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 end-of-month adjusted close price is greater than the moving average and the model moves to cash when the end-of-month 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 end-of-month adjusted close price is greater than the moving average and the allocation is moved to cash when the end-of-month 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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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 month(s). Timing model trades are executed using the end of month close price.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Save timing model »
Timing Portfolio$10,000$24,2539.26%19.33%45.50%-15.82%-29.91% 0.520.890.20
Equal Weight Portfolio$10,000$15,9354.77%11.90%22.20%-20.73%-34.80% 0.400.560.87
   
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
YearTiming ReturnEqual Weight Portfolio ReturniShares 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 Trust (GLD)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)PowerShares DB Commodity Tracking ETF (DBC)Cash (CASHX)Timing BalanceEqual Weight Portfolio Balance
200745.50%12.07%7.35%10.29%-17.84%-1.78%5.32%30.45%9.94%33.31%31.59%4.67%$14,550$11,207
200843.51%-20.73%6.62%33.93%-38.83%-34.13%-37.40%4.92%-41.04%-48.88%-31.77%1.59%$20,881$8,884
200925.90%22.20%0.35%-21.80%28.32%28.51%28.35%24.03%26.95%68.93%16.19%0.09%$26,289$10,856
2010-15.82%16.46%2.28%9.05%27.96%26.93%16.06%29.27%8.15%16.51%11.90%0.10%$22,129$12,643
201113.63%1.90%1.44%33.96%8.97%-4.44%1.23%9.57%-12.25%-18.82%-2.58%0.04%$25,144$12,883
2012-1.52%11.19%0.25%2.41%16.87%16.70%16.50%6.60%18.82%19.10%3.50%0.06%$24,763$14,325
201315.91%4.56%0.21%-13.37%0.93%38.69%32.78%-28.33%21.40%-3.69%-7.63%0.00%$28,702$14,977
20146.70%4.14%0.45%27.30%31.82%5.03%13.08%-2.19%-6.20%-3.93%-28.10%0.00%$30,624$15,597
2015-8.32%-6.26%0.43%-1.79%4.12%-4.47%0.79%-10.67%-1.00%-16.18%-27.59%0.01%$28,076$14,621
2016-13.62%8.99%0.82%1.18%6.41%21.60%12.03%8.03%1.37%10.87%18.56%0.21%$24,253$15,935
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTiming ReturnEqual Weight Portfolio ReturniShares 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 Trust (GLD)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)PowerShares DB Commodity Tracking ETF (DBC)Cash (CASHX)Timing BalanceEqual Weight Portfolio Balance
200710.11%1.48%0.16%-1.00%8.90%1.69%1.87%2.56%1.39%0.11%-2.40%0.44%$10,011$10,148
20072-2.38%0.36%0.73%3.39%-2.38%-0.66%-1.67%2.55%-0.12%-3.24%5.09%0.38%$9,773$10,185
200735.33%0.61%0.45%-1.70%-2.54%0.98%1.00%-1.11%2.90%5.33%0.67%0.43%$10,294$10,247
200743.73%1.92%0.31%0.90%-0.08%1.62%4.25%2.05%3.75%3.73%0.75%0.44%$10,678$10,444
200755.06%1.18%-0.07%-2.31%-0.03%4.37%3.59%-2.31%2.36%5.06%-0.23%0.41%$11,218$10,567
200763.68%-1.15%0.48%-1.01%-9.01%-1.44%-1.90%-1.94%-0.32%3.68%0.74%0.40%$11,631$10,445
200770.71%-1.25%0.90%3.32%-8.21%-7.00%-3.19%2.37%-2.29%0.71%1.91%0.40%$11,714$10,315
200781.04%1.16%1.05%1.79%5.65%2.13%1.16%1.11%-0.63%1.04%-1.91%0.42%$11,836$10,434
2007911.57%5.45%0.55%0.23%4.32%1.90%4.08%10.51%5.32%11.57%9.42%0.32%$13,206$11,003
20071011.87%4.65%0.48%1.81%0.92%2.85%1.60%6.95%4.25%11.87%8.50%0.32%$14,773$11,515
200711-7.65%-3.08%1.79%5.35%-9.64%-6.89%-4.09%-1.65%-3.62%-7.65%-0.62%0.34%$13,643$11,160
2007126.65%0.42%0.30%-0.64%-5.44%-0.64%-1.07%6.65%-2.99%-1.43%6.72%0.27%$14,550$11,207
2008110.84%-1.39%1.65%2.10%-0.84%-6.53%-5.87%10.84%-7.85%-8.92%2.92%0.21%$16,127$11,051
200825.23%1.11%1.03%-0.46%-3.48%-2.93%-2.84%5.23%-1.02%1.99%11.15%0.13%$16,971$11,174
20083-0.91%-0.39%0.25%2.14%6.72%-0.67%-0.69%-6.00%0.42%-3.75%-0.91%0.17%$16,816$11,130
200846.04%3.05%-0.84%-2.48%6.48%4.55%4.96%-4.16%5.44%9.14%6.04%0.18%$17,831$11,469
200856.91%1.74%-0.35%-2.69%-0.30%4.58%1.72%0.92%1.19%3.16%6.91%0.18%$19,063$11,669
2008610.43%-2.57%0.24%2.65%-10.82%-7.53%-8.31%4.52%-8.80%-9.29%10.43%0.17%$21,051$11,369
20087-9.78%-1.98%0.43%-0.37%2.92%3.68%-0.94%-1.44%-3.32%-5.50%-9.78%0.15%$18,992$11,144
20088-6.53%-1.98%0.47%2.74%2.08%3.58%1.38%-9.29%-4.25%-6.32%-6.53%0.13%$17,751$10,924
20089-7.75%-4.98%0.78%1.47%-0.57%-7.75%-9.34%4.11%-11.44%-14.68%-10.25%0.15%$16,376$10,380
200810-1.86%-16.99%1.10%-1.86%-31.24%-20.96%-17.13%-16.14%-20.83%-25.58%-25.08%0.08%$16,070$8,617
20081114.34%-3.26%1.10%14.34%-23.93%-11.93%-8.37%12.57%-6.37%-9.75%-12.37%0.03%$18,375$8,335
20081213.64%6.58%0.56%13.64%15.77%4.82%1.84%7.73%8.88%10.35%-3.22%0.00%$20,881$8,884
20091-13.07%-7.88%-0.44%-13.07%-17.86%-9.67%-7.94%5.54%-13.73%-9.29%-4.44%0.00%$18,152$8,184
20092-1.54%-7.04%-0.15%-1.54%-21.81%-11.98%-10.45%1.45%-10.39%-6.27%-5.63%0.01%$17,873$7,608
200934.04%5.37%0.50%4.04%3.42%7.77%8.17%-2.54%8.39%16.86%4.66%0.02%$18,595$8,016
20094-3.33%7.24%-0.17%-6.95%31.64%15.39%10.54%-3.33%11.52%15.56%-0.10%0.01%$17,975$8,597
2009515.94%7.59%0.06%-3.69%4.15%3.40%5.88%10.23%13.19%15.94%16.27%0.00%$20,841$9,249
20096-2.25%-1.60%-0.09%0.76%-4.69%1.81%0.08%-5.22%-1.43%-2.25%-2.63%0.01%$20,371$9,101
2009711.01%6.12%0.11%0.58%10.52%9.18%7.52%2.38%10.04%11.01%1.86%0.01%$22,614$9,657
20098-1.31%2.33%0.41%2.24%14.72%2.93%3.69%0.05%4.50%-1.31%-4.04%0.01%$22,317$9,882
200996.84%4.59%0.24%2.46%6.84%5.56%3.90%5.84%3.80%10.20%-0.23%0.01%$23,844$10,336
200910-3.44%-1.44%0.14%-2.62%-4.41%-6.49%-2.22%3.72%-2.52%-3.44%6.94%0.00%$23,023$10,187
2009116.82%5.51%0.60%1.21%6.82%3.12%5.98%12.79%3.92%7.85%4.54%0.00%$24,594$10,748
2009126.89%1.00%-0.84%-6.34%6.89%7.92%2.35%-7.20%0.70%3.27%-0.16%0.01%$26,289$10,856
20101-5.87%-3.52%0.80%2.69%-5.87%-3.73%-3.62%-1.26%-5.07%-7.76%-7.84%0.00%$24,745$10,474
201023.27%2.48%0.16%-0.34%5.68%4.48%3.27%3.27%0.27%1.78%4.14%0.00%$25,555$10,734
20103-0.44%3.98%-0.27%-2.06%10.47%8.23%6.30%-0.44%6.39%8.11%-0.47%0.01%$25,443$11,161
201046.86%2.81%0.30%3.32%6.86%5.68%1.83%5.88%-2.80%-0.17%3.91%0.01%$27,190$11,475
20105-5.41%-4.75%0.45%5.11%-5.41%-7.54%-7.96%3.05%-11.19%-9.39%-10.15%0.01%$25,718$10,930
20106-5.34%-1.67%0.42%5.80%-5.34%-7.74%-5.65%2.36%-2.07%-1.40%-1.78%0.01%$24,346$10,747
20107-5.09%4.73%0.19%-0.95%9.92%6.73%7.02%-5.09%11.61%10.93%6.12%0.01%$23,107$11,256
20108-1.27%-0.80%0.24%8.40%-1.27%-7.44%-4.44%5.71%-3.80%-3.24%-3.01%0.01%$22,814$11,166
20109-2.51%6.12%0.12%-2.51%4.43%12.45%9.14%4.78%9.97%11.76%8.60%0.01%$22,241$11,850
201010-4.47%2.49%0.22%-4.47%4.39%4.15%3.86%3.68%3.81%3.02%4.44%0.01%$21,247$12,145
201011-2.91%-0.63%-0.20%-1.69%-1.77%3.49%0.20%2.11%-4.82%-2.91%-0.44%0.01%$20,630$12,069
2010127.27%4.76%-0.16%-3.68%4.71%8.03%6.81%2.44%8.30%7.27%9.89%0.01%$22,129$12,643
20111-0.37%-0.25%0.13%-3.08%3.36%-0.37%2.32%-6.38%2.10%-3.84%3.56%0.01%$22,047$12,612
201125.54%3.23%-0.12%1.65%4.76%5.54%3.53%6.00%3.55%-0.04%4.17%0.01%$23,268$13,020
201132.66%0.97%-0.13%0.03%-1.60%2.52%0.22%1.60%-2.39%6.29%2.66%0.01%$23,887$13,146
201144.56%4.04%0.53%2.34%5.96%2.64%2.95%8.94%5.63%2.73%4.56%0.00%$24,975$13,678
20115-5.17%-1.15%0.36%3.42%1.45%-1.79%-1.09%-1.79%-2.21%-2.94%-5.17%0.00%$23,683$13,521
20116-3.33%-2.11%-0.00%-2.33%-3.33%-2.40%-1.77%-2.43%-1.19%-0.93%-4.26%0.00%$22,895$13,236
201178.42%1.16%0.29%4.42%1.71%-3.41%-2.12%8.42%-2.38%-1.03%4.56%0.00%$24,822$13,389
2011812.27%-1.61%0.34%9.66%-5.40%-8.89%-5.83%12.27%-8.75%-9.25%-0.40%0.01%$27,869$13,174
20119-11.06%-7.53%-0.10%13.20%-11.12%-11.15%-7.31%-11.06%-10.81%-17.89%-14.62%0.00%$24,786$12,182
201110-3.84%7.52%0.03%-3.84%14.53%15.10%10.97%5.87%9.63%16.27%7.65%0.00%$23,835$13,098
2011111.98%-0.47%0.04%1.98%-3.96%-0.38%-0.36%1.67%-2.18%-1.96%-0.29%0.00%$24,307$13,035
2011123.44%-1.17%0.05%3.44%4.64%0.51%0.91%-10.66%-2.21%-4.30%-2.89%0.00%$25,144$12,883
20121-0.33%5.50%0.08%-0.33%6.35%7.15%4.90%11.40%5.27%10.99%3.69%0.00%$25,061$13,591
20122-2.59%1.75%-0.14%-2.59%-1.07%2.57%4.29%-2.96%4.83%5.27%5.35%0.00%$24,411$13,828
20123-3.11%0.09%-0.08%-4.23%5.18%2.48%3.15%-1.32%0.42%-3.11%-1.77%0.00%$23,651$13,841
20124-0.56%-0.03%0.20%4.83%3.04%-1.62%-0.56%-0.15%-2.08%-1.70%-1.35%0.00%$23,518$13,838
20125-4.59%-5.49%0.06%9.03%-4.59%-6.58%-6.10%-6.34%-11.14%-10.71%-11.16%0.01%$22,438$13,078
201265.50%3.23%-0.10%-1.68%5.50%5.05%3.84%2.35%7.11%5.08%2.02%0.00%$23,672$13,501
201271.88%1.31%0.22%3.82%1.88%-1.52%1.01%0.84%0.08%-0.03%5.83%0.00%$24,117$13,677
20128-1.32%2.02%0.01%-1.32%-0.28%3.54%2.46%4.94%3.20%0.41%5.65%0.01%$23,800$13,953
20129-2.53%1.49%0.02%-2.53%-2.03%3.26%2.62%4.67%2.71%5.22%-0.38%0.01%$23,197$14,161
201210-0.48%-1.31%-0.07%-0.48%-0.89%-2.17%-1.77%-2.94%1.09%-0.44%-3.91%0.01%$23,084$13,976
2012112.78%0.88%0.02%1.16%-0.48%0.55%0.88%-0.47%2.78%1.56%1.96%0.01%$23,726$14,100
2012124.37%1.60%0.02%-2.49%3.71%3.62%1.18%-2.43%4.37%6.80%-1.14%0.01%$24,763$14,325
201313.73%1.92%0.01%-3.19%3.43%6.24%5.37%-0.51%3.73%-0.29%2.48%0.00%$25,686$14,600
20132-1.29%-1.01%0.06%1.24%0.81%1.00%1.06%-5.09%-1.29%-2.28%-4.71%0.00%$25,355$14,453
201331.31%1.48%0.03%-0.42%2.58%4.66%3.95%0.95%1.31%-1.02%0.66%0.00%$25,686$14,666
20134-0.35%0.98%0.07%4.68%6.78%-0.35%1.90%-7.56%5.02%1.22%-3.81%0.00%$25,597$14,810
20135-5.96%-2.41%-0.13%-6.76%-5.96%3.93%1.74%-6.20%-3.02%-4.83%-1.56%0.00%$24,071$14,453
20136-0.82%-2.89%-0.10%-3.27%-1.71%-0.82%-0.54%-11.06%-2.70%-5.35%-2.82%0.00%$23,874$14,036
201377.33%3.16%0.16%-2.26%0.72%7.33%4.88%7.43%5.32%1.32%3.18%0.00%$25,625$14,479
20138-3.16%-1.49%-0.10%-1.34%-6.93%-3.16%-2.77%5.20%-1.96%-2.54%2.82%0.00%$24,814$14,264
201396.49%2.61%0.22%0.66%3.28%6.49%3.62%-4.78%7.82%7.21%-3.38%0.00%$26,424$14,636
2013102.42%2.30%0.07%1.43%4.04%2.42%4.35%-0.34%3.26%4.17%-0.04%0.00%$27,064$14,972
2013113.96%-0.47%0.09%-2.70%-5.52%3.96%2.73%-5.51%0.55%-0.26%-0.93%0.00%$28,135$14,902
2013122.02%0.51%-0.18%-1.87%0.46%2.02%2.70%-3.79%2.16%-0.42%0.59%0.00%$28,702$14,977
20141-5.20%-1.01%0.20%6.30%3.89%-2.77%-3.24%3.42%-5.20%-8.64%-3.04%0.00%$27,209$14,826
201424.78%3.99%0.04%0.52%5.23%4.78%4.81%6.27%6.13%3.38%5.02%0.00%$28,509$15,418
201430.55%0.11%-0.11%0.73%0.79%-0.75%0.55%-3.14%-0.46%3.88%-0.04%0.00%$28,666$15,435
201440.46%0.78%0.11%2.10%3.72%-3.75%0.46%0.49%1.67%0.78%1.11%0.00%$28,797$15,556
201452.45%0.97%0.18%2.95%2.45%0.79%2.27%-3.05%1.60%2.95%-1.44%0.00%$29,502$15,707
201460.91%2.16%-0.08%-0.25%0.91%5.27%2.29%6.32%0.92%2.40%2.11%0.00%$29,769$16,046
201471.36%-1.80%-0.08%0.67%0.14%-6.05%-1.62%-3.63%-2.60%1.36%-4.74%0.00%$30,176$15,757
201482.83%2.14%0.19%4.72%2.78%4.83%4.07%0.38%0.18%2.83%-1.15%0.00%$31,030$16,095
20149-7.77%-4.51%-0.07%-2.11%-5.82%-5.93%-1.72%-6.18%-3.88%-7.77%-7.23%0.00%$28,619$15,369
2014102.81%2.08%0.26%2.81%10.60%6.59%2.39%-3.05%-0.27%1.42%-3.88%0.00%$29,425$15,688
2014112.15%0.01%0.11%2.97%2.15%0.11%2.71%-0.49%0.06%-1.54%-8.51%0.00%$30,058$15,690
2014121.88%-0.59%-0.29%3.25%1.88%2.89%-0.29%1.31%-4.00%-3.99%-9.65%0.00%$30,624$15,597
201519.82%1.55%0.63%9.82%6.56%-3.28%-2.69%8.69%0.62%-0.69%-5.69%0.00%$33,630$15,839
20152-6.14%0.97%-0.29%-6.14%-3.67%5.95%5.66%-5.91%6.34%4.41%4.43%0.00%$31,566$15,992
201531.86%-0.81%0.25%1.10%1.86%1.78%-1.30%-2.15%-1.43%-1.50%-6.05%0.00%$32,152$15,863
20154-3.43%0.63%0.03%-3.43%-5.89%-2.56%0.81%-0.17%3.65%6.85%7.15%0.00%$31,050$15,963
201550.20%-0.61%0.04%-2.37%-0.03%2.24%1.28%0.56%0.20%-4.10%-3.17%0.00%$31,111$15,865
20156-3.12%-1.73%0.03%-4.07%-4.40%0.78%-1.89%-1.52%-3.12%-2.93%1.64%0.00%$30,141$15,589
20157-1.10%-1.38%0.04%4.55%5.91%-1.10%1.96%-6.62%2.03%-6.31%-12.61%0.00%$29,809$15,375
20158-7.43%-3.68%-0.05%-0.69%-5.91%-6.31%-6.02%3.71%-7.43%-8.84%-0.25%0.00%$27,596$14,809
201590.30%-1.63%0.30%1.97%3.39%-4.93%-2.81%-1.80%-4.42%-3.13%-3.44%0.00%$27,677$14,568
201510-0.14%3.81%-0.14%-0.41%5.79%5.62%8.11%2.28%6.61%6.38%0.33%0.00%$27,638$15,123
201511-0.61%-1.51%-0.26%-0.87%-0.61%3.26%0.41%-6.75%-0.75%-2.52%-6.64%0.00%$27,468$14,895
2015122.21%-1.84%-0.15%-0.30%2.21%-5.03%-1.92%-0.45%-2.34%-3.83%-5.85%0.01%$28,076$14,621
20161-4.06%-2.37%0.65%5.57%-4.06%-8.58%-5.44%5.41%-5.52%-5.03%-4.34%0.01%$26,936$14,274
20162-0.85%1.11%0.11%3.09%-0.85%-0.22%0.00%10.93%-3.33%-0.82%-0.23%0.02%$26,707$14,432
20163-0.84%5.08%0.14%-0.09%10.37%8.02%6.99%-0.84%6.58%12.96%4.24%0.02%$26,481$15,165
201645.11%1.77%0.04%-0.74%-2.96%1.67%0.53%5.11%2.22%0.41%9.71%0.01%$27,834$15,433
20165-6.14%-0.40%-0.12%0.81%1.98%2.24%1.67%-6.14%-0.09%-3.69%0.89%0.01%$26,126$15,370
201668.97%3.43%0.60%6.93%6.46%-0.02%0.27%8.97%-2.42%4.56%4.35%0.02%$28,469$15,898
20167-6.97%2.18%-0.05%2.10%4.38%5.87%3.79%1.98%3.98%5.38%-6.97%0.02%$26,485$16,244
20168-3.44%-0.51%-0.23%-1.01%-3.44%1.78%0.11%-3.26%0.53%0.88%0.77%0.02%$25,574$16,160
201691.08%0.71%0.13%-1.51%-2.06%1.08%0.11%0.69%1.34%2.52%4.31%0.02%$25,849$16,276
201610-4.60%-2.58%-0.05%-4.38%-5.66%-4.60%-1.98%-2.94%-2.22%-0.83%-0.33%0.02%$24,661$15,856
201611-4.42%-1.03%-0.47%-8.21%-1.35%11.06%4.04%-8.36%-1.78%-4.42%1.67%0.01%$23,572$15,693
2016122.89%1.54%0.07%-0.46%4.73%2.89%1.87%-1.91%2.71%-0.25%4.14%0.03%$24,253$15,935
Portfolio return and risk metrics
MetricTiming ModelEqual Weight Portfolio
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.89%0.45%
Mean Return (annualized)11.26%5.52%
Compound Return (monthly)0.74%0.39%
Compound Return (annualized)9.26%4.77%
Volatility (monthly)5.56%3.42%
Volatility (annualized)19.33%11.90%
Downside Deviation (monthly)3.23%2.40%
Max. Drawdown-29.91%-34.80%
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
Skewness0.30-1.07
Excess Kurtosis-0.004.89
Historical Value-at-Risk (95%)-7.64%-4.97%
Delta Normal Value-at-Risk (95%)-9.14%-5.79%
Conditional Value-at-Risk (95%)-9.51%-8.32%
Positive Periods63 out of 120 (52.50%)68 out of 120 (56.67%)
Gain/Loss Ratio1.361.09

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Feb 2015Nov 20161 year 10 months-29.91%
2May 2010Nov 20107 monthsAug 20111 year 4 months-24.13%
3Jul 2008Oct 20084 monthsJul 20091 year 1 month-23.66%
4Sep 2011May 20129 monthsNov 20132 years 3 months-19.49%
5Sep 2014Sep 20141 monthJan 20155 months-7.77%
6Nov 2007Nov 20071 monthJan 20083 months-7.65%
7Jan 2010Jan 20101 monthApr 20104 months-5.87%
8Jan 2014Jan 20141 monthApr 20144 months-5.20%
9Oct 2009Oct 20091 monthNov 20092 months-3.44%
10Feb 2007Feb 20071 monthMar 20072 months-2.38%
11Aug 2009Aug 20091 monthSep 20092 months-1.31%
12Mar 2008Mar 20081 monthApr 20082 months-0.91%

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jun 2008Feb 20099 monthsSep 20102 years 4 months-34.80%
2Sep 2014Jan 20161 year 5 monthsJul 20161 year 11 months-11.31%
3May 2011Sep 20115 monthsFeb 201210 months-10.94%
4Apr 2012May 20122 monthsAug 20125 months-5.51%
5May 2013Jun 20132 monthsOct 20136 months-5.23%
6Nov 2007Jan 20083 monthsMay 20087 months-4.02%
7Oct 2016Nov 20162 months-3.58%
8Jun 2007Jul 20072 monthsSep 20074 months-2.39%
9Jul 2014Jul 20141 monthAug 20142 months-1.80%
10Oct 2012Oct 20121 monthDec 20123 months-1.31%
11Jan 2014Jan 20141 monthFeb 20142 months-1.01%
12Feb 2013Feb 20131 monthMar 20132 months-1.01%
13Nov 2010Nov 20101 monthDec 20102 months-0.63%
14Aug 2016Aug 20161 monthSep 20162 months-0.51%
15Nov 2013Nov 20131 monthDec 20132 months-0.47%
16Jan 2011Jan 20111 monthFeb 20112 months-0.25%
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 Trust (GLD)GLD: 24.39%24.39%0.12%
5Mar 2008Aug 20086100.00% PowerShares DB Commodity Tracking ETF (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 Trust (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 Trust (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 Trust (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% PowerShares DB Commodity Tracking ETF (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 Trust (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%4.94%
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 Trust (GLD)GLD: 6.60%6.60%10.15%
48Jul 2016Jul 20161100.00% PowerShares DB Commodity Tracking ETF (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)---