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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Time Period #5
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Volatility Period
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Asset 2
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Model Simulation Results (Jan 2008 - Dec 2016) Save

Tactical asset allocation model results from Jan 2008 to Dec 2016 are based on dual momentum model holding the best performing asset. Absolute momentum based trend following filter is used to switch any selected assets that have a negative excess return over the risk free rate to iShares 20+ Year Treasury Bond ETF (TLT). The model uses a single performance window of 20 trading days. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals. The time period was constrained by the available data for iShares Mortgage Real Estate Capped ETF (REM) [Jun 2007 - Aug 2021].

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Dual Momentum Model$10,000$56,78621.28%12.96%42.00%6.83%-7.14% 1.543.900.23
Equal Weight Portfolio$10,000$15,0944.68%13.48%20.09%-31.62%-44.12% 0.390.530.89
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Dual Momentum Model4.24%34.17%23.08%18.78%21.28%11.11%9.66%
Equal Weight Portfolio2.59%17.38%7.29%9.46%4.68%7.87%8.04%
Trailing annualized return and volatility are for full months ending in December 2016 excluding portfolio cashflows.
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 selected portfolio allocation for comparison assumes monthly rebalancing
  • 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
YearInflationDual Momentum ModelEqual Weight PortfolioiShares iBoxx $ High Yield Corp Bd ETF (HYG)iShares Mortgage Real Estate Capped ETF (REM)WisdomTree US Total Dividend ETF (DTD)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20080.09%33.40%$13,340-31.62%$6,838-17.58%-42.86%-34.80%33.93%
20092.72%42.00%$18,94320.09%$8,21128.57%11.27%19.59%-21.80%
20101.50%13.39%$21,47914.98%$9,44111.89%16.46%16.29%9.05%
20112.96%11.82%$24,0171.76%$9,6076.77%-9.21%8.39%33.96%
20121.74%18.70%$28,50815.57%$11,10311.66%21.79%13.11%2.63%
20131.50%6.83%$30,45610.06%$12,2215.75%-2.66%28.07%-13.37%
20140.76%18.08%$35,96210.94%$13,5581.90%16.78%14.25%27.30%
20150.73%17.69%$42,325-5.16%$12,859-5.03%-9.25%-1.45%-1.79%
20162.07%34.17%$56,78617.38%$15,09413.41%21.95%16.64%1.18%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthDual Momentum ModelEqual Weight PortfolioiShares iBoxx $ High Yield Corp Bd ETF (HYG)iShares Mortgage Real Estate Capped ETF (REM)WisdomTree US Total Dividend ETF (DTD)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
200817.60%$10,7600.93%$10,093-1.83%7.60%-2.98%2.10%
20082-6.34%$10,078-4.34%$9,655-1.87%-6.34%-4.81%-0.46%
200832.14%$10,293-7.13%$8,9660.95%-21.89%-0.46%2.14%
200843.39%$10,6435.40%$9,4503.39%9.15%3.65%-2.48%
20085-0.52%$10,5870.41%$9,489-0.52%2.44%-0.69%-2.69%
200862.65%$10,868-10.63%$8,481-3.67%-17.24%-10.98%2.65%
20087-0.37%$10,828-0.37%$8,4490.59%-3.63%1.94%-0.37%
200882.11%$11,056-0.52%$8,405-0.89%-2.78%2.11%2.74%
20089-5.38%$10,462-6.07%$7,895-10.66%-2.18%-5.38%1.47%
200810-1.86%$10,267-13.95%$6,794-11.48%-13.65%-16.72%-1.86%
20081114.34%$11,739-7.23%$6,302-7.10%-7.02%-7.58%14.34%
20081213.64%$13,3408.50%$6,83816.79%6.59%2.12%13.64%
20091-1.01%$13,205-6.76%$6,375-1.01%-6.33%-12.95%-13.07%
20092-1.54%$13,002-11.53%$5,640-9.70%-12.11%-12.78%-1.54%
200934.04%$13,5285.69%$5,9611.93%6.07%9.08%4.04%
2009411.11%$15,0329.24%$6,51213.84%2.75%11.11%-6.95%
200952.86%$15,4612.50%$6,6752.86%0.55%4.09%-3.69%
200960.92%$15,6032.78%$6,8603.33%4.10%0.92%0.76%
200978.86%$16,9857.96%$7,4066.92%8.86%8.09%0.58%
200984.67%$17,7792.39%$7,583-1.70%4.21%4.67%2.24%
200993.61%$18,4214.43%$7,9195.81%3.86%3.61%2.46%
200910-0.52%$18,325-3.10%$7,674-0.52%-6.49%-2.28%-2.62%
2009111.68%$18,6324.43%$8,0141.68%5.38%6.23%1.21%
2009121.67%$18,9432.46%$8,2113.68%2.04%1.67%-6.34%
20101-1.83%$18,596-1.86%$8,058-1.83%-0.61%-3.15%2.69%
20102-0.34%$18,5332.23%$8,2381.87%2.60%2.22%-0.34%
201032.73%$19,0383.49%$8,5262.13%2.73%5.62%-2.06%
201041.96%$19,4101.87%$8,6851.93%1.72%1.96%3.32%
20105-4.68%$18,503-5.13%$8,240-4.68%-3.32%-7.38%5.11%
201065.80%$19,575-1.77%$8,0941.11%-2.45%-3.97%5.80%
201075.15%$20,5835.66%$8,5525.15%4.46%7.36%-0.95%
20108-2.56%$20,057-2.41%$8,346-0.99%-3.66%-2.56%8.40%
20109-2.51%$19,5525.43%$8,8003.65%5.24%7.41%-2.51%
2010103.23%$20,1841.99%$8,9751.84%0.89%3.23%-4.47%
201011-0.47%$20,088-0.11%$8,965-1.27%1.43%-0.47%-1.69%
2010126.92%$21,4795.31%$9,4412.79%6.92%6.22%-3.68%
20111-0.77%$21,3130.69%$9,5061.65%-0.77%1.18%-3.08%
201121.43%$21,6192.83%$9,7751.43%3.62%3.44%1.65%
201131.17%$21,872-0.65%$9,7120.04%-3.15%1.17%0.03%
201143.24%$22,5822.12%$9,9181.60%1.52%3.24%2.34%
20115-0.12%$22,555-0.10%$9,9080.13%-0.32%-0.12%3.42%
20116-0.57%$22,427-1.25%$9,784-0.57%-1.72%-1.46%-2.33%
20117-2.33%$21,906-2.63%$9,5270.35%-5.91%-2.33%4.42%
20118-2.73%$21,308-2.35%$9,303-2.73%-0.94%-3.37%9.66%
2011913.20%$24,120-5.73%$8,770-5.30%-6.60%-5.29%13.20%
201110-3.84%$23,1957.82%$9,4568.50%6.11%8.85%-3.84%
2011110.78%$23,375-1.41%$9,323-2.42%-2.58%0.78%1.98%
2011122.75%$24,0173.05%$9,6074.55%1.86%2.75%3.44%
201211.46%$24,3693.93%$9,9851.46%7.42%2.90%-0.33%
201221.62%$24,7632.24%$10,2092.10%1.62%3.01%-2.59%
201232.81%$25,4580.89%$10,300-0.95%0.82%2.81%-4.23%
20124-0.15%$25,4201.51%$10,4551.14%3.55%-0.15%4.83%
201250.14%$25,456-2.57%$10,187-3.22%0.14%-4.62%9.03%
201264.40%$26,5764.47%$10,6424.66%4.40%4.33%-1.68%
201271.74%$27,0382.21%$10,8771.02%3.88%1.74%3.82%
201281.83%$27,5331.29%$11,0181.24%1.83%0.81%-1.32%
201292.83%$28,3131.87%$11,2240.52%2.83%2.24%-2.53%
201210-1.73%$27,823-0.64%$11,1520.84%-1.73%-1.03%-0.48%
2012111.05%$28,116-0.73%$11,0711.05%-3.05%-0.19%1.38%
2012121.40%$28,5080.29%$11,1031.40%-1.36%0.85%-2.49%
201310.34%$28,6065.11%$11,6710.34%9.80%5.18%-3.19%
201321.47%$29,0251.29%$11,8220.93%1.47%1.48%1.24%
201335.59%$30,6483.45%$12,2300.87%5.59%3.89%-0.42%
201340.64%$30,8441.79%$12,4482.12%0.64%2.60%4.68%
201350.47%$30,990-4.96%$11,831-2.58%-12.77%0.47%-6.76%
20136-0.59%$30,808-2.06%$11,588-1.69%-3.89%-0.59%-3.27%
20137-2.26%$30,1121.74%$11,7902.85%-1.97%4.36%-2.26%
20138-3.73%$28,990-2.87%$11,451-1.27%-3.63%-3.73%-1.34%
201390.66%$29,1802.35%$11,7210.78%3.75%2.53%0.66%
2013100.42%$29,3022.72%$12,0402.52%0.42%5.24%1.43%
2013111.64%$29,783-0.37%$11,9950.47%-3.24%1.64%-2.70%
2013122.26%$30,4561.88%$12,2210.41%2.98%2.26%-1.87%
201415.82%$32,2280.83%$12,3220.40%5.82%-3.73%6.30%
201424.27%$33,6033.53%$12,7572.31%4.27%4.01%0.52%
201430.47%$33,7620.87%$12,867-0.08%0.47%2.21%0.73%
201441.65%$34,3191.26%$13,0290.42%1.71%1.65%2.10%
201451.68%$34,8971.74%$13,2561.21%2.33%1.68%2.95%
201461.38%$35,3781.33%$13,4320.61%1.38%1.99%-0.25%
20147-1.70%$34,778-2.11%$13,148-2.43%-2.22%-1.70%0.67%
201484.72%$36,4203.44%$13,6002.38%4.29%3.65%4.72%
20149-6.17%$34,172-3.22%$13,163-1.98%-6.17%-1.49%-2.11%
2014102.81%$35,1342.93%$13,5481.06%4.92%2.81%2.81%
2014112.34%$35,9571.29%$13,723-1.08%2.34%2.61%2.97%
2014120.01%$35,962-1.20%$13,558-0.80%-2.82%0.01%3.25%
201519.82%$39,492-0.88%$13,4380.70%-0.34%-3.01%9.82%
201522.23%$40,3732.95%$13,8352.23%1.80%4.82%-6.14%
20153-1.75%$39,664-0.59%$13,753-0.95%0.93%-1.75%1.10%
20154-0.60%$39,4270.40%$13,8080.87%-0.60%0.93%-3.43%
201550.79%$39,7390.47%$13,8730.35%0.26%0.79%-2.37%
20156-2.44%$38,769-3.66%$13,365-1.89%-6.66%-2.44%-4.07%
201574.55%$40,5331.03%$13,503-0.49%2.55%1.04%4.55%
20158-3.41%$39,151-3.62%$13,015-1.52%-3.41%-5.91%-0.69%
201591.97%$39,920-2.46%$12,695-2.99%-2.67%-1.72%1.97%
2015108.01%$43,1193.72%$13,1663.23%-0.10%8.01%-0.41%
2015110.03%$43,131-0.55%$13,093-2.50%0.81%0.03%-0.87%
201512-1.87%$42,325-1.79%$12,859-2.00%-1.87%-1.50%-0.30%
201615.57%$44,684-3.51%$12,408-1.60%-5.23%-3.69%5.57%
201623.09%$46,0631.66%$12,6131.50%2.54%0.93%3.09%
201637.13%$49,3465.62%$13,3232.54%7.13%7.21%-0.09%
201641.65%$50,1621.80%$13,5633.12%1.65%0.63%-0.74%
201650.17%$50,2481.89%$13,8190.17%4.17%1.33%0.81%
201662.94%$51,7242.28%$14,1341.79%2.94%2.10%6.93%
201673.03%$53,2912.62%$14,5041.31%3.51%3.03%2.10%
201681.13%$53,8930.91%$14,6361.97%1.13%-0.36%-1.01%
201691.08%$54,4740.53%$14,7141.08%0.58%-0.06%-1.51%
2016100.00%$54,474-1.03%$14,562-0.98%0.00%-2.12%-4.38%
2016111.40%$55,2391.86%$14,8320.02%1.40%4.14%-8.21%
2016122.80%$56,7861.77%$15,0941.84%0.67%2.80%-0.46%
Portfolio return and risk metrics
MetricDual Momentum ModelEqual Weight Portfolio
Arithmetic Mean (monthly)1.69%0.46%
Arithmetic Mean (annualized)22.24%5.64%
Geometric Mean (monthly)1.62%0.38%
Geometric Mean (annualized)21.28%4.68%
Volatility (monthly)3.74%3.89%
Volatility (annualized)12.96%13.48%
Downside Deviation (monthly)1.46%2.81%
Max. Drawdown-7.14%-44.12%
US Market Correlation0.230.89
Beta(*)0.180.73
Alpha (annualized)18.70%-0.65%
R25.40%78.53%
Sharpe Ratio1.540.39
Sortino Ratio3.900.53
Treynor Ratio (%)108.517.16
Calmar Ratio3.740.69
Active Return13.99%-2.61%
Tracking Error18.35%7.64%
Information Ratio0.76-0.34
Skewness0.96-0.87
Excess Kurtosis2.082.01
Historical Value-at-Risk (5%)-3.62%-6.52%
Analytical Value-at-Risk (5%)-4.46%-5.94%
Conditional Value-at-Risk (5%)-5.02%-9.54%
Upside Capture Ratio (%)66.9470.79
Downside Capture Ratio (%)-8.9078.15
Safe Withdrawal Rate26.64%10.76%
Perpetual Withdrawal Rate16.26%2.98%
Positive Periods75 out of 108 (69.44%)66 out of 108 (61.11%)
Gain/Loss Ratio1.590.87
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Dual Momentum Model

Drawdowns for Dual Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2008Oct 20082 monthsNov 20081 month3 months-7.14%
2Jun 2013Aug 20133 monthsJan 20145 months8 months-6.45%
3Feb 2008Feb 20081 monthJun 20084 months5 months-6.34%
4Sep 2014Sep 20141 monthJan 20154 months5 months-6.17%
5May 2011Aug 20114 monthsSep 20111 month5 months-5.64%
6Aug 2010Sep 20102 monthsDec 20103 months5 months-5.01%
7May 2010May 20101 monthJun 20101 month2 months-4.68%
8Mar 2015Jun 20154 monthsJul 20151 month5 months-3.97%
9Oct 2011Oct 20111 monthJan 20123 months4 months-3.84%
10Aug 2015Aug 20151 monthOct 20152 months3 months-3.41%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Feb 20091 year 1 monthFeb 20123 years4 years 1 month-44.12%
2Jun 2015Jan 20168 monthsJun 20165 months1 year 1 month-10.56%
3May 2013Aug 20134 monthsFeb 20146 months10 months-8.01%
4Sep 2014Sep 20141 monthNov 20142 months3 months-3.22%
5May 2012May 20121 monthJun 20121 month2 months-2.57%
6Jul 2014Jul 20141 monthAug 20141 month2 months-2.11%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-2.08%
8Oct 2012Nov 20122 monthsJan 20132 months4 months-1.36%
9Oct 2016Oct 20161 monthNov 20161 month2 months-1.03%
10Mar 2015Mar 20151 monthMay 20152 months3 months-0.59%
Rolling returns summary
Roll PeriodDual Momentum ModelEqual Weight Portfolio
AverageHighLowAverageHighLow
1 year22.32%78.48%3.06%7.41%46.06%-41.58%
3 years18.70%32.10%12.13%9.21%21.87%-1.98%
5 years18.27%24.39%13.15%9.40%17.73%2.12%
7 years19.40%22.75%16.75%8.52%12.18%4.17%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceDual Momentum ModelEqual Weight Portfolio
76Jan 2017Jan 20171Please sign-in for forward signals---
75Dec 2016Dec 20161100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 2.80%2.80%1.77%
74Oct 2016Nov 20162100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 1.40%1.40%0.80%
73Sep 2016Sep 20161100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 1.08%1.08%0.53%
72Aug 2016Aug 20161100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 1.13%1.13%0.91%
71Jul 2016Jul 20161100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 3.03%3.03%2.62%
70Jun 2016Jun 20161100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 2.94%2.94%2.28%
69May 2016May 20161100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 0.17%0.17%1.89%
68Mar 2016Apr 20162100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 8.90%8.90%7.53%
67Jan 2016Feb 20162100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 8.83%8.83%-1.91%
66Dec 2015Dec 20151100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: -1.87%-1.87%-1.79%
65Oct 2015Nov 20152100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 8.04%8.04%3.14%
64Sep 2015Sep 20151100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 1.97%1.97%-2.46%
63Aug 2015Aug 20151100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: -3.41%-3.41%-3.62%
62Jul 2015Jul 20151100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 4.55%4.55%1.03%
61May 2015Jun 20152100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -1.67%-1.67%-3.21%
60Apr 2015Apr 20151100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: -0.60%-0.60%0.40%
59Mar 2015Mar 20151100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -1.75%-1.75%-0.59%
58Feb 2015Feb 20151100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 2.23%2.23%2.95%
57Jan 2015Jan 20151100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 9.82%9.82%-0.88%
56Dec 2014Dec 20141100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 0.01%0.01%-1.20%
55Nov 2014Nov 20141100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 2.34%2.34%1.29%
54Oct 2014Oct 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.81%2.81%2.93%
53Sep 2014Sep 20141100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: -6.17%-6.17%-3.22%
52Aug 2014Aug 20141100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 4.72%4.72%3.44%
51Jul 2014Jul 20141100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -1.70%-1.70%-2.11%
50Jun 2014Jun 20141100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 1.38%1.38%1.33%
49Apr 2014May 20142100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 3.36%3.36%3.02%
48Jan 2014Mar 20143100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 10.85%10.85%5.29%
47Nov 2013Dec 20132100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 3.94%3.94%1.50%
46Oct 2013Oct 20131100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 0.42%0.42%2.72%
45Sep 2013Sep 20131100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 0.66%0.66%2.35%
44Aug 2013Aug 20131100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -3.73%-3.73%-2.87%
43Jul 2013Jul 20131100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -2.26%-2.26%1.74%
42May 2013Jun 20132100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -0.12%-0.12%-6.91%
41Feb 2013Apr 20133100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 7.82%7.82%6.66%
40Nov 2012Jan 20133100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 2.81%2.81%4.65%
39Aug 2012Oct 20123100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 2.90%2.90%2.53%
38Jul 2012Jul 20121100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 1.74%1.74%2.21%
37May 2012Jun 20122100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 4.55%4.55%1.78%
36Mar 2012Apr 20122100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 2.65%2.65%2.42%
35Feb 2012Feb 20121100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 1.62%1.62%2.24%
34Jan 2012Jan 20121100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 1.46%1.46%3.93%
33Nov 2011Dec 20112100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 3.54%3.54%1.60%
32Sep 2011Oct 20112100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 8.86%8.86%1.64%
31Aug 2011Aug 20111100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: -2.73%-2.73%-2.35%
30Jul 2011Jul 20111100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -2.33%-2.33%-2.63%
29Jun 2011Jun 20111100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: -0.57%-0.57%-1.25%
28Mar 2011May 20113100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 4.33%4.33%1.36%
27Feb 2011Feb 20111100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 1.43%1.43%2.83%
26Dec 2010Jan 20112100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 6.10%6.10%6.03%
25Oct 2010Nov 20102100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 2.74%2.74%1.88%
24Sep 2010Sep 20101100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -2.51%-2.51%5.43%
23Aug 2010Aug 20101100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -2.56%-2.56%-2.41%
22Jul 2010Jul 20101100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 5.15%5.15%5.66%
21Jun 2010Jun 20101100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 5.80%5.80%-1.77%
20May 2010May 20101100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: -4.68%-4.68%-5.13%
19Apr 2010Apr 20101100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 1.96%1.96%1.87%
18Mar 2010Mar 20101100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 2.73%2.73%3.49%
17Feb 2010Feb 20101100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: -0.34%-0.34%2.23%
16Jan 2010Jan 20101100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: -1.83%-1.83%-1.86%
15Dec 2009Dec 20091100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 1.67%1.67%2.46%
14Oct 2009Nov 20092100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 1.15%1.15%1.19%
13Aug 2009Sep 20092100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 8.45%8.45%6.93%
12Jul 2009Jul 20091100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 8.86%8.86%7.96%
11Jun 2009Jun 20091100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 0.92%0.92%2.78%
10May 2009May 20091100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 2.86%2.86%2.50%
9Apr 2009Apr 20091100.00% WisdomTree US Total Dividend ETF (DTD)DTD: 11.11%11.11%9.24%
8Feb 2009Mar 20092100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.44%2.44%-6.49%
7Jan 2009Jan 20091100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: -1.01%-1.01%-6.76%
6Oct 2008Dec 20083100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 27.51%27.51%-13.39%
5Aug 2008Sep 20082100.00% WisdomTree US Total Dividend ETF (DTD)DTD: -3.38%-3.38%-6.56%
4Jun 2008Jul 20082100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.28%2.28%-10.96%
3Apr 2008May 20082100.00% iShares iBoxx $ High Yield Corp Bd ETF (HYG)HYG: 2.86%2.86%5.83%
2Mar 2008Mar 20081100.00% iShares 20+ Year Treasury Bond ETF (TLT)TLT: 2.14%2.14%-7.13%
1Jan 2008Feb 20082100.00% iShares Mortgage Real Estate Capped ETF (REM)REM: 0.78%0.78%-3.45%