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 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 #2
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Time Period #3
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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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Asset 10
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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 calendar month(s). Timing 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 RatioUS Mkt Correlation
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
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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
YearInflationVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Timing PortfolioEqual Weight PortfolioVanguard 500 Index Investor
ReturnBalanceReturnBalanceReturnBalance
19981.61%28.62%15.60%8.58%28.62%$12,86222.11%$12,21128.62%$12,862
19992.68%21.07%29.92%-0.76%21.91%$15,68025.49%$15,32421.07%$15,571
20003.39%-9.06%-15.61%11.39%-18.27%$12,815-12.34%$13,434-9.06%$14,161
20011.55%-12.02%-20.15%8.43%8.43%$13,895-16.09%$11,273-12.02%$12,459
20022.38%-22.15%-15.08%8.26%8.26%$15,043-18.61%$9,174-22.15%$9,700
20031.88%28.50%40.34%3.97%18.75%$17,86434.42%$12,33228.50%$12,464
20043.26%10.74%20.84%4.24%20.84%$21,58615.79%$14,27910.74%$13,803
20053.42%4.77%15.57%2.40%15.57%$24,94710.17%$15,7324.77%$14,462
20062.54%15.64%26.64%4.27%26.64%$31,59221.14%$19,05715.64%$16,724
20074.08%5.39%15.52%6.92%15.52%$36,49610.45%$21,0505.39%$17,625
20080.09%-37.02%-44.10%5.05%-6.34%$34,181-40.56%$12,512-37.02%$11,100
20092.72%26.49%36.73%5.93%9.21%$37,33031.61%$16,46626.49%$14,040
20101.50%14.91%11.12%6.42%3.93%$38,79513.02%$18,61014.91%$16,134
20112.96%1.97%-14.56%7.56%0.89%$39,139-6.30%$17,4381.97%$16,451
20121.74%15.82%18.14%4.05%11.29%$43,56016.98%$20,39915.82%$19,054
20131.50%32.18%15.04%-2.26%29.87%$56,56923.61%$25,21532.18%$25,185
20140.76%13.51%-4.24%5.76%13.51%$64,2114.64%$26,38413.51%$28,587
20150.73%1.25%-4.37%0.30%-6.60%$59,970-1.56%$25,9721.25%$28,944
20162.07%11.82%4.65%2.50%6.56%$63,9058.23%$28,11011.82%$32,365
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)Timing PortfolioEqual Weight PortfolioVanguard 500 Index Investor
ReturnBalanceReturnBalanceReturnBalance
199811.11%3.04%1.32%1.11%$10,1112.07%$10,2071.11%$10,111
199827.19%6.88%-0.10%7.19%$10,8387.04%$10,9267.19%$10,838
199835.10%3.22%0.33%5.10%$11,3914.15%$11,3805.10%$11,391
199841.01%0.53%0.51%1.01%$11,5060.77%$11,4671.01%$11,506
19985-1.74%-1.51%1.02%-1.74%$11,306-1.63%$11,281-1.74%$11,306
199864.07%-0.27%0.81%4.07%$11,7661.91%$11,4964.07%$11,766
19987-1.05%1.08%0.23%-1.05%$11,642-0.01%$11,495-1.05%$11,642
19988-14.47%-13.66%1.90%-14.47%$9,957-14.07%$9,877-14.47%$9,957
199896.41%-2.07%1.96%6.41%$10,5952.21%$10,0956.41%$10,595
1998108.16%10.77%-0.55%8.16%$11,4609.40%$11,0448.16%$11,460
1998116.07%5.34%0.49%6.07%$12,1565.72%$11,6766.07%$12,156
1998125.81%3.26%0.38%5.81%$12,8624.58%$12,2115.81%$12,862
199914.20%-0.63%0.79%4.20%$13,4021.79%$12,4294.20%$13,402
19992-3.12%-2.16%-1.77%-3.12%$12,984-2.65%$12,100-3.12%$12,984
199934.00%4.97%0.56%4.00%$13,5024.47%$12,6414.00%$13,502
199943.85%5.08%0.40%3.85%$14,0234.46%$13,2043.85%$14,023
19995-2.39%-5.00%-0.88%-2.39%$13,688-3.69%$12,718-2.39%$13,688
199965.56%4.39%-0.50%5.56%$14,4484.99%$13,3525.56%$14,448
19997-3.13%2.27%-0.39%-3.13%$13,996-0.50%$13,285-3.13%$13,996
19998-0.50%0.33%-0.08%-0.50%$13,926-0.08%$13,273-0.50%$13,926
19999-2.74%0.82%1.26%-2.74%$13,545-0.95%$13,147-2.74%$13,545
1999106.33%3.74%0.33%3.74%$14,0515.00%$13,8056.33%$14,402
1999112.02%4.08%0.02%2.02%$14,3363.06%$14,2272.02%$14,693
1999125.98%9.37%-0.48%9.37%$15,6807.71%$15,3245.98%$15,571
20001-5.03%-6.22%-0.17%-6.22%$14,704-5.63%$14,462-5.03%$14,788
20002-1.91%2.83%1.18%2.83%$15,1210.45%$14,527-1.91%$14,506
200039.76%3.48%1.40%3.48%$15,6476.56%$15,4809.76%$15,922
20004-3.01%-5.41%-0.49%-5.41%$14,800-4.19%$14,831-3.01%$15,443
20005-2.04%-2.67%-0.16%-2.67%$14,405-2.35%$14,483-2.04%$15,128
200062.49%4.27%2.15%4.27%$15,0203.35%$14,9692.49%$15,505
20007-1.49%-4.46%0.88%-4.46%$14,350-2.95%$14,528-1.49%$15,274
200086.19%1.00%1.40%1.00%$14,4933.68%$15,0636.19%$16,219
20009-5.29%-5.00%0.76%-5.29%$13,726-5.16%$14,286-5.29%$15,361
200010-0.43%-3.03%0.57%-0.43%$13,667-1.66%$14,050-0.43%$15,295
200011-7.88%-4.44%1.58%-7.88%$12,591-6.28%$13,167-7.88%$14,090
2000120.50%3.72%1.79%1.79%$12,8152.03%$13,4340.50%$14,161
200113.55%1.10%1.76%1.76%$13,0412.32%$13,7463.55%$14,663
20012-9.14%-7.61%0.91%0.91%$13,159-8.38%$12,594-9.14%$13,323
20013-6.36%-7.15%0.54%0.54%$13,230-6.75%$11,743-6.36%$12,477
200147.77%7.89%-0.46%-0.46%$13,1697.83%$12,6637.77%$13,446
200150.65%-3.52%0.73%0.73%$13,265-1.42%$12,4830.65%$13,533
20016-2.45%-3.84%0.52%0.52%$13,335-3.12%$12,093-2.45%$13,202
20017-1.00%-2.43%2.23%2.23%$13,632-1.69%$11,889-1.00%$13,070
20018-6.27%-2.30%1.11%1.11%$13,784-4.37%$11,369-6.27%$12,250
20019-8.09%-10.73%0.89%0.89%$13,907-9.38%$10,303-8.09%$11,259
2001101.90%2.97%1.86%1.86%$14,1662.42%$10,5521.90%$11,473
2001117.65%3.56%-1.34%-1.34%$13,9765.67%$11,1507.65%$12,351
2001120.87%1.35%-0.58%-0.58%$13,8951.10%$11,2730.87%$12,459
20021-1.47%-4.63%0.69%0.69%$13,991-3.05%$10,928-1.47%$12,275
20022-1.94%0.90%0.85%0.85%$14,110-0.54%$10,869-1.94%$12,037
200233.74%5.71%-1.46%-1.46%$13,9044.73%$11,3833.74%$12,488
20024-6.07%0.42%1.69%1.69%$14,140-2.80%$11,064-6.07%$11,729
20025-0.75%1.16%0.80%0.80%$14,2530.24%$11,091-0.75%$11,641
20026-7.13%-4.28%0.29%0.29%$14,294-5.63%$10,466-7.13%$10,810
20027-7.72%-9.80%0.48%0.48%$14,363-8.83%$9,542-7.72%$9,976
200280.65%-0.12%1.66%1.66%$14,6020.25%$9,5650.65%$10,041
20029-10.87%-10.88%1.53%1.53%$14,825-10.88%$8,525-10.87%$8,949
2002108.78%5.70%-0.61%-0.61%$14,7347.16%$9,1358.78%$9,735
2002115.88%4.75%0.02%0.02%$14,7385.29%$9,6195.88%$10,307
200212-5.89%-3.43%2.07%2.07%$15,043-4.62%$9,174-5.89%$9,700
20031-2.62%-3.76%0.05%0.05%$15,051-3.19%$8,882-2.62%$9,445
20032-1.52%-2.42%1.38%1.38%$15,258-1.97%$8,707-1.52%$9,302
200330.96%-1.93%-0.13%-0.13%$15,238-0.47%$8,6660.96%$9,391
200348.25%9.70%0.87%0.87%$15,3718.96%$9,4428.25%$10,166
200355.26%6.15%1.82%1.82%$15,6515.70%$9,9805.26%$10,701
200361.26%2.66%-0.13%-0.13%$15,6301.95%$10,1751.26%$10,836
200371.74%3.18%-3.34%-3.34%$15,1082.46%$10,4251.74%$11,025
200381.93%2.51%0.61%1.93%$15,4002.22%$10,6561.93%$11,238
20039-1.07%2.78%2.71%-1.07%$15,2350.86%$10,748-1.07%$11,117
2003105.64%6.49%-0.96%6.49%$16,2246.08%$11,4015.64%$11,744
2003110.86%2.13%0.27%2.13%$16,5711.52%$11,5740.86%$11,846
2003125.22%7.80%0.88%7.80%$17,8646.55%$12,3325.22%$12,464
200411.82%1.60%0.86%1.60%$18,1491.71%$12,5431.82%$12,691
200421.38%2.50%1.03%2.50%$18,6021.94%$12,7861.38%$12,866
20043-1.51%0.45%0.80%0.45%$18,686-0.53%$12,719-1.51%$12,671
20044-1.58%-3.14%-2.61%-3.14%$18,099-2.37%$12,417-1.58%$12,472
200451.36%0.46%-0.43%0.46%$18,1830.91%$12,5301.36%$12,641
200461.93%2.40%0.56%2.40%$18,6192.17%$12,8011.93%$12,885
20047-3.31%-3.34%0.96%-3.34%$17,998-3.32%$12,376-3.31%$12,458
200480.38%0.75%1.94%0.75%$18,1320.57%$12,4450.38%$12,506
200491.07%2.96%0.16%2.96%$18,6692.02%$12,6971.07%$12,639
2004101.51%3.24%0.85%3.24%$19,2742.39%$13,0001.51%$12,831
2004114.05%7.23%-0.81%7.23%$20,6675.68%$13,7384.05%$13,350
2004123.39%4.44%0.92%4.44%$21,5863.94%$14,2793.39%$13,803
20051-2.45%-1.67%0.65%-1.67%$21,226-2.06%$13,985-2.45%$13,464
200522.09%4.68%-0.63%4.68%$22,2203.39%$14,4592.09%$13,746
20053-1.76%-2.93%-0.49%-2.93%$21,569-2.35%$14,119-1.76%$13,504
20054-1.91%-2.07%1.35%-2.07%$21,123-1.99%$13,838-1.91%$13,246
200553.17%0.08%1.05%0.08%$21,1401.61%$14,0613.17%$13,666
200560.13%1.30%0.55%1.30%$21,4140.71%$14,1600.13%$13,683
200573.71%3.68%-0.99%3.68%$22,2023.69%$14,6833.71%$14,190
20058-0.91%2.85%1.36%2.85%$22,8360.97%$14,826-0.91%$14,060
200590.79%4.73%-1.10%4.73%$23,9162.80%$15,2410.79%$14,172
200510-1.68%-3.37%-0.81%-3.37%$23,110-2.55%$14,851-1.68%$13,934
2005113.76%2.67%0.48%2.67%$23,7273.20%$15,3273.76%$14,459
2005120.02%5.14%0.99%5.14%$24,9472.64%$15,7320.02%$14,462
200612.65%6.87%-0.11%6.87%$26,6604.76%$16,4802.65%$14,845
200620.26%-0.72%0.37%-0.72%$26,468-0.24%$16,4410.26%$14,884
200631.23%3.17%-1.00%3.17%$27,3072.22%$16,8051.23%$15,067
200641.33%5.12%-0.21%5.12%$28,7053.27%$17,3551.33%$15,268
20065-2.90%-4.45%-0.09%-4.45%$27,429-3.70%$16,712-2.90%$14,825
200660.13%-0.38%0.10%-0.38%$27,324-0.14%$16,6890.13%$14,844
200670.61%1.15%1.35%1.15%$27,6390.89%$16,8380.61%$14,934
200682.36%2.53%1.64%2.53%$28,3382.45%$17,2502.36%$15,287
200692.56%0.25%0.81%0.25%$28,4081.36%$17,4852.56%$15,679
2006103.25%4.00%0.72%4.00%$29,5453.63%$18,1213.25%$16,189
2006111.89%3.73%1.11%3.73%$30,6462.83%$18,6341.89%$16,495
2006121.39%3.09%-0.48%3.09%$31,5922.27%$19,0571.39%$16,724
200711.49%0.96%-0.08%0.96%$31,8961.23%$19,2911.49%$16,974
20072-1.97%0.06%1.50%0.06%$31,914-0.96%$19,106-1.97%$16,640
200731.11%2.80%0.02%2.80%$32,8081.96%$19,4811.11%$16,825
200744.42%3.92%0.51%3.92%$34,0954.17%$20,2934.42%$17,568
200753.48%3.09%-0.78%3.09%$35,1503.28%$20,9593.48%$18,179
20076-1.68%0.61%-0.39%0.61%$35,364-0.52%$20,850-1.68%$17,874
20077-3.08%-1.06%0.84%-1.06%$34,989-2.05%$20,423-3.08%$17,323
200781.50%-0.72%1.34%-0.72%$34,7390.35%$20,4951.50%$17,582
200793.72%6.38%0.72%6.38%$36,9565.08%$21,5373.72%$18,237
2007101.58%5.90%0.93%5.90%$39,1373.82%$22,3591.58%$18,525
200711-4.19%-4.57%1.91%-4.57%$37,349-4.39%$21,378-4.19%$17,749
200712-0.70%-2.28%0.22%-2.28%$36,496-1.53%$21,050-0.70%$17,625
20081-6.02%-8.55%1.69%-8.55%$33,376-7.28%$19,517-6.02%$16,565
20082-3.25%0.33%0.19%0.33%$33,487-1.49%$19,227-3.25%$16,026
20083-0.44%-0.71%0.30%-0.71%$33,248-0.58%$19,116-0.44%$15,956
200844.85%5.85%-0.30%-0.30%$33,1485.35%$20,1404.85%$16,730
200851.29%1.51%-0.79%-0.79%$32,8871.40%$20,4221.29%$16,946
20086-8.44%-8.99%-0.01%-0.01%$32,885-8.72%$18,642-8.44%$15,516
20087-0.83%-3.67%0.00%0.00%$32,885-2.26%$18,221-0.83%$15,387
200881.45%-5.10%0.70%0.70%$33,115-1.80%$17,8941.45%$15,610
20089-8.91%-13.09%-1.10%-1.10%$32,750-10.91%$15,942-8.91%$14,220
200810-16.79%-22.09%-2.53%-2.53%$31,920-19.27%$12,870-16.79%$11,832
200811-7.17%-6.29%3.64%3.64%$33,082-6.78%$11,998-7.17%$10,983
2008121.07%8.16%3.32%3.32%$34,1814.28%$12,5121.07%$11,100
20091-8.41%-11.96%-0.70%-0.70%$33,943-10.18%$11,238-8.41%$10,166
20092-10.66%-9.58%-0.42%-0.42%$33,800-10.13%$10,099-10.66%$9,083
200938.76%9.31%1.48%1.48%$34,3009.03%$11,0128.76%$9,879
200949.56%12.78%0.36%0.36%$34,42211.15%$12,2409.56%$10,823
200955.62%14.35%0.85%0.85%$34,71510.00%$13,4635.62%$11,431
200960.22%-1.32%0.54%0.54%$34,902-0.58%$13,3850.22%$11,456
200977.58%9.96%1.43%1.43%$35,4008.81%$14,5647.58%$12,324
200983.60%3.50%1.01%1.01%$35,7593.55%$15,0813.60%$12,768
200993.72%5.15%1.19%1.19%$36,1844.46%$15,7543.72%$13,242
200910-1.87%-2.17%0.41%-2.17%$35,400-2.03%$15,435-1.87%$12,995
2009115.98%3.86%1.36%3.86%$36,7664.87%$16,1865.98%$13,772
2009121.95%1.53%-1.68%1.53%$37,3301.73%$16,4661.95%$14,040
20101-3.60%-5.07%1.57%-5.07%$35,439-4.33%$15,753-3.60%$13,534
201023.09%0.22%0.20%0.22%$35,5161.67%$16,0153.09%$13,952
201036.01%6.71%-0.08%6.71%$37,9006.35%$17,0336.01%$14,791
201041.58%-1.71%1.06%-1.71%$37,252-0.04%$17,0271.58%$15,025
20105-8.01%-10.78%0.87%-10.78%$33,237-9.34%$15,436-8.01%$13,822
20106-5.24%-1.17%1.61%-5.24%$31,495-3.31%$14,925-5.24%$13,098
201077.00%10.33%0.94%7.00%$33,6998.61%$16,2117.00%$14,014
20108-4.53%-3.22%1.48%-4.53%$32,172-3.88%$15,582-4.53%$13,379
201098.92%10.41%-0.01%8.92%$35,0429.66%$17,0878.92%$14,573
2010103.79%3.55%0.36%3.79%$36,3693.67%$17,7143.79%$15,125
2010110.00%-4.52%-0.57%0.00%$36,369-2.26%$17,3140.00%$15,125
2010126.67%8.34%-1.15%6.67%$38,7957.48%$18,6106.67%$16,134
201112.36%0.70%0.08%2.36%$39,7101.53%$18,8942.36%$16,514
201123.42%2.71%0.16%3.42%$41,0673.07%$19,4733.42%$17,078
201130.03%-0.43%-0.01%0.03%$41,077-0.20%$19,4340.03%$17,083
201142.95%5.24%1.32%2.95%$42,2884.08%$20,2272.95%$17,586
20115-1.15%-2.87%1.30%-2.87%$41,075-2.00%$19,821-1.15%$17,385
20116-1.67%-1.51%-0.39%-1.51%$40,456-1.59%$19,506-1.67%$17,094
20117-2.05%-1.53%1.58%-1.53%$39,837-1.79%$19,157-2.05%$16,744
20118-5.45%-8.45%1.46%-5.45%$37,667-6.94%$17,828-5.45%$15,832
20119-7.04%-12.29%0.89%-7.04%$35,014-9.60%$16,116-7.04%$14,717
20111010.91%10.22%0.16%10.91%$38,83610.58%$17,82210.91%$16,323
201111-0.23%-2.88%-0.30%-0.23%$38,745-1.48%$17,558-0.23%$16,285
2011121.02%-2.64%1.08%1.02%$39,139-0.68%$17,4381.02%$16,451
201214.46%7.27%0.87%4.46%$40,8875.87%$18,4614.46%$17,186
201224.31%5.14%-0.05%4.31%$42,6484.73%$19,3344.31%$17,926
201233.28%-0.75%-0.58%3.28%$44,0471.23%$19,5723.28%$18,514
20124-0.64%-1.78%1.14%-0.64%$43,765-1.21%$19,336-0.64%$18,396
20125-6.02%-11.14%0.95%-6.02%$41,132-8.56%$17,681-6.02%$17,288
201264.11%6.03%0.04%0.04%$41,1475.04%$18,5724.11%$17,999
201271.37%0.44%1.39%1.37%$41,7110.92%$18,7421.37%$18,245
201282.24%2.72%0.03%2.24%$42,6452.47%$19,2062.24%$18,654
201292.58%3.62%0.11%2.58%$43,7433.08%$19,7982.58%$19,135
201210-1.86%0.56%0.11%-1.86%$42,930-0.68%$19,664-1.86%$18,779
2012110.56%1.82%0.19%0.56%$43,1701.18%$19,8960.56%$18,884
2012120.90%4.17%-0.20%0.90%$43,5602.53%$20,3990.90%$19,054
201315.18%3.34%-0.71%3.34%$45,0144.26%$21,2675.18%$20,041
201321.34%-1.23%0.54%1.34%$45,6160.07%$21,2821.34%$20,309
201333.74%0.77%0.08%3.74%$47,3222.28%$21,7683.74%$21,068
201341.91%3.58%0.91%1.91%$48,2252.71%$22,3581.91%$21,470
201352.33%-2.95%-1.71%2.33%$49,348-0.24%$22,3052.33%$21,970
20136-1.35%-3.75%-1.65%-1.35%$48,681-2.48%$21,751-1.35%$21,673
201375.07%4.56%0.20%5.07%$51,1504.84%$22,8035.07%$22,773
20138-2.91%-1.63%-0.64%-2.91%$49,661-2.31%$22,275-2.91%$22,110
201393.12%7.21%0.96%3.12%$51,2115.04%$23,3983.12%$22,800
2013104.59%3.41%0.78%4.59%$53,5604.02%$24,3394.59%$23,846
2013113.03%0.12%-0.35%3.03%$55,1821.65%$24,7403.03%$24,568
2013122.51%1.25%-0.65%2.51%$56,5691.92%$25,2152.51%$25,185
20141-3.47%-4.78%1.54%-3.47%$54,607-4.12%$24,176-3.47%$24,312
201424.56%5.39%0.48%4.56%$57,0974.97%$25,3784.56%$25,420
201430.82%0.41%-0.15%0.82%$57,5670.62%$25,5340.82%$25,630
201440.72%1.31%0.77%0.72%$57,9841.02%$25,7940.72%$25,815
201452.33%1.88%1.05%2.33%$59,3382.11%$26,3382.33%$26,418
201462.05%1.74%0.11%2.05%$60,5561.90%$26,8382.05%$26,960
20147-1.39%-1.61%-0.26%-1.39%$59,715-1.50%$26,436-1.39%$26,586
201483.98%1.05%1.13%3.98%$62,0932.53%$27,1043.98%$27,644
20149-1.41%-5.01%-0.72%-1.41%$61,216-3.17%$26,244-1.41%$27,254
2014102.42%-0.31%0.94%2.42%$62,6991.11%$26,5362.42%$27,914
2014112.68%-0.25%0.65%2.68%$64,3811.30%$26,8802.68%$28,663
201412-0.26%-3.65%0.09%-0.26%$64,211-1.84%$26,384-0.26%$28,587
20151-3.02%0.13%2.31%-3.02%$62,273-1.44%$26,003-3.02%$27,725
201525.74%5.52%-1.08%5.74%$65,8475.63%$27,4675.74%$29,316
20153-1.59%-1.54%0.41%-1.59%$64,798-1.57%$27,037-1.59%$28,849
201540.95%5.08%-0.36%0.95%$65,4133.05%$27,8610.95%$29,123
201551.27%-0.94%-0.45%1.27%$66,2450.13%$27,8951.27%$29,493
20156-1.93%-2.69%-1.01%-1.93%$64,965-2.32%$27,248-1.93%$28,923
201572.08%-0.80%0.76%2.08%$66,3160.61%$27,4142.08%$29,525
20158-6.04%-7.29%-0.36%-6.04%$62,310-6.67%$25,585-6.04%$27,741
20159-2.49%-3.90%0.76%-2.49%$60,758-3.19%$24,768-2.49%$27,050
2015108.42%6.26%0.01%0.01%$60,7667.35%$26,5888.42%$29,329
2015110.29%-1.32%-0.27%0.29%$60,940-0.50%$26,4540.29%$29,413
201512-1.59%-2.07%-0.38%-1.59%$59,970-1.82%$25,972-1.59%$28,944
20161-4.98%-5.59%1.43%-4.98%$56,985-5.28%$24,600-4.98%$27,504
20162-0.15%-2.27%0.66%0.66%$57,362-1.20%$24,304-0.15%$27,464
201636.78%8.19%0.94%0.94%$57,9037.47%$26,1206.78%$29,325
201640.37%2.22%0.38%0.37%$58,1191.29%$26,4560.37%$29,434
201651.78%-1.02%0.01%1.78%$59,1550.38%$26,5571.78%$29,959
201660.25%-0.94%1.94%0.25%$59,303-0.34%$26,4670.25%$30,034
201673.68%4.41%0.64%3.68%$61,4844.04%$27,5353.68%$31,138
201680.13%0.74%-0.17%0.13%$61,5630.43%$27,6530.13%$31,178
201690.01%1.37%-0.09%0.01%$61,5680.68%$27,8410.01%$31,181
201610-1.83%-1.72%-0.81%-1.83%$60,440-1.78%$27,347-1.83%$30,609
2016113.70%-2.15%-2.64%3.70%$62,6750.79%$27,5623.70%$31,742
2016121.96%2.02%0.24%1.96%$63,9051.99%$28,1101.96%$32,365
Portfolio return and risk metrics
MetricTiming PortfolioEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.88%0.56%0.61%
Arithmetic Mean (annualized)11.05%6.94%7.62%
Geometric Mean (monthly)0.82%0.45%0.52%
Geometric Mean (annualized)10.25%5.59%6.38%
Volatility (monthly)3.47%4.58%4.39%
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%
US 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
Information Ratio0.27-0.14N/A
Skewness-0.52-0.68-0.63
Excess Kurtosis1.901.541.14
Historical Value-at-Risk (5%)-5.27%-8.64%-7.81%
Analytical Value-at-Risk (5%)-4.83%-6.97%-6.61%
Conditional Value-at-Risk (5%)-7.56%-11.03%-10.15%
Upside Capture Ratio (%)77.7999.13100.00
Downside Capture Ratio (%)54.27102.29100.00
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
(*) Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndTiming PortfolioEqual Weight PortfolioVanguard 500 Index Investor
Russian Crisis / LTCM DefaultJul 1998Oct 1998-15.38%-14.08%-15.38%
Dotcom CrashMar 2000Oct 2002-19.53%-44.93%-44.82%
Subprime CrisisNov 2007Mar 2009-18.44%-54.83%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2000Nov 200011 monthsOct 20032 years 11 months3 years 10 months-19.70%
2Nov 2007Jun 20102 years 8 monthsJan 20117 months3 years 3 months-19.53%
3May 2011Sep 20115 monthsFeb 20125 months10 months-17.20%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Aug 2015Jan 20166 months-14.07%
6Apr 2012May 20122 monthsJan 20138 months10 months-6.62%
7Jul 1999Sep 19993 monthsDec 19993 months6 months-6.25%
8Mar 2005Apr 20052 monthsAug 20054 months6 months-4.93%
9May 2006Jun 20062 monthsOct 20064 months6 months-4.81%
10Apr 2004Jul 20044 monthsOct 20043 months7 months-3.68%
11Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
12Oct 2005Oct 20051 monthDec 20052 months3 months-3.37%
13Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
14Feb 1999Feb 19991 monthMar 19991 month2 months-3.12%
15Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
16May 1999May 19991 monthJun 19991 month2 months-2.39%
17Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
18Jul 2007Aug 20072 monthsSep 20071 month3 months-1.77%
19May 1998May 19981 monthJun 19981 month2 months-1.74%
20Jan 2005Jan 20051 monthFeb 20051 month2 months-1.67%
21Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
22Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
23Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
24Jun 2013Jun 20131 monthJul 20131 month2 months-1.35%
25Feb 2006Feb 20061 monthMar 20061 month2 months-0.72%

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJul 20134 years 5 months5 years 9 months-54.83%
2Apr 2000Sep 20022 years 6 monthsDec 20053 years 3 months5 years 9 months-44.93%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-14.08%
4Jun 2015Feb 20169 monthsDec 201610 months1 year 7 months-12.88%
5Jan 2000Jan 20001 monthMar 20002 months3 months-5.63%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-4.12%
7Sep 2014Jan 20155 monthsFeb 20151 month6 months-4.06%
8May 2006Jun 20062 monthsSep 20063 months5 months-3.84%
9May 1999May 19991 monthJun 19991 month2 months-3.69%
10Feb 1999Feb 19991 monthMar 19991 month2 months-2.65%
11Jun 2007Jul 20072 monthsSep 20072 months4 months-2.56%
12Aug 2013Aug 20131 monthSep 20131 month2 months-2.31%
13May 1998May 19981 monthJun 19981 month2 months-1.63%
14Mar 2015Mar 20151 monthApr 20151 month2 months-1.57%
15Jul 1999Sep 19993 monthsOct 19991 month4 months-1.53%
16Jul 2014Jul 20141 monthAug 20141 month2 months-1.50%
17Feb 2007Feb 20071 monthMar 20071 month2 months-0.96%
18Feb 2006Feb 20061 monthMar 20061 month2 months-0.24%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
6Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
7Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
11Feb 1999Feb 19991 monthMar 19991 month2 months-3.12%
12Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
13May 1999May 19991 monthJun 19991 month2 months-2.39%
14Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
15Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
16Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
17Oct 2016Oct 20161 monthNov 20161 month2 months-1.83%
18May 1998May 19981 monthJun 19981 month2 months-1.74%
19Mar 2015Mar 20151 monthMay 20152 months3 months-1.59%
20Sep 2014Sep 20141 monthOct 20141 month2 months-1.41%
21Jul 2014Jul 20141 monthAug 20141 month2 months-1.39%
22Jun 2013Jun 20131 monthJul 20131 month2 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)----