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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Time Period #4
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Time Period #5
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Volatility Period
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Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Market Timing Results (Jan 1998 - Dec 2016)

Market timing results from 1998 to 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 Vanguard Total Bond Market Index Inv (VBMFX). The model uses a single performance window of 12 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$63,90510.25%12.02%29.87%-18.27%-19.70% 0.711.100.68
Equal Weight Portfolio$10,000$28,1105.59%15.87%34.42%-40.56%-54.83% 0.300.420.96
Vanguard 500 Index Investor$10,000$32,3656.38%15.22%32.18%-37.02%-50.97% 0.360.500.99
   
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 ReturnVanguard 500 Index Investor ReturnVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Timing BalanceEqual Weight Portfolio BalanceVanguard 500 Index Investor Balance
199828.62%22.11%28.62%28.62%15.60%8.58%$12,862$12,211$12,862
199921.91%25.49%21.07%21.07%29.92%-0.76%$15,680$15,324$15,571
2000-18.27%-12.34%-9.06%-9.06%-15.61%11.39%$12,815$13,434$14,161
20018.43%-16.09%-12.02%-12.02%-20.15%8.43%$13,895$11,273$12,459
20028.26%-18.61%-22.15%-22.15%-15.08%8.26%$15,043$9,174$9,700
200318.75%34.42%28.50%28.50%40.34%3.97%$17,864$12,332$12,464
200420.84%15.79%10.74%10.74%20.84%4.24%$21,586$14,279$13,803
200515.57%10.17%4.77%4.77%15.57%2.40%$24,947$15,732$14,462
200626.64%21.14%15.64%15.64%26.64%4.27%$31,592$19,057$16,724
200715.52%10.45%5.39%5.39%15.52%6.92%$36,496$21,050$17,625
2008-6.34%-40.56%-37.02%-37.02%-44.10%5.05%$34,181$12,512$11,100
20099.21%31.61%26.49%26.49%36.73%5.93%$37,330$16,466$14,040
20103.93%13.02%14.91%14.91%11.12%6.42%$38,795$18,610$16,134
20110.89%-6.30%1.97%1.97%-14.56%7.56%$39,139$17,438$16,451
201211.29%16.98%15.82%15.82%18.14%4.05%$43,560$20,399$19,054
201329.87%23.61%32.18%32.18%15.04%-2.26%$56,569$25,215$25,185
201413.51%4.64%13.51%13.51%-4.24%5.76%$64,211$26,384$28,587
2015-6.60%-1.56%1.25%1.25%-4.37%0.30%$59,970$25,972$28,944
20166.56%8.23%11.82%11.82%4.65%2.50%$63,905$28,110$32,365
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthTiming ReturnEqual Weight Portfolio ReturnVanguard 500 Index Investor ReturnVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Timing BalanceEqual Weight Portfolio BalanceVanguard 500 Index Investor Balance
199811.11%2.07%1.11%1.11%3.04%1.32%$10,111$10,207$10,111
199827.19%7.04%7.19%7.19%6.88%-0.10%$10,838$10,926$10,838
199835.10%4.15%5.10%5.10%3.22%0.33%$11,391$11,380$11,391
199841.01%0.77%1.01%1.01%0.53%0.51%$11,506$11,467$11,506
19985-1.74%-1.63%-1.74%-1.74%-1.51%1.02%$11,306$11,281$11,306
199864.07%1.91%4.07%4.07%-0.27%0.81%$11,766$11,496$11,766
19987-1.05%-0.01%-1.05%-1.05%1.08%0.23%$11,642$11,495$11,642
19988-14.47%-14.07%-14.47%-14.47%-13.66%1.90%$9,957$9,877$9,957
199896.41%2.21%6.41%6.41%-2.07%1.96%$10,595$10,095$10,595
1998108.16%9.40%8.16%8.16%10.77%-0.55%$11,460$11,044$11,460
1998116.07%5.72%6.07%6.07%5.34%0.49%$12,156$11,676$12,156
1998125.81%4.58%5.81%5.81%3.26%0.38%$12,862$12,211$12,862
199914.20%1.79%4.20%4.20%-0.63%0.79%$13,402$12,429$13,402
19992-3.12%-2.65%-3.12%-3.12%-2.16%-1.77%$12,984$12,100$12,984
199934.00%4.47%4.00%4.00%4.97%0.56%$13,502$12,641$13,502
199943.85%4.46%3.85%3.85%5.08%0.40%$14,023$13,204$14,023
19995-2.39%-3.69%-2.39%-2.39%-5.00%-0.88%$13,688$12,718$13,688
199965.56%4.99%5.56%5.56%4.39%-0.50%$14,448$13,352$14,448
19997-3.13%-0.50%-3.13%-3.13%2.27%-0.39%$13,996$13,285$13,996
19998-0.50%-0.08%-0.50%-0.50%0.33%-0.08%$13,926$13,273$13,926
19999-2.74%-0.95%-2.74%-2.74%0.82%1.26%$13,545$13,147$13,545
1999103.74%5.00%6.33%6.33%3.74%0.33%$14,051$13,805$14,402
1999112.02%3.06%2.02%2.02%4.08%0.02%$14,336$14,227$14,693
1999129.37%7.71%5.98%5.98%9.37%-0.48%$15,680$15,324$15,571
20001-6.22%-5.63%-5.03%-5.03%-6.22%-0.17%$14,704$14,462$14,788
200022.83%0.45%-1.91%-1.91%2.83%1.18%$15,121$14,527$14,506
200033.48%6.56%9.76%9.76%3.48%1.40%$15,647$15,480$15,922
20004-5.41%-4.19%-3.01%-3.01%-5.41%-0.49%$14,800$14,831$15,443
20005-2.67%-2.35%-2.04%-2.04%-2.67%-0.16%$14,405$14,483$15,128
200064.27%3.35%2.49%2.49%4.27%2.15%$15,020$14,969$15,505
20007-4.46%-2.95%-1.49%-1.49%-4.46%0.88%$14,350$14,528$15,274
200081.00%3.68%6.19%6.19%1.00%1.40%$14,493$15,063$16,219
20009-5.29%-5.16%-5.29%-5.29%-5.00%0.76%$13,726$14,286$15,361
200010-0.43%-1.66%-0.43%-0.43%-3.03%0.57%$13,667$14,050$15,295
200011-7.88%-6.28%-7.88%-7.88%-4.44%1.58%$12,591$13,167$14,090
2000121.79%2.03%0.50%0.50%3.72%1.79%$12,815$13,434$14,161
200111.76%2.32%3.55%3.55%1.10%1.76%$13,041$13,746$14,663
200120.91%-8.38%-9.14%-9.14%-7.61%0.91%$13,159$12,594$13,323
200130.54%-6.75%-6.36%-6.36%-7.15%0.54%$13,230$11,743$12,477
20014-0.46%7.83%7.77%7.77%7.89%-0.46%$13,169$12,663$13,446
200150.73%-1.42%0.65%0.65%-3.52%0.73%$13,265$12,483$13,533
200160.52%-3.12%-2.45%-2.45%-3.84%0.52%$13,335$12,093$13,202
200172.23%-1.69%-1.00%-1.00%-2.43%2.23%$13,632$11,889$13,070
200181.11%-4.37%-6.27%-6.27%-2.30%1.11%$13,784$11,369$12,250
200190.89%-9.38%-8.09%-8.09%-10.73%0.89%$13,907$10,303$11,259
2001101.86%2.42%1.90%1.90%2.97%1.86%$14,166$10,552$11,473
200111-1.34%5.67%7.65%7.65%3.56%-1.34%$13,976$11,150$12,351
200112-0.58%1.10%0.87%0.87%1.35%-0.58%$13,895$11,273$12,459
200210.69%-3.05%-1.47%-1.47%-4.63%0.69%$13,991$10,928$12,275
200220.85%-0.54%-1.94%-1.94%0.90%0.85%$14,110$10,869$12,037
20023-1.46%4.73%3.74%3.74%5.71%-1.46%$13,904$11,383$12,488
200241.69%-2.80%-6.07%-6.07%0.42%1.69%$14,140$11,064$11,729
200250.80%0.24%-0.75%-0.75%1.16%0.80%$14,253$11,091$11,641
200260.29%-5.63%-7.13%-7.13%-4.28%0.29%$14,294$10,466$10,810
200270.48%-8.83%-7.72%-7.72%-9.80%0.48%$14,363$9,542$9,976
200281.66%0.25%0.65%0.65%-0.12%1.66%$14,602$9,565$10,041
200291.53%-10.88%-10.87%-10.87%-10.88%1.53%$14,825$8,525$8,949
200210-0.61%7.16%8.78%8.78%5.70%-0.61%$14,734$9,135$9,735
2002110.02%5.29%5.88%5.88%4.75%0.02%$14,738$9,619$10,307
2002122.07%-4.62%-5.89%-5.89%-3.43%2.07%$15,043$9,174$9,700
200310.05%-3.19%-2.62%-2.62%-3.76%0.05%$15,051$8,882$9,445
200321.38%-1.97%-1.52%-1.52%-2.42%1.38%$15,258$8,707$9,302
20033-0.13%-0.47%0.96%0.96%-1.93%-0.13%$15,238$8,666$9,391
200340.87%8.96%8.25%8.25%9.70%0.87%$15,371$9,442$10,166
200351.82%5.70%5.26%5.26%6.15%1.82%$15,651$9,980$10,701
20036-0.13%1.95%1.26%1.26%2.66%-0.13%$15,630$10,175$10,836
20037-3.34%2.46%1.74%1.74%3.18%-3.34%$15,108$10,425$11,025
200381.93%2.22%1.93%1.93%2.51%0.61%$15,400$10,656$11,238
20039-1.07%0.86%-1.07%-1.07%2.78%2.71%$15,235$10,748$11,117
2003106.49%6.08%5.64%5.64%6.49%-0.96%$16,224$11,401$11,744
2003112.13%1.52%0.86%0.86%2.13%0.27%$16,571$11,574$11,846
2003127.80%6.55%5.22%5.22%7.80%0.88%$17,864$12,332$12,464
200411.60%1.71%1.82%1.82%1.60%0.86%$18,149$12,543$12,691
200422.50%1.94%1.38%1.38%2.50%1.03%$18,602$12,786$12,866
200430.45%-0.53%-1.51%-1.51%0.45%0.80%$18,686$12,719$12,671
20044-3.14%-2.37%-1.58%-1.58%-3.14%-2.61%$18,099$12,417$12,472
200450.46%0.91%1.36%1.36%0.46%-0.43%$18,183$12,530$12,641
200462.40%2.17%1.93%1.93%2.40%0.56%$18,619$12,801$12,885
20047-3.34%-3.32%-3.31%-3.31%-3.34%0.96%$17,998$12,376$12,458
200480.75%0.57%0.38%0.38%0.75%1.94%$18,132$12,445$12,506
200492.96%2.02%1.07%1.07%2.96%0.16%$18,669$12,697$12,639
2004103.24%2.39%1.51%1.51%3.24%0.85%$19,274$13,000$12,831
2004117.23%5.68%4.05%4.05%7.23%-0.81%$20,667$13,738$13,350
2004124.44%3.94%3.39%3.39%4.44%0.92%$21,586$14,279$13,803
20051-1.67%-2.06%-2.45%-2.45%-1.67%0.65%$21,226$13,985$13,464
200524.68%3.39%2.09%2.09%4.68%-0.63%$22,220$14,459$13,746
20053-2.93%-2.35%-1.76%-1.76%-2.93%-0.49%$21,569$14,119$13,504
20054-2.07%-1.99%-1.91%-1.91%-2.07%1.35%$21,123$13,838$13,246
200550.08%1.61%3.17%3.17%0.08%1.05%$21,140$14,061$13,666
200561.30%0.71%0.13%0.13%1.30%0.55%$21,414$14,160$13,683
200573.68%3.69%3.71%3.71%3.68%-0.99%$22,202$14,683$14,190
200582.85%0.97%-0.91%-0.91%2.85%1.36%$22,836$14,826$14,060
200594.73%2.80%0.79%0.79%4.73%-1.10%$23,916$15,241$14,172
200510-3.37%-2.55%-1.68%-1.68%-3.37%-0.81%$23,110$14,851$13,934
2005112.67%3.20%3.76%3.76%2.67%0.48%$23,727$15,327$14,459
2005125.14%2.64%0.02%0.02%5.14%0.99%$24,947$15,732$14,462
200616.87%4.76%2.65%2.65%6.87%-0.11%$26,660$16,480$14,845
20062-0.72%-0.24%0.26%0.26%-0.72%0.37%$26,468$16,441$14,884
200633.17%2.22%1.23%1.23%3.17%-1.00%$27,307$16,805$15,067
200645.12%3.27%1.33%1.33%5.12%-0.21%$28,705$17,355$15,268
20065-4.45%-3.70%-2.90%-2.90%-4.45%-0.09%$27,429$16,712$14,825
20066-0.38%-0.14%0.13%0.13%-0.38%0.10%$27,324$16,689$14,844
200671.15%0.89%0.61%0.61%1.15%1.35%$27,639$16,838$14,934
200682.53%2.45%2.36%2.36%2.53%1.64%$28,338$17,250$15,287
200690.25%1.36%2.56%2.56%0.25%0.81%$28,408$17,485$15,679
2006104.00%3.63%3.25%3.25%4.00%0.72%$29,545$18,121$16,189
2006113.73%2.83%1.89%1.89%3.73%1.11%$30,646$18,634$16,495
2006123.09%2.27%1.39%1.39%3.09%-0.48%$31,592$19,057$16,724
200710.96%1.23%1.49%1.49%0.96%-0.08%$31,896$19,291$16,974
200720.06%-0.96%-1.97%-1.97%0.06%1.50%$31,914$19,106$16,640
200732.80%1.96%1.11%1.11%2.80%0.02%$32,808$19,481$16,825
200743.92%4.17%4.42%4.42%3.92%0.51%$34,095$20,293$17,568
200753.09%3.28%3.48%3.48%3.09%-0.78%$35,150$20,959$18,179
200760.61%-0.52%-1.68%-1.68%0.61%-0.39%$35,364$20,850$17,874
20077-1.06%-2.05%-3.08%-3.08%-1.06%0.84%$34,989$20,423$17,323
20078-0.72%0.35%1.50%1.50%-0.72%1.34%$34,739$20,495$17,582
200796.38%5.08%3.72%3.72%6.38%0.72%$36,956$21,537$18,237
2007105.90%3.82%1.58%1.58%5.90%0.93%$39,137$22,359$18,525
200711-4.57%-4.39%-4.19%-4.19%-4.57%1.91%$37,349$21,378$17,749
200712-2.28%-1.53%-0.70%-0.70%-2.28%0.22%$36,496$21,050$17,625
20081-8.55%-7.28%-6.02%-6.02%-8.55%1.69%$33,376$19,517$16,565
200820.33%-1.49%-3.25%-3.25%0.33%0.19%$33,487$19,227$16,026
20083-0.71%-0.58%-0.44%-0.44%-0.71%0.30%$33,248$19,116$15,956
20084-0.30%5.35%4.85%4.85%5.85%-0.30%$33,148$20,140$16,730
20085-0.79%1.40%1.29%1.29%1.51%-0.79%$32,887$20,422$16,946
20086-0.01%-8.72%-8.44%-8.44%-8.99%-0.01%$32,885$18,642$15,516
200870.00%-2.26%-0.83%-0.83%-3.67%0.00%$32,885$18,221$15,387
200880.70%-1.80%1.45%1.45%-5.10%0.70%$33,115$17,894$15,610
20089-1.10%-10.91%-8.91%-8.91%-13.09%-1.10%$32,750$15,942$14,220
200810-2.53%-19.27%-16.79%-16.79%-22.09%-2.53%$31,920$12,870$11,832
2008113.64%-6.78%-7.17%-7.17%-6.29%3.64%$33,082$11,998$10,983
2008123.32%4.28%1.07%1.07%8.16%3.32%$34,181$12,512$11,100
20091-0.70%-10.18%-8.41%-8.41%-11.96%-0.70%$33,943$11,238$10,166
20092-0.42%-10.13%-10.66%-10.66%-9.58%-0.42%$33,800$10,099$9,083
200931.48%9.03%8.76%8.76%9.31%1.48%$34,300$11,012$9,879
200940.36%11.15%9.56%9.56%12.78%0.36%$34,422$12,240$10,823
200950.85%10.00%5.62%5.62%14.35%0.85%$34,715$13,463$11,431
200960.54%-0.58%0.22%0.22%-1.32%0.54%$34,902$13,385$11,456
200971.43%8.81%7.58%7.58%9.96%1.43%$35,400$14,564$12,324
200981.01%3.55%3.60%3.60%3.50%1.01%$35,759$15,081$12,768
200991.19%4.46%3.72%3.72%5.15%1.19%$36,184$15,754$13,242
200910-2.17%-2.03%-1.87%-1.87%-2.17%0.41%$35,400$15,435$12,995
2009113.86%4.87%5.98%5.98%3.86%1.36%$36,766$16,186$13,772
2009121.53%1.73%1.95%1.95%1.53%-1.68%$37,330$16,466$14,040
20101-5.07%-4.33%-3.60%-3.60%-5.07%1.57%$35,439$15,753$13,534
201020.22%1.67%3.09%3.09%0.22%0.20%$35,516$16,015$13,952
201036.71%6.35%6.01%6.01%6.71%-0.08%$37,900$17,033$14,791
20104-1.71%-0.04%1.58%1.58%-1.71%1.06%$37,252$17,027$15,025
20105-10.78%-9.34%-8.01%-8.01%-10.78%0.87%$33,237$15,436$13,822
20106-5.24%-3.31%-5.24%-5.24%-1.17%1.61%$31,495$14,925$13,098
201077.00%8.61%7.00%7.00%10.33%0.94%$33,699$16,211$14,014
20108-4.53%-3.88%-4.53%-4.53%-3.22%1.48%$32,172$15,582$13,379
201098.92%9.66%8.92%8.92%10.41%-0.01%$35,042$17,087$14,573
2010103.79%3.67%3.79%3.79%3.55%0.36%$36,369$17,714$15,125
2010110.00%-2.26%0.00%0.00%-4.52%-0.57%$36,369$17,314$15,125
2010126.67%7.48%6.67%6.67%8.34%-1.15%$38,795$18,610$16,134
201112.36%1.53%2.36%2.36%0.70%0.08%$39,710$18,894$16,514
201123.42%3.07%3.42%3.42%2.71%0.16%$41,067$19,473$17,078
201130.03%-0.20%0.03%0.03%-0.43%-0.01%$41,077$19,434$17,083
201142.95%4.08%2.95%2.95%5.24%1.32%$42,288$20,227$17,586
20115-2.87%-2.00%-1.15%-1.15%-2.87%1.30%$41,075$19,821$17,385
20116-1.51%-1.59%-1.67%-1.67%-1.51%-0.39%$40,456$19,506$17,094
20117-1.53%-1.79%-2.05%-2.05%-1.53%1.58%$39,837$19,157$16,744
20118-5.45%-6.94%-5.45%-5.45%-8.45%1.46%$37,667$17,828$15,832
20119-7.04%-9.60%-7.04%-7.04%-12.29%0.89%$35,014$16,116$14,717
20111010.91%10.58%10.91%10.91%10.22%0.16%$38,836$17,822$16,323
201111-0.23%-1.48%-0.23%-0.23%-2.88%-0.30%$38,745$17,558$16,285
2011121.02%-0.68%1.02%1.02%-2.64%1.08%$39,139$17,438$16,451
201214.46%5.87%4.46%4.46%7.27%0.87%$40,887$18,461$17,186
201224.31%4.73%4.31%4.31%5.14%-0.05%$42,648$19,334$17,926
201233.28%1.23%3.28%3.28%-0.75%-0.58%$44,047$19,572$18,514
20124-0.64%-1.21%-0.64%-0.64%-1.78%1.14%$43,765$19,336$18,396
20125-6.02%-8.56%-6.02%-6.02%-11.14%0.95%$41,132$17,681$17,288
201260.04%5.04%4.11%4.11%6.03%0.04%$41,147$18,572$17,999
201271.37%0.92%1.37%1.37%0.44%1.39%$41,711$18,742$18,245
201282.24%2.47%2.24%2.24%2.72%0.03%$42,645$19,206$18,654
201292.58%3.08%2.58%2.58%3.62%0.11%$43,743$19,798$19,135
201210-1.86%-0.68%-1.86%-1.86%0.56%0.11%$42,930$19,664$18,779
2012110.56%1.18%0.56%0.56%1.82%0.19%$43,170$19,896$18,884
2012120.90%2.53%0.90%0.90%4.17%-0.20%$43,560$20,399$19,054
201313.34%4.26%5.18%5.18%3.34%-0.71%$45,014$21,267$20,041
201321.34%0.07%1.34%1.34%-1.23%0.54%$45,616$21,282$20,309
201333.74%2.28%3.74%3.74%0.77%0.08%$47,322$21,768$21,068
201341.91%2.71%1.91%1.91%3.58%0.91%$48,225$22,358$21,470
201352.33%-0.24%2.33%2.33%-2.95%-1.71%$49,348$22,305$21,970
20136-1.35%-2.48%-1.35%-1.35%-3.75%-1.65%$48,681$21,751$21,673
201375.07%4.84%5.07%5.07%4.56%0.20%$51,150$22,803$22,773
20138-2.91%-2.31%-2.91%-2.91%-1.63%-0.64%$49,661$22,275$22,110
201393.12%5.04%3.12%3.12%7.21%0.96%$51,211$23,398$22,800
2013104.59%4.02%4.59%4.59%3.41%0.78%$53,560$24,339$23,846
2013113.03%1.65%3.03%3.03%0.12%-0.35%$55,182$24,740$24,568
2013122.51%1.92%2.51%2.51%1.25%-0.65%$56,569$25,215$25,185
20141-3.47%-4.12%-3.47%-3.47%-4.78%1.54%$54,607$24,176$24,312
201424.56%4.97%4.56%4.56%5.39%0.48%$57,097$25,378$25,420
201430.82%0.62%0.82%0.82%0.41%-0.15%$57,567$25,534$25,630
201440.72%1.02%0.72%0.72%1.31%0.77%$57,984$25,794$25,815
201452.33%2.11%2.33%2.33%1.88%1.05%$59,338$26,338$26,418
201462.05%1.90%2.05%2.05%1.74%0.11%$60,556$26,838$26,960
20147-1.39%-1.50%-1.39%-1.39%-1.61%-0.26%$59,715$26,436$26,586
201483.98%2.53%3.98%3.98%1.05%1.13%$62,093$27,104$27,644
20149-1.41%-3.17%-1.41%-1.41%-5.01%-0.72%$61,216$26,244$27,254
2014102.42%1.11%2.42%2.42%-0.31%0.94%$62,699$26,536$27,914
2014112.68%1.30%2.68%2.68%-0.25%0.65%$64,381$26,880$28,663
201412-0.26%-1.84%-0.26%-0.26%-3.65%0.09%$64,211$26,384$28,587
20151-3.02%-1.44%-3.02%-3.02%0.13%2.31%$62,273$26,003$27,725
201525.74%5.63%5.74%5.74%5.52%-1.08%$65,847$27,467$29,316
20153-1.59%-1.57%-1.59%-1.59%-1.54%0.41%$64,798$27,037$28,849
201540.95%3.05%0.95%0.95%5.08%-0.36%$65,413$27,861$29,123
201551.27%0.13%1.27%1.27%-0.94%-0.45%$66,245$27,895$29,493
20156-1.93%-2.32%-1.93%-1.93%-2.69%-1.01%$64,965$27,248$28,923
201572.08%0.61%2.08%2.08%-0.80%0.76%$66,316$27,414$29,525
20158-6.04%-6.67%-6.04%-6.04%-7.29%-0.36%$62,310$25,585$27,741
20159-2.49%-3.19%-2.49%-2.49%-3.90%0.76%$60,758$24,768$27,050
2015100.01%7.35%8.42%8.42%6.26%0.01%$60,766$26,588$29,329
2015110.29%-0.50%0.29%0.29%-1.32%-0.27%$60,940$26,454$29,413
201512-1.59%-1.82%-1.59%-1.59%-2.07%-0.38%$59,970$25,972$28,944
20161-4.98%-5.28%-4.98%-4.98%-5.59%1.43%$56,985$24,600$27,504
201620.66%-1.20%-0.15%-0.15%-2.27%0.66%$57,362$24,304$27,464
201630.94%7.47%6.78%6.78%8.19%0.94%$57,903$26,120$29,325
201640.37%1.29%0.37%0.37%2.22%0.38%$58,119$26,456$29,434
201651.78%0.38%1.78%1.78%-1.02%0.01%$59,155$26,557$29,959
201660.25%-0.34%0.25%0.25%-0.94%1.94%$59,303$26,467$30,034
201673.68%4.04%3.68%3.68%4.41%0.64%$61,484$27,535$31,138
201680.13%0.43%0.13%0.13%0.74%-0.17%$61,563$27,653$31,178
201690.01%0.68%0.01%0.01%1.37%-0.09%$61,568$27,841$31,181
201610-1.83%-1.78%-1.83%-1.83%-1.72%-0.81%$60,440$27,347$30,609
2016113.70%0.79%3.70%3.70%-2.15%-2.64%$62,675$27,562$31,742
2016121.96%1.99%1.96%1.96%2.02%0.24%$63,905$28,110$32,365
Portfolio return and risk metrics
MetricTiming ModelEqual Weight PortfolioVanguard 500 Index Investor
(*) Beta is calculated against Vanguard 500 Index Investor (the selected benchmark). Market correlation is against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.88%0.56%0.61%
Mean Return (annualized)11.05%6.94%7.62%
Compound Return (monthly)0.82%0.45%0.52%
Compound Return (annualized)10.25%5.59%6.38%
Volatility (monthly)3.46%4.57%4.38%
Volatility (annualized)12.02%15.87%15.22%
Downside Deviation (monthly)2.17%3.21%3.03%
Max. Drawdown-19.70%-54.83%-50.97%
Market Correlation0.680.960.99
Beta(*)0.531.001.00
Alpha (annualized)6.65%-0.65%0.00%
R244.23%92.13%100.00%
Sharpe Ratio0.710.300.36
Sortino Ratio1.100.420.50
Treynor Ratio (%)16.334.785.42
Skewness-0.52-0.68-0.63
Excess Kurtosis1.901.541.14
Historical Value-at-Risk (95%)-5.27%-8.64%-7.81%
Delta Normal Value-at-Risk (95%)-5.69%-7.53%-7.21%
Conditional Value-at-Risk (95%)-7.56%-11.03%-10.15%
Positive Periods152 out of 228 (66.67%)133 out of 228 (58.33%)141 out of 228 (61.84%)
Gain/Loss Ratio0.970.980.88

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jan 2000Nov 200011 monthsOct 20033 years 10 months-19.70%
2Nov 2007Jun 20102 years 8 monthsJan 20113 years 3 months-19.53%
3May 2011Sep 20115 monthsFeb 201210 months-17.20%
4Jul 1998Aug 19982 monthsNov 19985 months-15.38%
5Aug 2015Jan 20166 months-14.07%
6Apr 2012May 20122 monthsJan 201310 months-6.62%
7Jul 1999Sep 19993 monthsDec 19996 months-6.25%
8Mar 2005Apr 20052 monthsAug 20056 months-4.93%
9May 2006Jun 20062 monthsOct 20066 months-4.81%
10Apr 2004Jul 20044 monthsOct 20047 months-3.68%
11Jan 2014Jan 20141 monthFeb 20142 months-3.47%
12Oct 2005Oct 20051 monthDec 20053 months-3.37%
13Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
14Feb 1999Feb 19991 monthMar 19992 months-3.12%
15Aug 2013Aug 20131 monthSep 20132 months-2.91%
16May 1999May 19991 monthJun 19992 months-2.39%
17Jun 2015Jun 20151 monthJul 20152 months-1.93%
18Jul 2007Aug 20072 monthsSep 20073 months-1.77%
19May 1998May 19981 monthJun 19982 months-1.74%
20Jan 2005Jan 20051 monthFeb 20052 months-1.67%
21Mar 2015Mar 20151 monthMay 20153 months-1.59%
22Sep 2014Sep 20141 monthOct 20142 months-1.41%
23Jul 2014Jul 20141 monthAug 20142 months-1.39%
24Jun 2013Jun 20131 monthJul 20132 months-1.35%
25Feb 2006Feb 20061 monthMar 20062 months-0.72%

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsJul 20135 years 9 months-54.83%
2Apr 2000Sep 20022 years 6 monthsDec 20055 years 9 months-44.93%
3Jul 1998Aug 19982 monthsNov 19985 months-14.08%
4Jun 2015Feb 20169 monthsDec 20161 year 7 months-12.88%
5Jan 2000Jan 20001 monthMar 20003 months-5.63%
6Jan 2014Jan 20141 monthFeb 20142 months-4.12%
7Sep 2014Jan 20155 monthsFeb 20156 months-4.06%
8May 2006Jun 20062 monthsSep 20065 months-3.84%
9May 1999May 19991 monthJun 19992 months-3.69%
10Feb 1999Feb 19991 monthMar 19992 months-2.65%
11Jun 2007Jul 20072 monthsSep 20074 months-2.56%
12Aug 2013Aug 20131 monthSep 20132 months-2.31%
13May 1998May 19981 monthJun 19982 months-1.63%
14Mar 2015Mar 20151 monthApr 20152 months-1.57%
15Jul 1999Sep 19993 monthsOct 19994 months-1.53%
16Jul 2014Jul 20141 monthAug 20142 months-1.50%
17Feb 2007Feb 20071 monthMar 20072 months-0.96%
18Feb 2006Feb 20061 monthMar 20062 months-0.24%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20124 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20066 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19985 months-15.38%
4Aug 2015Sep 20152 monthsMay 201610 months-8.38%
5Jan 2000Feb 20002 monthsMar 20003 months-6.84%
6Jul 1999Sep 19993 monthsNov 19995 months-6.25%
7Apr 2000May 20002 monthsAug 20005 months-4.98%
8Jun 2007Jul 20072 monthsSep 20074 months-4.71%
9Jan 2014Jan 20141 monthFeb 20142 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
11Feb 1999Feb 19991 monthMar 19992 months-3.12%
12Aug 2013Aug 20131 monthSep 20132 months-2.91%
13May 1999May 19991 monthJun 19992 months-2.39%
14Feb 2007Feb 20071 monthApr 20073 months-1.97%
15Jun 2015Jun 20151 monthJul 20152 months-1.93%
16Oct 2012Oct 20121 monthJan 20134 months-1.86%
17Oct 2016Oct 20161 monthNov 20162 months-1.83%
18May 1998May 19981 monthJun 19982 months-1.74%
19Mar 2015Mar 20151 monthMay 20153 months-1.59%
20Sep 2014Sep 20141 monthOct 20142 months-1.41%
21Jul 2014Jul 20141 monthAug 20142 months-1.39%
22Jun 2013Jun 20131 monthJul 20132 months-1.35%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioEqual Weight PortfolioVanguard 500 Index Investor
1Jan 1998Sep 199921100.00% Vanguard 500 Index Investor (VFINX)VFINX: 35.45%35.45%31.47%35.45%
2Oct 1999Oct 19991100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.74%3.74%5.00%6.33%
3Nov 1999Nov 19991100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.02%2.02%3.06%2.02%
4Dec 1999Aug 20009100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 1.10%1.10%5.87%10.38%
5Sep 2000Nov 20003100.00% Vanguard 500 Index Investor (VFINX)VFINX: -13.13%-13.13%-12.59%-13.13%
6Dec 2000Jul 200332100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 19.99%19.99%-20.83%-21.76%
7Aug 2003Sep 20032100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.84%0.84%3.10%0.84%
8Oct 2003Mar 200854100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 118.23%118.23%77.86%43.52%
9Apr 2008Sep 200918100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 8.83%8.83%-17.59%-17.01%
10Oct 2009May 20108100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -8.15%-8.15%-2.02%4.38%
11Jun 2010Apr 201111100.00% Vanguard 500 Index Investor (VFINX)VFINX: 27.23%27.23%31.04%27.23%
12May 2011Jul 20113100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -5.80%-5.80%-5.29%-4.79%
13Aug 2011May 201210100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.25%3.25%-7.70%3.25%
14Jun 2012Jun 20121100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.04%0.04%5.04%4.11%
15Jul 2012Dec 20126100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.86%5.86%9.84%5.86%
16Jan 2013Jan 20131100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.34%3.34%4.26%5.18%
17Feb 2013Sep 201532100.00% Vanguard 500 Index Investor (VFINX)VFINX: 34.98%34.98%16.46%34.98%
18Oct 2015Oct 20151100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.01%0.01%7.35%8.42%
19Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-7.48%-6.22%
20Feb 2016Mar 20162100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.61%1.61%6.18%6.62%
21Apr 2016Dec 20169100.00% Vanguard 500 Index Investor (VFINX)VFINX: 10.37%10.37%7.62%10.37%
22Jan 2017Jan 20171100.00% Vanguard 500 Index Investor (VFINX)----