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.

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

Shiller PE Ratio (PE10) market valuation based timing model adjusts the allocation between stocks and bonds based on the start of year Shiller PE Ratio 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 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 #5
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Volatility Period
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Asset 2
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Asset 3
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Asset 4
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Asset 6
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Model Simulation Results (Jan 2008 - Dec 2020) Save

Tactical asset allocation model results from Jan 2008 to Dec 2020 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 SPDR Gold Shares (GLD). 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.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Dual Momentum Model$10,000$47,29112.70%16.08%42.92%-7.83%-34.66% 0.791.280.48
Equal Weight Portfolio$10,000$22,5746.46%17.47%33.40%-40.18%-51.76% 0.410.590.97
SPDR S&P 500 ETF Trust$10,000$33,3519.71%15.91%32.31%-36.81%-48.23% 0.630.921.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Dual Momentum Model15.89%30.73%17.99%16.63%12.51%12.70%14.79%13.01%
Equal Weight Portfolio15.67%16.07%9.77%12.35%9.44%6.46%18.44%15.11%
SPDR S&P 500 ETF Trust12.12%18.37%14.03%15.11%13.76%9.71%18.66%15.15%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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 tactical asset allocation model assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for tactical asset allocation 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 (3-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 section regarding the data sources and methodology descriptions
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF TrustVanguard Total Stock Market ETF (VTI)Vanguard FTSE All-Wld ex-US ETF (VEU)SPDR Gold Shares (GLD)
ReturnBalanceReturnBalanceReturnBalance
20080.09%-7.57%$9,243-40.18%$5,982-36.81%$6,319-36.98%-43.45%4.92%
20092.72%42.92%$13,21033.40%$7,98026.36%$7,98528.89%37.59%24.03%
20101.50%10.13%$14,54814.72%$9,15515.06%$9,18817.42%11.81%29.27%
20112.96%-0.30%$14,504-6.74%$8,5381.89%$9,3610.97%-14.02%9.57%
20121.74%20.02%$17,40817.79%$10,05615.99%$10,85816.45%18.90%6.60%
20131.50%25.12%$21,78123.58%$12,42732.31%$14,36633.45%14.18%-28.33%
20140.76%9.15%$23,7733.73%$12,89013.46%$16,30012.54%-4.54%-2.19%
20150.73%-7.83%$21,911-2.19%$12,6081.25%$16,5040.36%-4.78%-10.67%
20162.07%9.09%$23,9028.88%$13,72812.00%$18,48512.83%4.91%8.03%
20172.11%20.44%$28,78924.32%$17,06621.70%$22,49621.21%27.39%12.81%
20181.91%3.73%$29,861-9.71%$15,409-4.56%$21,471-5.21%-14.19%-1.94%
20192.29%21.14%$36,17426.22%$19,44931.22%$28,17530.67%21.83%17.86%
20201.36%30.73%$47,29116.07%$22,57418.37%$33,35121.03%11.12%24.81%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF TrustVanguard Total Stock Market ETF (VTI)Vanguard FTSE All-Wld ex-US ETF (VEU)SPDR Gold Shares (GLD)
ReturnBalanceReturnBalanceReturnBalance
2008110.84%$11,084-6.96%$9,304-6.05%$9,395-6.17%-7.75%10.84%
200825.23%$11,664-1.36%$9,178-2.58%$9,153-2.50%-0.22%5.23%
20083-6.00%$10,964-0.49%$9,133-0.90%$9,070-0.90%-0.09%-6.00%
20084-4.16%$10,5085.40%$9,6264.77%$9,5024.89%5.92%-4.16%
200851.42%$10,6571.72%$9,7911.51%$9,6462.02%1.42%0.92%
20086-8.38%$9,765-8.25%$8,984-8.35%$8,840-8.12%-8.38%4.52%
20087-1.44%$9,623-2.15%$8,791-0.90%$8,761-0.62%-3.68%-1.44%
20088-9.29%$8,729-1.82%$8,6301.55%$8,8961.46%-5.11%-9.29%
200894.11%$9,088-10.86%$7,693-9.44%$8,057-9.24%-12.48%4.11%
200810-16.14%$7,621-20.12%$6,145-16.52%$6,726-17.48%-22.76%-16.14%
20081112.57%$8,580-7.39%$5,691-6.96%$6,258-8.01%-6.77%12.57%
2008127.73%$9,2435.12%$5,9820.98%$6,3191.78%8.45%7.73%
200915.54%$9,755-10.52%$5,353-8.21%$5,800-8.05%-13.00%5.54%
200921.45%$9,896-9.87%$4,824-10.74%$5,177-10.53%-9.21%1.45%
20093-2.54%$9,6459.20%$5,2698.35%$5,6098.26%10.14%-2.54%
20094-3.33%$9,32312.11%$5,9079.93%$6,16710.99%13.23%-3.33%
2009515.17%$10,73810.32%$6,5165.85%$6,5275.46%15.17%10.23%
20096-2.07%$10,515-0.85%$6,460-0.07%$6,5230.36%-2.07%-5.22%
2009710.61%$11,6319.17%$7,0537.46%$7,0097.74%10.61%2.38%
200982.92%$11,9703.32%$7,2873.69%$7,2683.71%2.92%0.05%
200995.68%$12,6504.91%$7,6443.55%$7,5264.14%5.68%5.84%
200910-3.17%$12,249-2.90%$7,423-1.92%$7,381-2.63%-3.17%3.72%
2009114.85%$12,8435.27%$7,8146.16%$7,8365.69%4.85%12.79%
2009122.86%$13,2102.13%$7,9801.91%$7,9852.86%1.39%-7.20%
20101-3.57%$12,739-4.66%$7,608-3.63%$7,695-3.57%-5.76%-1.26%
201023.44%$13,1772.38%$7,7893.12%$7,9353.44%1.31%3.27%
201036.40%$14,0206.56%$8,3006.09%$8,4186.40%6.72%-0.44%
201042.18%$14,3260.21%$8,3181.55%$8,5492.18%-1.76%5.88%
20105-7.88%$13,197-9.39%$7,536-7.95%$7,869-7.88%-10.90%3.05%
201062.36%$13,508-3.58%$7,266-5.17%$7,462-5.83%-1.34%2.36%
20107-5.09%$12,8218.89%$7,9126.83%$7,9727.02%10.76%-5.09%
20108-3.43%$12,380-4.07%$7,590-4.50%$7,613-4.71%-3.43%5.71%
2010910.60%$13,69210.02%$8,3518.96%$8,2959.45%10.60%4.78%
2010103.59%$14,1843.81%$8,6693.82%$8,6124.03%3.59%3.68%
201011-4.10%$13,602-1.80%$8,5130.00%$8,6120.51%-4.10%2.11%
2010126.96%$14,5487.54%$9,1556.68%$9,1886.96%8.12%2.44%
201112.05%$14,8461.42%$9,2852.33%$9,4022.05%0.80%-6.38%
201123.70%$15,3953.22%$9,5843.47%$9,7283.70%2.74%6.00%
201130.42%$15,4590.10%$9,5930.01%$9,7290.42%-0.22%1.60%
201142.90%$15,9074.18%$9,9942.90%$10,0112.90%5.45%8.94%
20115-1.06%$15,738-2.12%$9,782-1.12%$9,899-1.06%-3.17%-1.79%
20116-1.79%$15,456-1.44%$9,641-1.69%$9,732-1.79%-1.09%-2.43%
20117-2.27%$15,105-2.32%$9,418-2.00%$9,537-2.27%-2.37%8.42%
2011812.27%$16,960-7.28%$8,732-5.50%$9,013-6.09%-8.47%12.27%
20119-11.06%$15,083-10.29%$7,833-6.94%$8,387-7.57%-13.01%-11.06%
2011105.87%$15,96911.43%$8,72910.91%$9,30211.37%11.49%5.87%
2011111.67%$16,235-1.47%$8,600-0.41%$9,264-0.37%-2.57%1.67%
201112-10.66%$14,504-0.73%$8,5381.04%$9,3610.98%-2.43%-10.66%
201215.07%$15,2405.97%$9,0474.64%$9,7955.07%6.86%11.40%
201224.22%$15,8824.76%$9,4784.34%$10,2204.22%5.31%-2.96%
201233.06%$16,3691.08%$9,5803.22%$10,5493.06%-0.90%-1.32%
20124-0.64%$16,264-1.22%$9,463-0.67%$10,479-0.64%-1.81%-0.15%
20125-6.23%$15,252-8.81%$8,629-6.01%$9,849-6.23%-11.40%-6.34%
201262.35%$15,6115.29%$9,0864.05%$10,2494.05%6.52%2.35%
201270.88%$15,7480.68%$9,1481.18%$10,3700.88%0.49%0.84%
201282.70%$16,1732.67%$9,3922.51%$10,6302.70%2.65%4.94%
201292.49%$16,5762.99%$9,6732.54%$10,8992.49%3.49%4.67%
201210-1.81%$16,277-0.52%$9,623-1.82%$10,701-1.81%0.77%-2.94%
2012111.80%$16,5701.29%$9,7470.57%$10,7610.77%1.80%-0.47%
2012125.06%$17,4083.17%$10,0560.90%$10,8581.29%5.06%-2.43%
201312.43%$17,8303.92%$10,4515.12%$11,4145.42%2.43%-0.51%
20132-1.39%$17,583-0.05%$10,4451.28%$11,5601.28%-1.39%-5.09%
201333.95%$18,2772.28%$10,6843.80%$11,9993.95%0.62%0.95%
201341.61%$18,5702.68%$10,9701.92%$12,2291.61%3.75%-7.56%
201352.44%$19,024-0.43%$10,9222.36%$12,5182.44%-3.31%-6.20%
20136-1.43%$18,752-2.51%$10,649-1.34%$12,351-1.43%-3.58%-11.06%
201375.75%$19,8295.22%$11,2055.17%$12,9895.75%4.70%7.43%
20138-3.03%$19,228-2.51%$10,924-3.00%$12,599-3.03%-1.99%5.20%
201393.90%$19,9785.74%$11,5513.17%$12,9983.90%7.58%-4.78%
2013103.33%$20,6443.80%$11,9904.63%$13,6004.27%3.33%-0.34%
2013112.70%$21,2021.52%$12,1722.96%$14,0032.70%0.34%-5.51%
2013122.73%$21,7812.10%$12,4272.59%$14,3662.73%1.47%-3.79%
20141-3.17%$21,090-4.48%$11,870-3.52%$13,860-3.17%-5.80%3.42%
201424.87%$22,1175.25%$12,4934.55%$14,4904.87%5.63%6.27%
201430.51%$22,2290.48%$12,5540.83%$14,6110.51%0.46%-3.14%
201440.06%$22,2430.77%$12,6500.70%$14,7120.06%1.47%0.49%
201452.10%$22,7102.01%$12,9042.32%$15,0542.10%1.92%-3.05%
201462.62%$23,3062.15%$13,1822.06%$15,3652.62%1.68%6.32%
20147-1.99%$22,841-1.73%$12,953-1.34%$15,158-1.99%-1.47%-3.63%
201481.01%$23,0722.58%$13,2873.95%$15,7564.15%1.01%0.38%
20149-2.10%$22,587-3.49%$12,824-1.38%$15,539-2.10%-4.88%-6.18%
2014102.75%$23,2071.47%$13,0132.36%$15,9052.75%0.20%-3.05%
2014112.48%$23,7831.08%$13,1532.75%$16,3422.48%-0.32%-0.49%
201412-0.04%$23,773-2.00%$12,890-0.26%$16,300-0.04%-3.96%1.31%
20151-2.74%$23,123-1.38%$12,713-2.96%$15,817-2.74%-0.02%8.69%
201525.74%$24,4515.80%$13,4495.62%$16,7065.74%5.85%-5.91%
20153-1.16%$24,168-1.28%$13,277-1.57%$16,443-1.16%-1.41%-2.15%
201540.62%$24,3172.68%$13,6320.98%$16,6050.62%4.74%-0.17%
20155-1.04%$24,0640.13%$13,6501.29%$16,8181.30%-1.04%0.56%
20156-1.67%$23,661-2.24%$13,344-2.03%$16,477-1.67%-2.81%-1.52%
20157-0.29%$23,5930.71%$13,4382.26%$16,8491.70%-0.29%-6.62%
20158-6.09%$22,156-6.92%$12,509-6.10%$15,822-6.09%-7.75%3.71%
20159-1.80%$21,757-3.48%$12,073-2.54%$15,420-2.92%-4.04%-1.80%
2015102.28%$22,2547.30%$12,9558.51%$16,7317.91%6.69%2.28%
2015110.60%$22,387-0.36%$12,9080.37%$16,7930.60%-1.32%-6.75%
201512-2.13%$21,911-2.32%$12,608-1.72%$16,504-2.13%-2.52%-0.45%
20161-5.72%$20,657-5.66%$11,894-4.98%$15,682-5.72%-5.60%5.41%
2016210.93%$22,915-1.23%$11,749-0.08%$15,669-0.01%-2.44%10.93%
20163-0.84%$22,7227.71%$12,6546.72%$16,7237.11%8.31%-0.84%
201640.66%$22,8711.38%$12,8290.39%$16,7890.66%2.11%5.11%
201651.73%$23,2680.47%$12,8901.70%$17,0751.73%-0.79%-6.14%
201660.27%$23,332-0.22%$12,8610.35%$17,1340.27%-0.72%8.97%
201673.98%$24,2594.11%$13,3903.65%$17,7593.98%4.25%1.98%
201680.21%$24,3090.45%$13,4500.12%$17,7810.21%0.69%-3.26%
201690.21%$24,3600.89%$13,5710.01%$17,7820.21%1.58%0.69%
201610-1.69%$23,947-1.94%$13,307-1.73%$17,474-2.19%-1.69%-2.94%
201611-2.13%$23,4371.18%$13,4643.68%$18,1174.49%-2.13%-8.36%
2016121.98%$23,9021.96%$13,7282.03%$18,4851.98%1.93%-1.91%
201711.86%$24,3463.00%$14,1401.79%$18,8161.86%4.14%5.42%
201723.69%$25,2452.48%$14,4903.93%$19,5553.69%1.26%3.18%
201730.06%$25,2591.52%$14,7110.13%$19,5790.06%2.99%-0.43%
201742.09%$25,7881.58%$14,9430.99%$19,7741.06%2.09%1.73%
201751.01%$26,0482.03%$15,2461.41%$20,0531.01%3.05%-0.12%
201760.51%$26,1800.73%$15,3570.64%$20,1810.95%0.51%-2.16%
201773.38%$27,0642.63%$15,7612.06%$20,5961.88%3.38%2.31%
201780.64%$27,2370.39%$15,8230.29%$20,6560.15%0.64%4.20%
201791.84%$27,7382.14%$16,1612.01%$21,0722.44%1.84%-3.37%
2017101.95%$28,2802.06%$16,4942.36%$21,5682.17%1.95%-0.75%
2017110.63%$28,4591.83%$16,7973.06%$22,2273.03%0.63%0.36%
2017121.16%$28,7891.60%$17,0661.21%$22,4961.16%2.05%2.11%
201815.23%$30,2955.47%$17,9995.64%$23,7645.23%5.70%3.23%
20182-3.76%$29,156-4.53%$17,183-3.64%$22,900-3.76%-5.31%-2.08%
20183-1.95%$28,586-1.20%$16,977-2.74%$22,272-1.95%-0.44%0.63%
201840.57%$28,7490.51%$17,0630.52%$22,3870.45%0.57%-0.95%
20185-1.20%$28,4060.36%$17,1262.43%$22,9312.72%-1.99%-1.20%
201860.70%$28,605-0.72%$17,0030.58%$23,0630.70%-2.14%-3.61%
201873.32%$29,5553.11%$17,5313.70%$23,9183.32%2.89%-2.24%
201883.43%$30,5690.54%$17,6263.19%$24,6813.43%-2.34%-2.14%
201890.20%$30,6290.32%$17,6830.59%$24,8280.20%0.44%-0.66%
201810-7.41%$28,359-7.86%$16,294-6.91%$23,112-7.41%-8.30%2.12%
2018110.34%$28,4551.74%$16,5771.85%$23,5412.01%1.47%0.34%
2018124.94%$29,861-7.05%$15,409-8.79%$21,471-9.16%-4.94%4.94%
201912.89%$30,7238.05%$16,6508.01%$23,1908.54%7.57%2.89%
201923.56%$31,8172.60%$17,0823.24%$23,9423.56%1.63%-0.61%
201931.00%$32,1361.21%$17,2891.81%$24,3751.42%1.00%-1.60%
201943.93%$33,3983.39%$17,8754.09%$25,3703.93%2.85%-0.66%
20195-6.45%$31,244-6.00%$16,803-6.38%$23,752-6.45%-5.54%1.76%
201968.00%$33,7446.48%$17,8926.96%$25,4057.08%5.89%8.00%
201971.41%$34,221-0.20%$17,8571.51%$25,7901.41%-1.80%0.01%
20198-2.08%$33,508-2.26%$17,453-1.67%$25,358-2.08%-2.44%7.91%
201991.78%$34,1042.30%$17,8551.95%$25,8521.78%2.82%-3.39%
2019102.11%$34,8232.78%$18,3502.21%$26,4232.11%3.45%2.56%
2019111.05%$35,1872.42%$18,7943.62%$27,3803.79%1.05%-3.21%
2019122.80%$36,1743.48%$19,4492.90%$28,1752.80%4.17%3.66%
20201-0.06%$36,151-1.73%$19,112-0.04%$28,163-0.06%-3.40%4.50%
20202-8.00%$33,260-7.30%$17,716-7.92%$25,934-8.00%-6.61%-0.64%
20203-0.22%$33,186-14.52%$15,144-12.46%$22,701-13.91%-15.13%-0.22%
202047.26%$35,5959.97%$16,65312.70%$25,58413.13%6.80%7.26%
202052.59%$36,5175.04%$17,4924.76%$26,8035.40%4.68%2.59%
202062.29%$37,3543.33%$18,0741.78%$27,2792.29%4.36%2.74%
202075.74%$39,4994.84%$18,9485.89%$28,8855.74%3.93%10.79%
202087.10%$42,3065.76%$20,0396.98%$30,9027.10%4.41%-0.32%
20209-3.54%$40,806-2.61%$19,516-3.74%$29,746-3.54%-1.68%-4.17%
202010-1.95%$40,011-2.01%$19,124-2.49%$29,004-1.95%-2.06%-0.52%
20201111.80%$44,73312.21%$21,45910.88%$32,15911.80%12.61%-5.41%
2020125.72%$47,2915.20%$22,5743.71%$33,3514.68%5.72%7.01%
Portfolio return and risk metrics
MetricDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)1.11%0.65%0.88%
Arithmetic Mean (annualized)14.14%8.11%11.11%
Geometric Mean (monthly)1.00%0.52%0.78%
Geometric Mean (annualized)12.70%6.46%9.71%
Volatility (monthly)4.64%5.04%4.59%
Volatility (annualized)16.08%17.47%15.91%
Downside Deviation (monthly)2.83%3.52%3.11%
Max. Drawdown-34.66%-51.76%-48.23%
US Market Correlation0.480.971.00
Beta(*)0.491.061.00
Alpha (annualized)8.09%-3.40%0.00%
R223.72%93.44%100.00%
Sharpe Ratio0.790.410.63
Sortino Ratio1.280.590.92
Treynor Ratio (%)25.816.829.98
Calmar Ratio2.180.440.72
Active Return2.99%-3.24%N/A
Tracking Error16.20%4.58%N/A
Information Ratio0.18-0.71N/A
Skewness-0.20-0.67-0.64
Excess Kurtosis1.631.801.34
Historical Value-at-Risk (5%)-6.69%-8.39%-7.92%
Analytical Value-at-Risk (5%)-6.53%-7.64%-6.67%
Conditional Value-at-Risk (5%)-9.85%-11.80%-10.31%
Upside Capture Ratio (%)68.7997.64100.00
Downside Capture Ratio (%)40.03112.46100.00
Safe Withdrawal Rate13.64%7.95%9.25%
Perpetual Withdrawal Rate9.78%4.50%7.33%
Positive Periods103 out of 156 (66.03%)96 out of 156 (61.54%)104 out of 156 (66.67%)
Gain/Loss Ratio0.970.880.81
* SPDR S&P 500 ETF Trust 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 PeriodStartEndDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
COVID-19 StartJan 2020Mar 2020-8.26%-22.13%-19.43%

Drawdowns for Dual Momentum Model

Drawdowns for Dual Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsAug 200910 months1 year 6 months-34.66%
2Mar 2015Jan 201611 monthsFeb 20171 year 1 month2 years-15.52%
3Sep 2011Dec 20114 monthsDec 20121 year1 year 4 months-14.48%
4May 2010Aug 20104 monthsDec 20104 months8 months-13.58%
5Jan 2020Mar 20203 monthsMay 20202 months5 months-8.26%
6Oct 2018Oct 20181 monthJan 20193 months4 months-7.41%
7May 2019May 20191 monthJun 20191 month2 months-6.45%
8Feb 2018May 20184 monthsAug 20183 months7 months-6.24%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-5.42%
10May 2011Jul 20113 monthsAug 20111 month4 months-5.04%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsDec 20123 years 10 months5 years-51.76%
2Jan 2020Mar 20203 monthsAug 20205 months8 months-22.13%
3Feb 2018Dec 201811 monthsOct 201910 months1 year 9 months-14.39%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-13.93%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.56%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-4.48%
7Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.33%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.93%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.51%
10Jul 2014Jul 20141 monthAug 20141 month2 months-1.73%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsApr 20112 years 2 months3 years 4 months-48.23%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
3May 2011Sep 20115 monthsFeb 20125 months10 months-16.23%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
7May 2019May 20191 monthJun 20191 month2 months-6.38%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
AverageHighLowAverageHighLowAverageHighLow
1 year12.74%60.71%-15.16%8.25%61.44%-47.43%11.52%53.27%-43.44%
3 years11.55%27.96%3.15%8.98%25.24%-2.90%12.74%25.45%-2.78%
5 years11.03%22.05%6.06%8.94%20.96%0.11%12.91%22.86%1.66%
7 years10.93%16.54%8.35%8.87%13.56%3.69%12.95%17.14%7.23%
10 years11.45%14.04%9.00%8.91%13.48%5.49%12.67%16.55%8.45%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
47Jan 2021Jan 20211Please sign-in for forward signals----
46Dec 2020Dec 20201100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 5.72%5.72%5.20%3.71%
45Jun 2020Nov 20206100.00% Vanguard Total Stock Market ETF (VTI)VTI: 22.50%22.50%22.67%19.98%
44Mar 2020May 20203100.00% SPDR Gold Shares (GLD)GLD: 9.79%9.79%-1.26%3.35%
43Dec 2019Feb 20203100.00% Vanguard Total Stock Market ETF (VTI)VTI: -5.48%-5.48%-5.73%-5.28%
42Nov 2019Nov 20191100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.05%1.05%2.42%3.62%
41Jul 2019Oct 20194100.00% Vanguard Total Stock Market ETF (VTI)VTI: 3.20%3.20%2.56%4.01%
40Jun 2019Jun 20191100.00% SPDR Gold Shares (GLD)GLD: 8.00%8.00%6.48%6.96%
39Apr 2019May 20192100.00% Vanguard Total Stock Market ETF (VTI)VTI: -2.78%-2.78%-2.81%-2.55%
38Mar 2019Mar 20191100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.00%1.00%1.21%1.81%
37Feb 2019Feb 20191100.00% Vanguard Total Stock Market ETF (VTI)VTI: 3.56%3.56%2.60%3.24%
36Nov 2018Jan 20193100.00% SPDR Gold Shares (GLD)GLD: 8.34%8.34%2.19%0.34%
35Jun 2018Oct 20185100.00% Vanguard Total Stock Market ETF (VTI)VTI: -0.16%-0.16%-4.86%0.79%
34May 2018May 20181100.00% SPDR Gold Shares (GLD)GLD: -1.20%-1.20%0.36%2.43%
33Apr 2018Apr 20181100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 0.57%0.57%0.51%0.52%
32Dec 2017Mar 20184100.00% Vanguard Total Stock Market ETF (VTI)VTI: 0.45%0.45%1.07%0.20%
31Jun 2017Nov 20176100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 9.25%9.25%10.17%10.84%
30May 2017May 20171100.00% Vanguard Total Stock Market ETF (VTI)VTI: 1.01%1.01%2.03%1.41%
29Apr 2017Apr 20171100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 2.09%2.09%1.58%0.99%
28Dec 2016Mar 20174100.00% Vanguard Total Stock Market ETF (VTI)VTI: 7.77%7.77%9.26%8.07%
27Oct 2016Nov 20162100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -3.79%-3.79%-0.78%1.89%
26Apr 2016Sep 20166100.00% Vanguard Total Stock Market ETF (VTI)VTI: 7.21%7.21%7.24%6.33%
25Feb 2016Mar 20162100.00% SPDR Gold Shares (GLD)GLD: 10.00%10.00%6.39%6.64%
24Nov 2015Jan 20163100.00% Vanguard Total Stock Market ETF (VTI)VTI: -7.18%-7.18%-8.18%-6.27%
23Sep 2015Oct 20152100.00% SPDR Gold Shares (GLD)GLD: 0.44%0.44%3.57%5.75%
22Aug 2015Aug 20151100.00% Vanguard Total Stock Market ETF (VTI)VTI: -6.09%-6.09%-6.92%-6.10%
21Jul 2015Jul 20151100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -0.29%-0.29%0.71%2.26%
20Jun 2015Jun 20151100.00% Vanguard Total Stock Market ETF (VTI)VTI: -1.67%-1.67%-2.24%-2.03%
19May 2015May 20151100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -1.04%-1.04%0.13%1.29%
18Sep 2014Apr 20158100.00% Vanguard Total Stock Market ETF (VTI)VTI: 5.40%5.40%2.60%5.38%
17Aug 2014Aug 20141100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 1.01%1.01%2.58%3.95%
16Nov 2013Jul 20149100.00% Vanguard Total Stock Market ETF (VTI)VTI: 10.64%10.64%8.04%11.45%
15Oct 2013Oct 20131100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 3.33%3.33%3.80%4.63%
14Mar 2013Sep 20137100.00% Vanguard Total Stock Market ETF (VTI)VTI: 13.62%13.62%10.59%12.45%
13Nov 2012Feb 20134100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 8.02%8.02%8.54%8.03%
12Jul 2012Oct 20124100.00% Vanguard Total Stock Market ETF (VTI)VTI: 4.27%4.27%5.91%4.41%
11Jun 2012Jun 20121100.00% SPDR Gold Shares (GLD)GLD: 2.35%2.35%5.29%4.05%
10Jan 2012May 20125100.00% Vanguard Total Stock Market ETF (VTI)VTI: 5.16%5.16%1.07%5.22%
9Aug 2011Dec 20115100.00% SPDR Gold Shares (GLD)GLD: -3.98%-3.98%-9.35%-1.84%
8Dec 2010Jul 20118100.00% Vanguard Total Stock Market ETF (VTI)VTI: 11.06%11.06%10.63%10.74%
7Aug 2010Nov 20104100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 6.09%6.09%7.59%8.03%
6Jun 2010Jul 20102100.00% SPDR Gold Shares (GLD)GLD: -2.85%-2.85%4.99%1.30%
5Dec 2009May 20106100.00% Vanguard Total Stock Market ETF (VTI)VTI: 2.76%2.76%-3.55%0.43%
4May 2009Nov 20097100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: 37.75%37.75%32.29%27.07%
3Jul 2008Apr 200910100.00% SPDR Gold Shares (GLD)GLD: -4.52%-4.52%-34.25%-30.25%
2May 2008Jun 20082100.00% Vanguard FTSE All-Wld ex-US ETF (VEU)VEU: -7.08%-7.08%-6.67%-6.96%
1Jan 2008Apr 20084100.00% SPDR Gold Shares (GLD)GLD: 5.08%5.08%-3.74%-4.98%