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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Model Simulation Results (Jan 2003 - Dec 2021) Save

Tactical asset allocation model results from Jan 2003 to Dec 2021 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 (CASHX). The model uses a single performance window of 3 calendar month(s). Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for iShares 20+ Year Treasury Bond ETF (TLT) [Aug 2002 - Oct 2022].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Dual Momentum Model$10,000$123,19614.13%13.49%37.79%-2.93%-16.66% 0.961.780.31
Equal Weight Portfolio$10,000$53,0049.17%9.91%23.66%-19.46%-35.70% 0.821.240.86
SPDR S&P 500 ETF Trust$10,000$77,78811.40%14.12%32.31%-36.81%-50.80% 0.751.141.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Dual Momentum Model-1.07%10.72%10.72%15.27%12.78%11.01%14.13%14.58%12.71%
Equal Weight Portfolio5.11%10.51%10.51%16.69%11.93%10.03%9.17%10.47%9.31%
SPDR S&P 500 ETF Trust11.07%28.74%28.74%25.99%18.36%16.45%11.40%17.34%15.31%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • 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.
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)iShares 20+ Year Treasury Bond ETF (TLT)iShares MSCI EAFE ETF (EFA)Cash (CASHX)
ReturnBalanceReturnBalanceReturnBalance
20031.88%37.79%$13,77923.66%$12,36628.18%$12,81830.75%1.62%40.28%1.04%
20043.26%2.65%$14,14413.58%$14,04610.70%$14,19012.79%8.71%18.95%1.32%
20053.42%6.53%$15,0679.69%$15,4064.83%$14,8746.31%8.61%13.32%3.14%
20062.54%21.18%$18,25913.85%$17,53915.85%$17,23215.69%0.71%25.81%4.82%
20074.08%4.41%$19,0658.81%$19,0845.14%$18,1175.37%10.29%9.94%4.56%
20080.09%21.22%$23,111-19.46%$15,370-36.81%$11,448-36.98%33.93%-41.04%1.53%
20092.72%18.82%$27,4599.55%$16,83826.36%$14,46728.89%-21.80%26.95%0.16%
20101.50%16.90%$32,10012.87%$19,00515.06%$16,64517.42%9.05%8.15%0.14%
20112.96%35.06%$43,3537.24%$20,3811.89%$16,9590.97%33.96%-12.25%0.07%
20121.74%14.59%$49,68013.22%$23,07715.99%$19,67116.45%2.63%18.82%0.08%
20131.50%23.40%$61,30512.34%$25,92532.31%$26,02633.45%-13.37%21.40%0.05%
20140.76%16.22%$71,25110.64%$28,68313.46%$29,53012.54%27.30%-6.20%0.03%
20150.73%-2.93%$69,166-0.29%$28,5991.25%$29,9000.36%-1.79%-1.00%0.05%
20162.07%-2.37%$67,5285.49%$30,16912.00%$33,48812.83%1.18%1.37%0.30%
20172.11%19.41%$80,63218.40%$35,72121.70%$40,75521.21%9.18%25.10%0.88%
20181.91%-0.24%$80,436-6.60%$33,362-4.56%$38,898-5.21%-1.61%-13.81%1.90%
20192.29%12.72%$90,66622.86%$40,98931.22%$51,04330.67%14.12%22.03%2.13%
20201.36%22.72%$111,26617.01%$47,96118.37%$60,42121.03%18.15%7.59%0.44%
20217.04%10.72%$123,19610.51%$53,00428.74%$77,78825.67%-4.60%11.46%0.04%
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)iShares 20+ Year Treasury Bond ETF (TLT)iShares MSCI EAFE ETF (EFA)Cash (CASHX)
ReturnBalanceReturnBalanceReturnBalance
20031-2.77%$9,723-2.55%$9,745-2.46%$9,754-2.77%-0.58%-4.30%0.10%
200323.10%$10,024-0.19%$9,727-1.35%$9,623-1.54%3.10%-2.11%0.10%
20033-1.37%$9,887-0.97%$9,6320.21%$9,6420.76%-1.37%-2.32%0.10%
200341.05%$9,9916.61%$10,2698.46%$10,4588.61%1.05%10.17%0.09%
200355.83%$10,5746.20%$10,9065.48%$11,0325.83%6.32%6.45%0.09%
200361.62%$10,7450.59%$10,9691.07%$11,1491.62%-1.80%1.94%0.09%
200371.51%$10,908-2.05%$10,7451.80%$11,3502.33%-9.98%1.51%0.07%
200383.29%$11,2672.33%$10,9952.06%$11,5842.39%1.31%3.29%0.08%
200393.02%$11,6072.64%$11,285-1.09%$11,458-1.06%5.94%3.02%0.08%
2003106.50%$12,3613.17%$11,6435.35%$12,0726.05%-3.03%6.50%0.08%
2003112.53%$12,6741.46%$11,8131.09%$12,2031.50%0.34%2.53%0.08%
2003128.72%$13,7794.69%$12,3665.03%$12,8184.00%1.35%8.72%0.08%
200411.13%$13,9341.87%$12,5971.98%$13,0712.61%1.86%1.13%0.08%
200422.30%$14,2551.99%$12,8481.36%$13,2481.40%2.28%2.30%0.08%
200430.07%$14,2650.15%$12,868-1.32%$13,074-1.03%1.41%0.07%0.08%
20044-6.23%$13,376-3.95%$12,360-1.89%$12,826-2.22%-6.23%-3.39%0.08%
200450.08%$13,3860.78%$12,4561.71%$13,0461.45%-0.26%1.14%0.08%
200460.09%$13,3982.15%$12,7231.85%$13,2872.03%1.06%3.35%0.09%
20047-3.56%$12,922-2.10%$12,457-3.22%$12,859-3.56%1.53%-4.27%0.11%
200484.17%$13,4601.80%$12,6810.24%$12,8900.06%4.17%1.19%0.12%
200490.95%$13,5881.57%$12,8801.00%$13,0191.68%0.95%2.07%0.13%
2004101.77%$13,8282.36%$13,1841.29%$13,1871.80%1.77%3.50%0.14%
200411-2.39%$13,4972.81%$13,5544.45%$13,7744.74%-2.39%6.08%0.16%
2004124.80%$14,1443.63%$14,0463.02%$14,1903.43%2.66%4.80%0.18%
20051-1.90%$13,875-0.28%$14,007-2.24%$13,871-2.50%3.57%-1.90%0.18%
200523.78%$14,4001.47%$14,2122.09%$14,1612.09%-1.47%3.78%0.21%
20053-2.62%$14,022-1.65%$13,977-1.83%$13,902-1.87%-0.45%-2.62%0.23%
200543.86%$14,5640.01%$13,979-1.87%$13,642-2.20%3.86%-1.62%0.23%
200553.14%$15,0212.05%$14,2663.22%$14,0823.88%3.14%-0.86%0.24%
200562.16%$15,3451.45%$14,4730.15%$14,1030.76%2.16%1.43%0.25%
20057-3.38%$14,8271.33%$14,6663.83%$14,6424.38%-3.38%3.00%0.26%
20058-1.09%$14,6662.08%$14,970-0.94%$14,505-1.09%3.48%3.84%0.28%
200593.69%$15,2080.29%$15,0140.80%$14,6210.79%-3.61%3.69%0.29%
200510-3.18%$14,724-2.59%$14,625-2.37%$14,275-2.35%-2.24%-3.18%0.29%
2005112.31%$15,0642.54%$14,9974.40%$14,9034.62%0.69%2.31%0.33%
2005120.02%$15,0672.73%$15,406-0.19%$14,8740.02%2.98%5.18%0.32%
200615.77%$15,9372.55%$15,7992.40%$15,2323.22%-1.34%5.77%0.33%
20062-0.70%$15,8250.21%$15,8320.57%$15,3190.22%1.11%-0.70%0.37%
200634.01%$16,4590.50%$15,9111.65%$15,5722.05%-4.57%4.01%0.38%
200644.79%$17,2481.00%$16,0691.26%$15,7680.96%-2.75%4.79%0.38%
20065-3.82%$16,588-2.41%$15,682-3.01%$15,293-3.22%-0.19%-3.82%0.39%
20066-0.06%$16,5780.42%$15,7470.26%$15,3340.13%1.18%-0.06%0.40%
200670.41%$16,6460.95%$15,8970.45%$15,402-0.12%2.16%0.81%0.41%
200683.06%$17,1552.63%$16,3162.18%$15,7382.30%3.06%2.55%0.42%
200691.91%$17,4831.46%$16,5552.70%$16,1632.26%1.91%0.22%0.41%
2006100.85%$17,6312.71%$17,0033.15%$16,6733.53%0.85%3.75%0.40%
2006112.33%$18,0422.57%$17,4401.99%$17,0042.33%2.31%3.07%0.42%
2006121.20%$18,2590.57%$17,5391.34%$17,2321.20%-2.69%3.20%0.41%
200711.39%$18,5140.75%$17,6711.50%$17,4911.86%-1.00%1.39%0.41%
20072-0.12%$18,4910.55%$17,768-1.96%$17,148-1.62%3.39%-0.12%0.42%
200732.90%$19,0270.77%$17,9061.16%$17,3471.12%-1.70%2.90%0.42%
200743.75%$19,7412.89%$18,4234.43%$18,1154.02%0.90%3.75%0.41%
200752.36%$20,2071.26%$18,6553.39%$18,7293.72%-2.31%2.36%0.40%
20076-0.32%$20,142-1.03%$18,463-1.46%$18,455-1.76%-1.01%-0.32%0.39%
20077-3.53%$19,430-0.84%$18,308-3.13%$17,877-3.53%3.32%-2.29%0.39%
200780.40%$19,5090.88%$18,4691.28%$18,1071.47%1.79%-0.63%0.40%
200790.23%$19,5533.13%$19,0473.87%$18,8073.85%0.23%5.32%0.33%
2007101.81%$19,9082.62%$19,5461.36%$19,0631.79%1.81%4.25%0.31%
200711-3.62%$19,187-0.93%$19,363-3.87%$18,324-4.52%5.35%-3.62%0.32%
200712-0.64%$19,065-1.44%$19,084-1.13%$18,117-0.70%-0.64%-2.99%0.26%
200812.10%$19,464-3.97%$18,326-6.05%$17,021-6.17%2.10%-7.85%0.28%
20082-0.46%$19,375-1.33%$18,083-2.58%$16,581-2.50%-0.46%-1.02%0.16%
200832.14%$19,7900.55%$18,183-0.90%$16,432-0.90%2.14%0.42%0.15%
20084-2.48%$19,2992.61%$18,6594.77%$17,2154.89%-2.48%5.44%0.11%
200851.19%$19,5280.17%$18,6911.51%$17,4752.02%-2.69%1.19%0.12%
20086-8.80%$17,809-4.76%$17,802-8.35%$16,016-8.12%2.65%-8.80%0.15%
200870.16%$17,837-1.44%$17,546-0.90%$15,872-0.62%-0.37%-3.32%0.16%
200880.14%$17,861-0.02%$17,5431.55%$16,1171.46%2.74%-4.25%0.14%
200891.47%$18,124-6.40%$16,420-9.44%$14,596-9.24%1.47%-11.44%0.14%
200810-1.86%$17,786-13.39%$14,221-16.52%$12,185-17.48%-1.86%-20.83%0.08%
20081114.34%$20,337-0.02%$14,219-6.96%$11,337-8.01%14.34%-6.37%0.04%
20081213.64%$23,1118.10%$15,3700.98%$11,4481.78%13.64%8.88%0.00%
20091-13.07%$20,090-11.62%$13,585-8.21%$10,508-8.05%-13.07%-13.73%0.01%
20092-1.54%$19,781-7.48%$12,568-10.74%$9,379-10.53%-1.54%-10.39%0.02%
200930.02%$19,7856.90%$13,4358.35%$10,1628.26%4.04%8.39%0.02%
200940.02%$19,7895.18%$14,1329.93%$11,17210.99%-6.95%11.52%0.02%
2009513.19%$22,3994.99%$14,8375.85%$11,8255.46%-3.69%13.19%0.01%
20096-1.43%$22,079-0.10%$14,822-0.07%$11,8170.36%0.76%-1.43%0.01%
2009710.04%$24,2966.12%$15,7297.46%$12,6987.74%0.58%10.04%0.02%
200984.50%$25,3903.48%$16,2763.69%$13,1673.71%2.24%4.50%0.02%
200993.80%$26,3543.46%$16,8403.55%$13,6344.14%2.46%3.80%0.01%
200910-2.52%$25,689-2.59%$16,404-1.92%$13,372-2.63%-2.62%-2.52%0.01%
2009113.92%$26,6963.61%$16,9966.16%$14,1965.69%1.21%3.92%0.00%
2009122.86%$27,459-0.93%$16,8381.91%$14,4672.86%-6.34%0.70%0.01%
20101-3.57%$26,480-1.98%$16,505-3.63%$13,941-3.57%2.69%-5.07%0.01%
201023.44%$27,3911.12%$16,6903.12%$14,3763.44%-0.34%0.27%0.01%
201036.40%$29,1433.57%$17,2876.09%$15,2516.40%-2.06%6.39%0.01%
201042.18%$29,7790.90%$17,4431.55%$15,4872.18%3.32%-2.80%0.01%
20105-7.88%$27,432-4.66%$16,631-7.95%$14,257-7.88%5.11%-11.19%0.01%
201065.80%$29,021-0.70%$16,513-5.17%$13,519-5.83%5.80%-2.07%0.01%
20107-0.95%$28,7475.89%$17,4876.83%$14,4427.02%-0.95%11.61%0.02%
201088.40%$31,160-0.04%$17,480-4.50%$13,793-4.71%8.40%-3.80%0.01%
20109-2.51%$30,3775.64%$18,4668.96%$15,0289.45%-2.51%9.97%0.01%
2010103.81%$31,5331.12%$18,6733.82%$15,6024.03%-4.47%3.81%0.01%
201011-4.82%$30,012-2.00%$18,2990.00%$15,6020.51%-1.69%-4.82%0.01%
2010126.96%$32,1003.86%$19,0056.68%$16,6456.96%-3.68%8.30%0.01%
201112.05%$32,7570.35%$19,0732.33%$17,0332.05%-3.08%2.10%0.01%
201123.70%$33,9682.97%$19,6383.47%$17,6243.70%1.65%3.55%0.01%
20113-2.39%$33,157-0.65%$19,5110.01%$17,6260.42%0.03%-2.39%0.01%
201142.90%$34,1173.62%$20,2172.90%$18,1372.90%2.34%5.63%0.01%
20115-1.06%$33,7550.05%$20,228-1.12%$17,933-1.06%3.42%-2.21%0.00%
20116-2.33%$32,970-1.77%$19,869-1.69%$17,631-1.79%-2.33%-1.19%0.01%
201174.42%$34,425-0.08%$19,854-2.00%$17,278-2.27%4.42%-2.38%0.00%
201189.66%$37,752-1.73%$19,512-5.50%$16,328-6.09%9.66%-8.75%0.01%
2011913.20%$42,735-1.73%$19,174-6.94%$15,194-7.57%13.20%-10.81%0.00%
201110-3.84%$41,0965.72%$20,27110.91%$16,85211.37%-3.84%9.63%0.00%
2011111.98%$41,910-0.19%$20,232-0.41%$16,784-0.37%1.98%-2.18%0.00%
2011123.44%$43,3530.74%$20,3811.04%$16,9590.98%3.44%-2.21%0.00%
201215.07%$45,5513.34%$21,0614.64%$17,7465.07%-0.33%5.27%0.00%
201224.22%$47,4732.15%$21,5154.34%$18,5164.22%-2.59%4.83%0.01%
201233.06%$48,926-0.25%$21,4613.22%$19,1113.06%-4.23%0.42%0.01%
20124-0.64%$48,6150.71%$21,612-0.67%$18,984-0.64%4.83%-2.08%0.01%
20125-6.23%$45,588-2.78%$21,011-6.01%$17,844-6.23%9.03%-11.14%0.01%
20126-1.68%$44,8213.16%$21,6754.05%$18,5674.05%-1.68%7.11%0.01%
201273.82%$46,5311.59%$22,0201.18%$18,7860.88%3.82%0.08%0.01%
20128-1.32%$45,9181.53%$22,3562.51%$19,2572.70%-1.32%3.20%0.01%
201292.71%$47,1640.89%$22,5562.54%$19,7452.49%-2.53%2.71%0.01%
201210-1.81%$46,312-0.40%$22,466-1.82%$19,386-1.81%-0.48%1.09%0.01%
2012112.78%$47,6001.65%$22,8350.57%$19,4960.77%1.38%2.78%0.01%
2012124.37%$49,6801.06%$23,0770.90%$19,6711.29%-2.49%4.37%0.01%
201313.73%$51,5321.99%$23,5355.12%$20,6785.42%-3.19%3.73%0.00%
20132-1.29%$50,8680.41%$23,6321.28%$20,9421.28%1.24%-1.29%0.01%
201333.95%$52,8751.61%$24,0123.80%$21,7373.95%-0.42%1.31%0.01%
201341.61%$53,7243.77%$24,9181.92%$22,1551.61%4.68%5.02%0.01%
201352.44%$55,037-2.45%$24,3082.36%$22,6782.44%-6.76%-3.02%0.00%
20136-1.43%$54,249-2.47%$23,708-1.34%$22,375-1.43%-3.27%-2.70%0.00%
201375.75%$57,3662.94%$24,4055.17%$23,5315.75%-2.26%5.32%0.00%
20138-3.03%$55,627-2.11%$23,890-3.00%$22,825-3.03%-1.34%-1.96%0.00%
201393.90%$57,7974.13%$24,8763.17%$23,5493.90%0.66%7.82%0.00%
2013103.26%$59,6812.99%$25,6194.63%$24,6394.27%1.43%3.26%0.00%
2013110.55%$60,0070.18%$25,6662.96%$25,3692.70%-2.70%0.55%0.00%
2013122.16%$61,3051.01%$25,9252.59%$26,0262.73%-1.87%2.16%0.01%
20141-3.17%$59,362-0.69%$25,746-3.52%$25,109-3.17%6.30%-5.20%0.01%
201424.87%$62,2513.84%$26,7354.55%$26,2524.87%0.52%6.13%0.00%
201430.73%$62,7050.26%$26,8040.83%$26,4700.51%0.73%-0.46%0.00%
201442.10%$64,0211.28%$27,1460.70%$26,6540.06%2.10%1.67%0.00%
201451.60%$65,0422.21%$27,7472.32%$27,2732.10%2.95%1.60%0.00%
20146-0.25%$64,8801.10%$28,0522.06%$27,8352.62%-0.25%0.92%0.00%
20147-1.99%$63,586-1.31%$27,684-1.34%$27,461-1.99%0.67%-2.60%0.00%
201484.72%$66,5883.02%$28,5203.95%$28,5454.15%4.72%0.18%0.00%
20149-2.11%$65,184-2.70%$27,751-1.38%$28,151-2.10%-2.11%-3.88%0.00%
2014102.81%$67,0181.76%$28,2402.36%$28,8142.75%2.81%-0.27%0.00%
2014112.97%$69,0071.84%$28,7592.75%$29,6062.48%2.97%0.06%0.00%
2014123.25%$71,251-0.26%$28,683-0.26%$29,530-0.04%3.25%-4.00%0.00%
201519.82%$78,2442.57%$29,420-2.96%$28,655-2.74%9.82%0.62%0.00%
20152-6.14%$73,4421.98%$30,0025.62%$30,2665.74%-6.14%6.34%0.00%
201531.10%$74,247-0.50%$29,854-1.57%$29,789-1.16%1.10%-1.43%0.00%
201543.65%$76,9540.28%$29,9370.98%$30,0820.62%-3.43%3.65%0.00%
201550.20%$77,105-0.29%$29,8491.29%$30,4691.30%-2.37%0.20%0.00%
20156-3.12%$74,701-2.95%$28,967-2.03%$29,851-1.67%-4.07%-3.12%0.00%
201572.03%$76,2192.76%$29,7672.26%$30,5251.70%4.55%2.03%0.00%
20158-6.09%$71,576-4.74%$28,357-6.10%$28,664-6.09%-0.69%-7.43%0.01%
201590.01%$71,581-1.79%$27,849-2.54%$27,935-2.92%1.97%-4.42%0.01%
201510-0.41%$71,2874.70%$29,1598.51%$30,3127.91%-0.41%6.61%0.00%
201511-0.87%$70,670-0.34%$29,0600.37%$30,4220.60%-0.87%-0.75%0.01%
201512-2.13%$69,166-1.59%$28,599-1.72%$29,900-2.13%-0.30%-2.34%0.02%
20161-5.72%$65,207-1.89%$28,058-4.98%$28,411-5.72%5.57%-5.52%0.01%
201623.09%$67,220-0.09%$28,034-0.08%$28,388-0.01%3.09%-3.33%0.03%
20163-0.09%$67,1594.53%$29,3056.72%$30,2977.11%-0.09%6.58%0.03%
20164-0.74%$66,6640.71%$29,5150.39%$30,4160.66%-0.74%2.22%0.02%
201651.73%$67,8200.82%$29,7561.70%$30,9331.73%0.81%-0.09%0.02%
201660.27%$68,0061.60%$30,2310.35%$31,0420.27%6.93%-2.42%0.03%
201672.10%$69,4343.35%$31,2443.65%$32,1743.98%2.10%3.98%0.02%
20168-1.01%$68,732-0.09%$31,2160.12%$32,2120.21%-1.01%0.53%0.02%
20169-1.51%$67,6950.01%$31,2200.01%$32,2150.21%-1.51%1.34%0.03%
201610-2.22%$66,195-2.93%$30,305-1.73%$31,656-2.19%-4.38%-2.22%0.02%
2016110.03%$66,214-1.83%$29,7493.68%$32,8224.49%-8.21%-1.78%0.03%
2016121.98%$67,5281.41%$30,1692.03%$33,4881.98%-0.46%2.71%0.04%
201711.86%$68,7811.99%$30,7681.79%$34,0871.86%0.81%3.29%0.04%
201723.69%$71,3222.16%$31,4323.93%$35,4273.69%1.59%1.19%0.04%
201730.06%$71,3620.88%$31,7080.13%$35,4710.06%-0.65%3.23%0.04%
201742.42%$73,0921.69%$32,2430.99%$35,8231.06%1.57%2.42%0.06%
201753.54%$75,6812.15%$32,9351.41%$36,3291.01%1.89%3.54%0.07%
201760.31%$75,9150.68%$33,1600.64%$36,5610.95%0.79%0.31%0.08%
201772.65%$77,9291.29%$33,5892.06%$37,3121.88%-0.66%2.65%0.08%
20178-0.04%$77,8941.17%$33,9820.29%$37,4210.15%3.41%-0.04%0.09%
20179-2.32%$76,0860.83%$34,2632.01%$38,1752.44%-2.32%2.36%0.08%
2017101.68%$77,3641.27%$34,6982.36%$39,0742.17%-0.04%1.68%0.09%
2017113.03%$79,7081.49%$35,2143.06%$40,2693.03%0.74%0.69%0.09%
2017121.16%$80,6321.44%$35,7211.21%$40,7551.16%1.81%1.35%0.10%
201815.23%$84,8512.33%$36,5545.64%$43,0525.23%-3.26%5.02%0.11%
20182-3.76%$81,661-3.88%$35,137-3.64%$41,487-3.76%-3.04%-4.83%0.12%
20183-1.95%$80,0660.02%$35,145-2.74%$40,349-1.95%2.86%-0.84%0.14%
201840.14%$80,179-0.04%$35,1310.52%$40,5580.45%-2.09%1.52%0.14%
201850.15%$80,3030.94%$35,4622.43%$41,5442.72%2.01%-1.89%0.15%
201860.65%$80,822-0.07%$35,4370.58%$41,7830.70%0.65%-1.57%0.16%
201873.32%$83,5041.58%$35,9963.70%$43,3313.32%-1.44%2.85%0.16%
201883.43%$86,3700.84%$36,2973.19%$44,7143.43%1.31%-2.24%0.17%
201890.20%$86,540-0.57%$36,0910.59%$44,9800.20%-2.86%0.97%0.17%
201810-7.41%$80,126-6.16%$33,869-6.91%$41,872-7.41%-2.93%-8.13%0.18%
2018110.19%$80,2801.43%$34,3541.85%$42,6482.01%1.79%0.50%0.19%
2018120.19%$80,436-2.89%$33,362-8.79%$38,898-9.16%5.85%-5.35%0.19%
201910.38%$80,7405.18%$35,0928.01%$42,0128.54%0.38%6.63%0.20%
20192-1.38%$79,6301.57%$35,6443.24%$43,3743.56%-1.38%2.54%0.20%
201935.57%$84,0682.64%$36,5841.81%$44,1581.42%5.57%0.92%0.20%
201943.93%$87,3681.62%$37,1774.09%$45,9623.93%-1.99%2.93%0.20%
20195-6.45%$81,733-1.55%$36,601-6.38%$43,031-6.45%6.84%-5.03%0.20%
201960.95%$82,5084.65%$38,3026.96%$46,0267.08%0.95%5.91%0.19%
201970.26%$82,720-0.09%$38,2661.51%$46,7221.41%0.26%-1.95%0.17%
2019811.04%$91,8572.35%$39,164-1.67%$45,940-2.08%11.04%-1.92%0.17%
20199-2.68%$89,3950.75%$39,4601.95%$46,8351.78%-2.68%3.16%0.16%
201910-1.11%$88,3991.46%$40,0362.21%$47,8702.11%-1.11%3.39%0.15%
201911-0.41%$88,0401.50%$40,6383.62%$49,6033.79%-0.41%1.13%0.13%
2019122.98%$90,6660.86%$40,9892.90%$51,0432.80%-3.20%2.98%0.13%
20201-0.06%$90,6111.60%$41,645-0.04%$51,022-0.06%7.69%-2.82%0.13%
20202-8.00%$83,363-3.05%$40,377-7.92%$46,983-8.00%6.63%-7.77%0.13%
202036.38%$88,680-7.21%$37,465-12.46%$41,127-13.91%6.38%-14.11%0.10%
202041.22%$89,7596.72%$39,98312.70%$46,34913.13%1.22%5.82%0.01%
20205-1.76%$88,1763.02%$41,1914.76%$48,5585.40%-1.76%5.43%0.01%
202060.34%$88,4742.05%$42,0331.78%$49,4202.29%0.34%3.51%0.01%
202075.74%$93,5554.04%$43,7315.89%$52,3315.74%4.44%1.94%0.01%
202087.10%$100,2022.26%$44,7196.98%$55,9837.10%-5.05%4.72%0.01%
20209-3.54%$96,651-1.61%$44,001-3.74%$53,889-3.54%0.77%-2.05%0.01%
202010-1.95%$94,767-2.96%$42,698-2.49%$52,546-1.95%-3.39%-3.55%0.01%
20201111.80%$105,9539.25%$46,64510.88%$58,26111.80%1.66%14.27%0.01%
2020125.01%$111,2662.82%$47,9613.71%$60,4214.68%-1.23%5.01%0.01%
20211-0.78%$110,397-1.58%$47,202-1.02%$59,805-0.33%-3.63%-0.78%0.01%
202122.24%$112,867-0.12%$47,1462.78%$61,4683.14%-5.73%2.24%0.01%
202133.65%$116,9820.30%$47,2904.54%$64,2593.65%-5.24%2.51%0.00%
202145.04%$122,8743.49%$48,9425.29%$67,6595.04%2.49%2.95%0.00%
202150.46%$123,4341.31%$49,5850.66%$68,1030.46%0.00%3.48%0.00%
202162.48%$126,4951.94%$50,5472.25%$69,6342.48%4.42%-1.08%0.00%
202171.74%$128,6922.08%$51,5962.44%$71,3341.74%3.72%0.77%0.00%
20218-0.34%$128,2531.32%$52,2782.98%$73,4572.86%-0.34%1.45%0.01%
20219-2.91%$124,524-3.54%$50,425-4.66%$70,035-4.46%-2.91%-3.26%0.00%
2021102.46%$127,5924.11%$52,4977.02%$74,9496.69%2.46%3.18%0.00%
202111-1.46%$125,729-1.07%$51,933-0.80%$74,347-1.46%2.77%-4.53%0.00%
202112-2.01%$123,1962.06%$53,0044.63%$77,7883.79%-2.01%4.41%0.00%
Portfolio return and risk metrics
MetricDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)1.18%0.78%0.99%
Arithmetic Mean (annualized)15.14%9.71%12.52%
Geometric Mean (monthly)1.11%0.73%0.90%
Geometric Mean (annualized)14.13%9.17%11.40%
Standard Deviation (monthly)3.89%2.86%4.08%
Standard Deviation (annualized)13.49%9.91%14.12%
Downside Deviation (monthly)2.07%1.86%2.66%
Maximum Drawdown-16.66%-35.70%-50.80%
Stock Market Correlation0.310.861.00
Beta(*)0.310.601.00
Alpha (annualized)10.51%2.14%0.00%
R210.51%74.22%100.00%
Sharpe Ratio0.960.820.75
Sortino Ratio1.781.241.14
Treynor Ratio (%)41.9913.4510.67
Calmar Ratio1.651.661.34
Active Return2.73%-2.23%N/A
Tracking Error16.06%7.52%N/A
Information Ratio0.17-0.30N/A
Skewness0.29-0.93-0.66
Excess Kurtosis1.893.981.97
Historical Value-at-Risk (5%)-4.48%-3.76%-6.72%
Analytical Value-at-Risk (5%)-5.22%-3.93%-5.72%
Conditional Value-at-Risk (5%)-7.24%-6.52%-9.27%
Upside Capture Ratio (%)64.0763.09100.00
Downside Capture Ratio (%)22.5754.75100.00
Safe Withdrawal Rate14.68%9.64%9.36%
Perpetual Withdrawal Rate10.36%6.30%8.17%
Positive Periods149 out of 228 (65.35%)152 out of 228 (66.67%)155 out of 228 (67.98%)
Gain/Loss Ratio1.221.040.88
* 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
Subprime CrisisNov 2007Mar 2009-14.41%-35.70%-50.80%
COVID-19 StartJan 2020Mar 2020-8.06%-10.04%-19.43%

Drawdowns for Dual Momentum Model

Drawdowns for Dual Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Jan 20161 yearNov 20171 year 10 months2 years 10 months-16.66%
2Jan 2009Feb 20092 monthsJul 20095 months7 months-14.41%
3Jun 2007Oct 20081 year 5 monthsNov 20081 month1 year 6 months-11.98%
4Apr 2004Jul 20044 monthsFeb 20057 months11 months-9.42%
5Sep 2019Feb 20206 monthsJul 20205 months11 months-9.25%
6Apr 2012Jun 20123 monthsDec 20126 months9 months-8.39%
7Oct 2018Feb 20195 monthsApr 20192 months7 months-7.98%
8May 2010May 20101 monthAug 20103 months4 months-7.88%
9May 2019May 20191 monthAug 20193 months4 months-6.45%
10Feb 2018Mar 20182 monthsAug 20185 months7 months-5.64%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-35.70%
2Feb 2020Mar 20202 monthsJun 20203 months5 months-10.04%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.73%
4Mar 2015Sep 20157 monthsJun 20169 months1 year 4 months-7.18%
5Jun 2011Sep 20114 monthsOct 20111 month5 months-5.21%
6May 2013Jun 20132 monthsOct 20134 months6 months-4.85%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.79%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-4.52%
9Apr 2004Apr 20041 monthSep 20045 months6 months-3.95%
10Jan 2003Mar 20033 monthsApr 20031 month4 months-3.68%
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
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6May 2019May 20191 monthJun 20191 month2 months-6.38%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
9Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
AverageHighLowAverageHighLowAverageHighLow
1 year15.17%50.48%-16.66%9.49%33.59%-30.50%12.04%56.25%-43.44%
3 years13.78%35.23%1.36%8.17%19.62%-7.41%9.87%25.99%-15.09%
5 years13.92%27.39%2.57%7.57%16.29%-0.44%9.26%22.86%-6.67%
7 years14.68%23.06%6.83%7.76%12.14%5.40%9.63%17.14%2.23%
10 years15.14%18.88%11.01%8.03%10.99%5.49%10.04%16.55%6.36%
15 years13.66%15.54%12.15%7.75%9.21%6.79%9.31%10.82%7.50%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceDual Momentum ModelEqual Weight PortfolioSPDR S&P 500 ETF Trust
80Jan 2022Jan 20221Please sign-in for forward signals----
79Dec 2021Dec 20211100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -2.01%-2.01%2.06%4.63%
78Nov 2021Nov 20211100.00% Vanguard Total Stock Market ETF (VTI)VTI: -1.46%-1.46%-1.07%-0.80%
77Aug 2021Oct 20213100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -0.85%-0.85%1.75%5.07%
76Mar 2021Jul 20215100.00% Vanguard Total Stock Market ETF (VTI)VTI: 14.02%14.02%9.44%16.05%
75Dec 2020Feb 20213100.00% iShares MSCI EAFE ETF (EFA)EFA: 6.53%6.53%1.07%5.50%
74Jul 2020Nov 20205100.00% Vanguard Total Stock Market ETF (VTI)VTI: 19.76%19.76%10.97%17.89%
73Mar 2020Jun 20204100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 6.13%6.13%4.10%5.19%
72Jan 2020Feb 20202100.00% Vanguard Total Stock Market ETF (VTI)VTI: -8.06%-8.06%-1.49%-7.95%
71Dec 2019Dec 20191100.00% iShares MSCI EAFE ETF (EFA)EFA: 2.98%2.98%0.86%2.90%
70Jun 2019Nov 20196100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 7.72%7.72%11.03%15.27%
69Apr 2019May 20192100.00% Vanguard Total Stock Market ETF (VTI)VTI: -2.78%-2.78%0.05%-2.55%
68Jan 2019Mar 20193100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 4.52%4.52%9.66%13.52%
67Nov 2018Dec 20182100.00% Cash (CASHX)CASHX: 0.39%0.39%-1.50%-7.10%
66Jul 2018Oct 20184100.00% Vanguard Total Stock Market ETF (VTI)VTI: -0.86%-0.86%-4.42%0.21%
65Jun 2018Jun 20181100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.65%0.65%-0.07%0.58%
64Apr 2018May 20182100.00% Cash (CASHX)CASHX: 0.30%0.30%0.90%2.96%
63Nov 2017Mar 20185100.00% Vanguard Total Stock Market ETF (VTI)VTI: 3.49%3.49%1.29%3.26%
62Oct 2017Oct 20171100.00% iShares MSCI EAFE ETF (EFA)EFA: 1.68%1.68%1.27%2.36%
61Sep 2017Sep 20171100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -2.32%-2.32%0.83%2.01%
60Apr 2017Aug 20175100.00% iShares MSCI EAFE ETF (EFA)EFA: 9.15%9.15%7.17%5.50%
59Dec 2016Mar 20174100.00% Vanguard Total Stock Market ETF (VTI)VTI: 7.77%7.77%6.58%8.07%
58Nov 2016Nov 20161100.00% Cash (CASHX)CASHX: 0.03%0.03%-1.83%3.68%
57Oct 2016Oct 20161100.00% iShares MSCI EAFE ETF (EFA)EFA: -2.22%-2.22%-2.93%-1.73%
56Jul 2016Sep 20163100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -0.46%-0.46%3.27%3.78%
55May 2016Jun 20162100.00% Vanguard Total Stock Market ETF (VTI)VTI: 2.01%2.01%2.43%2.06%
54Feb 2016Apr 20163100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.23%2.23%5.19%7.06%
53Dec 2015Jan 20162100.00% Vanguard Total Stock Market ETF (VTI)VTI: -7.73%-7.73%-3.45%-6.61%
52Oct 2015Nov 20152100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -1.27%-1.27%4.35%8.90%
51Sep 2015Sep 20151100.00% Cash (CASHX)CASHX: 0.01%0.01%-1.79%-2.54%
50Aug 2015Aug 20151100.00% Vanguard Total Stock Market ETF (VTI)VTI: -6.09%-6.09%-4.74%-6.10%
49Apr 2015Jul 20154100.00% iShares MSCI EAFE ETF (EFA)EFA: 2.66%2.66%-0.29%2.47%
48Aug 2014Mar 20158100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 16.77%16.77%7.84%8.48%
47Jul 2014Jul 20141100.00% Vanguard Total Stock Market ETF (VTI)VTI: -1.99%-1.99%-1.31%-1.34%
46Jun 2014Jun 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -0.25%-0.25%1.10%2.06%
45May 2014May 20141100.00% iShares MSCI EAFE ETF (EFA)EFA: 1.60%1.60%2.21%2.32%
44Mar 2014Apr 20142100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.84%2.84%1.54%1.53%
43Jan 2014Feb 20142100.00% Vanguard Total Stock Market ETF (VTI)VTI: 1.54%1.54%3.12%0.87%
42Oct 2013Dec 20133100.00% iShares MSCI EAFE ETF (EFA)EFA: 6.07%6.07%4.22%10.52%
41Mar 2013Sep 20137100.00% Vanguard Total Stock Market ETF (VTI)VTI: 13.62%13.62%5.27%12.45%
40Nov 2012Feb 20134100.00% iShares MSCI EAFE ETF (EFA)EFA: 9.84%9.84%5.19%8.03%
39Oct 2012Oct 20121100.00% Vanguard Total Stock Market ETF (VTI)VTI: -1.81%-1.81%-0.40%-1.82%
38Sep 2012Sep 20121100.00% iShares MSCI EAFE ETF (EFA)EFA: 2.71%2.71%0.89%2.54%
37Jun 2012Aug 20123100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.72%0.72%6.40%7.92%
36Jan 2012May 20125100.00% Vanguard Total Stock Market ETF (VTI)VTI: 5.16%5.16%3.09%5.22%
35Jun 2011Dec 20117100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 28.43%28.43%0.76%-5.43%
34Apr 2011May 20112100.00% Vanguard Total Stock Market ETF (VTI)VTI: 1.80%1.80%3.67%1.74%
33Mar 2011Mar 20111100.00% iShares MSCI EAFE ETF (EFA)EFA: -2.39%-2.39%-0.65%0.01%
32Dec 2010Feb 20113100.00% Vanguard Total Stock Market ETF (VTI)VTI: 13.18%13.18%7.32%12.96%
31Oct 2010Nov 20102100.00% iShares MSCI EAFE ETF (EFA)EFA: -1.20%-1.20%-0.90%3.82%
30Jun 2010Sep 20104100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 10.74%10.74%11.04%5.41%
29Dec 2009May 20106100.00% Vanguard Total Stock Market ETF (VTI)VTI: 2.76%2.76%-2.15%0.43%
28May 2009Nov 20097100.00% iShares MSCI EAFE ETF (EFA)EFA: 34.90%34.90%20.27%27.07%
27Mar 2009Apr 20092100.00% Cash (CASHX)CASHX: 0.04%0.04%12.44%19.11%
26Sep 2008Feb 20096100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 10.75%10.75%-28.36%-41.81%
25Jul 2008Aug 20082100.00% Cash (CASHX)CASHX: 0.29%0.29%-1.45%0.63%
24May 2008Jun 20082100.00% iShares MSCI EAFE ETF (EFA)EFA: -7.72%-7.72%-4.59%-6.96%
23Dec 2007Apr 20085100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.59%0.59%-3.64%-6.05%
22Nov 2007Nov 20071100.00% iShares MSCI EAFE ETF (EFA)EFA: -3.62%-3.62%-0.93%-3.87%
21Sep 2007Oct 20072100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.05%2.05%5.83%5.28%
20Aug 2007Aug 20071100.00% Cash (CASHX)CASHX: 0.40%0.40%0.88%1.28%
19Jul 2007Jul 20071100.00% Vanguard Total Stock Market ETF (VTI)VTI: -3.53%-3.53%-0.84%-3.13%
18Jan 2007Jun 20076100.00% iShares MSCI EAFE ETF (EFA)EFA: 10.31%10.31%5.27%7.10%
17Nov 2006Dec 20062100.00% Vanguard Total Stock Market ETF (VTI)VTI: 3.56%3.56%3.15%3.35%
16Aug 2006Oct 20063100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.92%5.92%6.96%8.25%
15Jul 2006Jul 20061100.00% Cash (CASHX)CASHX: 0.41%0.41%0.95%0.45%
14Jan 2006Jun 20066100.00% iShares MSCI EAFE ETF (EFA)EFA: 10.03%10.03%2.21%3.09%
13Dec 2005Dec 20051100.00% Vanguard Total Stock Market ETF (VTI)VTI: 0.02%0.02%2.73%-0.19%
12Sep 2005Nov 20053100.00% iShares MSCI EAFE ETF (EFA)EFA: 2.71%2.71%0.17%2.74%
11Aug 2005Aug 20051100.00% Vanguard Total Stock Market ETF (VTI)VTI: -1.09%-1.09%2.08%-0.94%
10Apr 2005Jul 20054100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.74%5.74%4.93%5.32%
9Dec 2004Mar 20054100.00% iShares MSCI EAFE ETF (EFA)EFA: 3.89%3.89%3.12%0.93%
8Aug 2004Nov 20044100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 4.45%4.45%8.81%7.12%
7Jul 2004Jul 20041100.00% Vanguard Total Stock Market ETF (VTI)VTI: -3.56%-3.56%-2.10%-3.22%
6May 2004Jun 20042100.00% Cash (CASHX)CASHX: 0.17%0.17%2.94%3.59%
5Apr 2004Apr 20041100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -6.23%-6.23%-3.95%-1.89%
4Jul 2003Mar 20049100.00% iShares MSCI EAFE ETF (EFA)EFA: 32.76%32.76%17.31%17.26%
3May 2003Jun 20032100.00% Vanguard Total Stock Market ETF (VTI)VTI: 7.55%7.55%6.82%6.61%
2Feb 2003Apr 20033100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.76%2.76%5.37%7.22%
1Jan 2003Jan 20031100.00% Vanguard Total Stock Market ETF (VTI)VTI: -2.77%-2.77%-2.55%-2.46%