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:

Shiller PE Ratio Market Valuation
Seasonal Model
Moving Averages - Single Asset
Moving Averages - Portfolio Assets
Momentum - Relative Strength
Momentum - Dual Momentum
Momentum - Adaptive Allocation
Target Volatility

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.

Timing Model

Start Year

End Year

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Ticker

Tickers

Single absolute momentum

Absolute momentum asset

Target Volatility

Use Downside Volatility

Out Of Market Start Month

Out Of Market End Month

Out of Market Asset

Specify out of market asset

Buy Signal

Type of Moving Average

Performance Periods

Period Weighting

Timing Period

Timing period in trading days

Type of Moving Average #2

Timing Period #2

Timing period #2 in trading days

Exclude Previous Month

Normalize Returns

Volatility Period

Volatility window in trading days

Assets to hold

Allocation Weights

Risk Control

Risk Window Period

Risk window in trading days

Trading Frequency

Signal Asset

Specify signal asset

Trade Execution

Compared Allocation

Benchmark

Benchmark Ticker

Timing Periods

Length

Unit

Weight

Time Period #1

Period 1 length

Period 1 time unit

Period 1 weight %

Time Period #2

Period 2 length

Period 2 time unit

Period 2 weight %

Time Period #3

Period 3 length

Period 3 time unit

Period 3 weight %

Time Period #4

Period 4 length

Period 4 time unit

Period 4 weight %

Time Period #5

Period 5 length

Period 5 time unit

Period 5 weight %

Volatility Period

Volatility period length

Volatility period time unit

Volatility period weight %

Asset 1

Select asset 1

Enter percentage allocation for asset 1 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 %

Total

Total allocation for portfolio %

Market Timing Results (Jan 2007 - May 2020) Save

Tactical asset allocation model results from Jan 2007 to May 2020 are based on relative strength model holding the best performing asset. The model uses a single performance window of 5 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.

Performance statistics for the timing portfolio and benchmark portfolios
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Momentum Model	$10,000	$24,295	6.84%	18.16%	45.50%	-15.82%	-31.70%	0.41	0.66	0.22

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 May.
An equal-weight allocation is used for the assets held by the momentum model
The results for the tactical asset allocation model assume monthly rebalancing trades
The relative strength signal is based on total return including dividends
Additional trading costs and taxes for tactical asset allocation models are not reflected in the results
CAGR = Compound Annual Growth Rate
Stdev = Annualized standard deviation of monthly returns
Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
Stock market correlation is based on the correlation of monthly returns
Drawdowns are calculated based on monthly returns excluding cashflows
Refer to the FAQ section regarding the data sources and methodology descriptions

Annual returns for the timing portfolio and various benchmark portfolios
Year	Inflation	Momentum Model Return	Momentum Model Balance	iShares 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 Tracking (DBC)
2007	4.08%	45.50%	$14,550	7.35%	10.29%	-17.84%	-1.78%	5.32%	30.45%	9.94%	33.31%	31.59%
2008	0.09%	43.51%	$20,881	6.62%	33.93%	-38.83%	-34.13%	-37.40%	4.92%	-41.04%	-48.88%	-31.77%
2009	2.72%	25.90%	$26,289	0.35%	-21.80%	28.32%	28.51%	28.35%	24.03%	26.95%	68.93%	16.19%
2010	1.50%	-15.82%	$22,129	2.28%	9.05%	27.96%	26.93%	16.06%	29.27%	8.15%	16.51%	11.90%
2011	2.96%	13.63%	$25,144	1.44%	33.96%	8.97%	-4.44%	1.23%	9.57%	-12.25%	-18.82%	-2.58%
2012	1.74%	-1.52%	$24,763	0.28%	2.63%	16.87%	16.70%	16.50%	6.60%	18.82%	19.10%	3.50%
2013	1.50%	15.91%	$28,702	0.21%	-13.37%	0.93%	38.69%	32.78%	-28.33%	21.40%	-3.69%	-7.63%
2014	0.76%	6.70%	$30,624	0.45%	27.30%	31.82%	5.03%	13.08%	-2.19%	-6.20%	-3.93%	-28.10%
2015	0.73%	-8.32%	$28,076	0.43%	-1.79%	4.12%	-4.47%	0.79%	-10.67%	-1.00%	-16.18%	-27.59%
2016	2.07%	-13.62%	$24,253	0.82%	1.18%	6.41%	21.60%	12.03%	8.03%	1.37%	10.87%	18.56%
2017	2.11%	22.90%	$29,806	0.26%	9.18%	3.46%	14.59%	21.53%	12.81%	25.10%	37.28%	4.86%
2018	1.91%	-8.84%	$27,170	1.46%	-1.61%	-4.40%	-11.11%	-4.88%	-1.94%	-13.81%	-15.31%	-11.62%
2019	2.29%	-2.02%	$26,621	3.38%	14.12%	22.73%	25.39%	31.06%	17.86%	22.03%	18.20%	11.84%
2020	-0.23%	-8.74%	$24,295	2.92%	21.46%	-23.39%	-15.84%	-5.06%	14.00%	-14.11%	-15.91%	-26.14%
Annual returns for 2020 are based on partial year data

Monthly returns for the timing portfolio and various benchmark portfolios
Year	Month	Momentum Model Return	Momentum Model Balance	iShares 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 Tracking (DBC)
2007	1	0.11%	$10,011	0.16%	-1.00%	8.90%	1.69%	1.87%	2.56%	1.39%	0.11%	-2.40%
2007	2	-2.38%	$9,773	0.73%	3.39%	-2.38%	-0.66%	-1.67%	2.55%	-0.12%	-3.24%	5.09%
2007	3	5.33%	$10,294	0.45%	-1.70%	-2.54%	0.98%	1.00%	-1.11%	2.90%	5.33%	0.67%
2007	4	3.73%	$10,678	0.31%	0.90%	-0.08%	1.62%	4.25%	2.05%	3.75%	3.73%	0.75%
2007	5	5.06%	$11,218	-0.07%	-2.31%	-0.03%	4.37%	3.59%	-2.31%	2.36%	5.06%	-0.23%
2007	6	3.68%	$11,631	0.48%	-1.01%	-9.01%	-1.44%	-1.90%	-1.94%	-0.32%	3.68%	0.74%
2007	7	0.71%	$11,714	0.90%	3.32%	-8.21%	-7.00%	-3.19%	2.37%	-2.29%	0.71%	1.91%
2007	8	1.04%	$11,836	1.05%	1.79%	5.65%	2.13%	1.16%	1.11%	-0.63%	1.04%	-1.91%
2007	9	11.57%	$13,206	0.55%	0.23%	4.32%	1.90%	4.08%	10.51%	5.32%	11.57%	9.42%
2007	10	11.87%	$14,773	0.48%	1.81%	0.92%	2.85%	1.60%	6.95%	4.25%	11.87%	8.50%
2007	11	-7.65%	$13,643	1.79%	5.35%	-9.64%	-6.89%	-4.09%	-1.65%	-3.62%	-7.65%	-0.62%
2007	12	6.65%	$14,550	0.30%	-0.64%	-5.44%	-0.64%	-1.07%	6.65%	-2.99%	-1.43%	6.72%
2008	1	10.84%	$16,127	1.65%	2.10%	-0.84%	-6.53%	-5.87%	10.84%	-7.85%	-8.92%	2.92%
2008	2	5.23%	$16,971	1.03%	-0.46%	-3.48%	-2.93%	-2.84%	5.23%	-1.02%	1.99%	11.15%
2008	3	-0.91%	$16,816	0.25%	2.14%	6.72%	-0.67%	-0.69%	-6.00%	0.42%	-3.75%	-0.91%
2008	4	6.04%	$17,831	-0.84%	-2.48%	6.48%	4.55%	4.96%	-4.16%	5.44%	9.14%	6.04%
2008	5	6.91%	$19,063	-0.35%	-2.69%	-0.30%	4.58%	1.72%	0.92%	1.19%	3.16%	6.91%
2008	6	10.43%	$21,051	0.24%	2.65%	-10.82%	-7.53%	-8.31%	4.52%	-8.80%	-9.29%	10.43%
2008	7	-9.78%	$18,992	0.43%	-0.37%	2.92%	3.68%	-0.94%	-1.44%	-3.32%	-5.50%	-9.78%
2008	8	-6.53%	$17,751	0.47%	2.74%	2.08%	3.58%	1.38%	-9.29%	-4.25%	-6.32%	-6.53%
2008	9	-7.75%	$16,376	0.78%	1.47%	-0.57%	-7.75%	-9.34%	4.11%	-11.44%	-14.68%	-10.25%
2008	10	-1.86%	$16,070	1.10%	-1.86%	-31.24%	-20.96%	-17.13%	-16.14%	-20.83%	-25.58%	-25.08%
2008	11	14.34%	$18,375	1.10%	14.34%	-23.93%	-11.93%	-8.37%	12.57%	-6.37%	-9.75%	-12.37%
2008	12	13.64%	$20,881	0.56%	13.64%	15.77%	4.82%	1.84%	7.73%	8.88%	10.35%	-3.22%
2009	1	-13.07%	$18,152	-0.44%	-13.07%	-17.86%	-9.67%	-7.94%	5.54%	-13.73%	-9.29%	-4.44%
2009	2	-1.54%	$17,873	-0.15%	-1.54%	-21.81%	-11.98%	-10.45%	1.45%	-10.39%	-6.27%	-5.63%
2009	3	4.04%	$18,595	0.50%	4.04%	3.42%	7.77%	8.17%	-2.54%	8.39%	16.86%	4.66%
2009	4	-3.33%	$17,975	-0.17%	-6.95%	31.64%	15.39%	10.54%	-3.33%	11.52%	15.56%	-0.10%
2009	5	15.94%	$20,841	0.06%	-3.69%	4.15%	3.40%	5.88%	10.23%	13.19%	15.94%	16.27%
2009	6	-2.25%	$20,371	-0.09%	0.76%	-4.69%	1.81%	0.08%	-5.22%	-1.43%	-2.25%	-2.63%
2009	7	11.01%	$22,614	0.11%	0.58%	10.52%	9.18%	7.52%	2.38%	10.04%	11.01%	1.86%
2009	8	-1.31%	$22,317	0.41%	2.24%	14.72%	2.93%	3.69%	0.05%	4.50%	-1.31%	-4.04%
2009	9	6.84%	$23,844	0.24%	2.46%	6.84%	5.56%	3.90%	5.84%	3.80%	10.20%	-0.23%
2009	10	-3.44%	$23,023	0.14%	-2.62%	-4.41%	-6.49%	-2.22%	3.72%	-2.52%	-3.44%	6.94%
2009	11	6.82%	$24,594	0.60%	1.21%	6.82%	3.12%	5.98%	12.79%	3.92%	7.85%	4.54%
2009	12	6.89%	$26,289	-0.84%	-6.34%	6.89%	7.92%	2.35%	-7.20%	0.70%	3.27%	-0.16%
2010	1	-5.87%	$24,745	0.80%	2.69%	-5.87%	-3.73%	-3.62%	-1.26%	-5.07%	-7.76%	-7.84%
2010	2	3.27%	$25,555	0.16%	-0.34%	5.68%	4.48%	3.27%	3.27%	0.27%	1.78%	4.14%
2010	3	-0.44%	$25,443	-0.27%	-2.06%	10.47%	8.23%	6.30%	-0.44%	6.39%	8.11%	-0.47%
2010	4	6.86%	$27,190	0.30%	3.32%	6.86%	5.68%	1.83%	5.88%	-2.80%	-0.17%	3.91%
2010	5	-5.41%	$25,718	0.45%	5.11%	-5.41%	-7.54%	-7.96%	3.05%	-11.19%	-9.39%	-10.15%
2010	6	-5.34%	$24,346	0.42%	5.80%	-5.34%	-7.74%	-5.65%	2.36%	-2.07%	-1.40%	-1.78%
2010	7	-5.09%	$23,107	0.19%	-0.95%	9.92%	6.73%	7.02%	-5.09%	11.61%	10.93%	6.12%
2010	8	-1.27%	$22,814	0.24%	8.40%	-1.27%	-7.44%	-4.44%	5.71%	-3.80%	-3.24%	-3.01%
2010	9	-2.51%	$22,241	0.12%	-2.51%	4.43%	12.45%	9.14%	4.78%	9.97%	11.76%	8.60%
2010	10	-4.47%	$21,247	0.22%	-4.47%	4.39%	4.15%	3.86%	3.68%	3.81%	3.02%	4.44%
2010	11	-2.91%	$20,630	-0.20%	-1.69%	-1.77%	3.49%	0.20%	2.11%	-4.82%	-2.91%	-0.44%
2010	12	7.27%	$22,129	-0.16%	-3.68%	4.71%	8.03%	6.81%	2.44%	8.30%	7.27%	9.89%
2011	1	-0.37%	$22,047	0.13%	-3.08%	3.36%	-0.37%	2.32%	-6.38%	2.10%	-3.84%	3.56%
2011	2	5.54%	$23,268	-0.12%	1.65%	4.76%	5.54%	3.53%	6.00%	3.55%	-0.04%	4.17%
2011	3	2.66%	$23,887	-0.13%	0.03%	-1.60%	2.52%	0.22%	1.60%	-2.39%	6.29%	2.66%
2011	4	4.56%	$24,975	0.53%	2.34%	5.96%	2.64%	2.95%	8.94%	5.63%	2.73%	4.56%
2011	5	-5.17%	$23,683	0.36%	3.42%	1.45%	-1.79%	-1.09%	-1.79%	-2.21%	-2.94%	-5.17%
2011	6	-3.33%	$22,895	-0.00%	-2.33%	-3.33%	-2.40%	-1.77%	-2.43%	-1.19%	-0.93%	-4.26%
2011	7	8.42%	$24,822	0.29%	4.42%	1.71%	-3.41%	-2.12%	8.42%	-2.38%	-1.03%	4.56%
2011	8	12.27%	$27,869	0.34%	9.66%	-5.40%	-8.89%	-5.83%	12.27%	-8.75%	-9.25%	-0.40%
2011	9	-11.06%	$24,786	-0.10%	13.20%	-11.12%	-11.15%	-7.31%	-11.06%	-10.81%	-17.89%	-14.62%
2011	10	-3.84%	$23,835	0.03%	-3.84%	14.53%	15.10%	10.97%	5.87%	9.63%	16.27%	7.65%
2011	11	1.98%	$24,307	0.04%	1.98%	-3.96%	-0.38%	-0.36%	1.67%	-2.18%	-1.96%	-0.29%
2011	12	3.44%	$25,144	0.05%	3.44%	4.64%	0.51%	0.91%	-10.66%	-2.21%	-4.30%	-2.89%
2012	1	-0.33%	$25,061	0.08%	-0.33%	6.35%	7.15%	4.90%	11.40%	5.27%	10.99%	3.69%
2012	2	-2.59%	$24,411	-0.14%	-2.59%	-1.07%	2.57%	4.29%	-2.96%	4.83%	5.27%	5.35%
2012	3	-3.11%	$23,651	-0.08%	-4.23%	5.18%	2.48%	3.15%	-1.32%	0.42%	-3.11%	-1.77%
2012	4	-0.56%	$23,518	0.20%	4.83%	3.04%	-1.62%	-0.56%	-0.15%	-2.08%	-1.70%	-1.35%
2012	5	-4.59%	$22,438	0.06%	9.03%	-4.59%	-6.58%	-6.10%	-6.34%	-11.14%	-10.71%	-11.16%
2012	6	5.50%	$23,672	-0.10%	-1.68%	5.50%	5.05%	3.84%	2.35%	7.11%	5.08%	2.02%
2012	7	1.88%	$24,117	0.22%	3.82%	1.88%	-1.52%	1.01%	0.84%	0.08%	-0.03%	5.83%
2012	8	-1.32%	$23,800	0.01%	-1.32%	-0.28%	3.54%	2.46%	4.94%	3.20%	0.41%	5.65%
2012	9	-2.53%	$23,197	0.02%	-2.53%	-2.03%	3.26%	2.62%	4.67%	2.71%	5.22%	-0.38%
2012	10	-0.48%	$23,084	-0.07%	-0.48%	-0.89%	-2.17%	-1.77%	-2.94%	1.09%	-0.44%	-3.91%
2012	11	2.78%	$23,726	0.05%	1.38%	-0.48%	0.55%	0.88%	-0.47%	2.78%	1.56%	1.96%
2012	12	4.37%	$24,763	0.02%	-2.49%	3.71%	3.62%	1.18%	-2.43%	4.37%	6.80%	-1.14%
2013	1	3.73%	$25,686	0.01%	-3.19%	3.43%	6.24%	5.37%	-0.51%	3.73%	-0.29%	2.48%
2013	2	-1.29%	$25,355	0.06%	1.24%	0.81%	1.00%	1.06%	-5.09%	-1.29%	-2.28%	-4.71%
2013	3	1.31%	$25,686	0.03%	-0.42%	2.58%	4.66%	3.95%	0.95%	1.31%	-1.02%	0.66%
2013	4	-0.35%	$25,597	0.07%	4.68%	6.78%	-0.35%	1.90%	-7.56%	5.02%	1.22%	-3.81%
2013	5	-5.96%	$24,071	-0.13%	-6.76%	-5.96%	3.93%	1.74%	-6.20%	-3.02%	-4.83%	-1.56%
2013	6	-0.82%	$23,874	-0.10%	-3.27%	-1.71%	-0.82%	-0.54%	-11.06%	-2.70%	-5.35%	-2.82%
2013	7	7.33%	$25,625	0.16%	-2.26%	0.72%	7.33%	4.88%	7.43%	5.32%	1.32%	3.18%
2013	8	-3.16%	$24,814	-0.10%	-1.34%	-6.93%	-3.16%	-2.77%	5.20%	-1.96%	-2.54%	2.82%
2013	9	6.49%	$26,424	0.22%	0.66%	3.28%	6.49%	3.62%	-4.78%	7.82%	7.21%	-3.38%
2013	10	2.42%	$27,064	0.07%	1.43%	4.04%	2.42%	4.35%	-0.34%	3.26%	4.17%	-0.04%
2013	11	3.96%	$28,135	0.09%	-2.70%	-5.52%	3.96%	2.73%	-5.51%	0.55%	-0.26%	-0.93%
2013	12	2.02%	$28,702	-0.18%	-1.87%	0.46%	2.02%	2.70%	-3.79%	2.16%	-0.42%	0.59%
2014	1	-5.20%	$27,209	0.20%	6.30%	3.89%	-2.77%	-3.24%	3.42%	-5.20%	-8.64%	-3.04%
2014	2	4.78%	$28,509	0.04%	0.52%	5.23%	4.78%	4.81%	6.27%	6.13%	3.38%	5.02%
2014	3	0.55%	$28,666	-0.11%	0.73%	0.79%	-0.75%	0.55%	-3.14%	-0.46%	3.88%	-0.04%
2014	4	0.46%	$28,797	0.11%	2.10%	3.72%	-3.75%	0.46%	0.49%	1.67%	0.78%	1.11%
2014	5	2.45%	$29,502	0.18%	2.95%	2.45%	0.79%	2.27%	-3.05%	1.60%	2.95%	-1.44%
2014	6	0.91%	$29,769	-0.08%	-0.25%	0.91%	5.27%	2.29%	6.32%	0.92%	2.40%	2.11%
2014	7	1.36%	$30,176	-0.08%	0.67%	0.14%	-6.05%	-1.62%	-3.63%	-2.60%	1.36%	-4.74%
2014	8	2.83%	$31,030	0.19%	4.72%	2.78%	4.83%	4.07%	0.38%	0.18%	2.83%	-1.15%
2014	9	-7.77%	$28,619	-0.07%	-2.11%	-5.82%	-5.93%	-1.72%	-6.18%	-3.88%	-7.77%	-7.23%
2014	10	2.81%	$29,425	0.26%	2.81%	10.60%	6.59%	2.39%	-3.05%	-0.27%	1.42%	-3.88%
2014	11	2.15%	$30,058	0.11%	2.97%	2.15%	0.11%	2.71%	-0.49%	0.06%	-1.54%	-8.51%
2014	12	1.88%	$30,624	-0.29%	3.25%	1.88%	2.89%	-0.29%	1.31%	-4.00%	-3.99%	-9.65%
2015	1	9.82%	$33,630	0.63%	9.82%	6.56%	-3.28%	-2.69%	8.69%	0.62%	-0.69%	-5.69%
2015	2	-6.14%	$31,566	-0.29%	-6.14%	-3.67%	5.95%	5.66%	-5.91%	6.34%	4.41%	4.43%
2015	3	1.86%	$32,152	0.25%	1.10%	1.86%	1.78%	-1.30%	-2.15%	-1.43%	-1.50%	-6.05%
2015	4	-3.43%	$31,050	0.03%	-3.43%	-5.89%	-2.56%	0.81%	-0.17%	3.65%	6.85%	7.15%
2015	5	0.20%	$31,111	0.04%	-2.37%	-0.03%	2.24%	1.28%	0.56%	0.20%	-4.10%	-3.17%
2015	6	-3.12%	$30,141	0.03%	-4.07%	-4.40%	0.78%	-1.89%	-1.52%	-3.12%	-2.93%	1.64%
2015	7	-1.10%	$29,809	0.04%	4.55%	5.91%	-1.10%	1.96%	-6.62%	2.03%	-6.31%	-12.61%
2015	8	-7.43%	$27,596	-0.05%	-0.69%	-5.91%	-6.31%	-6.02%	3.71%	-7.43%	-8.84%	-0.25%
2015	9	0.30%	$27,677	0.30%	1.97%	3.39%	-4.93%	-2.81%	-1.80%	-4.42%	-3.13%	-3.44%
2015	10	-0.14%	$27,638	-0.14%	-0.41%	5.79%	5.62%	8.11%	2.28%	6.61%	6.38%	0.33%
2015	11	-0.61%	$27,468	-0.26%	-0.87%	-0.61%	3.26%	0.41%	-6.75%	-0.75%	-2.52%	-6.64%
2015	12	2.21%	$28,076	-0.15%	-0.30%	2.21%	-5.03%	-1.92%	-0.45%	-2.34%	-3.83%	-5.85%
2016	1	-4.06%	$26,936	0.65%	5.57%	-4.06%	-8.58%	-5.44%	5.41%	-5.52%	-5.03%	-4.34%
2016	2	-0.85%	$26,707	0.11%	3.09%	-0.85%	-0.22%	0.00%	10.93%	-3.33%	-0.82%	-0.23%
2016	3	-0.84%	$26,481	0.14%	-0.09%	10.37%	8.02%	6.99%	-0.84%	6.58%	12.96%	4.24%
2016	4	5.11%	$27,834	0.04%	-0.74%	-2.96%	1.67%	0.53%	5.11%	2.22%	0.41%	9.71%
2016	5	-6.14%	$26,126	-0.12%	0.81%	1.98%	2.24%	1.67%	-6.14%	-0.09%	-3.69%	0.89%
2016	6	8.97%	$28,469	0.60%	6.93%	6.46%	-0.02%	0.27%	8.97%	-2.42%	4.56%	4.35%
2016	7	-6.97%	$26,485	-0.05%	2.10%	4.38%	5.87%	3.79%	1.98%	3.98%	5.38%	-6.97%
2016	8	-3.44%	$25,574	-0.23%	-1.01%	-3.44%	1.78%	0.11%	-3.26%	0.53%	0.88%	0.77%
2016	9	1.08%	$25,849	0.13%	-1.51%	-2.06%	1.08%	0.11%	0.69%	1.34%	2.52%	4.31%
2016	10	-4.60%	$24,661	-0.05%	-4.38%	-5.66%	-4.60%	-1.98%	-2.94%	-2.22%	-0.83%	-0.33%
2016	11	-4.42%	$23,572	-0.47%	-8.21%	-1.35%	11.06%	4.04%	-8.36%	-1.78%	-4.42%	1.67%
2016	12	2.89%	$24,253	0.07%	-0.46%	4.73%	2.89%	1.87%	-1.91%	2.71%	-0.25%	4.14%
2017	1	0.28%	$24,321	0.11%	0.81%	-0.95%	0.28%	1.93%	5.42%	3.29%	6.66%	-0.57%
2017	2	1.93%	$24,790	0.04%	1.59%	3.47%	1.93%	3.82%	3.18%	1.19%	1.74%	-0.19%
2017	3	0.03%	$24,797	0.06%	-0.65%	-2.90%	0.03%	0.09%	-0.43%	3.23%	3.69%	-3.24%
2017	4	1.15%	$25,082	0.19%	1.57%	-0.21%	1.15%	1.04%	1.73%	2.42%	1.70%	-2.70%
2017	5	2.85%	$25,795	0.07%	1.89%	-0.63%	-1.97%	1.28%	-0.12%	3.54%	2.85%	-1.42%
2017	6	0.93%	$26,036	-0.08%	0.79%	2.47%	3.37%	0.71%	-2.16%	0.31%	0.93%	-0.96%
2017	7	5.82%	$27,552	0.19%	-0.66%	0.87%	0.86%	1.91%	2.31%	2.65%	5.82%	4.08%
2017	8	2.35%	$28,200	0.20%	3.41%	-0.79%	-1.26%	0.32%	4.20%	-0.04%	2.35%	0.40%
2017	9	-0.04%	$28,187	-0.19%	-2.32%	0.23%	6.30%	2.06%	-3.37%	2.36%	-0.04%	1.99%
2017	10	3.28%	$29,112	-0.09%	-0.04%	-1.12%	0.73%	2.31%	-0.75%	1.68%	3.28%	3.96%
2017	11	-0.39%	$28,999	-0.22%	0.74%	3.14%	2.94%	3.02%	0.36%	0.69%	-0.39%	0.94%
2017	12	2.78%	$29,806	-0.02%	1.81%	0.04%	-0.40%	1.23%	2.11%	1.35%	3.77%	2.78%
2018	1	2.95%	$30,685	-0.29%	-3.26%	-4.10%	2.56%	5.41%	3.23%	5.02%	8.30%	2.95%
2018	2	-5.90%	$28,875	-0.10%	-3.04%	-7.23%	-3.84%	-3.70%	-2.08%	-4.83%	-5.90%	-2.92%
2018	3	0.54%	$29,032	0.25%	2.86%	3.97%	1.22%	-2.23%	0.63%	-0.84%	0.54%	2.29%
2018	4	3.42%	$30,023	-0.23%	-2.09%	1.45%	0.98%	0.26%	-0.95%	1.52%	-2.82%	3.42%
2018	5	2.68%	$30,827	0.35%	2.01%	4.02%	6.16%	2.57%	-1.20%	-1.89%	-2.62%	2.68%
2018	6	-1.94%	$30,229	0.04%	0.65%	4.33%	0.61%	0.63%	-3.61%	-1.57%	-4.54%	-1.94%
2018	7	0.32%	$30,325	-0.06%	-1.44%	0.32%	1.65%	3.45%	-2.24%	2.85%	3.53%	-2.43%
2018	8	2.99%	$31,232	0.35%	1.31%	2.99%	4.31%	3.39%	-2.14%	-2.24%	-3.77%	0.75%
2018	9	-2.32%	$30,507	-0.14%	-2.86%	-2.74%	-2.32%	0.38%	-0.66%	0.97%	-0.58%	3.39%
2018	10	-7.09%	$28,343	0.15%	-2.93%	-2.54%	-10.99%	-7.09%	2.12%	-8.13%	-8.76%	-5.62%
2018	11	4.90%	$29,731	0.38%	1.79%	4.90%	1.73%	1.92%	0.34%	0.50%	4.90%	-9.85%
2018	12	-8.61%	$27,170	0.76%	5.85%	-8.61%	-11.97%	-8.91%	4.94%	-5.35%	-3.50%	-3.99%
2019	1	2.89%	$27,954	0.25%	0.38%	11.41%	11.32%	8.21%	2.89%	6.63%	10.34%	7.11%
2019	2	-0.61%	$27,784	0.09%	-1.38%	0.99%	5.18%	3.40%	-0.61%	2.54%	-1.53%	2.84%
2019	3	-1.60%	$27,340	0.63%	5.57%	2.81%	-2.09%	1.77%	-1.60%	0.92%	1.13%	-0.38%
2019	4	-1.99%	$26,797	0.18%	-1.99%	-0.24%	3.40%	3.93%	-0.66%	2.93%	2.35%	1.19%
2019	5	-7.33%	$24,833	0.72%	6.84%	-0.31%	-7.85%	-6.33%	1.76%	-5.03%	-7.33%	-5.97%
2019	6	1.31%	$25,157	0.46%	0.95%	1.31%	6.98%	6.87%	8.00%	5.91%	6.20%	3.97%
2019	7	0.26%	$25,222	-0.06%	0.26%	1.56%	0.68%	1.63%	0.01%	-1.95%	-2.66%	-1.14%
2019	8	11.04%	$28,008	0.78%	11.04%	2.37%	-4.93%	-1.87%	7.91%	-1.92%	-3.78%	-4.63%
2019	9	-3.39%	$27,057	-0.13%	-2.68%	2.66%	2.04%	1.79%	-3.39%	3.16%	1.69%	1.42%
2019	10	-1.11%	$26,756	0.31%	-1.11%	1.11%	2.72%	2.10%	2.56%	3.39%	4.18%	1.93%
2019	11	-3.21%	$25,897	-0.05%	-0.41%	-1.39%	4.07%	3.81%	-3.21%	1.13%	-0.09%	-0.13%
2019	12	2.80%	$26,621	0.16%	-3.20%	-1.03%	2.78%	2.80%	3.66%	2.98%	7.71%	5.85%
2020	1	-6.15%	$24,984	0.58%	7.69%	0.46%	-3.10%	0.12%	4.50%	-2.82%	-6.15%	-8.59%
2020	2	-8.07%	$22,968	0.88%	6.63%	-8.36%	-8.85%	-8.07%	-0.64%	-7.77%	-3.78%	-6.65%
2020	3	6.38%	$24,433	1.24%	6.38%	-22.37%	-21.48%	-13.35%	-0.22%	-14.11%	-15.77%	-17.34%
2020	4	1.22%	$24,731	0.27%	1.22%	7.85%	13.85%	13.20%	7.26%	5.82%	7.35%	-3.11%
2020	5	-1.76%	$24,295	-0.08%	-1.76%	-0.60%	6.59%	5.16%	2.59%	5.43%	2.97%	8.07%

Portfolio return and risk metrics
Metric	Momentum Model
Arithmetic Mean (monthly)	0.69%
Arithmetic Mean (annualized)	8.57%
Geometric Mean (monthly)	0.55%
Geometric Mean (annualized)	6.84%
Volatility (monthly)	5.24%
Volatility (annualized)	18.16%
Downside Deviation (monthly)	3.16%
Max. Drawdown	-31.70%
US Market Correlation	0.22
Beta^(*)	0.25
Alpha (annualized)	6.01%
R²	4.78%
Sharpe Ratio	0.41
Sortino Ratio	0.66
Treynor Ratio (%)	29.52
Calmar Ratio	-0.07
Active Return	-1.17%
Tracking Error	21.39%
Information Ratio	-0.05
Skewness	0.29
Excess Kurtosis	0.23
Historical Value-at-Risk (5%)	-7.63%
Analytical Value-at-Risk (5%)	-7.93%
Conditional Value-at-Risk (5%)	-9.22%
Upside Capture Ratio (%)	44.77
Downside Capture Ratio (%)	33.01
Safe Withdrawal Rate	16.51%
Perpetual Withdrawal Rate	4.86%
Positive Periods	87 out of 161 (54.04%)
Gain/Loss Ratio	1.19
^* US stock market 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 Period	Start	End	Momentum Model
Subprime Crisis	Nov 2007	Mar 2009	-23.66%

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2015	Feb 2020	5 years 1 month				-31.70%
2	May 2010	Nov 2010	7 months	Aug 2011	9 months	1 year 4 months	-24.13%
3	Jul 2008	Oct 2008	4 months	Jul 2009	9 months	1 year 1 month	-23.66%
4	Sep 2011	May 2012	9 months	Nov 2013	1 year 6 months	2 years 3 months	-19.49%
5	Sep 2014	Sep 2014	1 month	Jan 2015	4 months	5 months	-7.77%
6	Nov 2007	Nov 2007	1 month	Jan 2008	2 months	3 months	-7.65%
7	Jan 2010	Jan 2010	1 month	Apr 2010	3 months	4 months	-5.87%
8	Jan 2014	Jan 2014	1 month	Apr 2014	3 months	4 months	-5.20%
9	Oct 2009	Oct 2009	1 month	Nov 2009	1 month	2 months	-3.44%
10	Feb 2007	Feb 2007	1 month	Mar 2007	1 month	2 months	-2.38%
Worst 10 drawdowns included above

Rolling returns summary
Roll Period	Average	High	Low
1 year	9.53%	45.50%	-15.82%
3 years	6.66%	38.01%	-5.46%
5 years	5.02%	20.25%	-2.76%
7 years	5.31%	16.26%	-1.15%
10 years	4.87%	9.26%	0.13%
Result statistics are based on annualized rolling returns over full calendar year periods

Timing periods and related holdings for the timing portfolio
#	Start	End	Months	Assets	Asset Performance	Momentum Model
1	Jan 2007	Jan 2007	1	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: 0.11%	0.11%
2	Feb 2007	Feb 2007	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -2.38%	-2.38%
3	Mar 2007	Nov 2007	9	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: 39.60%	39.60%
4	Dec 2007	Feb 2008	3	100.00% SPDR Gold Shares (GLD)	GLD: 24.39%	24.39%
5	Mar 2008	Aug 2008	6	100.00% Invesco DB Commodity Tracking (DBC)	DBC: 4.60%	4.60%
6	Sep 2008	Sep 2008	1	100.00% iShares Russell 2000 ETF (IWM)	IWM: -7.75%	-7.75%
7	Oct 2008	Mar 2009	6	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: 13.55%	13.55%
8	Apr 2009	Apr 2009	1	100.00% SPDR Gold Shares (GLD)	GLD: -3.33%	-3.33%
9	May 2009	Aug 2009	4	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: 24.16%	24.16%
10	Sep 2009	Sep 2009	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 6.84%	6.84%
11	Oct 2009	Oct 2009	1	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -3.44%	-3.44%
12	Nov 2009	Jan 2010	3	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 7.48%	7.48%
13	Feb 2010	Mar 2010	2	100.00% SPDR Gold Shares (GLD)	GLD: 2.82%	2.82%
14	Apr 2010	Jun 2010	3	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -4.31%	-4.31%
15	Jul 2010	Jul 2010	1	100.00% SPDR Gold Shares (GLD)	GLD: -5.09%	-5.09%
16	Aug 2010	Aug 2010	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -1.27%	-1.27%
17	Sep 2010	Oct 2010	2	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: -6.87%	-6.87%
18	Nov 2010	Dec 2010	2	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: 4.15%	4.15%
19	Jan 2011	Feb 2011	2	100.00% iShares Russell 2000 ETF (IWM)	IWM: 5.15%	5.15%
20	Mar 2011	May 2011	3	100.00% Invesco DB Commodity Tracking (DBC)	DBC: 1.78%	1.78%
21	Jun 2011	Jun 2011	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -3.33%	-3.33%
22	Jul 2011	Sep 2011	3	100.00% SPDR Gold Shares (GLD)	GLD: 8.26%	8.26%
23	Oct 2011	Feb 2012	5	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: -1.51%	-1.51%
24	Mar 2012	Mar 2012	1	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -3.11%	-3.11%
25	Apr 2012	Apr 2012	1	100.00% iShares Russell 1000 ETF (IWB)	IWB: -0.56%	-0.56%
26	May 2012	Jul 2012	3	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 2.55%	2.55%
27	Aug 2012	Oct 2012	3	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: -4.28%	-4.28%
28	Nov 2012	Mar 2013	5	100.00% iShares MSCI EAFE ETF (EFA)	EFA: 11.27%	11.27%
29	Apr 2013	Apr 2013	1	100.00% iShares Russell 2000 ETF (IWM)	IWM: -0.35%	-0.35%
30	May 2013	May 2013	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -5.96%	-5.96%
31	Jun 2013	Dec 2013	7	100.00% iShares Russell 2000 ETF (IWM)	IWM: 19.24%	19.24%
32	Jan 2014	Jan 2014	1	100.00% iShares MSCI EAFE ETF (EFA)	EFA: -5.20%	-5.20%
33	Feb 2014	Feb 2014	1	100.00% iShares Russell 2000 ETF (IWM)	IWM: 4.78%	4.78%
34	Mar 2014	Apr 2014	2	100.00% iShares Russell 1000 ETF (IWB)	IWB: 1.01%	1.01%
35	May 2014	Jun 2014	2	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 3.38%	3.38%
36	Jul 2014	Sep 2014	3	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -3.86%	-3.86%
37	Oct 2014	Oct 2014	1	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: 2.81%	2.81%
38	Nov 2014	Dec 2014	2	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 4.08%	4.08%
39	Jan 2015	Feb 2015	2	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: 3.08%	3.08%
40	Mar 2015	Mar 2015	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 1.86%	1.86%
41	Apr 2015	Apr 2015	1	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: -3.43%	-3.43%
42	May 2015	Jun 2015	2	100.00% iShares MSCI EAFE ETF (EFA)	EFA: -2.93%	-2.93%
43	Jul 2015	Jul 2015	1	100.00% iShares Russell 2000 ETF (IWM)	IWM: -1.10%	-1.10%
44	Aug 2015	Aug 2015	1	100.00% iShares MSCI EAFE ETF (EFA)	EFA: -7.43%	-7.43%
45	Sep 2015	Oct 2015	2	100.00% iShares 1-3 Year Treasury Bond ETF (SHY)	SHY: 0.15%	0.15%
46	Nov 2015	Feb 2016	4	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -3.37%	-3.37%
47	Mar 2016	Jun 2016	4	100.00% SPDR Gold Shares (GLD)	GLD: 6.60%	6.60%
48	Jul 2016	Jul 2016	1	100.00% Invesco DB Commodity Tracking (DBC)	DBC: -6.97%	-6.97%
49	Aug 2016	Aug 2016	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -3.44%	-3.44%
50	Sep 2016	Oct 2016	2	100.00% iShares Russell 2000 ETF (IWM)	IWM: -3.57%	-3.57%
51	Nov 2016	Nov 2016	1	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -4.42%	-4.42%
52	Dec 2016	Apr 2017	5	100.00% iShares Russell 2000 ETF (IWM)	IWM: 6.41%	6.41%
53	May 2017	Nov 2017	7	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: 15.62%	15.62%
54	Dec 2017	Jan 2018	2	100.00% Invesco DB Commodity Tracking (DBC)	DBC: 5.82%	5.82%
55	Feb 2018	Mar 2018	2	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -5.39%	-5.39%
56	Apr 2018	Jun 2018	3	100.00% Invesco DB Commodity Tracking (DBC)	DBC: 4.12%	4.12%
57	Jul 2018	Aug 2018	2	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 3.32%	3.32%
58	Sep 2018	Sep 2018	1	100.00% iShares Russell 2000 ETF (IWM)	IWM: -2.32%	-2.32%
59	Oct 2018	Oct 2018	1	100.00% iShares Russell 1000 ETF (IWB)	IWB: -7.09%	-7.09%
60	Nov 2018	Dec 2018	2	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: -4.14%	-4.14%
61	Jan 2019	Mar 2019	3	100.00% SPDR Gold Shares (GLD)	GLD: 0.63%	0.63%
62	Apr 2019	Apr 2019	1	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: -1.99%	-1.99%
63	May 2019	May 2019	1	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -7.33%	-7.33%
64	Jun 2019	Jun 2019	1	100.00% SPDR Dow Jones REIT ETF (RWR)	RWR: 1.31%	1.31%
65	Jul 2019	Aug 2019	2	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: 11.33%	11.33%
66	Sep 2019	Sep 2019	1	100.00% SPDR Gold Shares (GLD)	GLD: -3.39%	-3.39%
67	Oct 2019	Oct 2019	1	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: -1.11%	-1.11%
68	Nov 2019	Nov 2019	1	100.00% SPDR Gold Shares (GLD)	GLD: -3.21%	-3.21%
69	Dec 2019	Dec 2019	1	100.00% iShares Russell 1000 ETF (IWB)	IWB: 2.80%	2.80%
70	Jan 2020	Jan 2020	1	100.00% iShares MSCI Emerging Markets ETF (EEM)	EEM: -6.15%	-6.15%
71	Feb 2020	Feb 2020	1	100.00% iShares Russell 1000 ETF (IWB)	IWB: -8.07%	-8.07%
72	Mar 2020	May 2020	3	100.00% iShares 20+ Year Treasury Bond ETF (TLT)	TLT: 5.77%	5.77%
73	Jun 2020	Jun 2020	1	Please sign-in for forward signals	-	-