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 uses shifts 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
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Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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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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Market Timing Results (Jan 2009 - Dec 2018)

Market timing results from 2009 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 cash. The model uses a single performance window of 10 calendar month(s). Timing model trades are executed using the end of month close price each month based on the end of month signals. The selected year range for the timing test was automatically adjusted based on the available data for SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL) (Jun 2007-Mar 2019).

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$21,7618.09%10.96%23.68%-10.11%-18.08% 0.741.170.71
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Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • 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
YearInflationTiming Portfolio ReturnTiming Portfolio BalanceiShares Core S&P 500 ETF (IVV)Vanguard FTSE All-Wld ex-US ETF (VEU)SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)Cash (CASHX)
20092.72%8.79%$10,87926.60%37.59%0.27%0.09%
20101.50%11.28%$12,10615.09%11.81%-0.04%0.10%
20112.96%-10.11%$10,8821.86%-14.02%-0.04%0.04%
20121.74%10.94%$12,07216.06%18.90%-0.04%0.06%
20131.50%23.68%$14,93132.30%14.18%-0.09%0.00%
20140.76%13.56%$16,95713.56%-4.54%-0.07%0.00%
20150.73%-4.23%$16,2391.30%-4.78%-0.13%0.01%
20162.07%10.22%$17,89912.16%4.91%0.11%0.21%
20172.11%22.87%$21,99221.76%27.39%0.69%0.79%
20181.91%-1.05%$21,761-4.47%-14.19%1.74%1.80%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTiming Portfolio ReturnTiming Portfolio BalanceiShares Core S&P 500 ETF (IVV)Vanguard FTSE All-Wld ex-US ETF (VEU)SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)Cash (CASHX)
200910.00%$10,000-8.13%-13.00%0.20%0.00%
200920.01%$10,001-10.56%-9.21%-0.00%0.01%
20093-0.01%$10,0008.02%10.14%-0.01%0.02%
200940.06%$10,00610.14%13.23%0.06%0.01%
200950.01%$10,0085.84%15.17%0.01%0.00%
20096-0.01%$10,0060.04%-2.07%-0.01%0.01%
20097-0.06%$10,0007.38%10.61%-0.06%0.01%
200980.01%$10,0013.66%2.92%0.07%0.01%
200995.68%$10,5683.63%5.68%0.03%0.01%
200910-3.17%$10,233-1.92%-3.17%0.00%0.00%
2009114.85%$10,7306.09%4.85%-0.04%0.00%
2009121.39%$10,8791.91%1.39%0.03%0.01%
20101-5.76%$10,253-3.71%-5.76%0.00%0.00%
201021.31%$10,3883.15%1.31%-0.02%0.00%
201036.72%$11,0866.11%6.72%0.00%0.01%
201041.62%$11,2661.62%-1.76%-0.04%0.01%
20105-8.00%$10,364-8.00%-10.90%0.04%0.01%
20106-5.26%$9,819-5.26%-1.34%0.02%0.01%
201076.99%$10,5056.99%10.76%-0.04%0.01%
20108-4.43%$10,040-4.43%-3.43%0.00%0.01%
201098.81%$10,9258.81%10.60%0.00%0.01%
2010103.84%$11,3453.84%3.59%0.02%0.01%
201011-0.07%$11,337-0.07%-4.10%0.00%0.01%
2010126.78%$12,1066.78%8.12%-0.02%0.01%
201110.80%$12,2022.30%0.80%0.00%0.01%
201123.46%$12,6253.46%2.74%0.00%0.01%
20113-0.22%$12,597-0.00%-0.22%0.00%0.01%
201145.45%$13,2842.95%5.45%0.00%0.00%
20115-3.17%$12,862-1.19%-3.17%0.02%0.00%
20116-1.68%$12,647-1.68%-1.09%0.00%0.00%
20117-1.97%$12,398-1.97%-2.37%0.00%0.00%
20118-5.52%$11,713-5.52%-8.47%0.00%0.01%
20119-6.80%$10,917-6.80%-13.01%-0.02%0.00%
2011100.00%$10,91710.65%11.49%-0.04%0.00%
201111-0.32%$10,882-0.32%-2.57%0.02%0.00%
2011120.00%$10,8821.06%-2.43%-0.02%0.00%
201210.00%$10,8824.61%6.86%-0.02%0.00%
201224.21%$11,3404.21%5.31%0.02%0.00%
201233.29%$11,7133.29%-0.90%-0.02%0.00%
20124-0.66%$11,636-0.66%-1.81%0.02%0.00%
20125-6.01%$10,937-6.01%-11.40%0.00%0.01%
201264.20%$11,3974.20%6.52%-0.04%0.00%
201271.24%$11,5381.24%0.49%0.00%0.00%
201282.48%$11,8242.48%2.65%0.00%0.01%
201292.34%$12,1012.34%3.49%0.00%0.01%
201210-2.02%$11,856-2.02%0.77%0.02%0.01%
2012110.87%$11,9590.87%1.80%-0.02%0.01%
2012120.95%$12,0720.95%5.06%0.00%0.01%
201315.11%$12,6905.11%2.43%0.00%0.00%
20132-1.39%$12,5141.36%-1.39%0.00%0.00%
201333.68%$12,9743.68%0.62%0.00%0.00%
201343.75%$13,4611.96%3.75%-0.02%0.00%
20135-3.31%$13,0162.40%-3.31%0.02%0.00%
20136-1.59%$12,809-1.59%-3.58%-0.02%0.00%
201375.39%$13,4995.39%4.70%0.00%0.00%
20138-3.04%$13,089-3.04%-1.99%0.00%0.00%
201393.24%$13,5133.24%7.58%-0.02%0.00%
2013104.61%$14,1374.61%3.33%-0.02%0.00%
2013112.98%$14,5582.98%0.34%-0.02%0.00%
2013122.56%$14,9312.56%1.47%0.00%0.00%
20141-3.49%$14,410-3.49%-5.80%0.00%0.00%
201424.56%$15,0674.56%5.63%0.02%0.00%
201430.87%$15,1990.87%0.46%-0.02%0.00%
201440.74%$15,3120.74%1.47%0.00%0.00%
201452.28%$15,6612.28%1.92%0.00%0.00%
201462.09%$15,9892.09%1.68%-0.02%0.00%
20147-1.40%$15,765-1.40%-1.47%-0.02%0.00%
201483.97%$16,3913.97%1.01%0.02%0.00%
20149-1.38%$16,166-1.38%-4.88%0.00%0.00%
2014102.39%$16,5512.39%0.20%-0.02%0.00%
2014112.75%$17,0072.75%-0.32%0.00%0.00%
201412-0.30%$16,957-0.30%-3.96%-0.02%0.00%
20151-2.90%$16,465-2.90%-0.02%-0.02%0.00%
201525.65%$17,3945.65%5.85%0.00%0.00%
20153-1.59%$17,118-1.59%-1.41%0.00%0.00%
201540.97%$17,2840.97%4.74%-0.02%0.00%
201551.30%$17,5091.30%-1.04%-0.02%0.00%
20156-1.98%$17,163-1.98%-2.81%0.00%0.00%
201572.19%$17,5392.19%-0.29%0.00%0.00%
20158-6.14%$16,461-6.14%-7.75%0.00%0.00%
201590.00%$16,461-2.49%-4.04%-0.04%0.00%
2015100.00%$16,4618.47%6.69%-0.02%0.00%
2015110.39%$16,5260.39%-1.32%0.02%0.00%
201512-1.73%$16,239-1.73%-2.52%-0.02%0.01%
201610.01%$16,241-5.00%-5.60%0.02%0.01%
201620.02%$16,244-0.06%-2.44%0.00%0.02%
201630.02%$16,2476.82%8.31%0.00%0.02%
201640.01%$16,2490.39%2.11%0.04%0.01%
201651.69%$16,5241.69%-0.79%0.00%0.01%
201660.25%$16,5660.25%-0.72%-0.02%0.02%
201673.74%$17,1853.74%4.25%0.04%0.02%
201680.13%$17,2070.13%0.69%0.00%0.02%
201690.01%$17,2090.01%1.58%0.02%0.02%
201610-1.78%$16,903-1.78%-1.69%0.02%0.02%
2016113.67%$17,5233.67%-2.13%-0.04%0.01%
2016122.14%$17,8992.14%1.93%0.02%0.03%
201711.75%$18,2121.75%4.14%0.04%0.04%
201723.98%$18,9363.98%1.26%0.05%0.04%
201730.12%$18,9580.12%2.99%-0.02%0.03%
201740.97%$19,1410.97%2.09%0.07%0.05%
201753.05%$19,7261.39%3.05%0.02%0.06%
201760.51%$19,8250.67%0.51%0.10%0.06%
201773.38%$20,4952.07%3.38%0.03%0.07%
201780.64%$20,6260.27%0.64%0.11%0.09%
201791.84%$21,0052.04%1.84%0.07%0.09%
2017101.95%$21,4152.32%1.95%0.07%0.09%
2017110.63%$21,5513.12%0.63%0.05%0.08%
2017122.05%$21,9921.21%2.05%0.07%0.09%
201815.70%$23,2465.69%5.70%0.13%0.11%
20182-5.31%$22,012-3.80%-5.31%0.08%0.11%
20183-2.47%$21,469-2.47%-0.44%0.13%0.12%
201840.35%$21,5450.35%0.57%0.10%0.14%
20185-1.99%$21,1162.41%-1.99%0.15%0.14%
201860.59%$21,2400.59%-2.14%0.15%0.14%
201873.75%$22,0353.75%2.89%0.14%0.16%
201883.23%$22,7483.23%-2.34%0.16%0.16%
201890.54%$22,8700.54%0.44%0.14%0.15%
201810-6.82%$21,310-6.82%-8.30%0.17%0.19%
2018111.92%$21,7191.92%1.47%0.19%0.18%
2018120.19%$21,761-8.86%-4.94%0.18%0.19%
Portfolio return and risk metrics
MetricTiming Portfolio
Arithmetic Mean (monthly)0.70%
Arithmetic Mean (annualized)8.73%
Geometric Mean (monthly)0.65%
Geometric Mean (annualized)8.09%
Volatility (monthly)3.16%
Volatility (annualized)10.96%
Downside Deviation (monthly)1.99%
Max. Drawdown-18.08%
US Market Correlation0.71
Beta(*)0.56
Alpha (annualized)0.94%
R250.76%
Sharpe Ratio0.74
Sortino Ratio1.17
Treynor Ratio (%)14.50
Calmar Ratio1.12
Active Return-5.04%
Tracking Error9.88%
Information Ratio-0.51
Skewness-0.32
Excess Kurtosis0.33
Historical Value-at-Risk (5%)-5.74%
Analytical Value-at-Risk (5%)-4.51%
Conditional Value-at-Risk (5%)-6.59%
Upside Capture Ratio (%)66.04
Downside Capture Ratio (%)75.45
Safe Withdrawal Rate13.31%
Perpetual Withdrawal Rate5.82%
Positive Periods77 out of 120 (64.17%)
Gain/Loss Ratio0.87
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Nov 20117 monthsApr 20131 year 5 months2 years-18.08%
2May 2010Jun 20102 monthsOct 20104 months6 months-12.84%
3Feb 2018May 20184 months-9.16%
4Aug 2015Dec 20155 monthsDec 20161 year1 year 5 months-7.41%
5Jan 2010Jan 20101 monthMar 20102 months3 months-5.76%
6May 2013Jun 20132 monthsJul 20131 month3 months-4.84%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.49%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.19%
9Oct 2009Oct 20091 monthNov 20091 month2 months-3.17%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.04%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year8.59%23.68%-10.11%
3 years8.19%15.93%2.86%
5 years9.12%12.74%6.05%
7 years8.46%10.41%7.17%
10 years8.09%8.09%8.09%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming Portfolio
1Jan 2009Feb 20092100.00% Cash (CASHX)CASHX: 0.01%0.01%
2Mar 2009Jul 20095100.00% SPDR Blmbg Barclays 1-3 Mth T-Bill ETF (BIL)BIL: -0.01%-0.01%
3Aug 2009Aug 20091100.00% Cash (CASHX)CASHX: 0.01%0.01%
4Sep 2009Mar 20107100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 10.85%10.85%
5Apr 2010Dec 20109100.00% iShares Core S&P 500 ETF (IVV)IVV: 9.20%9.20%
6Jan 2011Jan 20111100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 0.80%0.80%
7Feb 2011Feb 20111100.00% iShares Core S&P 500 ETF (IVV)IVV: 3.46%3.46%
8Mar 2011May 20113100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.88%1.88%
9Jun 2011Sep 20114100.00% iShares Core S&P 500 ETF (IVV)IVV: -15.13%-15.13%
10Oct 2011Oct 20111100.00% Cash (CASHX)CASHX: 0.00%0.00%
11Nov 2011Nov 20111100.00% iShares Core S&P 500 ETF (IVV)IVV: -0.32%-0.32%
12Dec 2011Jan 20122100.00% Cash (CASHX)CASHX: 0.00%0.00%
13Feb 2012Jan 201312100.00% iShares Core S&P 500 ETF (IVV)IVV: 16.61%16.61%
14Feb 2013Feb 20131100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -1.39%-1.39%
15Mar 2013Mar 20131100.00% iShares Core S&P 500 ETF (IVV)IVV: 3.68%3.68%
16Apr 2013May 20132100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 0.32%0.32%
17Jun 2013Aug 201527100.00% iShares Core S&P 500 ETF (IVV)IVV: 26.47%26.47%
18Sep 2015Oct 20152100.00% Cash (CASHX)CASHX: 0.00%0.00%
19Nov 2015Dec 20152100.00% iShares Core S&P 500 ETF (IVV)IVV: -1.35%-1.35%
20Jan 2016Apr 20164100.00% Cash (CASHX)CASHX: 0.06%0.06%
21May 2016Apr 201712100.00% iShares Core S&P 500 ETF (IVV)IVV: 17.80%17.80%
22May 2017Feb 201810100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 15.00%15.00%
23Mar 2018Apr 20182100.00% iShares Core S&P 500 ETF (IVV)IVV: -2.12%-2.12%
24May 2018May 20181100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -1.99%-1.99%
25Jun 2018Nov 20186100.00% iShares Core S&P 500 ETF (IVV)IVV: 2.86%2.86%
26Dec 2018Dec 20181100.00% Cash (CASHX)CASHX: 0.19%0.19%
27Jan 2019Jan 20191100.00% Cash (CASHX)--