Test Market Timing Models

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

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

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

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

Market Timing Results (Jan 1999 - Dec 2018)

Market timing results from 1999 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.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$611,45222.83%16.76%85.12%0.78%-20.50% 1.212.410.37
Vanguard 500 Index Investor$10,000$29,2315.51%14.47%32.18%-37.02%-50.97% 0.320.450.99
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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)Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19992.68%58.35%21.07%$15,835$12,10721.07%66.22%-8.66%
20003.39%5.64%-9.06%$16,728$11,010-9.06%-34.55%19.72%
20011.55%4.31%-12.02%$17,449$9,687-12.02%-18.60%4.31%
20022.38%12.20%-22.15%$19,577$7,542-22.15%-8.17%16.67%
20031.88%85.12%28.50%$36,240$9,69128.50%85.05%2.68%
20043.26%32.76%10.74%$48,112$10,73210.74%29.88%7.12%
20053.42%33.67%4.77%$64,311$11,2444.77%33.67%6.61%
20062.54%28.12%15.64%$82,397$13,00315.64%36.53%1.74%
20074.08%11.31%5.39%$91,714$13,7035.39%21.43%9.24%
20080.09%10.20%-37.02%$101,064$8,630-37.02%-65.97%22.52%
20092.72%54.92%26.49%$156,574$10,91626.49%121.67%-12.05%
20101.50%30.78%14.91%$204,760$12,54414.91%37.19%8.93%
20112.96%9.57%1.97%$224,359$12,7911.97%-20.44%29.28%
20121.74%16.73%15.82%$261,893$14,81515.82%22.65%3.47%
20131.50%44.86%32.18%$379,390$19,58232.18%44.86%-13.03%
20140.76%12.34%13.51%$426,195$22,22713.51%0.11%25.28%
20150.73%1.28%1.25%$431,648$22,5041.25%14.90%-1.54%
20162.07%0.78%11.82%$435,027$25,16411.82%-0.49%1.20%
20172.11%26.95%21.67%$552,279$30,61621.67%37.93%8.58%
20181.91%10.71%-4.52%$611,452$29,231-4.52%-9.46%-1.90%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)Vanguard Long-Term Treasury Inv (VUSTX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
199914.20%4.20%$10,420$10,4204.20%0.26%0.98%
19992-3.12%-3.12%$10,095$10,095-3.12%7.24%-4.76%
199934.00%4.00%$10,498$10,4984.00%2.49%-0.34%
1999411.45%3.85%$11,700$10,9033.85%11.45%0.19%
199951.41%-2.39%$11,865$10,642-2.39%1.41%-1.68%
199966.94%5.56%$12,688$11,2335.56%6.94%-1.05%
1999710.84%-3.13%$14,063$10,882-3.13%10.84%-0.58%
199981.99%-0.50%$14,343$10,828-0.50%1.99%-0.49%
199990.75%-2.74%$14,450$10,531-2.74%0.75%0.91%
199910-1.99%6.33%$14,162$11,1976.33%-1.99%0.12%
1999115.58%2.02%$14,953$11,4242.02%5.58%-0.59%
1999125.90%5.98%$15,835$12,1075.98%5.90%-1.60%
20001-0.50%-5.03%$15,756$11,498-5.03%-0.50%1.25%
2000214.34%-1.91%$18,015$11,278-1.91%14.34%2.96%
20003-1.71%9.76%$17,706$12,3799.76%-1.71%3.14%
20004-10.51%-3.01%$15,845$12,007-3.01%-10.51%-0.66%
20005-2.04%-2.04%$15,522$11,762-2.04%-6.53%-0.46%
200062.49%2.49%$15,908$12,0552.49%3.70%2.30%
200071.49%-1.49%$16,145$11,875-1.49%-6.09%1.49%
200082.08%6.19%$16,480$12,6106.19%5.11%2.08%
20009-5.29%-5.29%$15,608$11,943-5.29%-9.00%-0.85%
2000101.57%-0.43%$15,853$11,892-0.43%-12.41%1.57%
2000112.99%-7.88%$16,327$10,955-7.88%-12.77%2.99%
2000122.45%0.50%$16,728$11,0100.50%-1.67%2.45%
200110.28%3.55%$16,775$11,4013.55%2.88%0.28%
200121.80%-9.14%$17,078$10,359-9.14%-9.20%1.80%
20013-0.60%-6.36%$16,974$9,701-6.36%-8.59%-0.60%
20014-2.56%7.77%$16,539$10,4547.77%7.95%-2.56%
200150.21%0.65%$16,573$10,5220.65%-2.12%0.21%
200160.76%-2.45%$16,699$10,265-2.45%-2.85%0.76%
200173.61%-1.00%$17,302$10,162-1.00%-4.23%3.61%
200182.02%-6.27%$17,653$9,525-6.27%-3.31%2.02%
200190.88%-8.09%$17,808$8,754-8.09%-14.07%0.88%
2001105.12%1.90%$18,720$8,9201.90%6.64%5.12%
200111-5.07%7.65%$17,772$9,6037.65%7.05%-5.07%
200112-1.82%0.87%$17,449$9,6870.87%2.22%-1.82%
200214.21%-1.47%$18,184$9,544-1.47%4.21%1.20%
200222.57%-1.94%$18,652$9,359-1.94%2.57%1.24%
200238.12%3.74%$20,167$9,7093.74%8.12%-3.86%
200241.33%-6.07%$20,435$9,120-6.07%1.33%3.73%
200250.55%-0.75%$20,546$9,051-0.75%0.55%0.39%
20026-4.01%-7.13%$19,722$8,405-7.13%-4.01%1.76%
20027-8.59%-7.72%$18,028$7,756-7.72%-8.59%2.93%
200284.28%0.65%$18,799$7,8070.65%-1.36%4.28%
200294.02%-10.87%$19,554$6,958-10.87%-10.65%4.02%
200210-2.84%8.78%$19,000$7,5698.78%-1.54%-2.84%
200211-0.98%5.88%$18,814$8,0145.88%6.41%-0.98%
2002124.05%-5.89%$19,577$7,542-5.89%-3.75%4.05%
20031-0.45%-2.62%$19,489$7,344-2.62%-1.39%-0.45%
200323.03%-1.52%$20,079$7,232-1.52%-2.26%3.03%
20033-1.13%0.96%$19,852$7,3010.96%-1.88%-1.13%
200348.25%8.25%$21,490$7,9048.25%16.03%0.91%
200357.73%5.26%$23,152$8,3205.26%7.73%5.67%
200367.06%1.26%$24,786$8,4251.26%7.06%-1.48%
200379.01%1.74%$27,019$8,5721.74%9.01%-8.57%
200385.95%1.93%$28,626$8,7371.93%5.95%1.43%
200396.57%-1.07%$30,506$8,644-1.07%6.57%5.07%
20031014.29%5.64%$34,864$9,1315.64%14.29%-2.58%
200311-0.86%0.86%$34,564$9,2100.86%-0.86%0.31%
2003124.85%5.22%$36,240$9,6915.22%4.85%1.23%
200413.32%1.82%$37,444$9,8681.82%3.32%1.74%
200422.49%1.38%$38,375$10,0031.38%2.49%1.96%
200437.92%-1.51%$41,413$9,852-1.51%7.92%1.45%
20044-1.92%-1.58%$40,619$9,697-1.58%-1.92%-5.52%
20045-3.84%1.36%$39,059$9,8281.36%-3.84%-0.56%
200461.96%1.93%$39,825$10,0181.93%1.96%0.87%
20047-3.92%-3.31%$38,265$9,686-3.31%-3.92%1.52%
200483.39%0.38%$39,561$9,7230.38%1.14%3.39%
200495.80%1.07%$41,855$9,8271.07%5.80%0.94%
2004102.74%1.51%$43,002$9,9761.51%2.74%1.46%
2004116.96%4.05%$45,996$10,3804.05%6.96%-2.25%
2004124.60%3.39%$48,112$10,7323.39%4.60%2.22%
200510.00%-2.45%$48,112$10,468-2.45%0.00%2.59%
200526.98%2.09%$51,471$10,6882.09%6.98%-1.24%
20053-1.00%-1.76%$50,954$10,500-1.76%-1.00%-0.76%
20054-2.31%-1.91%$49,777$10,299-1.91%-2.31%3.22%
200552.60%3.17%$51,069$10,6253.17%2.60%2.55%
200563.37%0.13%$52,791$10,6380.13%3.37%1.64%
200576.80%3.71%$56,379$11,0333.71%6.80%-2.58%
20058-0.81%-0.91%$55,920$10,932-0.91%-0.81%2.87%
200598.26%0.79%$60,542$11,0190.79%8.26%-2.78%
200510-2.37%-1.68%$59,106$10,834-1.68%-2.37%-1.74%
2005113.50%3.76%$61,173$11,2423.76%3.50%0.57%
2005125.13%0.02%$64,311$11,2440.02%5.13%2.33%
2006112.55%2.65%$72,382$11,5422.65%12.55%-0.90%
20062-1.72%0.26%$71,138$11,5720.26%-1.72%0.81%
200636.91%1.23%$76,051$11,7141.23%6.91%-3.39%
200648.39%1.33%$82,431$11,8711.33%8.39%-1.96%
20065-7.55%-2.90%$76,210$11,527-2.90%-7.55%-0.03%
20066-6.20%0.13%$71,489$11,5410.13%-6.20%0.71%
200671.84%0.61%$72,804$11,6120.61%-1.03%1.84%
200682.74%2.36%$74,797$11,8862.36%5.50%2.74%
20069-2.44%2.56%$72,975$12,1902.56%-2.44%1.58%
2006103.25%3.25%$75,347$12,5873.25%10.25%0.77%
2006115.88%1.89%$79,778$12,8251.89%5.88%1.91%
2006123.28%1.39%$82,397$13,0031.39%3.28%-2.14%
200710.26%1.49%$82,612$13,1971.49%0.26%-0.85%
200722.67%-1.97%$84,819$12,937-1.97%2.67%2.93%
200733.94%1.11%$88,160$13,0811.11%3.94%-1.13%
200745.01%4.42%$92,574$13,6594.42%5.01%0.86%
200758.64%3.48%$100,575$14,1343.48%8.64%-1.93%
200761.77%-1.68%$102,352$13,897-1.68%1.77%-0.88%
200770.75%-3.08%$103,119$13,468-3.08%0.75%2.39%
20078-9.27%1.50%$93,555$13,6701.50%-9.27%1.97%
200790.21%3.72%$93,753$14,1793.72%11.47%0.21%
20071011.14%1.58%$104,198$14,4031.58%11.14%1.40%
200711-11.56%-4.19%$92,155$13,800-4.19%-11.56%4.59%
200712-0.48%-0.70%$91,714$13,703-0.70%-2.39%-0.48%
200812.64%-6.02%$94,137$12,879-6.02%-14.17%2.64%
200820.35%-3.25%$94,466$12,460-3.25%7.44%0.35%
200831.02%-0.44%$95,431$12,405-0.44%-9.90%1.02%
20084-1.84%4.85%$93,676$13,0084.85%2.99%-1.84%
20085-2.13%1.29%$91,683$13,1761.29%5.85%-2.13%
20086-8.44%-8.44%$83,946$12,064-8.44%-6.02%1.80%
200870.30%-0.83%$84,194$11,964-0.83%-14.78%0.30%
200881.80%1.45%$85,714$12,1371.45%-8.44%1.80%
200890.28%-8.91%$85,957$11,056-8.91%-25.14%0.28%
200810-3.63%-16.79%$82,838$9,199-16.79%-30.37%-3.63%
20081112.07%-7.17%$92,834$8,539-7.17%-8.25%12.07%
2008128.87%1.07%$101,064$8,6301.07%7.13%8.87%
20091-8.47%-8.41%$92,504$7,904-8.41%-5.23%-8.47%
20092-1.01%-10.66%$91,571$7,062-10.66%2.76%-1.01%
200935.27%8.76%$96,393$7,6818.76%9.52%5.27%
20094-4.99%9.56%$91,584$8,4159.56%21.57%-4.99%
2009527.75%5.62%$117,003$8,8875.62%27.75%-2.68%
200964.54%0.22%$122,317$8,9070.22%4.54%0.70%
2009713.54%7.58%$138,878$9,5827.58%13.54%0.80%
20098-2.55%3.60%$135,335$9,9273.60%-2.55%1.68%
200997.06%3.72%$144,886$10,2963.72%7.06%1.98%
200910-1.01%-1.87%$143,423$10,103-1.87%-1.01%-1.45%
2009115.26%5.98%$150,971$10,7085.98%5.26%1.91%
2009123.71%1.95%$156,574$10,9161.95%3.71%-5.66%
20101-7.14%-3.60%$145,390$10,523-3.60%-7.14%2.66%
201023.09%3.09%$149,885$10,8483.09%3.46%-0.21%
201038.66%6.01%$162,860$11,5006.01%8.66%-1.51%
201042.35%1.58%$166,680$11,6821.58%2.35%2.76%
20105-12.99%-8.01%$145,029$10,747-8.01%-12.99%4.23%
201064.67%-5.24%$151,796$10,184-5.24%-1.59%4.67%
20107-0.17%7.00%$151,537$10,8967.00%10.99%-0.17%
20108-1.01%-4.53%$150,014$10,403-4.53%-1.01%7.08%
2010912.49%8.92%$168,747$11,3308.92%12.49%-1.82%
2010109.79%3.79%$185,271$11,7603.79%9.79%-3.29%
201011-0.12%0.00%$185,043$11,7600.00%-0.12%-1.60%
20101210.66%6.67%$204,760$12,5446.67%10.66%-3.58%
20111-4.50%2.36%$195,539$12,8402.36%-4.50%-2.38%
201122.42%3.42%$200,274$13,2783.42%2.42%1.24%
20113-4.02%0.03%$192,216$13,2820.03%-4.02%0.02%
201142.95%2.95%$197,883$13,6732.95%4.28%2.04%
20115-1.15%-1.15%$195,616$13,517-1.15%-0.91%3.29%
20116-1.67%-1.67%$192,345$13,291-1.67%-2.68%-2.00%
20117-2.05%-2.05%$188,408$13,019-2.05%-0.64%4.18%
201188.68%-5.45%$204,765$12,310-5.45%-5.28%8.68%
2011910.16%-7.04%$225,575$11,443-7.04%-10.64%10.16%
201110-3.34%10.91%$218,052$12,69210.91%6.23%-3.34%
201111-0.23%-0.23%$217,542$12,662-0.23%-1.92%1.82%
2011123.13%1.02%$224,359$12,7911.02%-3.82%3.13%
201214.46%4.46%$234,376$13,3624.46%5.52%0.08%
201224.31%4.31%$244,470$13,9374.31%5.33%-2.11%
201233.28%3.28%$252,493$14,3953.28%2.12%-3.77%
20124-0.64%-0.64%$250,878$14,303-0.64%0.28%4.37%
20125-6.02%-6.02%$235,780$13,442-6.02%-10.68%7.79%
20126-1.44%4.11%$232,375$13,9944.11%3.69%-1.44%
201271.37%1.37%$235,558$14,1861.37%0.76%3.32%
201282.24%2.24%$240,833$14,5042.24%3.23%-1.06%
201292.58%2.58%$247,038$14,8772.58%5.52%-2.10%
2012101.20%-1.86%$250,012$14,601-1.86%1.20%-0.43%
2012111.10%0.56%$252,757$14,6820.56%1.10%1.35%
2012123.61%0.90%$261,893$14,8150.90%3.61%-1.99%
201315.70%5.18%$276,816$15,5825.18%5.70%-3.27%
201321.59%1.34%$281,212$15,7901.34%1.59%1.26%
201331.81%3.74%$286,301$16,3813.74%1.81%0.03%
201343.60%1.91%$296,597$16,6931.91%3.60%3.87%
201351.33%2.33%$300,530$17,0822.33%1.33%-6.23%
20136-0.92%-1.35%$297,753$16,851-1.35%-0.92%-3.26%
201376.37%5.07%$316,725$17,7065.07%6.37%-1.93%
20138-0.22%-2.91%$316,030$17,190-2.91%-0.22%-1.28%
201398.64%3.12%$343,330$17,7273.12%8.64%0.88%
2013103.87%4.59%$356,633$18,5404.59%3.87%1.32%
2013113.63%3.03%$369,589$19,1013.03%3.63%-2.49%
2013122.65%2.51%$379,390$19,5822.51%2.65%-2.37%
20141-1.04%-3.47%$375,429$18,902-3.47%-1.04%6.26%
201426.08%4.56%$398,267$19,7644.56%6.08%0.60%
20143-1.64%0.82%$391,742$19,9270.82%-1.64%0.63%
20144-1.75%0.72%$384,867$20,0710.72%-1.75%1.82%
201452.33%2.33%$393,853$20,5402.33%2.48%2.73%
201462.05%2.05%$401,935$20,9622.05%1.92%-0.16%
20147-1.39%-1.39%$396,356$20,671-1.39%-2.84%0.59%
201483.98%3.98%$412,137$21,4943.98%1.19%4.23%
20149-1.41%-1.41%$406,315$21,190-1.41%-4.51%-1.99%
2014102.42%2.42%$416,161$21,7032.42%0.40%2.61%
2014112.68%2.68%$427,324$22,2862.68%1.11%2.86%
201412-0.26%-0.26%$426,195$22,227-0.26%-0.86%2.82%
20151-3.02%-3.02%$413,334$21,556-3.02%1.11%8.97%
201525.30%5.74%$435,261$22,7935.74%5.30%-5.66%
20153-1.59%-1.59%$428,324$22,430-1.59%0.00%1.13%
201543.33%0.95%$442,585$22,6430.95%3.33%-3.07%
201551.74%1.27%$450,274$22,9311.27%1.74%-2.16%
201560.14%-1.93%$450,894$22,488-1.93%0.14%-3.73%
201572.78%2.08%$463,419$22,9562.08%2.78%4.21%
20158-2.65%-6.04%$451,142$21,569-6.04%-2.65%-0.71%
20159-2.58%-2.49%$439,485$21,032-2.49%-2.58%1.91%
201510-0.48%8.42%$437,381$22,8038.42%3.58%-0.48%
2015110.29%0.29%$438,634$22,8680.29%0.82%-0.81%
201512-1.59%-1.59%$431,648$22,504-1.59%0.72%-0.34%
20161-6.04%-4.98%$405,575$21,384-4.98%-6.04%5.24%
201622.86%-0.15%$417,173$21,353-0.15%-2.17%2.86%
201630.05%6.78%$417,390$22,8006.78%6.13%0.05%
201640.37%0.37%$418,950$22,8850.37%1.43%-0.63%
201651.78%1.78%$426,420$23,2931.78%3.01%0.69%
20166-3.90%0.25%$409,799$23,3510.25%-3.90%6.57%
201673.68%3.68%$424,864$24,2103.68%5.02%2.01%
201680.13%0.13%$425,415$24,2410.13%-0.10%-1.00%
201690.01%0.01%$425,449$24,2430.01%2.30%-1.32%
201610-3.29%-1.83%$411,434$23,799-1.83%-3.29%-4.23%
2016113.70%3.70%$426,653$24,6793.70%-2.77%-7.86%
2016121.96%1.96%$435,027$25,1641.96%0.67%-0.35%
201711.88%1.88%$443,219$25,6371.88%4.13%0.65%
201723.96%3.96%$460,783$26,6533.96%2.10%1.57%
201730.10%0.10%$461,244$26,6800.10%2.82%-0.59%
201741.02%1.02%$465,940$26,9521.02%5.24%1.58%
201756.13%1.39%$494,500$27,3271.39%6.13%1.73%
201760.02%0.61%$494,609$27,4940.61%0.02%0.63%
201772.90%2.04%$508,944$28,0562.04%2.90%-0.59%
201781.29%0.29%$515,510$28,1380.29%1.29%3.27%
201792.06%2.06%$526,124$28,7182.06%2.06%-2.27%
2017101.16%2.32%$532,252$29,3832.32%1.16%-0.02%
2017112.63%3.06%$546,259$30,2823.06%2.63%0.63%
2017121.10%1.10%$552,279$30,6161.10%2.26%1.78%
201816.62%5.71%$588,837$32,3655.71%6.62%-3.40%
20182-3.71%-3.69%$566,991$31,169-3.69%-3.71%-2.89%
20183-0.16%-2.56%$566,100$30,373-2.56%-0.16%2.75%
201840.87%0.37%$571,004$30,4860.37%0.87%-2.04%
201853.69%2.39%$592,069$31,2162.39%3.69%1.79%
20186-1.02%0.61%$586,051$31,4050.61%-1.02%0.66%
201873.12%3.71%$604,330$32,5703.71%3.12%-1.28%
201880.59%3.25%$607,897$33,6273.25%0.59%1.18%
201890.55%0.55%$611,266$33,8130.55%-0.95%-2.74%
201810-6.85%-6.85%$569,401$31,498-6.85%-8.89%-2.82%
2018111.78%2.03%$579,559$32,1362.03%-1.12%1.78%
2018125.50%-9.04%$611,452$29,231-9.04%-7.82%5.50%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.84%0.54%
Arithmetic Mean (annualized)24.48%6.63%
Geometric Mean (monthly)1.73%0.45%
Geometric Mean (annualized)22.83%5.51%
Volatility (monthly)4.84%4.18%
Volatility (annualized)16.76%14.47%
Downside Deviation (monthly)2.37%2.91%
Max. Drawdown-20.50%-50.97%
US Market Correlation0.370.99
Beta(*)0.401.00
Alpha (annualized)19.53%0.00%
R211.92%100.00%
Sharpe Ratio1.210.32
Sortino Ratio2.410.45
Treynor Ratio (%)50.914.69
Calmar Ratio1.800.67
Active Return17.32%N/A
Tracking Error17.97%N/A
Information Ratio0.96N/A
Skewness0.57-0.58
Excess Kurtosis3.511.10
Historical Value-at-Risk (5%)-6.04%-7.69%
Analytical Value-at-Risk (5%)-6.12%-6.34%
Conditional Value-at-Risk (5%)-8.63%-9.50%
Upside Capture Ratio (%)100.76100.00
Downside Capture Ratio (%)11.32100.00
Safe Withdrawal Rate24.55%5.27%
Perpetual Withdrawal Rate16.83%3.18%
Positive Periods162 out of 240 (67.50%)152 out of 240 (63.33%)
Gain/Loss Ratio1.370.80
* 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
Dotcom CrashMar 2000Oct 2002-13.84%-44.82%
Subprime CrisisNov 2007Mar 2009-20.50%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearMay 20097 months1 year 7 months-20.50%
2Mar 2000May 20003 monthsOct 20011 year 5 months1 year 8 months-13.84%
3May 2006Jun 20062 monthsJan 20077 months9 months-13.27%
4May 2010May 20101 monthSep 20104 months5 months-12.99%
5Aug 2015Jan 20166 monthsApr 20171 year 3 months1 year 9 months-12.48%
6Jun 2002Jul 20022 monthsApr 20039 months11 months-12.26%
7Aug 2007Aug 20071 monthOct 20072 months3 months-9.27%
8Jan 2011Jul 20117 monthsAug 20111 month8 months-7.99%
9Apr 2012Jun 20123 monthsNov 20125 months8 months-7.97%
10Apr 2004Jul 20044 monthsSep 20042 months6 months-7.60%
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%
3Oct 2018Dec 20183 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
6Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year24.53%85.12%0.78%7.05%32.18%-37.02%
3 years22.90%48.66%4.67%5.82%20.22%-14.60%
5 years24.22%36.41%10.02%6.35%17.81%-2.38%
7 years24.35%34.58%15.23%6.19%14.67%-1.64%
10 years24.39%29.61%18.10%5.35%12.97%-1.46%
15 years24.29%27.43%20.73%6.27%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 1999Mar 19993100.00% Vanguard 500 Index Investor (VFINX)VFINX: 4.98%4.98%4.98%
2Apr 1999Apr 200013100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 50.93%50.93%14.37%
3May 2000Jun 20002100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.40%0.40%0.40%
4Jul 2000Aug 20002100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.59%3.59%4.61%
5Sep 2000Sep 20001100.00% Vanguard 500 Index Investor (VFINX)VFINX: -5.29%-5.29%-5.29%
6Oct 2000Dec 200115100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 11.79%11.79%-18.89%
7Jan 2002Jul 20027100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 3.32%3.32%-19.93%
8Aug 2002Mar 20038100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 10.12%10.12%-5.87%
9Apr 2003Apr 20031100.00% Vanguard 500 Index Investor (VFINX)VFINX: 8.25%8.25%8.25%
10May 2003Jul 200415100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 78.06%78.06%22.55%
11Aug 2004Aug 20041100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.39%3.39%0.38%
12Sep 2004Jun 200622100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 80.71%80.71%18.70%
13Jul 2006Aug 20062100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.63%4.63%2.98%
14Sep 2006Sep 20061100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: -2.44%-2.44%2.56%
15Oct 2006Oct 20061100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.25%3.25%3.25%
16Nov 2006Aug 200710100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 24.16%24.16%8.61%
17Sep 2007Sep 20071100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 0.21%0.21%3.72%
18Oct 2007Nov 20072100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: -1.70%-1.70%-2.67%
19Dec 2007May 20086100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.51%-0.51%-4.52%
20Jun 2008Jun 20081100.00% Vanguard 500 Index Investor (VFINX)VFINX: -8.44%-8.44%-8.44%
21Jul 2008Apr 200910100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 9.10%9.10%-30.25%
22May 2009Jan 20109100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 58.75%58.75%25.05%
23Feb 2010Feb 20101100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.09%3.09%3.09%
24Mar 2010May 20103100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: -3.24%-3.24%-0.93%
25Jun 2010Jul 20102100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 4.49%4.49%1.39%
26Aug 2010Mar 20118100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 26.84%26.84%21.89%
27Apr 2011Jul 20114100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.98%-1.98%-1.98%
28Aug 2011Oct 20113100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 15.73%15.73%-2.51%
29Nov 2011Nov 20111100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.23%-0.23%-0.23%
30Dec 2011Dec 20111100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 3.13%3.13%1.02%
31Jan 2012May 20125100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.09%5.09%5.09%
32Jun 2012Jun 20121100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -1.44%-1.44%4.11%
33Jul 2012Sep 20123100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.31%6.31%6.31%
34Oct 2012Apr 201419100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 55.79%55.79%34.91%
35May 2014Jan 20159100.00% Vanguard 500 Index Investor (VFINX)VFINX: 7.40%7.40%7.40%
36Feb 2015Feb 20151100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 5.30%5.30%5.74%
37Mar 2015Mar 20151100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.59%-1.59%-1.59%
38Apr 2015Sep 20156100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 2.61%2.61%-6.23%
39Oct 2015Oct 20151100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: -0.48%-0.48%8.42%
40Nov 2015Dec 20152100.00% Vanguard 500 Index Investor (VFINX)VFINX: -1.31%-1.31%-1.31%
41Jan 2016Jan 20161100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: -6.04%-6.04%-4.98%
42Feb 2016Mar 20162100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 2.91%2.91%6.62%
43Apr 2016May 20162100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.16%2.16%2.16%
44Jun 2016Jun 20161100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: -3.90%-3.90%0.25%
45Jul 2016Sep 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.82%3.82%3.82%
46Oct 2016Oct 20161100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: -3.29%-3.29%-1.83%
47Nov 2016Apr 20176100.00% Vanguard 500 Index Investor (VFINX)VFINX: 13.25%13.25%13.25%
48May 2017Nov 20177100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 17.24%17.24%12.36%
49Dec 2017Dec 20171100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.10%1.10%1.10%
50Jan 2018Aug 20188100.00% Invesco Oppenheimer Intl Sml-Mid Com A (OSMAX)OSMAX: 10.07%10.07%9.84%
51Sep 2018Oct 20182100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.33%-6.33%-6.33%
52Nov 2018Dec 20182100.00% Vanguard Long-Term Treasury Inv (VUSTX)VUSTX: 7.39%7.39%-7.20%
53Jan 2019Jan 20191100.00% Vanguard Long-Term Treasury Inv (VUSTX)---