |
2011 | 2 | 2.42% | $200,288 | 2.92% | $25,737 | 3.42% | $13,278 | 3.42% | 2.42% | 1.24% |
2011 | 3 | -4.02% | $192,230 | -2.00% | $25,223 | 0.03% | $13,282 | 0.03% | -4.02% | 0.02% |
2011 | 4 | 2.95% | $197,897 | 3.61% | $26,134 | 2.95% | $13,673 | 2.95% | 4.28% | 2.04% |
2011 | 5 | -1.15% | $195,630 | -1.03% | $25,866 | -1.15% | $13,517 | -1.15% | -0.91% | 3.29% |
2011 | 6 | -1.67% | $192,359 | -2.17% | $25,303 | -1.67% | $13,291 | -1.67% | -2.68% | -2.00% |
2011 | 7 | -2.05% | $188,421 | -1.35% | $24,963 | -2.05% | $13,019 | -2.05% | -0.64% | 4.18% |
2011 | 8 | 8.68% | $204,780 | -5.36% | $23,624 | -5.45% | $12,310 | -5.45% | -5.28% | 8.68% |
2011 | 9 | 10.16% | $225,591 | -8.84% | $21,536 | -7.04% | $11,443 | -7.04% | -10.64% | 10.16% |
2011 | 10 | -3.34% | $218,067 | 8.57% | $23,382 | 10.91% | $12,692 | 10.91% | 6.23% | -3.34% |
2011 | 11 | -0.23% | $217,557 | -1.08% | $23,130 | -0.23% | $12,662 | -0.23% | -1.92% | 1.82% |
2011 | 12 | 3.13% | $224,375 | -1.40% | $22,805 | 1.02% | $12,791 | 1.02% | -3.82% | 3.13% |
2012 | 1 | 4.46% | $234,393 | 4.99% | $23,944 | 4.46% | $13,362 | 4.46% | 5.52% | 0.08% |
2012 | 2 | 4.31% | $244,488 | 4.82% | $25,097 | 4.31% | $13,937 | 4.31% | 5.33% | -2.11% |
2012 | 3 | 3.28% | $252,510 | 2.70% | $25,775 | 3.28% | $14,395 | 3.28% | 2.12% | -3.77% |
2012 | 4 | -0.64% | $250,895 | -0.18% | $25,729 | -0.64% | $14,303 | -0.64% | 0.28% | 4.37% |
2012 | 5 | -6.02% | $235,797 | -8.35% | $23,581 | -6.02% | $13,442 | -6.02% | -10.68% | 7.79% |
2012 | 6 | -1.44% | $232,391 | 3.90% | $24,500 | 4.11% | $13,994 | 4.11% | 3.69% | -1.44% |
2012 | 7 | 1.37% | $235,575 | 1.07% | $24,761 | 1.37% | $14,186 | 1.37% | 0.76% | 3.32% |
2012 | 8 | 2.24% | $240,850 | 2.73% | $25,438 | 2.24% | $14,504 | 2.24% | 3.23% | -1.06% |
2012 | 9 | 2.58% | $247,056 | 4.05% | $26,468 | 2.58% | $14,877 | 2.58% | 5.52% | -2.10% |
2012 | 10 | 1.20% | $250,029 | -0.33% | $26,381 | -1.86% | $14,601 | -1.86% | 1.20% | -0.43% |
2012 | 11 | 1.10% | $252,774 | 0.83% | $26,600 | 0.56% | $14,682 | 0.56% | 1.10% | 1.35% |
2012 | 12 | 3.61% | $261,912 | 2.26% | $27,201 | 0.90% | $14,815 | 0.90% | 3.61% | -1.99% |
2013 | 1 | 5.70% | $276,835 | 5.44% | $28,680 | 5.18% | $15,582 | 5.18% | 5.70% | -3.27% |
2013 | 2 | 1.59% | $281,231 | 1.46% | $29,099 | 1.34% | $15,790 | 1.34% | 1.59% | 1.26% |
2013 | 3 | 1.81% | $286,322 | 2.77% | $29,907 | 3.74% | $16,381 | 3.74% | 1.81% | 0.03% |
2013 | 4 | 3.60% | $296,618 | 2.75% | $30,730 | 1.91% | $16,693 | 1.91% | 3.60% | 3.87% |
2013 | 5 | 1.33% | $300,551 | 1.83% | $31,291 | 2.33% | $17,082 | 2.33% | 1.33% | -6.23% |
2013 | 6 | -0.92% | $297,774 | -1.14% | $30,935 | -1.35% | $16,851 | -1.35% | -0.92% | -3.26% |
2013 | 7 | 6.37% | $316,747 | 5.72% | $32,705 | 5.07% | $17,706 | 5.07% | 6.37% | -1.93% |
2013 | 8 | -0.22% | $316,053 | -1.57% | $32,193 | -2.91% | $17,190 | -2.91% | -0.22% | -1.28% |
2013 | 9 | 8.64% | $343,355 | 5.88% | $34,086 | 3.12% | $17,727 | 3.12% | 8.64% | 0.88% |
2013 | 10 | 3.87% | $356,658 | 4.23% | $35,528 | 4.59% | $18,540 | 4.59% | 3.87% | 1.32% |
2013 | 11 | 3.63% | $369,615 | 3.33% | $36,712 | 3.03% | $19,101 | 3.03% | 3.63% | -2.49% |
2013 | 12 | 2.65% | $379,417 | 2.58% | $37,660 | 2.51% | $19,582 | 2.51% | 2.65% | -2.37% |
2014 | 1 | -1.04% | $375,455 | -2.26% | $36,810 | -3.47% | $18,902 | -3.47% | -1.04% | 6.26% |
2014 | 2 | 6.08% | $398,295 | 5.32% | $38,769 | 4.56% | $19,764 | 4.56% | 6.08% | 0.60% |
2014 | 3 | -1.64% | $391,769 | -0.41% | $38,611 | 0.82% | $19,927 | 0.82% | -1.64% | 0.63% |
2014 | 4 | -1.75% | $384,894 | -0.52% | $38,412 | 0.72% | $20,071 | 0.72% | -1.75% | 1.82% |
2014 | 5 | 2.33% | $393,881 | 2.41% | $39,337 | 2.33% | $20,540 | 2.33% | 2.48% | 2.73% |
2014 | 6 | 2.05% | $401,963 | 1.99% | $40,119 | 2.05% | $20,962 | 2.05% | 1.92% | -0.16% |
2014 | 7 | -1.39% | $396,384 | -2.11% | $39,270 | -1.39% | $20,671 | -1.39% | -2.84% | 0.59% |
2014 | 8 | 3.98% | $412,166 | 2.59% | $40,286 | 3.98% | $21,494 | 3.98% | 1.19% | 4.23% |
2014 | 9 | -1.41% | $406,344 | -2.96% | $39,093 | -1.41% | $21,190 | -1.41% | -4.51% | -1.99% |
2014 | 10 | 2.42% | $416,191 | 1.41% | $39,645 | 2.42% | $21,703 | 2.42% | 0.40% | 2.61% |
2014 | 11 | 2.68% | $427,354 | 1.89% | $40,397 | 2.68% | $22,286 | 2.68% | 1.11% | 2.86% |
2014 | 12 | -0.26% | $426,225 | -0.56% | $40,169 | -0.26% | $22,227 | -0.26% | -0.86% | 2.82% |
2015 | 1 | -3.02% | $413,363 | -0.95% | $39,785 | -3.02% | $21,556 | -3.02% | 1.11% | 8.97% |
2015 | 2 | 5.30% | $435,292 | 5.52% | $41,982 | 5.74% | $22,793 | 5.74% | 5.30% | -5.66% |
2015 | 3 | -1.59% | $428,355 | -0.80% | $41,648 | -1.59% | $22,430 | -1.59% | 0.00% | 1.13% |
2015 | 4 | 3.33% | $442,617 | 2.14% | $42,539 | 0.95% | $22,643 | 0.95% | 3.33% | -3.07% |
2015 | 5 | 1.74% | $450,306 | 1.50% | $43,179 | 1.27% | $22,931 | 1.27% | 1.74% | -2.16% |
2015 | 6 | 0.14% | $450,926 | -0.90% | $42,791 | -1.93% | $22,488 | -1.93% | 0.14% | -3.73% |
2015 | 7 | 2.78% | $463,451 | 2.43% | $43,831 | 2.08% | $22,956 | 2.08% | 2.78% | 4.21% |
2015 | 8 | -2.65% | $451,174 | -4.35% | $41,925 | -6.05% | $21,568 | -6.05% | -2.65% | -0.71% |
2015 | 9 | -2.58% | $439,516 | -2.53% | $40,863 | -2.48% | $21,032 | -2.48% | -2.58% | 1.91% |
2015 | 10 | -0.48% | $437,412 | 6.00% | $43,316 | 8.42% | $22,803 | 8.42% | 3.58% | -0.48% |
2015 | 11 | 0.29% | $438,664 | 0.55% | $43,555 | 0.29% | $22,868 | 0.29% | 0.82% | -0.81% |
2015 | 12 | -1.59% | $431,678 | -0.44% | $43,364 | -1.59% | $22,504 | -1.59% | 0.72% | -0.34% |
2016 | 1 | -6.04% | $405,604 | -5.51% | $40,975 | -4.98% | $21,384 | -4.98% | -6.04% | 5.24% |
2016 | 2 | 2.86% | $417,202 | -1.16% | $40,501 | -0.15% | $21,353 | -0.15% | -2.17% | 2.86% |
2016 | 3 | 0.05% | $417,420 | 6.45% | $43,115 | 6.78% | $22,800 | 6.78% | 6.13% | 0.05% |
2016 | 4 | 0.37% | $418,980 | 0.90% | $43,504 | 0.37% | $22,885 | 0.37% | 1.43% | -0.63% |
2016 | 5 | 1.78% | $426,450 | 2.40% | $44,546 | 1.78% | $23,293 | 1.78% | 3.01% | 0.69% |
2016 | 6 | -3.90% | $409,828 | -1.82% | $43,734 | 0.25% | $23,351 | 0.25% | -3.90% | 6.57% |
2016 | 7 | 3.68% | $424,894 | 4.35% | $45,634 | 3.68% | $24,210 | 3.68% | 5.02% | 2.01% |
2016 | 8 | 0.13% | $425,445 | 0.01% | $45,640 | 0.13% | $24,241 | 0.13% | -0.10% | -1.00% |
2016 | 9 | 0.01% | $425,479 | 1.15% | $46,167 | 0.01% | $24,243 | 0.01% | 2.30% | -1.32% |
2016 | 10 | -3.29% | $411,463 | -2.56% | $44,983 | -1.83% | $23,799 | -1.83% | -3.29% | -4.23% |
2016 | 11 | 3.70% | $426,683 | 0.46% | $45,191 | 3.70% | $24,679 | 3.70% | -2.77% | -7.86% |
2016 | 12 | 1.96% | $435,057 | 1.32% | $45,786 | 1.96% | $25,164 | 1.96% | 0.67% | -0.35% |
2017 | 1 | 1.88% | $443,250 | 3.01% | $47,164 | 1.88% | $25,637 | 1.88% | 4.13% | 0.65% |
2017 | 2 | 3.96% | $460,815 | 3.03% | $48,594 | 3.96% | $26,653 | 3.96% | 2.10% | 1.57% |
2017 | 3 | 0.10% | $461,276 | 1.46% | $49,303 | 0.10% | $26,680 | 0.10% | 2.82% | -0.59% |
2017 | 4 | 1.02% | $465,972 | 3.13% | $50,846 | 1.02% | $26,952 | 1.02% | 5.24% | 1.58% |
2017 | 5 | 6.13% | $494,535 | 3.76% | $52,759 | 1.39% | $27,327 | 1.39% | 6.13% | 1.73% |
2017 | 6 | 0.02% | $494,644 | 0.32% | $52,926 | 0.61% | $27,494 | 0.61% | 0.02% | 0.63% |
2017 | 7 | 2.90% | $508,980 | 2.47% | $54,233 | 2.04% | $28,056 | 2.04% | 2.90% | -0.59% |
2017 | 8 | 1.29% | $515,546 | 0.79% | $54,663 | 0.29% | $28,138 | 0.29% | 1.29% | 3.27% |
2017 | 9 | 2.06% | $526,161 | 2.06% | $55,788 | 2.06% | $28,718 | 2.06% | 2.06% | -2.27% |
2017 | 10 | 1.16% | $532,290 | 1.74% | $56,760 | 2.32% | $29,383 | 2.32% | 1.16% | -0.02% |
2017 | 11 | 2.63% | $546,297 | 2.85% | $58,375 | 3.06% | $30,282 | 3.06% | 2.63% | 0.63% |
2017 | 12 | 1.10% | $552,318 | 1.68% | $59,356 | 1.10% | $30,616 | 1.10% | 2.26% | 1.78% |
2018 | 1 | 6.62% | $588,879 | 6.17% | $63,016 | 5.71% | $32,365 | 5.71% | 6.62% | -3.40% |
2018 | 2 | -3.71% | $567,031 | -3.70% | $60,683 | -3.69% | $31,169 | -3.69% | -3.71% | -2.89% |
2018 | 3 | -0.16% | $566,139 | -1.36% | $59,860 | -2.56% | $30,373 | -2.56% | -0.16% | 2.75% |
2018 | 4 | 0.87% | $571,044 | 0.62% | $60,231 | 0.37% | $30,486 | 0.37% | 0.87% | -2.04% |
2018 | 5 | 3.69% | $592,111 | 3.04% | $62,063 | 2.39% | $31,216 | 2.39% | 3.69% | 1.79% |
2018 | 6 | -1.02% | $586,092 | -0.21% | $61,935 | 0.61% | $31,405 | 0.61% | -1.02% | 0.66% |
2018 | 7 | 3.12% | $604,372 | 3.41% | $64,050 | 3.71% | $32,570 | 3.71% | 3.12% | -1.28% |
2018 | 8 | 0.59% | $607,939 | 1.92% | $65,278 | 3.25% | $33,627 | 3.25% | 0.59% | 1.18% |
2018 | 9 | 0.55% | $611,310 | -0.20% | $65,148 | 0.55% | $33,813 | 0.55% | -0.95% | -2.74% |
2018 | 10 | -6.85% | $569,441 | -7.87% | $60,023 | -6.85% | $31,498 | -6.85% | -8.89% | -2.82% |
2018 | 11 | 1.78% | $579,599 | 0.45% | $60,295 | 2.03% | $32,136 | 2.03% | -1.12% | 1.78% |
2018 | 12 | 5.50% | $611,495 | -8.43% | $55,211 | -9.04% | $29,231 | -9.04% | -7.82% | 5.50% |
Metric | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|
Arithmetic Mean (monthly) | 1.84% | 0.84% | 0.54% |
Arithmetic Mean (annualized) | 24.48% | 10.58% | 6.63% |
Geometric Mean (monthly) | 1.73% | 0.71% | 0.45% |
Geometric Mean (annualized) | 22.83% | 8.92% | 5.51% |
Volatility (monthly) | 4.84% | 5.00% | 4.18% |
Volatility (annualized) | 16.76% | 17.31% | 14.47% |
Downside Deviation (monthly) | 2.37% | 3.42% | 2.91% |
Max. Drawdown | -20.50% | -61.76% | -50.97% |
US Market Correlation | 0.37 | 0.90 | 0.99 |
Beta(*) | 0.40 | 1.05 | 1.00 |
Alpha (annualized) | 19.53% | 3.34% | 0.00% |
R2 | 11.93% | 77.12% | 100.00% |
Sharpe Ratio | 1.21 | 0.48 | 0.32 |
Sortino Ratio | 2.41 | 0.69 | 0.45 |
Treynor Ratio (%) | 50.80 | 7.92 | 4.65 |
Calmar Ratio | 1.80 | 0.54 | 0.67 |
Active Return | 17.32% | 3.41% | N/A |
Tracking Error | 17.97% | 8.31% | N/A |
Information Ratio | 0.96 | 0.41 | N/A |
Skewness | 0.57 | -0.72 | -0.58 |
Excess Kurtosis | 3.51 | 2.78 | 1.10 |
Historical Value-at-Risk (5%) | -6.02% | -7.89% | -7.20% |
Analytical Value-at-Risk (5%) | -6.12% | -7.38% | -6.34% |
Conditional Value-at-Risk (5%) | -8.63% | -11.36% | -9.50% |
Upside Capture Ratio (%) | 100.76 | 114.63 | 100.00 |
Downside Capture Ratio (%) | 11.32 | 98.30 | 100.00 |
Safe Withdrawal Rate | 24.55% | 7.72% | 5.27% |
Perpetual Withdrawal Rate | 16.83% | 6.20% | 3.18% |
Positive Periods | 162 out of 240 (67.50%) | 145 out of 240 (60.42%) | 152 out of 240 (63.33%) |
Gain/Loss Ratio | 1.37 | 1.02 | 0.80 |
* 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 |
---|---|---|---|---|---|
Dotcom Crash | Mar 2000 | Oct 2002 | -13.84% | -50.26% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -20.50% | -61.76% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Oct 2008 | 1 year | May 2009 | 7 months | 1 year 7 months | -20.50% |
2 | Mar 2000 | May 2000 | 3 months | Oct 2001 | 1 year 5 months | 1 year 8 months | -13.84% |
3 | May 2006 | Jun 2006 | 2 months | Jan 2007 | 7 months | 9 months | -13.27% |
4 | May 2010 | May 2010 | 1 month | Sep 2010 | 4 months | 5 months | -12.99% |
5 | Aug 2015 | Jan 2016 | 6 months | Apr 2017 | 1 year 3 months | 1 year 9 months | -12.48% |
6 | Jun 2002 | Jul 2002 | 2 months | Apr 2003 | 9 months | 11 months | -12.26% |
7 | Aug 2007 | Aug 2007 | 1 month | Oct 2007 | 2 months | 3 months | -9.27% |
8 | Jan 2011 | Jul 2011 | 7 months | Aug 2011 | 1 month | 8 months | -7.99% |
9 | Apr 2012 | Jun 2012 | 3 months | Nov 2012 | 5 months | 8 months | -7.97% |
10 | Apr 2004 | Jul 2004 | 4 months | Sep 2004 | 2 months | 6 months | -7.60% |
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 | Jan 2013 | 3 years 11 months | 5 years 3 months | -61.76% |
2 | Apr 2000 | Sep 2002 | 2 years 6 months | Jun 2005 | 2 years 9 months | 5 years 3 months | -50.26% |
3 | Sep 2018 | Dec 2018 | 4 months | -15.42% | |||
4 | May 2006 | Jul 2006 | 3 months | Oct 2006 | 3 months | 6 months | -8.29% |
5 | Aug 2015 | Feb 2016 | 7 months | May 2016 | 3 months | 10 months | -7.60% |
6 | Jul 2007 | Aug 2007 | 2 months | Sep 2007 | 1 month | 3 months | -5.01% |
7 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -5.01% |
8 | Sep 2014 | Sep 2014 | 1 month | Nov 2014 | 2 months | 3 months | -2.96% |
9 | Jan 2000 | Jan 2000 | 1 month | Feb 2000 | 1 month | 2 months | -2.77% |
10 | Oct 2016 | Oct 2016 | 1 month | Jan 2017 | 3 months | 4 months | -2.56% |
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 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||
4 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
5 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
6 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |
7 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
8 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -4.98% |
9 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.71% |
10 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
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 | 24.30% | 108.61% | -20.50% | 12.09% | 84.63% | -55.53% | 7.29% | 53.61% | -43.32% |
3 years | 23.24% | 56.54% | 3.57% | 9.96% | 36.79% | -20.72% | 6.08% | 25.43% | -16.14% |
5 years | 24.51% | 41.74% | 9.41% | 10.73% | 29.52% | -3.80% | 6.65% | 22.85% | -6.73% |
7 years | 24.50% | 35.07% | 14.70% | 10.26% | 21.08% | 1.52% | 6.34% | 17.12% | -3.94% |
10 years | 24.29% | 30.59% | 17.06% | 9.10% | 18.11% | 0.19% | 5.33% | 14.17% | -3.51% |
15 years | 24.34% | 27.76% | 20.47% | 10.49% | 14.92% | 6.89% | 6.44% | 10.39% | 3.64% |
# | Start | End | Months | Assets | Asset Performance | Dual Momentum Model | Equal Weight Portfolio | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
53 | Jan 2019 | Jan 2019 | 1 | Please sign-in for forward signals | - | - | - | - |
52 | Nov 2018 | Dec 2018 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 7.39% | 7.39% | -8.02% | -7.20% |
51 | Sep 2018 | Oct 2018 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -6.33% | -6.33% | -8.05% | -6.33% |
50 | Jan 2018 | Aug 2018 | 8 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 10.07% | 10.07% | 9.98% | 9.84% |
49 | Dec 2017 | Dec 2017 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 1.10% | 1.10% | 1.68% | 1.10% |
48 | May 2017 | Nov 2017 | 7 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 17.24% | 17.24% | 14.81% | 12.36% |
47 | Nov 2016 | Apr 2017 | 6 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 13.25% | 13.25% | 13.03% | 13.25% |
46 | Oct 2016 | Oct 2016 | 1 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: -3.29% | -3.29% | -2.56% | -1.83% |
45 | Jul 2016 | Sep 2016 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 3.82% | 3.82% | 5.56% | 3.82% |
44 | Jun 2016 | Jun 2016 | 1 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: -3.90% | -3.90% | -1.82% | 0.25% |
43 | Apr 2016 | May 2016 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 2.16% | 2.16% | 3.32% | 2.16% |
42 | Feb 2016 | Mar 2016 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 2.91% | 2.91% | 5.22% | 6.62% |
41 | Jan 2016 | Jan 2016 | 1 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: -6.04% | -6.04% | -5.51% | -4.98% |
40 | Nov 2015 | Dec 2015 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.31% | -1.31% | 0.11% | -1.31% |
39 | Oct 2015 | Oct 2015 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -0.48% | -0.48% | 6.00% | 8.42% |
38 | Apr 2015 | Sep 2015 | 6 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 2.61% | 2.61% | -1.89% | -6.23% |
37 | Mar 2015 | Mar 2015 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.59% | -1.59% | -0.80% | -1.59% |
36 | Feb 2015 | Feb 2015 | 1 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 5.30% | 5.30% | 5.52% | 5.74% |
35 | May 2014 | Jan 2015 | 9 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 7.40% | 7.40% | 3.58% | 7.40% |
34 | Oct 2012 | Apr 2014 | 19 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 55.79% | 55.79% | 45.13% | 34.91% |
33 | Jul 2012 | Sep 2012 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 6.31% | 6.31% | 8.03% | 6.31% |
32 | Jun 2012 | Jun 2012 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -1.44% | -1.44% | 3.90% | 4.11% |
31 | Jan 2012 | May 2012 | 5 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 5.09% | 5.09% | 3.40% | 5.09% |
30 | Dec 2011 | Dec 2011 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 3.13% | 3.13% | -1.40% | 1.02% |
29 | Nov 2011 | Nov 2011 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -0.23% | -0.23% | -1.08% | -0.23% |
28 | Aug 2011 | Oct 2011 | 3 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 15.73% | 15.73% | -6.33% | -2.51% |
27 | Apr 2011 | Jul 2011 | 4 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -1.98% | -1.98% | -1.03% | -1.98% |
26 | Aug 2010 | Mar 2011 | 8 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 26.84% | 26.84% | 24.55% | 21.89% |
25 | Jun 2010 | Jul 2010 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 4.49% | 4.49% | 5.27% | 1.39% |
24 | Mar 2010 | May 2010 | 3 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: -3.24% | -3.24% | -2.05% | -0.93% |
23 | Feb 2010 | Feb 2010 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 3.09% | 3.09% | 3.28% | 3.09% |
22 | May 2009 | Jan 2010 | 9 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 58.75% | 58.75% | 41.73% | 25.05% |
21 | Jul 2008 | Apr 2009 | 10 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 9.10% | 9.10% | -38.82% | -30.25% |
20 | Jun 2008 | Jun 2008 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -8.44% | -8.44% | -7.23% | -8.44% |
19 | Dec 2007 | May 2008 | 6 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: -0.51% | -0.51% | -7.76% | -4.52% |
18 | Oct 2007 | Nov 2007 | 2 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: -1.70% | -1.70% | -2.01% | -2.67% |
17 | Sep 2007 | Sep 2007 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 0.21% | 0.21% | 7.60% | 3.72% |
16 | Nov 2006 | Aug 2007 | 10 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 24.16% | 24.16% | 16.45% | 8.61% |
15 | Oct 2006 | Oct 2006 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 3.25% | 3.25% | 6.75% | 3.25% |
14 | Sep 2006 | Sep 2006 | 1 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: -2.44% | -2.44% | 0.06% | 2.56% |
13 | Jul 2006 | Aug 2006 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 4.63% | 4.63% | 3.71% | 2.98% |
12 | Sep 2004 | Jun 2006 | 22 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 80.71% | 80.71% | 47.17% | 18.70% |
11 | Aug 2004 | Aug 2004 | 1 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 3.39% | 3.39% | 0.76% | 0.38% |
10 | May 2003 | Jul 2004 | 15 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 78.06% | 78.06% | 48.34% | 22.55% |
9 | Apr 2003 | Apr 2003 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 8.25% | 8.25% | 12.14% | 8.25% |
8 | Aug 2002 | Mar 2003 | 8 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 10.12% | 10.12% | -10.92% | -5.87% |
7 | Jan 2002 | Jul 2002 | 7 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 3.32% | 3.32% | -8.88% | -19.93% |
6 | Oct 2000 | Dec 2001 | 15 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 11.79% | 11.79% | -29.31% | -18.89% |
5 | Sep 2000 | Sep 2000 | 1 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: -5.29% | -5.29% | -7.14% | -5.29% |
4 | Jul 2000 | Aug 2000 | 2 | 100.00% Vanguard Long-Term Treasury Inv (VUSTX) | VUSTX: 3.59% | 3.59% | 1.64% | 4.60% |
3 | May 2000 | Jun 2000 | 2 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 0.41% | 0.41% | -1.32% | 0.41% |
2 | Apr 1999 | Apr 2000 | 13 | 100.00% Invesco International Small-Mid Com A (OSMAX) | OSMAX: 50.93% | 50.93% | 32.69% | 14.37% |
1 | Jan 1999 | Mar 1999 | 3 | 100.00% Vanguard 500 Index Investor (VFINX) | VFINX: 4.98% | 4.98% | 7.72% | 4.98% |