Test Market Timing Models

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

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

Seasonal Model

Seasonal model moves the portfolio out of market based on specific calendar months. Sell in May and Go Away model is a well-known example that avoids historical underperformance of some stocks in the six-month period commencing in May and ending in October.

Shiller PE Ratio Market Valuation

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

Moving Averages - Single Asset

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

Moving Averages - Portfolio Assets

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

Momentum - Relative Strength

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

Momentum - Dual Momentum

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

Adaptive Allocation

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

Target Volatility

The target volatility model adjusts the market exposure of the portfolio based on the realized historic volatility and the given volatility target. The cash allocation in the portfolio is increased or decreased as required to meet the targeted volatility level in order to improve the risk adjusted performance.
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Timing Periods
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Model Simulation Results (Jan 2007 - Dec 2021) Save

Tactical asset allocation model results from Jan 2007 to Dec 2021 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
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Momentum Model$10,000$36,8679.09%18.04%45.50%-15.82%-31.70% 0.530.870.26
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Momentum Model5.13%25.63%25.63%10.71%8.74%3.90%9.09%17.13%15.31%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • An equal-weight allocation is used for the assets held by the momentum model.
  • The results for the tactical asset allocation model assume monthly rebalancing trades.
  • The relative strength signal is based on total return including dividends.
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationMomentum Model ReturnMomentum Model BalanceiShares 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)
20074.08%45.50%$14,5507.35%10.29%-17.84%-1.78%5.32%30.45%9.94%33.31%31.59%
20080.09%43.51%$20,8816.62%33.93%-38.83%-34.13%-37.40%4.92%-41.04%-48.88%-31.77%
20092.72%25.90%$26,2890.35%-21.80%28.32%28.51%28.35%24.03%26.95%68.93%16.19%
20101.50%-15.82%$22,1292.28%9.05%27.96%26.93%16.06%29.27%8.15%16.51%11.90%
20112.96%13.63%$25,1441.44%33.96%8.97%-4.44%1.23%9.57%-12.25%-18.82%-2.58%
20121.74%-1.52%$24,7630.28%2.63%16.87%16.70%16.50%6.60%18.82%19.10%3.50%
20131.50%15.91%$28,7020.21%-13.37%0.93%38.69%32.78%-28.33%21.40%-3.69%-7.63%
20140.76%6.70%$30,6240.45%27.30%31.82%5.03%13.08%-2.19%-6.20%-3.93%-28.10%
20150.73%-8.32%$28,0760.43%-1.79%4.12%-4.47%0.79%-10.67%-1.00%-16.18%-27.59%
20162.07%-13.62%$24,2530.82%1.18%6.41%21.60%12.03%8.03%1.37%10.87%18.56%
20172.11%22.90%$29,8060.26%9.18%3.46%14.59%21.53%12.81%25.10%37.28%4.86%
20181.91%-8.84%$27,1701.46%-1.61%-4.40%-11.11%-4.88%-1.94%-13.81%-15.31%-11.62%
20192.29%-2.02%$26,6213.38%14.12%22.73%25.39%31.06%17.86%22.03%18.20%11.84%
20201.36%10.23%$29,3463.03%18.15%-12.09%20.03%20.77%24.81%7.59%17.03%-7.84%
20217.04%25.63%$36,867-0.72%-4.60%44.44%14.54%26.32%-4.15%11.46%-3.61%41.36%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMomentum Model ReturnMomentum Model BalanceiShares 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)
200710.11%$10,0110.16%-1.00%8.90%1.69%1.87%2.56%1.39%0.11%-2.40%
20072-2.38%$9,7730.73%3.39%-2.38%-0.66%-1.67%2.55%-0.12%-3.24%5.09%
200735.33%$10,2940.45%-1.70%-2.54%0.98%1.00%-1.11%2.90%5.33%0.67%
200743.73%$10,6780.31%0.90%-0.08%1.62%4.25%2.05%3.75%3.73%0.75%
200755.06%$11,218-0.07%-2.31%-0.03%4.37%3.59%-2.31%2.36%5.06%-0.23%
200763.68%$11,6310.48%-1.01%-9.01%-1.44%-1.90%-1.94%-0.32%3.68%0.74%
200770.71%$11,7140.90%3.32%-8.21%-7.00%-3.19%2.37%-2.29%0.71%1.91%
200781.04%$11,8361.05%1.79%5.65%2.13%1.16%1.11%-0.63%1.04%-1.91%
2007911.57%$13,2060.55%0.23%4.32%1.90%4.08%10.51%5.32%11.57%9.42%
20071011.87%$14,7730.48%1.81%0.92%2.85%1.60%6.95%4.25%11.87%8.50%
200711-7.65%$13,6431.79%5.35%-9.64%-6.89%-4.09%-1.65%-3.62%-7.65%-0.62%
2007126.65%$14,5500.30%-0.64%-5.44%-0.64%-1.07%6.65%-2.99%-1.43%6.72%
2008110.84%$16,1271.65%2.10%-0.84%-6.53%-5.87%10.84%-7.85%-8.92%2.92%
200825.23%$16,9711.03%-0.46%-3.48%-2.93%-2.84%5.23%-1.02%1.99%11.15%
20083-0.91%$16,8160.25%2.14%6.72%-0.67%-0.69%-6.00%0.42%-3.75%-0.91%
200846.04%$17,831-0.84%-2.48%6.48%4.55%4.96%-4.16%5.44%9.14%6.04%
200856.91%$19,063-0.35%-2.69%-0.30%4.58%1.72%0.92%1.19%3.16%6.91%
2008610.43%$21,0510.24%2.65%-10.82%-7.53%-8.31%4.52%-8.80%-9.29%10.43%
20087-9.78%$18,9920.43%-0.37%2.92%3.68%-0.94%-1.44%-3.32%-5.50%-9.78%
20088-6.53%$17,7510.47%2.74%2.08%3.58%1.38%-9.29%-4.25%-6.32%-6.53%
20089-7.75%$16,3760.78%1.47%-0.57%-7.75%-9.34%4.11%-11.44%-14.68%-10.25%
200810-1.86%$16,0701.10%-1.86%-31.24%-20.96%-17.13%-16.14%-20.83%-25.58%-25.08%
20081114.34%$18,3751.10%14.34%-23.93%-11.93%-8.37%12.57%-6.37%-9.75%-12.37%
20081213.64%$20,8810.56%13.64%15.77%4.82%1.84%7.73%8.88%10.35%-3.22%
20091-13.07%$18,152-0.44%-13.07%-17.86%-9.67%-7.94%5.54%-13.73%-9.29%-4.44%
20092-1.54%$17,873-0.15%-1.54%-21.81%-11.98%-10.45%1.45%-10.39%-6.27%-5.63%
200934.04%$18,5950.50%4.04%3.42%7.77%8.17%-2.54%8.39%16.86%4.66%
20094-3.33%$17,975-0.17%-6.95%31.64%15.39%10.54%-3.33%11.52%15.56%-0.10%
2009515.94%$20,8410.06%-3.69%4.15%3.40%5.88%10.23%13.19%15.94%16.27%
20096-2.25%$20,371-0.09%0.76%-4.69%1.81%0.08%-5.22%-1.43%-2.25%-2.63%
2009711.01%$22,6140.11%0.58%10.52%9.18%7.52%2.38%10.04%11.01%1.86%
20098-1.31%$22,3170.41%2.24%14.72%2.93%3.69%0.05%4.50%-1.31%-4.04%
200996.84%$23,8440.24%2.46%6.84%5.56%3.90%5.84%3.80%10.20%-0.23%
200910-3.44%$23,0230.14%-2.62%-4.41%-6.49%-2.22%3.72%-2.52%-3.44%6.94%
2009116.82%$24,5940.60%1.21%6.82%3.12%5.98%12.79%3.92%7.85%4.54%
2009126.89%$26,289-0.84%-6.34%6.89%7.92%2.35%-7.20%0.70%3.27%-0.16%
20101-5.87%$24,7450.80%2.69%-5.87%-3.73%-3.62%-1.26%-5.07%-7.76%-7.84%
201023.27%$25,5550.16%-0.34%5.68%4.48%3.27%3.27%0.27%1.78%4.14%
20103-0.44%$25,443-0.27%-2.06%10.47%8.23%6.30%-0.44%6.39%8.11%-0.47%
201046.86%$27,1900.30%3.32%6.86%5.68%1.83%5.88%-2.80%-0.17%3.91%
20105-5.41%$25,7180.45%5.11%-5.41%-7.54%-7.96%3.05%-11.19%-9.39%-10.15%
20106-5.34%$24,3460.42%5.80%-5.34%-7.74%-5.65%2.36%-2.07%-1.40%-1.78%
20107-5.09%$23,1070.19%-0.95%9.92%6.73%7.02%-5.09%11.61%10.93%6.12%
20108-1.27%$22,8140.24%8.40%-1.27%-7.44%-4.44%5.71%-3.80%-3.24%-3.01%
20109-2.51%$22,2410.12%-2.51%4.43%12.45%9.14%4.78%9.97%11.76%8.60%
201010-4.47%$21,2470.22%-4.47%4.39%4.15%3.86%3.68%3.81%3.02%4.44%
201011-2.91%$20,630-0.20%-1.69%-1.77%3.49%0.20%2.11%-4.82%-2.91%-0.44%
2010127.27%$22,129-0.16%-3.68%4.71%8.03%6.81%2.44%8.30%7.27%9.89%
20111-0.37%$22,0470.13%-3.08%3.36%-0.37%2.32%-6.38%2.10%-3.84%3.56%
201125.54%$23,268-0.12%1.65%4.76%5.54%3.53%6.00%3.55%-0.04%4.17%
201132.66%$23,887-0.13%0.03%-1.60%2.52%0.22%1.60%-2.39%6.29%2.66%
201144.56%$24,9750.53%2.34%5.96%2.64%2.95%8.94%5.63%2.73%4.56%
20115-5.17%$23,6830.36%3.42%1.45%-1.79%-1.09%-1.79%-2.21%-2.94%-5.17%
20116-3.33%$22,895-0.00%-2.33%-3.33%-2.40%-1.77%-2.43%-1.19%-0.93%-4.26%
201178.42%$24,8220.29%4.42%1.71%-3.41%-2.12%8.42%-2.38%-1.03%4.56%
2011812.27%$27,8690.34%9.66%-5.40%-8.89%-5.83%12.27%-8.75%-9.25%-0.40%
20119-11.06%$24,786-0.10%13.20%-11.12%-11.15%-7.31%-11.06%-10.81%-17.89%-14.62%
201110-3.84%$23,8350.03%-3.84%14.53%15.10%10.97%5.87%9.63%16.27%7.65%
2011111.98%$24,3070.04%1.98%-3.96%-0.38%-0.36%1.67%-2.18%-1.96%-0.29%
2011123.44%$25,1440.05%3.44%4.64%0.51%0.91%-10.66%-2.21%-4.30%-2.89%
20121-0.33%$25,0610.08%-0.33%6.35%7.15%4.90%11.40%5.27%10.99%3.69%
20122-2.59%$24,411-0.14%-2.59%-1.07%2.57%4.29%-2.96%4.83%5.27%5.35%
20123-3.11%$23,651-0.08%-4.23%5.18%2.48%3.15%-1.32%0.42%-3.11%-1.77%
20124-0.56%$23,5180.20%4.83%3.04%-1.62%-0.56%-0.15%-2.08%-1.70%-1.35%
20125-4.59%$22,4380.06%9.03%-4.59%-6.58%-6.10%-6.34%-11.14%-10.71%-11.16%
201265.50%$23,672-0.10%-1.68%5.50%5.05%3.84%2.35%7.11%5.08%2.02%
201271.88%$24,1170.22%3.82%1.88%-1.52%1.01%0.84%0.08%-0.03%5.83%
20128-1.32%$23,8000.01%-1.32%-0.28%3.54%2.46%4.94%3.20%0.41%5.65%
20129-2.53%$23,1970.02%-2.53%-2.03%3.26%2.62%4.67%2.71%5.22%-0.38%
201210-0.48%$23,084-0.07%-0.48%-0.89%-2.17%-1.77%-2.94%1.09%-0.44%-3.91%
2012112.78%$23,7260.05%1.38%-0.48%0.55%0.88%-0.47%2.78%1.56%1.96%
2012124.37%$24,7630.02%-2.49%3.71%3.62%1.18%-2.43%4.37%6.80%-1.14%
201313.73%$25,6860.01%-3.19%3.43%6.24%5.37%-0.51%3.73%-0.29%2.48%
20132-1.29%$25,3550.06%1.24%0.81%1.00%1.06%-5.09%-1.29%-2.28%-4.71%
201331.31%$25,6860.03%-0.42%2.58%4.66%3.95%0.95%1.31%-1.02%0.66%
20134-0.35%$25,5970.07%4.68%6.78%-0.35%1.90%-7.56%5.02%1.22%-3.81%
20135-5.96%$24,071-0.13%-6.76%-5.96%3.93%1.74%-6.20%-3.02%-4.83%-1.56%
20136-0.82%$23,874-0.10%-3.27%-1.71%-0.82%-0.54%-11.06%-2.70%-5.35%-2.82%
201377.33%$25,6250.16%-2.26%0.72%7.33%4.88%7.43%5.32%1.32%3.18%
20138-3.16%$24,814-0.10%-1.34%-6.93%-3.16%-2.77%5.20%-1.96%-2.54%2.82%
201396.49%$26,4240.22%0.66%3.28%6.49%3.62%-4.78%7.82%7.21%-3.38%
2013102.42%$27,0640.07%1.43%4.04%2.42%4.35%-0.34%3.26%4.17%-0.04%
2013113.96%$28,1350.09%-2.70%-5.52%3.96%2.73%-5.51%0.55%-0.26%-0.93%
2013122.02%$28,702-0.18%-1.87%0.46%2.02%2.70%-3.79%2.16%-0.42%0.59%
20141-5.20%$27,2090.20%6.30%3.89%-2.77%-3.24%3.42%-5.20%-8.64%-3.04%
201424.78%$28,5090.04%0.52%5.23%4.78%4.81%6.27%6.13%3.38%5.02%
201430.55%$28,666-0.11%0.73%0.79%-0.75%0.55%-3.14%-0.46%3.88%-0.04%
201440.46%$28,7970.11%2.10%3.72%-3.75%0.46%0.49%1.67%0.78%1.11%
201452.45%$29,5020.18%2.95%2.45%0.79%2.27%-3.05%1.60%2.95%-1.44%
201460.91%$29,769-0.08%-0.25%0.91%5.27%2.29%6.32%0.92%2.40%2.11%
201471.36%$30,176-0.08%0.67%0.14%-6.05%-1.62%-3.63%-2.60%1.36%-4.74%
201482.83%$31,0300.19%4.72%2.78%4.83%4.07%0.38%0.18%2.83%-1.15%
20149-7.77%$28,619-0.07%-2.11%-5.82%-5.93%-1.72%-6.18%-3.88%-7.77%-7.23%
2014102.81%$29,4250.26%2.81%10.60%6.59%2.39%-3.05%-0.27%1.42%-3.88%
2014112.15%$30,0580.11%2.97%2.15%0.11%2.71%-0.49%0.06%-1.54%-8.51%
2014121.88%$30,624-0.29%3.25%1.88%2.89%-0.29%1.31%-4.00%-3.99%-9.65%
201519.82%$33,6300.63%9.82%6.56%-3.28%-2.69%8.69%0.62%-0.69%-5.69%
20152-6.14%$31,566-0.29%-6.14%-3.67%5.95%5.66%-5.91%6.34%4.41%4.43%
201531.86%$32,1520.25%1.10%1.86%1.78%-1.30%-2.15%-1.43%-1.50%-6.05%
20154-3.43%$31,0500.03%-3.43%-5.89%-2.56%0.81%-0.17%3.65%6.85%7.15%
201550.20%$31,1110.04%-2.37%-0.03%2.24%1.28%0.56%0.20%-4.10%-3.17%
20156-3.12%$30,1410.03%-4.07%-4.40%0.78%-1.89%-1.52%-3.12%-2.93%1.64%
20157-1.10%$29,8090.04%4.55%5.91%-1.10%1.96%-6.62%2.03%-6.31%-12.61%
20158-7.43%$27,596-0.05%-0.69%-5.91%-6.31%-6.02%3.71%-7.43%-8.84%-0.25%
201590.30%$27,6770.30%1.97%3.39%-4.93%-2.81%-1.80%-4.42%-3.13%-3.44%
201510-0.14%$27,638-0.14%-0.41%5.79%5.62%8.11%2.28%6.61%6.38%0.33%
201511-0.61%$27,468-0.26%-0.87%-0.61%3.26%0.41%-6.75%-0.75%-2.52%-6.64%
2015122.21%$28,076-0.15%-0.30%2.21%-5.03%-1.92%-0.45%-2.34%-3.83%-5.85%
20161-4.06%$26,9360.65%5.57%-4.06%-8.58%-5.44%5.41%-5.52%-5.03%-4.34%
20162-0.85%$26,7070.11%3.09%-0.85%-0.22%0.00%10.93%-3.33%-0.82%-0.23%
20163-0.84%$26,4810.14%-0.09%10.37%8.02%6.99%-0.84%6.58%12.96%4.24%
201645.11%$27,8340.04%-0.74%-2.96%1.67%0.53%5.11%2.22%0.41%9.71%
20165-6.14%$26,126-0.12%0.81%1.98%2.24%1.67%-6.14%-0.09%-3.69%0.89%
201668.97%$28,4690.60%6.93%6.46%-0.02%0.27%8.97%-2.42%4.56%4.35%
20167-6.97%$26,485-0.05%2.10%4.38%5.87%3.79%1.98%3.98%5.38%-6.97%
20168-3.44%$25,574-0.23%-1.01%-3.44%1.78%0.11%-3.26%0.53%0.88%0.77%
201691.08%$25,8490.13%-1.51%-2.06%1.08%0.11%0.69%1.34%2.52%4.31%
201610-4.60%$24,661-0.05%-4.38%-5.66%-4.60%-1.98%-2.94%-2.22%-0.83%-0.33%
201611-4.42%$23,572-0.47%-8.21%-1.35%11.06%4.04%-8.36%-1.78%-4.42%1.67%
2016122.89%$24,2530.07%-0.46%4.73%2.89%1.87%-1.91%2.71%-0.25%4.14%
201710.28%$24,3210.11%0.81%-0.95%0.28%1.93%5.42%3.29%6.66%-0.57%
201721.93%$24,7900.04%1.59%3.47%1.93%3.82%3.18%1.19%1.74%-0.19%
201730.03%$24,7970.06%-0.65%-2.90%0.03%0.09%-0.43%3.23%3.69%-3.24%
201741.15%$25,0820.19%1.57%-0.21%1.15%1.04%1.73%2.42%1.70%-2.70%
201752.85%$25,7950.07%1.89%-0.63%-1.97%1.28%-0.12%3.54%2.85%-1.42%
201760.93%$26,036-0.08%0.79%2.47%3.37%0.71%-2.16%0.31%0.93%-0.96%
201775.82%$27,5520.19%-0.66%0.87%0.86%1.91%2.31%2.65%5.82%4.08%
201782.35%$28,2000.20%3.41%-0.79%-1.26%0.32%4.20%-0.04%2.35%0.40%
20179-0.04%$28,187-0.19%-2.32%0.23%6.30%2.06%-3.37%2.36%-0.04%1.99%
2017103.28%$29,112-0.09%-0.04%-1.12%0.73%2.31%-0.75%1.68%3.28%3.96%
201711-0.39%$28,999-0.22%0.74%3.14%2.94%3.02%0.36%0.69%-0.39%0.94%
2017122.78%$29,806-0.02%1.81%0.04%-0.40%1.23%2.11%1.35%3.77%2.78%
201812.95%$30,685-0.29%-3.26%-4.10%2.56%5.41%3.23%5.02%8.30%2.95%
20182-5.90%$28,875-0.10%-3.04%-7.23%-3.84%-3.70%-2.08%-4.83%-5.90%-2.92%
201830.54%$29,0320.25%2.86%3.97%1.22%-2.23%0.63%-0.84%0.54%2.29%
201843.42%$30,023-0.23%-2.09%1.45%0.98%0.26%-0.95%1.52%-2.82%3.42%
201852.68%$30,8270.35%2.01%4.02%6.16%2.57%-1.20%-1.89%-2.62%2.68%
20186-1.94%$30,2290.04%0.65%4.33%0.61%0.63%-3.61%-1.57%-4.54%-1.94%
201870.32%$30,325-0.06%-1.44%0.32%1.65%3.45%-2.24%2.85%3.53%-2.43%
201882.99%$31,2320.35%1.31%2.99%4.31%3.39%-2.14%-2.24%-3.77%0.75%
20189-2.32%$30,507-0.14%-2.86%-2.74%-2.32%0.38%-0.66%0.97%-0.58%3.39%
201810-7.09%$28,3430.15%-2.93%-2.54%-10.99%-7.09%2.12%-8.13%-8.76%-5.62%
2018114.90%$29,7310.38%1.79%4.90%1.73%1.92%0.34%0.50%4.90%-9.85%
201812-8.61%$27,1700.76%5.85%-8.61%-11.97%-8.91%4.94%-5.35%-3.50%-3.99%
201912.89%$27,9540.25%0.38%11.41%11.32%8.21%2.89%6.63%10.34%7.11%
20192-0.61%$27,7840.09%-1.38%0.99%5.18%3.40%-0.61%2.54%-1.53%2.84%
20193-1.60%$27,3400.63%5.57%2.81%-2.09%1.77%-1.60%0.92%1.13%-0.38%
20194-1.99%$26,7970.18%-1.99%-0.24%3.40%3.93%-0.66%2.93%2.35%1.19%
20195-7.33%$24,8330.72%6.84%-0.31%-7.85%-6.33%1.76%-5.03%-7.33%-5.97%
201961.31%$25,1570.46%0.95%1.31%6.98%6.87%8.00%5.91%6.20%3.97%
201970.26%$25,222-0.06%0.26%1.56%0.68%1.63%0.01%-1.95%-2.66%-1.14%
2019811.04%$28,0080.78%11.04%2.37%-4.93%-1.87%7.91%-1.92%-3.78%-4.63%
20199-3.39%$27,057-0.13%-2.68%2.66%2.04%1.79%-3.39%3.16%1.69%1.42%
201910-1.11%$26,7560.31%-1.11%1.11%2.72%2.10%2.56%3.39%4.18%1.93%
201911-3.21%$25,897-0.05%-0.41%-1.39%4.07%3.81%-3.21%1.13%-0.09%-0.13%
2019122.80%$26,6210.16%-3.20%-1.03%2.78%2.80%3.66%2.98%7.71%5.85%
20201-6.15%$24,9840.58%7.69%0.46%-3.10%0.12%4.50%-2.82%-6.15%-8.59%
20202-8.07%$22,9680.88%6.63%-8.36%-8.85%-8.07%-0.64%-7.77%-3.78%-6.65%
202036.38%$24,4331.24%6.38%-22.37%-21.48%-13.35%-0.22%-14.11%-15.77%-17.34%
202041.22%$24,7310.27%1.22%7.85%13.85%13.20%7.26%5.82%7.35%-3.11%
20205-1.76%$24,295-0.08%-1.76%-0.60%6.59%5.16%2.59%5.43%2.97%8.07%
202060.34%$24,3770.02%0.34%1.72%3.42%2.27%2.74%3.51%6.61%4.50%
202074.44%$25,4580.09%4.44%3.41%2.92%5.94%10.79%1.94%8.25%5.12%
20208-0.32%$25,375-0.02%-5.05%0.68%5.48%7.30%-0.32%4.72%2.89%4.64%
20209-3.69%$24,439-0.00%0.77%-4.03%-3.25%-3.69%-4.17%-2.05%-1.01%-3.55%
2020101.41%$24,782-0.05%-3.39%-2.54%2.20%-2.30%-0.52%-3.55%1.41%-3.14%
2020118.99%$27,0100.02%1.66%12.34%18.24%11.69%-5.41%14.27%8.99%10.20%
2020128.65%$29,3460.04%-1.23%3.11%8.65%4.12%7.01%5.01%7.14%5.45%
202114.85%$30,7680.02%-3.63%-0.17%4.85%-0.79%-3.22%-0.78%3.17%3.33%
202126.20%$32,676-0.06%-5.73%5.26%6.20%2.89%-6.26%2.24%0.79%10.14%
202131.39%$33,131-0.06%-5.24%4.79%1.39%3.84%-1.14%2.51%-0.73%-0.72%
202141.79%$33,7230.06%2.49%8.01%1.79%5.34%3.56%2.95%1.20%7.83%
202153.85%$35,0220.06%0.00%0.95%0.27%0.46%7.68%3.48%1.65%3.85%
202163.49%$36,246-0.17%4.42%2.28%1.87%2.44%-7.15%-1.08%0.95%3.49%
202171.30%$36,7170.17%3.72%5.24%-3.63%2.09%2.53%0.77%-6.44%1.30%
202181.78%$37,372-0.03%-0.34%1.78%2.20%2.86%-0.08%1.45%1.57%-1.64%
20219-6.17%$35,067-0.10%-2.91%-6.17%-2.88%-4.60%-3.22%-3.26%-3.87%5.21%
2021105.80%$37,100-0.34%2.46%8.14%4.25%6.90%1.48%3.18%1.07%5.80%
202111-8.76%$33,851-0.06%2.77%-0.63%-4.33%-1.27%-0.69%-4.53%-4.08%-8.76%
2021128.91%$36,867-0.21%-2.01%8.91%2.28%3.97%3.30%4.41%1.53%6.67%
Portfolio return and risk metrics
MetricMomentum Model
Arithmetic Mean (monthly)0.86%
Arithmetic Mean (annualized)10.83%
Geometric Mean (monthly)0.73%
Geometric Mean (annualized)9.09%
Standard Deviation (monthly)5.21%
Standard Deviation (annualized)18.04%
Downside Deviation (monthly)3.11%
Maximum Drawdown-31.70%
Stock Market Correlation0.26
Beta(*)0.30
Alpha (annualized)6.91%
R26.97%
Sharpe Ratio0.53
Sortino Ratio0.87
Treynor Ratio (%)31.63
Calmar Ratio0.60
Active Return-1.49%
Tracking Error20.63%
Information Ratio-0.07
Skewness0.20
Excess Kurtosis0.12
Historical Value-at-Risk (5%)-7.44%
Analytical Value-at-Risk (5%)-7.71%
Conditional Value-at-Risk (5%)-9.17%
Upside Capture Ratio (%)51.22
Downside Capture Ratio (%)36.80
Safe Withdrawal Rate14.55%
Perpetual Withdrawal Rate6.33%
Positive Periods102 out of 180 (56.67%)
Gain/Loss Ratio1.17
* 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 PeriodStartEndMomentum Model
Subprime CrisisNov 2007Mar 2009-23.66%
COVID-19 StartJan 2020Mar 2020-13.72%

Drawdowns for Momentum Model

Drawdowns for Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Feb 20205 years 1 monthApr 20211 year 2 months6 years 3 months-31.70%
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 2021Nov 20213 months-9.42%
6Sep 2014Sep 20141 monthJan 20154 months5 months-7.77%
7Nov 2007Nov 20071 monthJan 20082 months3 months-7.65%
8Jan 2010Jan 20101 monthApr 20103 months4 months-5.87%
9Jan 2014Jan 20141 monthApr 20143 months4 months-5.20%
10Oct 2009Oct 20091 monthNov 20091 month2 months-3.44%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodAverageHighLow
1 year10.06%80.99%-19.90%
3 years5.21%38.01%-5.73%
5 years4.29%20.25%-6.16%
7 years4.23%16.53%-1.40%
10 years4.15%9.76%-1.06%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMomentum Model
81Jan 2022Jan 20221Please sign-in for forward signals--
80Dec 2021Dec 20211100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 8.91%8.91%
79Oct 2021Nov 20212100.00% Invesco DB Commodity Tracking (DBC)DBC: -3.47%-3.47%
78Aug 2021Sep 20212100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -4.49%-4.49%
77May 2021Jul 20213100.00% Invesco DB Commodity Tracking (DBC)DBC: 8.88%8.88%
76Dec 2020Apr 20215100.00% iShares Russell 2000 ETF (IWM)IWM: 24.85%24.85%
75Oct 2020Nov 20202100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 10.52%10.52%
74Sep 2020Sep 20201100.00% iShares Russell 1000 ETF (IWB)IWB: -3.69%-3.69%
73Aug 2020Aug 20201100.00% SPDR Gold Shares (GLD)GLD: -0.32%-0.32%
72Mar 2020Jul 20205100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 10.84%10.84%
71Feb 2020Feb 20201100.00% iShares Russell 1000 ETF (IWB)IWB: -8.07%-8.07%
70Jan 2020Jan 20201100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -6.15%-6.15%
69Dec 2019Dec 20191100.00% iShares Russell 1000 ETF (IWB)IWB: 2.80%2.80%
68Nov 2019Nov 20191100.00% SPDR Gold Shares (GLD)GLD: -3.21%-3.21%
67Oct 2019Oct 20191100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -1.11%-1.11%
66Sep 2019Sep 20191100.00% SPDR Gold Shares (GLD)GLD: -3.39%-3.39%
65Jul 2019Aug 20192100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 11.33%11.33%
64Jun 2019Jun 20191100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 1.31%1.31%
63May 2019May 20191100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -7.33%-7.33%
62Apr 2019Apr 20191100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -1.99%-1.99%
61Jan 2019Mar 20193100.00% SPDR Gold Shares (GLD)GLD: 0.63%0.63%
60Nov 2018Dec 20182100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -4.14%-4.14%
59Oct 2018Oct 20181100.00% iShares Russell 1000 ETF (IWB)IWB: -7.09%-7.09%
58Sep 2018Sep 20181100.00% iShares Russell 2000 ETF (IWM)IWM: -2.32%-2.32%
57Jul 2018Aug 20182100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 3.32%3.32%
56Apr 2018Jun 20183100.00% Invesco DB Commodity Tracking (DBC)DBC: 4.12%4.12%
55Feb 2018Mar 20182100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -5.39%-5.39%
54Dec 2017Jan 20182100.00% Invesco DB Commodity Tracking (DBC)DBC: 5.82%5.82%
53May 2017Nov 20177100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 15.62%15.62%
52Dec 2016Apr 20175100.00% iShares Russell 2000 ETF (IWM)IWM: 6.41%6.41%
51Nov 2016Nov 20161100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -4.42%-4.42%
50Sep 2016Oct 20162100.00% iShares Russell 2000 ETF (IWM)IWM: -3.57%-3.57%
49Aug 2016Aug 20161100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -3.44%-3.44%
48Jul 2016Jul 20161100.00% Invesco DB Commodity Tracking (DBC)DBC: -6.97%-6.97%
47Mar 2016Jun 20164100.00% SPDR Gold Shares (GLD)GLD: 6.60%6.60%
46Nov 2015Feb 20164100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -3.37%-3.37%
45Sep 2015Oct 20152100.00% iShares 1-3 Year Treasury Bond ETF (SHY)SHY: 0.15%0.15%
44Aug 2015Aug 20151100.00% iShares MSCI EAFE ETF (EFA)EFA: -7.43%-7.43%
43Jul 2015Jul 20151100.00% iShares Russell 2000 ETF (IWM)IWM: -1.10%-1.10%
42May 2015Jun 20152100.00% iShares MSCI EAFE ETF (EFA)EFA: -2.93%-2.93%
41Apr 2015Apr 20151100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -3.43%-3.43%
40Mar 2015Mar 20151100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 1.86%1.86%
39Jan 2015Feb 20152100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 3.08%3.08%
38Nov 2014Dec 20142100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 4.08%4.08%
37Oct 2014Oct 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.81%2.81%
36Jul 2014Sep 20143100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.86%-3.86%
35May 2014Jun 20142100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 3.38%3.38%
34Mar 2014Apr 20142100.00% iShares Russell 1000 ETF (IWB)IWB: 1.01%1.01%
33Feb 2014Feb 20141100.00% iShares Russell 2000 ETF (IWM)IWM: 4.78%4.78%
32Jan 2014Jan 20141100.00% iShares MSCI EAFE ETF (EFA)EFA: -5.20%-5.20%
31Jun 2013Dec 20137100.00% iShares Russell 2000 ETF (IWM)IWM: 19.24%19.24%
30May 2013May 20131100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -5.96%-5.96%
29Apr 2013Apr 20131100.00% iShares Russell 2000 ETF (IWM)IWM: -0.35%-0.35%
28Nov 2012Mar 20135100.00% iShares MSCI EAFE ETF (EFA)EFA: 11.27%11.27%
27Aug 2012Oct 20123100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -4.28%-4.28%
26May 2012Jul 20123100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 2.55%2.55%
25Apr 2012Apr 20121100.00% iShares Russell 1000 ETF (IWB)IWB: -0.56%-0.56%
24Mar 2012Mar 20121100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.11%-3.11%
23Oct 2011Feb 20125100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -1.51%-1.51%
22Jul 2011Sep 20113100.00% SPDR Gold Shares (GLD)GLD: 8.26%8.26%
21Jun 2011Jun 20111100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -3.33%-3.33%
20Mar 2011May 20113100.00% Invesco DB Commodity Tracking (DBC)DBC: 1.78%1.78%
19Jan 2011Feb 20112100.00% iShares Russell 2000 ETF (IWM)IWM: 5.15%5.15%
18Nov 2010Dec 20102100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 4.15%4.15%
17Sep 2010Oct 20102100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -6.87%-6.87%
16Aug 2010Aug 20101100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -1.27%-1.27%
15Jul 2010Jul 20101100.00% SPDR Gold Shares (GLD)GLD: -5.09%-5.09%
14Apr 2010Jun 20103100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -4.31%-4.31%
13Feb 2010Mar 20102100.00% SPDR Gold Shares (GLD)GLD: 2.82%2.82%
12Nov 2009Jan 20103100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 7.48%7.48%
11Oct 2009Oct 20091100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: -3.44%-3.44%
10Sep 2009Sep 20091100.00% SPDR Dow Jones REIT ETF (RWR)RWR: 6.84%6.84%
9May 2009Aug 20094100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 24.16%24.16%
8Apr 2009Apr 20091100.00% SPDR Gold Shares (GLD)GLD: -3.33%-3.33%
7Oct 2008Mar 20096100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 13.55%13.55%
6Sep 2008Sep 20081100.00% iShares Russell 2000 ETF (IWM)IWM: -7.75%-7.75%
5Mar 2008Aug 20086100.00% Invesco DB Commodity Tracking (DBC)DBC: 4.60%4.60%
4Dec 2007Feb 20083100.00% SPDR Gold Shares (GLD)GLD: 24.39%24.39%
3Mar 2007Nov 20079100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 39.60%39.60%
2Feb 2007Feb 20071100.00% SPDR Dow Jones REIT ETF (RWR)RWR: -2.38%-2.38%
1Jan 2007Jan 20071100.00% iShares MSCI Emerging Markets ETF (EEM)EEM: 0.11%0.11%