Test Market Timing Models

The core-satellite model allows you to combine a strategic buy-and-hold core portfolio with a tactical asset allocation based satellite portfolio. The supported tactical asset allocation 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 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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Market Timing Results (Jan 2005 - Jul 2020) Save

The model results are based on a core-satellite model, where the long-term strategic core allocation is combined with a tactical asset allocation model based satellite portfolio. 40% of assets are allocated to the core portfolio with 4 asset(s) and 60% of assets are allocated to the satellite portfolio. Tactical asset allocation model results from Jan 2005 to Jul 2020 for Invesco QQQ Trust (QQQ) are based on 60 trading day exponential moving average and 130 trading day exponential moving average crossover. The tactical asset allocation model is invested in the asset when the former moving average is greater than or equal to the latter moving average, otherwise the portfolio is invested in cash. 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 SPDR Gold Shares (GLD) [Dec 2004 - Jul 2020].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Core-Satellite Portfolio$10,000$44,30210.02%9.47%25.15%-11.59%-19.32% 0.921.540.68
Core Portfolio$10,000$38,9669.12%6.98%20.73%-1.25%-11.82% 1.102.100.44
Satellite Portfolio$10,000$45,69110.24%13.43%36.63%-19.10%-25.39% 0.701.090.64
Vanguard 500 Index Investor$10,000$36,5948.68%14.55%32.18%-37.02%-50.97% 0.560.801.00
   
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 annual results for 2020 are based on full calendar months from January to July.
  • The allocation between the core and satellite portfolios uses annual rebalancing and the same rebalancing frequency is used for the core portfolio assets.
  • Out of market returns are based on 3-month treasury bill returns for cash or the selected alternative asset
  • The moving average signal is based on total return and accounts for splits and dividends
  • Monthly moving average period calculations are based on end-of-month samples
  • 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
YearInflationReturnBalanceInvesco QQQ Trust (QQQ)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Cash (CASHX)
Core-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index InvestorCore-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index Investor
20053.42%-0.78%7.77%-6.48%4.77%$9,922$10,777$9,352$10,4771.57%8.61%17.76%3.14%
20062.54%2.99%8.81%-0.89%15.64%$10,219$11,726$9,269$12,1167.14%0.71%22.55%4.82%
20074.08%17.85%16.08%19.02%5.39%$12,042$13,612$11,032$12,76919.02%10.29%30.45%4.56%
20080.09%-11.59%-0.34%-19.10%-37.02%$10,646$13,566$8,925$8,042-41.73%33.93%4.92%1.53%
20092.72%23.65%14.27%29.91%26.49%$13,164$15,501$11,595$10,17254.68%-21.80%24.03%0.16%
20101.50%9.56%14.65%6.17%14.91%$14,423$17,772$12,311$11,68920.14%9.05%29.27%0.14%
20112.96%3.59%11.77%-1.86%1.97%$14,941$19,863$12,081$11,9183.47%33.96%9.57%0.07%
20121.74%13.61%6.86%18.12%15.82%$16,975$21,225$14,270$13,80518.12%2.63%6.60%0.08%
20131.50%21.48%-1.25%36.63%32.18%$20,621$20,959$19,498$18,24636.63%-13.37%-28.33%0.05%
20140.76%15.94%11.08%19.18%13.51%$23,908$23,282$23,237$20,71119.18%27.30%-2.19%0.03%
20150.73%-1.33%-0.74%-1.73%1.25%$23,589$23,109$22,836$20,9709.45%-1.79%-10.67%0.05%
20162.07%4.81%4.15%5.26%11.82%$24,725$24,069$24,036$23,4487.10%1.18%8.03%0.30%
20172.11%25.15%13.88%32.66%21.67%$30,943$27,411$31,887$28,52832.66%9.18%12.81%0.88%
20181.91%5.56%-0.44%9.56%-4.52%$32,664$27,290$34,935$27,237-0.12%-1.61%-1.94%1.90%
20192.29%19.19%18.27%19.81%31.33%$38,933$32,275$41,857$35,77038.96%14.12%17.86%2.13%
20200.32%13.79%20.73%9.16%2.30%$44,302$38,966$45,691$36,59425.49%27.27%29.76%0.40%
Annual returns for 2020 are based on partial year data
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceInvesco QQQ Trust (QQQ)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Cash (CASHX)
Core-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index InvestorCore-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index Investor
20051-4.40%-1.54%-6.31%-2.45%$9,560$9,846$9,369$9,755-6.31%3.57%-3.61%0.18%
20052-0.15%0.31%-0.48%2.09%$9,545$9,876$9,324$9,959-0.48%-1.47%3.10%0.21%
20053-1.39%-0.88%-1.75%-1.76%$9,412$9,789$9,161$9,784-1.75%-0.45%-1.63%0.23%
20054-2.39%0.35%-4.35%-1.91%$9,187$9,824$8,763$9,596-4.35%3.86%1.24%0.23%
200550.95%1.89%0.24%3.17%$9,274$10,010$8,783$9,9008.86%3.14%-3.92%0.24%
20056-1.51%0.88%-3.32%0.13%$9,134$10,098$8,491$9,913-3.32%2.16%4.30%0.25%
200574.48%0.52%7.61%3.71%$9,543$10,150$9,138$10,2807.61%-3.38%-1.43%0.26%
20058-0.47%0.95%-1.52%-0.91%$9,498$10,246$8,999$10,187-1.52%3.48%1.35%0.28%
200591.23%1.22%1.23%0.79%$9,615$10,372$9,110$10,2671.23%-3.61%7.60%0.29%
200510-1.29%-1.03%-1.50%-1.68%$9,490$10,265$8,974$10,095-1.50%-2.24%-0.64%0.29%
2005114.85%3.21%6.10%3.76%$9,950$10,594$9,521$10,4756.10%0.69%5.82%0.33%
200512-0.28%1.72%-1.77%0.02%$9,922$10,777$9,352$10,477-1.77%2.98%5.05%0.32%
200613.65%3.21%3.93%2.65%$10,284$11,123$9,720$10,7553.93%-1.34%9.93%0.33%
20062-1.48%-0.48%-2.14%0.26%$10,132$11,070$9,512$10,783-2.14%1.11%-1.11%0.37%
200631.43%0.46%2.09%1.23%$10,277$11,121$9,711$10,9162.09%-4.57%3.62%0.38%
200640.96%2.69%-0.19%1.33%$10,375$11,420$9,692$11,061-0.19%-2.75%12.03%0.38%
20065-5.16%-2.11%-7.24%-2.90%$9,840$11,179$8,990$10,741-7.24%-0.19%-1.32%0.39%
20066-0.48%-1.06%-0.06%0.13%$9,793$11,061$8,985$10,754-0.06%1.18%-4.67%0.40%
200670.45%0.50%0.41%0.61%$9,837$11,116$9,022$10,820-4.31%2.16%3.15%0.41%
200680.85%1.47%0.42%2.36%$9,921$11,279$9,059$11,0754.77%3.06%-1.38%0.42%
200690.37%0.31%0.41%2.56%$9,957$11,314$9,097$11,3594.64%1.91%-4.53%0.41%
2006100.98%1.80%0.40%3.25%$10,055$11,518$9,133$11,7284.75%0.85%1.29%0.40%
2006113.41%3.38%3.43%1.89%$10,398$11,906$9,446$11,9503.43%2.31%6.89%0.42%
200612-1.73%-1.52%-1.88%1.39%$10,219$11,726$9,269$12,116-1.88%-2.69%-1.83%0.41%
200711.67%1.02%2.11%1.49%$10,390$11,846$9,464$12,2972.11%-1.00%2.56%0.41%
20072-0.55%1.16%-1.68%-1.97%$10,332$11,983$9,305$12,055-1.68%3.39%2.55%0.42%
200730.12%-0.48%0.52%1.11%$10,344$11,925$9,354$12,1890.52%-1.70%-1.11%0.42%
200744.24%2.24%5.58%4.42%$10,783$12,192$9,876$12,7285.58%0.90%2.05%0.41%
200751.81%-0.25%3.15%3.48%$10,978$12,162$10,188$13,1703.15%-2.31%-2.31%0.40%
200760.10%-0.50%0.48%-1.68%$10,989$12,100$10,237$12,9490.48%-1.01%-1.94%0.39%
200770.46%1.43%-0.15%-3.08%$11,040$12,273$10,222$12,550-0.15%3.32%2.37%0.39%
200782.33%1.55%2.82%1.50%$11,297$12,464$10,510$12,7382.82%1.79%1.11%0.40%
200794.82%4.14%5.25%3.72%$11,841$12,979$11,062$13,2125.25%0.23%10.51%0.33%
2007105.96%4.22%7.04%1.58%$12,548$13,527$11,841$13,4217.04%1.81%6.95%0.31%
200711-4.60%-1.02%-6.76%-4.19%$11,970$13,389$11,040$12,859-6.76%5.35%-1.65%0.32%
2007120.60%1.67%-0.07%-0.70%$12,042$13,612$11,032$12,769-0.07%-0.64%6.65%0.26%
20081-7.00%0.33%-11.89%-6.02%$11,199$13,657$9,721$12,001-11.89%2.10%10.84%0.28%
200820.22%0.31%0.16%-3.25%$11,224$13,699$9,736$11,611-4.83%-0.46%5.23%0.16%
20083-0.25%-0.77%0.15%-0.44%$11,197$13,593$9,751$11,5591.87%2.14%-6.00%0.15%
200840.04%-0.05%0.11%4.85%$11,201$13,586$9,762$12,1217.98%-2.48%-4.16%0.11%
200850.48%0.96%0.12%1.29%$11,255$13,717$9,773$12,2775.93%-2.69%0.92%0.12%
20086-5.66%-0.46%-9.61%-8.44%$10,618$13,655$8,834$11,241-9.61%2.65%4.52%0.15%
200870.21%-0.31%0.64%-0.83%$10,640$13,612$8,891$11,1480.64%-0.37%-1.44%0.16%
20088-0.60%-1.49%0.14%1.45%$10,576$13,409$8,903$11,3091.45%2.74%-9.29%0.14%
20089-0.87%-2.11%0.14%-8.91%$10,484$13,127$8,915$10,302-15.58%1.47%4.11%0.14%
200810-3.44%-7.86%0.08%-16.79%$10,124$12,095$8,922$8,572-15.47%-1.86%-16.14%0.08%
2008112.20%5.15%0.04%-7.17%$10,346$12,719$8,925$7,957-11.46%14.34%12.57%0.04%
2008122.90%6.66%0.00%1.07%$10,646$13,566$8,925$8,0422.28%13.64%7.73%0.00%
20091-0.98%-2.45%0.01%-8.41%$10,542$13,233$8,926$7,365-2.29%-13.07%5.54%0.01%
20092-0.49%-1.26%0.02%-10.66%$10,491$13,066$8,928$6,580-5.26%-1.54%1.45%0.02%
200931.06%2.68%0.02%8.76%$10,602$13,416$8,930$7,15710.32%4.04%-2.54%0.02%
200940.38%0.93%0.02%9.56%$10,643$13,541$8,932$7,84113.06%-6.95%-3.33%0.02%
200951.11%2.75%0.01%5.62%$10,760$13,913$8,933$8,2813.21%-3.69%10.23%0.01%
200961.59%-0.41%2.95%0.22%$10,931$13,857$9,196$8,3002.95%0.76%-5.22%0.01%
200976.38%3.27%8.44%7.58%$11,629$14,309$9,972$8,9298.44%0.58%2.38%0.02%
200981.25%0.91%1.47%3.60%$11,775$14,439$10,119$9,2501.47%2.24%0.05%0.02%
200994.92%3.75%5.65%3.72%$12,354$14,981$10,690$9,5945.65%2.46%5.84%0.01%
200910-2.09%-0.52%-3.05%-1.87%$12,095$14,902$10,364$9,414-3.05%-2.62%3.72%0.01%
2009116.09%5.67%6.35%5.98%$12,832$15,748$11,022$9,9786.35%1.21%12.79%0.00%
2009122.59%-1.57%5.20%1.95%$13,164$15,501$11,595$10,1725.20%-6.34%-7.20%0.01%
20101-4.39%-1.26%-6.47%-3.60%$12,587$15,306$10,845$9,805-6.47%2.69%-1.26%0.01%
201023.45%1.82%4.60%3.09%$13,022$15,585$11,344$10,1084.60%-0.34%3.27%0.01%
201035.08%1.24%7.71%6.01%$13,684$15,779$12,219$10,7167.71%-2.06%-0.44%0.01%
201042.49%2.87%2.24%1.58%$14,024$16,232$12,493$10,8852.24%3.32%5.88%0.01%
20105-4.43%0.15%-7.39%-8.01%$13,403$16,256$11,569$10,014-7.39%5.11%3.05%0.01%
20106-3.22%0.71%-5.98%-5.24%$12,971$16,371$10,878$9,489-5.98%5.80%2.36%0.01%
201074.14%-0.01%7.26%7.00%$13,509$16,370$11,668$10,1537.26%-0.95%-5.09%0.02%
20108-1.99%2.50%-5.13%-4.53%$13,240$16,779$11,069$9,693-5.13%8.40%5.71%0.01%
201091.49%3.44%0.01%8.92%$13,437$17,357$11,070$10,55813.17%-2.51%4.78%0.01%
2010104.13%1.31%6.34%3.79%$13,993$17,584$11,772$10,9586.34%-4.47%3.68%0.01%
201011-0.05%0.11%-0.17%0.00%$13,985$17,603$11,752$10,958-0.17%-1.69%2.11%0.01%
2010123.13%0.96%4.76%6.67%$14,423$17,772$12,311$11,6894.76%-3.68%2.44%0.01%
201111.03%-1.66%2.83%2.36%$14,573$17,478$12,659$11,9642.83%-3.08%-6.38%0.01%
201122.97%2.66%3.16%3.42%$15,005$17,944$13,059$12,3733.16%1.65%6.00%0.01%
20113-0.16%0.29%-0.45%0.03%$14,980$17,995$13,000$12,376-0.45%0.03%1.60%0.01%
201143.14%3.55%2.87%2.95%$15,450$18,633$13,374$12,7412.87%2.34%8.94%0.01%
20115-0.73%0.04%-1.22%-1.15%$15,338$18,640$13,211$12,595-1.22%3.42%-1.79%0.00%
20116-1.90%-1.72%-2.02%-1.67%$15,046$18,319$12,943$12,384-2.02%-2.33%-2.43%0.01%
201172.46%3.66%1.67%-2.05%$15,415$18,991$13,159$12,1311.67%4.42%8.42%0.00%
20118-1.28%4.42%-5.07%-5.45%$15,219$19,829$12,492$11,470-5.07%9.66%12.27%0.01%
20119-0.31%-0.75%0.00%-7.04%$15,171$19,681$12,492$10,662-4.49%13.20%-11.06%0.00%
2011101.11%2.64%0.00%10.91%$15,340$20,201$12,492$11,82610.40%-3.84%5.87%0.00%
201111-1.39%0.36%-2.69%-0.23%$15,127$20,275$12,156$11,798-2.69%1.98%1.67%0.00%
201112-1.23%-2.03%-0.62%1.02%$14,941$19,863$12,081$11,918-0.62%3.44%-10.66%0.00%
201217.00%4.87%8.42%4.46%$15,987$20,831$13,098$12,4518.42%-0.33%11.40%0.00%
201224.00%0.25%6.41%4.31%$16,626$20,884$13,938$12,9876.41%-2.59%-2.96%0.01%
201233.17%0.07%5.05%3.28%$17,153$20,899$14,642$13,4135.05%-4.23%-1.32%0.01%
20124-0.49%0.69%-1.17%-0.64%$17,069$21,044$14,471$13,327-1.17%4.83%-0.15%0.01%
20125-4.99%-1.50%-7.04%-6.02%$16,218$20,727$13,452$12,525-7.04%9.03%-6.34%0.01%
201262.65%1.10%3.62%4.11%$16,648$20,955$13,939$13,0403.62%-1.68%2.35%0.01%
201271.16%1.42%1.00%1.37%$16,841$21,253$14,078$13,2191.00%3.82%0.84%0.01%
201284.08%2.27%5.19%2.24%$17,527$21,735$14,808$13,5155.19%-1.32%4.94%0.01%
201290.85%0.78%0.89%2.58%$17,676$21,906$14,939$13,8630.89%-2.53%4.67%0.01%
201210-4.19%-2.35%-5.28%-1.86%$16,936$21,392$14,151$13,605-5.28%-0.48%-2.94%0.01%
2012111.03%0.57%1.31%0.56%$17,111$21,514$14,336$13,6811.31%1.38%-0.47%0.01%
201212-0.79%-1.34%-0.46%0.90%$16,975$21,225$14,270$13,805-0.46%-2.49%-2.43%0.01%
201311.50%-0.25%2.67%5.18%$17,230$21,172$14,651$14,5192.67%-3.19%-0.51%0.00%
20132-0.14%-0.88%0.34%1.34%$17,206$20,986$14,701$14,7140.34%1.24%-5.09%0.01%
201332.20%0.91%3.03%3.74%$17,585$21,177$15,146$15,2643.03%-0.42%0.95%0.01%
201341.57%0.02%2.54%1.91%$17,860$21,181$15,531$15,5552.54%4.68%-7.56%0.01%
201351.41%-2.12%3.58%2.33%$18,113$20,731$16,086$15,9173.58%-6.76%-6.20%0.00%
20136-2.92%-3.83%-2.39%-1.35%$17,584$19,937$15,701$15,702-2.39%-3.27%-11.06%0.00%
201375.02%2.75%6.31%5.07%$18,467$20,486$16,693$16,4986.31%-2.26%7.43%0.00%
20138-0.03%0.63%-0.40%-2.91%$18,462$20,616$16,626$16,018-0.40%-1.34%5.20%0.00%
201393.31%0.58%4.83%3.12%$19,073$20,734$17,430$16,5184.83%0.66%-4.78%0.00%
2013103.86%1.81%4.96%4.59%$19,810$21,109$18,294$17,2764.96%1.43%-0.34%0.00%
2013112.15%-0.56%3.55%3.03%$20,235$20,991$18,944$17,7993.55%-2.70%-5.51%0.00%
2013121.90%-0.15%2.92%2.51%$20,621$20,959$19,498$18,2462.92%-1.87%-3.79%0.01%
20141-0.37%1.95%-1.92%-3.47%$20,544$21,368$19,123$17,613-1.92%6.30%3.42%0.01%
201424.26%2.96%5.15%4.56%$21,418$22,002$20,108$18,4175.15%0.52%6.27%0.00%
20143-2.15%-1.31%-2.73%0.82%$20,957$21,715$19,559$18,568-2.73%0.73%-3.14%0.00%
201440.05%0.60%-0.32%0.72%$20,968$21,844$19,496$18,703-0.32%2.10%0.49%0.00%
201453.09%1.07%4.49%2.33%$21,615$22,078$20,371$19,1394.49%2.95%-3.05%0.00%
201462.78%2.26%3.12%2.05%$22,215$22,577$21,007$19,5323.12%-0.25%6.32%0.00%
201470.53%-0.46%1.18%-1.39%$22,332$22,474$21,255$19,2611.18%0.67%-3.63%0.00%
201484.06%2.62%5.01%3.98%$23,239$23,062$22,320$20,0285.01%4.72%0.38%0.00%
20149-1.34%-2.26%-0.76%-1.41%$22,927$22,541$22,151$19,745-0.76%-2.11%-6.18%0.00%
2014101.91%0.75%2.64%2.42%$23,365$22,709$22,736$20,2232.64%2.81%-3.05%0.00%
2014113.55%1.93%4.55%2.68%$24,193$23,149$23,770$20,7664.55%2.97%-0.49%0.00%
201412-1.18%0.58%-2.24%-0.26%$23,908$23,282$23,237$20,711-2.24%3.25%1.31%0.00%
201510.39%4.11%-2.08%-3.02%$24,002$24,238$22,753$20,086-2.08%9.82%8.69%0.00%
201523.62%-1.46%7.22%5.74%$24,870$23,884$24,396$21,2397.22%-6.14%-5.91%0.00%
20153-1.77%-0.86%-2.36%-1.59%$24,430$23,677$23,820$20,900-2.36%1.10%-2.15%0.00%
201540.98%-0.43%1.92%0.95%$24,671$23,574$24,278$21,0991.92%-3.43%-0.17%0.00%
201551.42%0.13%2.25%1.27%$25,020$23,605$24,824$21,3672.25%-2.37%0.56%0.00%
20156-2.30%-2.02%-2.48%-1.93%$24,444$23,129$24,208$20,954-2.48%-4.07%-1.52%0.00%
201573.03%0.63%4.56%2.08%$25,185$23,274$25,311$21,3904.56%4.55%-6.62%0.00%
20158-4.68%-1.17%-6.82%-6.04%$24,006$23,001$23,584$20,098-6.82%-0.69%3.71%0.01%
20159-1.54%-0.51%-2.20%-2.49%$23,637$22,883$23,064$19,597-2.20%1.97%-1.80%0.01%
2015101.32%3.31%0.00%8.42%$23,948$23,641$23,064$21,24811.37%-0.41%2.28%0.00%
201511-0.30%-1.64%0.61%0.29%$23,875$23,252$23,205$21,3090.61%-0.87%-6.75%0.01%
201512-1.20%-0.61%-1.59%-1.59%$23,589$23,109$22,836$20,970-1.59%-0.30%-0.45%0.02%
20161-3.74%1.02%-6.91%-4.98%$22,708$23,346$21,258$19,926-6.91%5.57%5.41%0.01%
201621.40%3.30%0.03%-0.15%$23,026$24,117$21,263$19,897-1.57%3.09%10.93%0.03%
201630.55%1.25%0.03%6.78%$23,153$24,419$21,269$21,2456.85%-0.09%-0.84%0.03%
201640.22%0.48%0.02%0.37%$23,203$24,535$21,273$21,325-3.19%-0.74%5.11%0.02%
201652.23%-0.58%4.37%1.78%$23,721$24,394$22,203$21,7054.37%0.81%-6.14%0.02%
201660.23%3.69%-2.27%0.25%$23,776$25,294$21,698$21,759-2.27%6.93%8.97%0.03%
201675.22%2.71%7.15%3.68%$25,017$25,979$23,249$22,5597.15%2.10%1.98%0.02%
201680.21%-0.94%1.05%0.13%$25,068$25,734$23,493$22,5881.05%-1.01%-3.26%0.02%
201691.42%0.32%2.21%0.01%$25,424$25,816$24,013$22,5902.21%-1.51%0.69%0.03%
201610-1.80%-2.30%-1.46%-1.83%$24,965$25,224$23,663$22,176-1.46%-4.38%-2.94%0.02%
201611-1.51%-4.27%0.44%3.70%$24,589$24,146$23,767$22,9960.44%-8.21%-8.36%0.03%
2016120.55%-0.32%1.13%1.96%$24,725$24,069$24,036$23,4481.13%-0.46%-1.91%0.04%
201714.23%2.85%5.14%1.88%$25,770$24,756$25,271$23,8895.14%0.81%5.42%0.04%
201723.57%2.33%4.38%3.96%$26,689$25,334$26,377$24,8364.38%1.59%3.18%0.04%
201731.34%0.27%2.03%0.10%$27,047$25,402$26,912$24,8612.03%-0.65%-0.43%0.04%
201742.28%1.56%2.73%1.02%$27,663$25,798$27,646$25,1142.73%1.57%1.73%0.06%
201752.97%1.48%3.90%1.39%$28,485$26,181$28,723$25,4643.90%1.89%-0.12%0.07%
20176-1.81%-0.97%-2.32%0.61%$27,970$25,927$28,058$25,619-2.32%0.79%-2.16%0.08%
201773.10%1.54%4.06%2.04%$28,837$26,325$29,197$26,1434.06%-0.66%2.31%0.08%
201782.22%2.47%2.07%0.29%$29,479$26,976$29,802$26,2192.07%3.41%4.20%0.09%
20179-0.74%-1.49%-0.29%2.06%$29,259$26,574$29,715$26,759-0.29%-2.32%-3.37%0.08%
2017103.30%1.11%4.61%2.32%$30,225$26,870$31,083$27,3804.61%-0.04%-0.75%0.09%
2017111.56%0.86%1.97%3.06%$30,698$27,100$31,696$28,2171.97%0.74%0.36%0.09%
2017120.80%1.15%0.60%1.10%$30,943$27,411$31,887$28,5280.60%1.81%2.11%0.10%
201816.14%2.21%8.76%5.71%$32,843$28,017$34,679$30,1588.76%-3.26%3.23%0.11%
20182-1.39%-1.56%-1.29%-3.69%$32,385$27,581$34,231$29,044-1.29%-3.04%-2.08%0.12%
20183-2.60%-0.23%-4.08%-2.56%$31,544$27,518$32,836$28,301-4.08%2.86%0.63%0.14%
201840.08%-0.58%0.51%0.37%$31,569$27,359$33,002$28,4070.51%-2.09%-0.95%0.14%
201854.11%1.68%5.67%2.39%$32,867$27,819$34,874$29,0875.67%2.01%-1.20%0.15%
201860.56%-0.39%1.15%0.61%$33,051$27,712$35,273$29,2631.15%0.65%-3.61%0.16%
201871.71%-0.07%2.80%3.71%$33,617$27,692$36,260$30,3492.80%-1.44%-2.24%0.16%
201884.18%1.48%5.78%3.25%$35,022$28,103$38,356$31,3345.78%1.31%-2.14%0.17%
20189-0.49%-0.86%-0.28%0.55%$34,850$27,860$38,248$31,508-0.28%-2.86%-0.66%0.17%
201810-6.47%-2.69%-8.60%-6.85%$32,597$27,109$34,960$29,350-8.60%-2.93%2.12%0.18%
2018110.01%0.47%-0.26%2.03%$32,600$27,236$34,867$29,944-0.26%1.79%0.34%0.19%
2018120.20%0.20%0.19%-9.04%$32,664$27,290$34,935$27,237-8.65%5.85%4.94%0.19%
201911.37%3.12%0.20%8.00%$33,111$28,142$35,005$29,4179.01%0.38%2.89%0.20%
201920.26%0.35%0.20%3.20%$33,197$28,241$35,074$30,3592.99%-1.38%-0.61%0.20%
201930.95%2.05%0.20%1.94%$33,514$28,820$35,145$30,9463.92%5.57%-1.60%0.20%
201943.61%0.92%5.50%4.04%$34,724$29,084$37,077$32,1975.50%-1.99%-0.66%0.20%
20195-5.04%-0.27%-8.23%-6.36%$32,976$29,005$34,028$30,148-8.23%6.84%1.76%0.20%
201966.17%4.22%7.59%7.03%$35,011$30,229$36,610$32,2687.59%0.95%8.00%0.19%
201971.68%0.75%2.33%1.43%$35,598$30,455$37,465$32,7282.33%0.26%0.01%0.17%
201980.60%4.20%-1.90%-1.59%$35,811$31,733$36,754$32,207-1.90%11.04%7.91%0.17%
20199-0.02%-1.30%0.92%1.86%$35,803$31,321$37,091$32,8060.92%-2.68%-3.39%0.16%
2019103.20%1.56%4.38%2.15%$36,948$31,809$38,715$33,5134.38%-1.11%2.56%0.15%
2019112.49%0.24%4.07%3.62%$37,868$31,885$40,291$34,7264.07%-0.41%-3.21%0.13%
2019122.81%1.22%3.89%3.01%$38,933$32,275$41,857$35,7703.89%-3.20%3.66%0.13%
202013.36%3.84%3.04%-0.05%$40,241$33,514$43,128$35,7523.04%7.69%4.50%0.13%
20202-3.59%0.09%-6.06%-8.24%$38,797$33,543$40,516$32,806-6.06%6.63%-0.64%0.13%
20203-4.23%0.03%-7.29%-12.37%$37,155$33,555$37,564$28,747-7.29%6.38%-0.22%0.10%
202042.36%5.40%0.01%12.81%$38,031$35,367$37,567$32,43114.97%1.22%7.26%0.01%
202054.41%1.71%6.60%4.76%$39,708$35,973$40,047$33,9736.60%-1.76%2.59%0.01%
202064.56%2.35%6.28%1.98%$41,519$36,817$42,564$34,6456.28%0.34%2.74%0.01%
202076.70%5.84%7.35%5.63%$44,302$38,966$45,691$36,5947.35%4.44%10.79%0.01%
Portfolio return and risk metrics
MetricCore-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.84%0.75%0.89%0.79%
Arithmetic Mean (annualized)10.51%9.38%11.23%9.84%
Geometric Mean (monthly)0.80%0.73%0.82%0.70%
Geometric Mean (annualized)10.02%9.12%10.24%8.68%
Volatility (monthly)2.73%2.02%3.88%4.20%
Volatility (annualized)9.47%6.98%13.43%14.55%
Downside Deviation (monthly)1.59%1.02%2.44%2.89%
Max. Drawdown-19.32%-11.82%-25.39%-50.97%
US Market Correlation0.680.440.641.00
Beta(*)0.440.210.601.00
Alpha (annualized)5.84%6.99%5.08%0.00%
R246.66%19.79%41.55%100.00%
Sharpe Ratio0.921.100.700.56
Sortino Ratio1.542.101.090.80
Treynor Ratio (%)19.6936.1615.818.14
Calmar Ratio2.013.951.250.60
Active Return1.34%0.44%1.56%N/A
Tracking Error10.64%13.04%11.84%N/A
Information Ratio0.130.030.13N/A
Skewness-0.29-0.03-0.46-0.74
Excess Kurtosis0.061.450.352.01
Historical Value-at-Risk (5%)-4.42%-2.12%-6.88%-7.67%
Analytical Value-at-Risk (5%)-3.66%-2.57%-5.49%-6.12%
Conditional Value-at-Risk (5%)-5.34%-3.35%-8.24%-10.10%
Upside Capture Ratio (%)67.0436.1387.81100.00
Downside Capture Ratio (%)46.713.0775.00100.00
Safe Withdrawal Rate9.51%10.43%8.65%8.48%
Perpetual Withdrawal Rate7.60%6.80%7.79%6.41%
Positive Periods122 out of 187 (65.24%)122 out of 187 (65.24%)125 out of 187 (66.84%)127 out of 187 (67.91%)
Gain/Loss Ratio1.161.440.920.76
* 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 PeriodStartEndCore-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-19.32%-11.82%-25.39%-50.97%

Drawdowns for Core-Satellite Portfolio

Drawdowns for Core-Satellite Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearNov 20091 year 1 month2 years 1 month-19.32%
2Aug 2015Jan 20166 monthsSep 20168 months1 year 2 months-9.84%
3Jan 2005Jun 20056 monthsJan 20067 months1 year 1 month-8.66%
4Feb 2020Mar 20202 monthsJun 20203 months5 months-7.67%
5May 2010Jun 20102 monthsDec 20106 months8 months-7.51%
6Sep 2018Oct 20182 monthsJul 20199 months11 months-6.93%
7May 2006Jun 20062 monthsNov 20065 months7 months-5.61%
8Apr 2012May 20122 monthsAug 20123 months5 months-5.45%
9Jan 2010Jan 20101 monthMar 20102 months3 months-4.39%
10Oct 2012Oct 20121 monthApr 20136 months7 months-4.19%
Worst 10 drawdowns included above

Drawdowns for Core Portfolio

Drawdowns for Core Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Oct 20085 monthsMay 20097 months1 year-11.82%
2Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-8.99%
3Aug 2016Dec 20165 monthsMay 20175 months10 months-7.35%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-5.59%
5Sep 2018Oct 20182 monthsJan 20193 months5 months-3.53%
6May 2006Jun 20062 monthsOct 20064 months6 months-3.14%
7Dec 2009Jan 20102 monthsMar 20102 months4 months-2.80%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-2.35%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.26%
10Jan 2005Mar 20053 monthsMay 20052 months5 months-2.11%
Worst 10 drawdowns included above

Drawdowns for Satellite Portfolio

Drawdowns for Satellite Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Jun 20088 monthsMar 20101 year 9 months2 years 5 months-25.39%
2Aug 2015Jan 20166 monthsFeb 20171 year 1 month1 year 7 months-16.01%
3Jan 2005Jun 20056 monthsMay 20071 year 11 months2 years 5 months-15.09%
4May 2010Jun 20102 monthsJan 20117 months9 months-12.93%
5Feb 2020Mar 20202 monthsJul 20204 months6 months-12.90%
6Sep 2018May 20199 monthsOct 20195 months1 year 2 months-11.28%
7May 2011Dec 20118 monthsFeb 20122 months10 months-9.67%
8Apr 2012May 20122 monthsAug 20123 months5 months-8.13%
9Feb 2018Mar 20182 monthsMay 20182 months4 months-5.32%
10Oct 2012Oct 20121 monthMar 20135 months6 months-5.28%
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%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodCore-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year9.98%25.15%-11.59%8.32%18.27%-1.25%11.08%36.63%-19.10%10.35%32.18%-37.02%
3 years9.91%16.96%2.38%7.90%13.55%2.88%10.99%24.36%-1.54%8.58%20.22%-8.44%
5 years9.89%14.14%5.65%7.67%11.12%3.92%11.04%17.45%3.00%9.03%17.81%-0.33%
7 years10.23%12.59%5.90%7.63%10.30%4.64%11.59%16.62%2.74%9.75%14.67%2.54%
10 years10.10%11.86%9.05%7.72%8.82%7.24%11.27%14.62%8.80%9.38%13.40%6.82%
15 years9.49%9.49%9.49%8.12%8.12%8.12%10.01%10.01%10.01%8.87%8.87%8.87%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsTiming AssetsCore-Satellite Allocation*Core-Satellite PortfolioCore PortfolioSatellite PortfolioVanguard 500 Index Investor
1Jan 2005Apr 20054100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
-8.13%-1.76%-12.37%-4.04%
2May 2005May 20051100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
0.95%1.89%0.24%3.17%
3Jun 2005Jun 200613100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
5.60%10.50%2.29%8.63%
4Jul 2006Oct 20064100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
2.68%4.13%1.65%9.06%
5Nov 2006Jan 200815100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
11.37%18.57%6.43%2.32%
6Feb 2008May 20084100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
0.50%0.44%0.54%2.30%
7Jun 2008Jul 20082100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
-5.47%-0.76%-9.03%-9.20%
8Aug 2008May 200910100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
1.13%2.21%0.47%-25.71%
9Jun 2009Aug 201015100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
23.05%20.60%23.92%17.05%
10Sep 2010Sep 20101100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
1.49%3.44%0.01%8.92%
11Oct 2010Aug 201111100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
13.26%14.24%12.84%8.64%
12Sep 2011Oct 20112100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
0.80%1.88%0.00%3.10%
13Nov 2011Sep 201547100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
54.09%13.27%84.62%65.71%
14Oct 2015Oct 20151100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
1.32%3.31%0.00%8.42%
15Nov 2015Jan 20163100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
-5.18%-1.25%-7.83%-6.22%
16Feb 2016Apr 20163100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
2.18%5.10%0.07%7.02%
17May 2016Nov 201831100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
40.50%11.01%63.90%40.42%
18Dec 2018Mar 20194100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
2.80%5.82%0.80%3.35%
19Apr 2019Mar 202012100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
10.86%16.43%6.88%-7.11%
20Apr 2020Apr 20201100.00% Cash (CASHX)10.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
70.00% Cash (CASHX)
2.36%5.40%0.01%12.81%
21May 2020Jul 20203100.00% Invesco QQQ Trust (QQQ)70.00% Invesco QQQ Trust (QQQ)
10.00% iShares 20+ Year Treasury Bond ETF (TLT)
10.00% SPDR Gold Shares (GLD)
10.00% Cash (CASHX)
16.49%10.18%21.62%12.84%
22Aug 2020Aug 20201Please sign-in for forward signalsPlease sign-in for forward signals----
* The core portfolio allocation in the combined core-satellite allocation will drift between rebalancing points.