Test Market Timing Models

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

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

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
Length
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Weight
Time Period #1
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Time Period #2
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Time Period #3
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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Total
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Market Timing Results (Jan 2007 - Dec 2016)

Market timing results from 2007 to 2016 are based on relative strength model holding the best performing asset. The model uses a single performance window of 5 calendar month(s). Timing model trades are executed using the end of month close price each month based on the end of month signals.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Timing Portfolio$10,000$24,2539.26%19.33%45.50%-15.82%-29.91% 0.520.890.20
Equal Weight Portfolio$10,000$15,9394.77%11.90%22.20%-20.73%-34.80% 0.400.560.87
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Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • An equal-weight allocation is used for the assets held by the momentum model
  • The equal-weight buy-and-hold benchmark portfolio assumes annual rebalancing
  • The results for the timing portfolio assume monthly rebalancing trades
  • The relative strength signal is based on total return including dividends
  • Additional trading costs and taxes for timing models are not reflected in the results
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • Refer to the FAQ regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceiShares 1-3 Year Treasury Bond ETF (SHY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Dow Jones REIT ETF (RWR)iShares Russell 2000 ETF (IWM)iShares Russell 1000 ETF (IWB)SPDR Gold Shares (GLD)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Invesco DB Commodity Index Tracking Fund (DBC)
Timing PortfolioEqual Weight PortfolioTiming PortfolioEqual Weight Portfolio
20074.08%45.50%12.07%$14,550$11,2077.35%10.29%-17.84%-1.78%5.32%30.45%9.94%33.31%31.59%
20080.09%43.51%-20.73%$20,881$8,8846.62%33.93%-38.83%-34.13%-37.40%4.92%-41.04%-48.88%-31.77%
20092.72%25.90%22.20%$26,289$10,8560.35%-21.80%28.32%28.51%28.35%24.03%26.95%68.93%16.19%
20101.50%-15.82%16.46%$22,129$12,6432.28%9.05%27.96%26.93%16.06%29.27%8.15%16.51%11.90%
20112.96%13.63%1.90%$25,144$12,8831.44%33.96%8.97%-4.44%1.23%9.57%-12.25%-18.82%-2.58%
20121.74%-1.52%11.22%$24,763$14,3280.28%2.63%16.87%16.70%16.50%6.60%18.82%19.10%3.50%
20131.50%15.91%4.56%$28,702$14,9810.21%-13.37%0.93%38.69%32.78%-28.33%21.40%-3.69%-7.63%
20140.76%6.70%4.14%$30,624$15,6010.45%27.30%31.82%5.03%13.08%-2.19%-6.20%-3.93%-28.10%
20150.73%-8.32%-6.26%$28,076$14,6240.43%-1.79%4.12%-4.47%0.79%-10.67%-1.00%-16.18%-27.59%
20162.07%-13.62%8.99%$24,253$15,9390.82%1.18%6.41%21.60%12.03%8.03%1.37%10.87%18.56%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceiShares 1-3 Year Treasury Bond ETF (SHY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Dow Jones REIT ETF (RWR)iShares Russell 2000 ETF (IWM)iShares Russell 1000 ETF (IWB)SPDR Gold Shares (GLD)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Invesco DB Commodity Index Tracking Fund (DBC)
Timing PortfolioEqual Weight PortfolioTiming PortfolioEqual Weight Portfolio
200710.11%1.48%$10,011$10,1480.16%-1.00%8.90%1.69%1.87%2.56%1.39%0.11%-2.40%
20072-2.38%0.36%$9,773$10,1850.73%3.39%-2.38%-0.66%-1.67%2.55%-0.12%-3.24%5.09%
200735.33%0.61%$10,294$10,2470.45%-1.70%-2.54%0.98%1.00%-1.11%2.90%5.33%0.67%
200743.73%1.92%$10,678$10,4440.31%0.90%-0.08%1.62%4.25%2.05%3.75%3.73%0.75%
200755.06%1.18%$11,218$10,567-0.07%-2.31%-0.03%4.37%3.59%-2.31%2.36%5.06%-0.23%
200763.68%-1.15%$11,631$10,4450.48%-1.01%-9.01%-1.44%-1.90%-1.94%-0.32%3.68%0.74%
200770.71%-1.25%$11,714$10,3150.90%3.32%-8.21%-7.00%-3.19%2.37%-2.29%0.71%1.91%
200781.04%1.16%$11,836$10,4341.05%1.79%5.65%2.13%1.16%1.11%-0.63%1.04%-1.91%
2007911.57%5.45%$13,206$11,0030.55%0.23%4.32%1.90%4.08%10.51%5.32%11.57%9.42%
20071011.87%4.65%$14,773$11,5150.48%1.81%0.92%2.85%1.60%6.95%4.25%11.87%8.50%
200711-7.65%-3.08%$13,643$11,1601.79%5.35%-9.64%-6.89%-4.09%-1.65%-3.62%-7.65%-0.62%
2007126.65%0.42%$14,550$11,2070.30%-0.64%-5.44%-0.64%-1.07%6.65%-2.99%-1.43%6.72%
2008110.84%-1.39%$16,127$11,0511.65%2.10%-0.84%-6.53%-5.87%10.84%-7.85%-8.92%2.92%
200825.23%1.11%$16,971$11,1741.03%-0.46%-3.48%-2.93%-2.84%5.23%-1.02%1.99%11.15%
20083-0.91%-0.39%$16,816$11,1300.25%2.14%6.72%-0.67%-0.69%-6.00%0.42%-3.75%-0.91%
200846.04%3.05%$17,831$11,469-0.84%-2.48%6.48%4.55%4.96%-4.16%5.44%9.14%6.04%
200856.91%1.74%$19,063$11,669-0.35%-2.69%-0.30%4.58%1.72%0.92%1.19%3.16%6.91%
2008610.43%-2.57%$21,051$11,3690.24%2.65%-10.82%-7.53%-8.31%4.52%-8.80%-9.29%10.43%
20087-9.78%-1.98%$18,992$11,1440.43%-0.37%2.92%3.68%-0.94%-1.44%-3.32%-5.50%-9.78%
20088-6.53%-1.98%$17,751$10,9240.47%2.74%2.08%3.58%1.38%-9.29%-4.25%-6.32%-6.53%
20089-7.75%-4.98%$16,376$10,3800.78%1.47%-0.57%-7.75%-9.34%4.11%-11.44%-14.68%-10.25%
200810-1.86%-16.99%$16,070$8,6171.10%-1.86%-31.24%-20.96%-17.13%-16.14%-20.83%-25.58%-25.08%
20081114.34%-3.26%$18,375$8,3351.10%14.34%-23.93%-11.93%-8.37%12.57%-6.37%-9.75%-12.37%
20081213.64%6.58%$20,881$8,8840.56%13.64%15.77%4.82%1.84%7.73%8.88%10.35%-3.22%
20091-13.07%-7.88%$18,152$8,184-0.44%-13.07%-17.86%-9.67%-7.94%5.54%-13.73%-9.29%-4.44%
20092-1.54%-7.04%$17,873$7,608-0.15%-1.54%-21.81%-11.98%-10.45%1.45%-10.39%-6.27%-5.63%
200934.04%5.37%$18,595$8,0160.50%4.04%3.42%7.77%8.17%-2.54%8.39%16.86%4.66%
20094-3.33%7.24%$17,975$8,597-0.17%-6.95%31.64%15.39%10.54%-3.33%11.52%15.56%-0.10%
2009515.94%7.59%$20,841$9,2490.06%-3.69%4.15%3.40%5.88%10.23%13.19%15.94%16.27%
20096-2.25%-1.60%$20,371$9,101-0.09%0.76%-4.69%1.81%0.08%-5.22%-1.43%-2.25%-2.63%
2009711.01%6.12%$22,614$9,6570.11%0.58%10.52%9.18%7.52%2.38%10.04%11.01%1.86%
20098-1.31%2.33%$22,317$9,8820.41%2.24%14.72%2.93%3.69%0.05%4.50%-1.31%-4.04%
200996.84%4.59%$23,844$10,3360.24%2.46%6.84%5.56%3.90%5.84%3.80%10.20%-0.23%
200910-3.44%-1.44%$23,023$10,1870.14%-2.62%-4.41%-6.49%-2.22%3.72%-2.52%-3.44%6.94%
2009116.82%5.51%$24,594$10,7480.60%1.21%6.82%3.12%5.98%12.79%3.92%7.85%4.54%
2009126.89%1.00%$26,289$10,856-0.84%-6.34%6.89%7.92%2.35%-7.20%0.70%3.27%-0.16%
20101-5.87%-3.52%$24,745$10,4740.80%2.69%-5.87%-3.73%-3.62%-1.26%-5.07%-7.76%-7.84%
201023.27%2.48%$25,555$10,7340.16%-0.34%5.68%4.48%3.27%3.27%0.27%1.78%4.14%
20103-0.44%3.98%$25,443$11,161-0.27%-2.06%10.47%8.23%6.30%-0.44%6.39%8.11%-0.47%
201046.86%2.81%$27,190$11,4750.30%3.32%6.86%5.68%1.83%5.88%-2.80%-0.17%3.91%
20105-5.41%-4.75%$25,718$10,9300.45%5.11%-5.41%-7.54%-7.96%3.05%-11.19%-9.39%-10.15%
20106-5.34%-1.67%$24,346$10,7470.42%5.80%-5.34%-7.74%-5.65%2.36%-2.07%-1.40%-1.78%
20107-5.09%4.73%$23,107$11,2560.19%-0.95%9.92%6.73%7.02%-5.09%11.61%10.93%6.12%
20108-1.27%-0.80%$22,814$11,1660.24%8.40%-1.27%-7.44%-4.44%5.71%-3.80%-3.24%-3.01%
20109-2.51%6.12%$22,241$11,8500.12%-2.51%4.43%12.45%9.14%4.78%9.97%11.76%8.60%
201010-4.47%2.49%$21,247$12,1450.22%-4.47%4.39%4.15%3.86%3.68%3.81%3.02%4.44%
201011-2.91%-0.63%$20,630$12,069-0.20%-1.69%-1.77%3.49%0.20%2.11%-4.82%-2.91%-0.44%
2010127.27%4.76%$22,129$12,643-0.16%-3.68%4.71%8.03%6.81%2.44%8.30%7.27%9.89%
20111-0.37%-0.25%$22,047$12,6120.13%-3.08%3.36%-0.37%2.32%-6.38%2.10%-3.84%3.56%
201125.54%3.23%$23,268$13,020-0.12%1.65%4.76%5.54%3.53%6.00%3.55%-0.04%4.17%
201132.66%0.97%$23,887$13,146-0.13%0.03%-1.60%2.52%0.22%1.60%-2.39%6.29%2.66%
201144.56%4.04%$24,975$13,6780.53%2.34%5.96%2.64%2.95%8.94%5.63%2.73%4.56%
20115-5.17%-1.15%$23,683$13,5210.36%3.42%1.45%-1.79%-1.09%-1.79%-2.21%-2.94%-5.17%
20116-3.33%-2.11%$22,895$13,236-0.00%-2.33%-3.33%-2.40%-1.77%-2.43%-1.19%-0.93%-4.26%
201178.42%1.16%$24,822$13,3890.29%4.42%1.71%-3.41%-2.12%8.42%-2.38%-1.03%4.56%
2011812.27%-1.61%$27,869$13,1740.34%9.66%-5.40%-8.89%-5.83%12.27%-8.75%-9.25%-0.40%
20119-11.06%-7.53%$24,786$12,182-0.10%13.20%-11.12%-11.15%-7.31%-11.06%-10.81%-17.89%-14.62%
201110-3.84%7.52%$23,835$13,0980.03%-3.84%14.53%15.10%10.97%5.87%9.63%16.27%7.65%
2011111.98%-0.47%$24,307$13,0350.04%1.98%-3.96%-0.38%-0.36%1.67%-2.18%-1.96%-0.29%
2011123.44%-1.17%$25,144$12,8830.05%3.44%4.64%0.51%0.91%-10.66%-2.21%-4.30%-2.89%
20121-0.33%5.50%$25,061$13,5910.08%-0.33%6.35%7.15%4.90%11.40%5.27%10.99%3.69%
20122-2.59%1.75%$24,411$13,828-0.14%-2.59%-1.07%2.57%4.29%-2.96%4.83%5.27%5.35%
20123-3.11%0.09%$23,651$13,841-0.08%-4.23%5.18%2.48%3.15%-1.32%0.42%-3.11%-1.77%
20124-0.56%-0.03%$23,518$13,8380.20%4.83%3.04%-1.62%-0.56%-0.15%-2.08%-1.70%-1.35%
20125-4.59%-5.49%$22,438$13,0780.06%9.03%-4.59%-6.58%-6.10%-6.34%-11.14%-10.71%-11.16%
201265.50%3.23%$23,672$13,501-0.10%-1.68%5.50%5.05%3.84%2.35%7.11%5.08%2.02%
201271.88%1.31%$24,117$13,6770.22%3.82%1.88%-1.52%1.01%0.84%0.08%-0.03%5.83%
20128-1.32%2.02%$23,800$13,9530.01%-1.32%-0.28%3.54%2.46%4.94%3.20%0.41%5.65%
20129-2.53%1.49%$23,197$14,1610.02%-2.53%-2.03%3.26%2.62%4.67%2.71%5.22%-0.38%
201210-0.48%-1.31%$23,084$13,976-0.07%-0.48%-0.89%-2.17%-1.77%-2.94%1.09%-0.44%-3.91%
2012112.78%0.91%$23,726$14,1030.05%1.38%-0.48%0.55%0.88%-0.47%2.78%1.56%1.96%
2012124.37%1.60%$24,763$14,3280.02%-2.49%3.71%3.62%1.18%-2.43%4.37%6.80%-1.14%
201313.73%1.92%$25,686$14,6030.01%-3.19%3.43%6.24%5.37%-0.51%3.73%-0.29%2.48%
20132-1.29%-1.01%$25,355$14,4570.06%1.24%0.81%1.00%1.06%-5.09%-1.29%-2.28%-4.71%
201331.31%1.48%$25,686$14,6700.03%-0.42%2.58%4.66%3.95%0.95%1.31%-1.02%0.66%
20134-0.35%0.98%$25,597$14,8140.07%4.68%6.78%-0.35%1.90%-7.56%5.02%1.22%-3.81%
20135-5.96%-2.41%$24,071$14,457-0.13%-6.76%-5.96%3.93%1.74%-6.20%-3.02%-4.83%-1.56%
20136-0.82%-2.89%$23,874$14,039-0.10%-3.27%-1.71%-0.82%-0.54%-11.06%-2.70%-5.35%-2.82%
201377.33%3.16%$25,625$14,4830.16%-2.26%0.72%7.33%4.88%7.43%5.32%1.32%3.18%
20138-3.16%-1.49%$24,814$14,267-0.10%-1.34%-6.93%-3.16%-2.77%5.20%-1.96%-2.54%2.82%
201396.49%2.61%$26,424$14,6400.22%0.66%3.28%6.49%3.62%-4.78%7.82%7.21%-3.38%
2013102.42%2.30%$27,064$14,9760.07%1.43%4.04%2.42%4.35%-0.34%3.26%4.17%-0.04%
2013113.96%-0.47%$28,135$14,9050.09%-2.70%-5.52%3.96%2.73%-5.51%0.55%-0.26%-0.93%
2013122.02%0.51%$28,702$14,981-0.18%-1.87%0.46%2.02%2.70%-3.79%2.16%-0.42%0.59%
20141-5.20%-1.01%$27,209$14,8300.20%6.30%3.89%-2.77%-3.24%3.42%-5.20%-8.64%-3.04%
201424.78%3.99%$28,509$15,4220.04%0.52%5.23%4.78%4.81%6.27%6.13%3.38%5.02%
201430.55%0.11%$28,666$15,439-0.11%0.73%0.79%-0.75%0.55%-3.14%-0.46%3.88%-0.04%
201440.46%0.78%$28,797$15,5600.11%2.10%3.72%-3.75%0.46%0.49%1.67%0.78%1.11%
201452.45%0.97%$29,502$15,7110.18%2.95%2.45%0.79%2.27%-3.05%1.60%2.95%-1.44%
201460.91%2.16%$29,769$16,050-0.08%-0.25%0.91%5.27%2.29%6.32%0.92%2.40%2.11%
201471.36%-1.80%$30,176$15,761-0.08%0.67%0.14%-6.05%-1.62%-3.63%-2.60%1.36%-4.74%
201482.83%2.14%$31,030$16,0990.19%4.72%2.78%4.83%4.07%0.38%0.18%2.83%-1.15%
20149-7.77%-4.51%$28,619$15,373-0.07%-2.11%-5.82%-5.93%-1.72%-6.18%-3.88%-7.77%-7.23%
2014102.81%2.08%$29,425$15,6920.26%2.81%10.60%6.59%2.39%-3.05%-0.27%1.42%-3.88%
2014112.15%0.01%$30,058$15,6940.11%2.97%2.15%0.11%2.71%-0.49%0.06%-1.54%-8.51%
2014121.88%-0.59%$30,624$15,601-0.29%3.25%1.88%2.89%-0.29%1.31%-4.00%-3.99%-9.65%
201519.82%1.55%$33,630$15,8430.63%9.82%6.56%-3.28%-2.69%8.69%0.62%-0.69%-5.69%
20152-6.14%0.97%$31,566$15,997-0.29%-6.14%-3.67%5.95%5.66%-5.91%6.34%4.41%4.43%
201531.86%-0.81%$32,152$15,8670.25%1.10%1.86%1.78%-1.30%-2.15%-1.43%-1.50%-6.05%
20154-3.43%0.63%$31,050$15,9670.03%-3.43%-5.89%-2.56%0.81%-0.17%3.65%6.85%7.15%
201550.20%-0.61%$31,111$15,8690.04%-2.37%-0.03%2.24%1.28%0.56%0.20%-4.10%-3.17%
20156-3.12%-1.73%$30,141$15,5930.03%-4.07%-4.40%0.78%-1.89%-1.52%-3.12%-2.93%1.64%
20157-1.10%-1.38%$29,809$15,3790.04%4.55%5.91%-1.10%1.96%-6.62%2.03%-6.31%-12.61%
20158-7.43%-3.68%$27,596$14,813-0.05%-0.69%-5.91%-6.31%-6.02%3.71%-7.43%-8.84%-0.25%
201590.30%-1.63%$27,677$14,5720.30%1.97%3.39%-4.93%-2.81%-1.80%-4.42%-3.13%-3.44%
201510-0.14%3.81%$27,638$15,127-0.14%-0.41%5.79%5.62%8.11%2.28%6.61%6.38%0.33%
201511-0.61%-1.51%$27,468$14,899-0.26%-0.87%-0.61%3.26%0.41%-6.75%-0.75%-2.52%-6.64%
2015122.21%-1.84%$28,076$14,624-0.15%-0.30%2.21%-5.03%-1.92%-0.45%-2.34%-3.83%-5.85%
20161-4.06%-2.37%$26,936$14,2780.65%5.57%-4.06%-8.58%-5.44%5.41%-5.52%-5.03%-4.34%
20162-0.85%1.11%$26,707$14,4360.11%3.09%-0.85%-0.22%0.00%10.93%-3.33%-0.82%-0.23%
20163-0.84%5.08%$26,481$15,1690.14%-0.09%10.37%8.02%6.99%-0.84%6.58%12.96%4.24%
201645.11%1.77%$27,834$15,4370.04%-0.74%-2.96%1.67%0.53%5.11%2.22%0.41%9.71%
20165-6.14%-0.40%$26,126$15,374-0.12%0.81%1.98%2.24%1.67%-6.14%-0.09%-3.69%0.89%
201668.97%3.43%$28,469$15,9020.60%6.93%6.46%-0.02%0.27%8.97%-2.42%4.56%4.35%
20167-6.97%2.18%$26,485$16,248-0.05%2.10%4.38%5.87%3.79%1.98%3.98%5.38%-6.97%
20168-3.44%-0.51%$25,574$16,164-0.23%-1.01%-3.44%1.78%0.11%-3.26%0.53%0.88%0.77%
201691.08%0.71%$25,849$16,2800.13%-1.51%-2.06%1.08%0.11%0.69%1.34%2.52%4.31%
201610-4.60%-2.58%$24,661$15,860-0.05%-4.38%-5.66%-4.60%-1.98%-2.94%-2.22%-0.83%-0.33%
201611-4.42%-1.03%$23,572$15,697-0.47%-8.21%-1.35%11.06%4.04%-8.36%-1.78%-4.42%1.67%
2016122.89%1.54%$24,253$15,9390.07%-0.46%4.73%2.89%1.87%-1.91%2.71%-0.25%4.14%
Portfolio return and risk metrics
MetricTiming PortfolioEqual Weight Portfolio
Arithmetic Mean (monthly)0.89%0.45%
Arithmetic Mean (annualized)11.26%5.53%
Geometric Mean (monthly)0.74%0.39%
Geometric Mean (annualized)9.26%4.77%
Volatility (monthly)5.58%3.44%
Volatility (annualized)19.33%11.90%
Downside Deviation (monthly)3.23%2.40%
Max. Drawdown-29.91%-34.80%
US Market Correlation0.200.87
Beta(*)0.250.66
Alpha (annualized)8.72%0.04%
R24.00%75.79%
Sharpe Ratio0.520.40
Sortino Ratio0.890.56
Treynor Ratio (%)41.007.19
Information Ratio0.11-0.35
Skewness0.30-1.07
Excess Kurtosis-0.004.89
Historical Value-at-Risk (5%)-7.64%-4.97%
Analytical Value-at-Risk (5%)-8.28%-5.36%
Conditional Value-at-Risk (5%)-9.51%-8.32%
Upside Capture Ratio (%)51.0359.88
Downside Capture Ratio (%)27.0262.96
Positive Periods63 out of 120 (52.50%)68 out of 120 (56.67%)
Gain/Loss Ratio1.361.09
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndTiming PortfolioEqual Weight Portfolio
Subprime CrisisNov 2007Mar 2009-23.66%-34.80%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Nov 20161 year 10 months-29.91%
2May 2010Nov 20107 monthsAug 20119 months1 year 4 months-24.13%
3Jul 2008Oct 20084 monthsJul 20099 months1 year 1 month-23.66%
4Sep 2011May 20129 monthsNov 20131 year 6 months2 years 3 months-19.49%
5Sep 2014Sep 20141 monthJan 20154 months5 months-7.77%
6Nov 2007Nov 20071 monthJan 20082 months3 months-7.65%
7Jan 2010Jan 20101 monthApr 20103 months4 months-5.87%
8Jan 2014Jan 20141 monthApr 20143 months4 months-5.20%
9Oct 2009Oct 20091 monthNov 20091 month2 months-3.44%
10Feb 2007Feb 20071 monthMar 20071 month2 months-2.38%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20101 year 7 months2 years 4 months-34.80%
2Sep 2014Jan 20161 year 5 monthsJul 20166 months1 year 11 months-11.31%
3May 2011Sep 20115 monthsFeb 20125 months10 months-10.94%
4Apr 2012May 20122 monthsAug 20123 months5 months-5.51%
5May 2013Jun 20132 monthsOct 20134 months6 months-5.23%
6Nov 2007Jan 20083 monthsMay 20084 months7 months-4.02%
7Oct 2016Nov 20162 months-3.58%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-2.39%
9Jul 2014Jul 20141 monthAug 20141 month2 months-1.80%
10Oct 2012Oct 20121 monthDec 20122 months3 months-1.31%
Worst 10 drawdowns included above
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioEqual Weight Portfolio
1Jan 2007Jan 20071100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 0.11%0.11%1.48%
2Feb 2007Feb 20071100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -2.38%-2.38%0.36%
3Mar 2007Nov 20079100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 39.60%39.60%9.58%
4Dec 2007Feb 20083100.00% SPDR Gold Shares (GLD)GLD: 24.39%24.39%0.12%
5Mar 2008Aug 20086100.00% Invesco DB Commodity Index Tracking Fund (DBC)DBC: 4.60%4.60%-2.24%
6Sep 2008Sep 20081100.00% iShares Russell 2000 ETF (IWM)IWM: -7.75%-7.75%-4.98%
7Oct 2008Mar 20096100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 13.55%13.55%-22.77%
8Apr 2009Apr 20091100.00% SPDR Gold Shares (GLD)GLD: -3.33%-3.33%7.24%
9May 2009Aug 20094100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 24.16%24.16%14.95%
10Sep 2009Sep 20091100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 6.84%6.84%4.59%
11Oct 2009Oct 20091100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.44%-3.44%-1.44%
12Nov 2009Jan 20103100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 7.48%7.48%2.82%
13Feb 2010Mar 20102100.00% SPDR Gold Shares (GLD)GLD: 2.82%2.82%6.56%
14Apr 2010Jun 20103100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -4.31%-4.31%-3.71%
15Jul 2010Jul 20101100.00% SPDR Gold Shares (GLD)GLD: -5.09%-5.09%4.73%
16Aug 2010Aug 20101100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -1.27%-1.27%-0.80%
17Sep 2010Oct 20102100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -6.87%-6.87%8.77%
18Nov 2010Dec 20102100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 4.15%4.15%4.10%
19Jan 2011Feb 20112100.00% iShares Russell 2000 ETF (IWM)IWM: 5.15%5.15%2.98%
20Mar 2011May 20113100.00% Invesco DB Commodity Index Tracking Fund (DBC)DBC: 1.78%1.78%3.85%
21Jun 2011Jun 20111100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -3.33%-3.33%-2.11%
22Jul 2011Sep 20113100.00% SPDR Gold Shares (GLD)GLD: 8.26%8.26%-7.96%
23Oct 2011Feb 20125100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -1.51%-1.51%13.52%
24Mar 2012Mar 20121100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.11%-3.11%0.09%
25Apr 2012Apr 20121100.00% iShares Russell 1000 ETF (IWB)IWB: -0.56%-0.56%-0.03%
26May 2012Jul 20123100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 2.55%2.55%-1.16%
27Aug 2012Oct 20123100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -4.28%-4.28%2.19%
28Nov 2012Mar 20135100.00% iShares MSCI EAFE ETF (EFA)EFA: 11.27%11.27%4.96%
29Apr 2013Apr 20131100.00% iShares Russell 2000 ETF (IWM)IWM: -0.35%-0.35%0.98%
30May 2013May 20131100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -5.96%-5.96%-2.41%
31Jun 2013Dec 20137100.00% iShares Russell 2000 ETF (IWM)IWM: 19.24%19.24%3.63%
32Jan 2014Jan 20141100.00% iShares MSCI EAFE ETF (EFA)EFA: -5.20%-5.20%-1.01%
33Feb 2014Feb 20141100.00% iShares Russell 2000 ETF (IWM)IWM: 4.78%4.78%3.99%
34Mar 2014Apr 20142100.00% iShares Russell 1000 ETF (IWB)IWB: 1.01%1.01%0.89%
35May 2014Jun 20142100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 3.38%3.38%3.15%
36Jul 2014Sep 20143100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.86%-3.86%-4.22%
37Oct 2014Oct 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.81%2.81%2.08%
38Nov 2014Dec 20142100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 4.08%4.08%-0.58%
39Jan 2015Feb 20152100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 3.08%3.08%2.53%
40Mar 2015Mar 20151100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 1.86%1.86%-0.81%
41Apr 2015Apr 20151100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -3.43%-3.43%0.63%
42May 2015Jun 20152100.00% iShares MSCI EAFE ETF (EFA)EFA: -2.93%-2.93%-2.34%
43Jul 2015Jul 20151100.00% iShares Russell 2000 ETF (IWM)IWM: -1.10%-1.10%-1.38%
44Aug 2015Aug 20151100.00% iShares MSCI EAFE ETF (EFA)EFA: -7.43%-7.43%-3.68%
45Sep 2015Oct 20152100.00% iShares 1-3 Year Treasury Bond ETF (SHY)SHY: 0.15%0.15%2.12%
46Nov 2015Feb 20164100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -3.37%-3.37%-4.57%
47Mar 2016Jun 20164100.00% SPDR Gold Shares (GLD)GLD: 6.60%6.60%10.15%
48Jul 2016Jul 20161100.00% Invesco DB Commodity Index Tracking Fund (DBC)DBC: -6.97%-6.97%2.18%
49Aug 2016Aug 20161100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -3.44%-3.44%-0.51%
50Sep 2016Oct 20162100.00% iShares Russell 2000 ETF (IWM)IWM: -3.57%-3.57%-1.88%
51Nov 2016Nov 20161100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -4.42%-4.42%-1.03%
52Dec 2016Dec 20161100.00% iShares Russell 2000 ETF (IWM)IWM: 2.89%2.89%1.54%
53Jan 2017Jan 20171100.00% iShares Russell 2000 ETF (IWM)---