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 #1
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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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Portfolio Assets
Allocation
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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Total
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Market Timing Results (Jan 1998 - Dec 2018)

Market timing results from 1998 to 2018 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). Vanguard 500 Index Investor (VFINX) is used for the absolute momentum check in the model. 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$73,9289.99%11.94%29.87%-18.27%-19.70% 0.701.060.70
Vanguard 500 Index Investor$10,000$37,5966.51%14.88%32.18%-37.02%-50.97% 0.370.520.99
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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
  • 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 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 the risk free rate (1-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 regarding the list of data sources and methodology for additional details
Annual returns for the timing portfolio and various benchmark portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
19981.61%28.62%28.62%$12,862$12,86228.62%15.60%8.58%
19992.68%21.91%21.07%$15,680$15,57121.07%29.92%-0.76%
20003.39%-18.27%-9.06%$12,815$14,161-9.06%-15.61%11.39%
20011.55%8.43%-12.02%$13,895$12,459-12.02%-20.15%8.43%
20022.38%8.26%-22.15%$15,043$9,700-22.15%-15.08%8.26%
20031.88%18.75%28.50%$17,864$12,46428.50%40.34%3.97%
20043.26%20.84%10.74%$21,586$13,80310.74%20.84%4.24%
20053.42%15.57%4.77%$24,947$14,4624.77%15.57%2.40%
20062.54%26.64%15.64%$31,592$16,72415.64%26.64%4.27%
20074.08%15.52%5.39%$36,496$17,6255.39%15.52%6.92%
20080.09%-5.52%-37.02%$34,480$11,100-37.02%-44.10%5.05%
20092.72%12.09%26.49%$38,649$14,04026.49%36.73%5.93%
20101.50%3.93%14.91%$40,167$16,13414.91%11.12%6.42%
20112.96%0.89%1.97%$40,523$16,4511.97%-14.56%7.56%
20121.74%11.29%15.82%$45,100$19,05415.82%18.14%4.05%
20131.50%29.87%32.18%$58,569$25,18532.18%15.04%-2.26%
20140.76%13.51%13.51%$66,480$28,58713.51%-4.24%5.76%
20150.73%-6.60%1.25%$62,090$28,9441.25%-4.37%0.30%
20162.07%6.56%11.82%$66,164$32,36511.82%4.65%2.50%
20172.11%21.23%21.67%$80,209$39,37721.67%27.40%3.46%
20181.91%-7.83%-4.52%$73,928$37,596-4.52%-14.44%-0.13%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
Timing PortfolioVanguard 500 Index InvestorTiming PortfolioVanguard 500 Index Investor
199811.11%1.11%$10,111$10,1111.11%3.04%1.32%
199827.19%7.19%$10,838$10,8387.19%6.88%-0.10%
199835.10%5.10%$11,391$11,3915.10%3.22%0.33%
199841.01%1.01%$11,506$11,5061.01%0.53%0.51%
19985-1.74%-1.74%$11,306$11,306-1.74%-1.51%1.02%
199864.07%4.07%$11,766$11,7664.07%-0.27%0.81%
19987-1.05%-1.05%$11,642$11,642-1.05%1.08%0.23%
19988-14.47%-14.47%$9,957$9,957-14.47%-13.66%1.90%
199896.41%6.41%$10,595$10,5956.41%-2.07%1.96%
1998108.16%8.16%$11,460$11,4608.16%10.77%-0.55%
1998116.07%6.07%$12,156$12,1566.07%5.34%0.49%
1998125.81%5.81%$12,862$12,8625.81%3.26%0.38%
199914.20%4.20%$13,402$13,4024.20%-0.63%0.79%
19992-3.12%-3.12%$12,984$12,984-3.12%-2.16%-1.77%
199934.00%4.00%$13,502$13,5024.00%4.97%0.56%
199943.85%3.85%$14,023$14,0233.85%5.08%0.40%
19995-2.39%-2.39%$13,688$13,688-2.39%-5.00%-0.88%
199965.56%5.56%$14,448$14,4485.56%4.39%-0.50%
19997-3.13%-3.13%$13,996$13,996-3.13%2.27%-0.39%
19998-0.50%-0.50%$13,926$13,926-0.50%0.33%-0.08%
19999-2.74%-2.74%$13,545$13,545-2.74%0.82%1.26%
1999103.74%6.33%$14,051$14,4026.33%3.74%0.33%
1999112.02%2.02%$14,336$14,6932.02%4.08%0.02%
1999129.37%5.98%$15,680$15,5715.98%9.37%-0.48%
20001-6.22%-5.03%$14,704$14,788-5.03%-6.22%-0.17%
200022.83%-1.91%$15,121$14,506-1.91%2.83%1.18%
200033.48%9.76%$15,647$15,9229.76%3.48%1.40%
20004-5.41%-3.01%$14,800$15,443-3.01%-5.41%-0.49%
20005-2.67%-2.04%$14,405$15,128-2.04%-2.67%-0.16%
200064.27%2.49%$15,020$15,5052.49%4.27%2.15%
20007-4.46%-1.49%$14,350$15,274-1.49%-4.46%0.88%
200081.00%6.19%$14,493$16,2196.19%1.00%1.40%
20009-5.29%-5.29%$13,726$15,361-5.29%-5.00%0.76%
200010-0.43%-0.43%$13,667$15,295-0.43%-3.03%0.57%
200011-7.88%-7.88%$12,591$14,090-7.88%-4.44%1.58%
2000121.79%0.50%$12,815$14,1610.50%3.72%1.79%
200111.76%3.55%$13,041$14,6633.55%1.10%1.76%
200120.91%-9.14%$13,159$13,323-9.14%-7.61%0.91%
200130.54%-6.36%$13,230$12,477-6.36%-7.15%0.54%
20014-0.46%7.77%$13,169$13,4467.77%7.89%-0.46%
200150.73%0.65%$13,265$13,5330.65%-3.52%0.73%
200160.52%-2.45%$13,335$13,202-2.45%-3.84%0.52%
200172.23%-1.00%$13,632$13,070-1.00%-2.43%2.23%
200181.11%-6.27%$13,784$12,250-6.27%-2.30%1.11%
200190.89%-8.09%$13,907$11,259-8.09%-10.73%0.89%
2001101.86%1.90%$14,166$11,4731.90%2.97%1.86%
200111-1.34%7.65%$13,976$12,3517.65%3.56%-1.34%
200112-0.58%0.87%$13,895$12,4590.87%1.35%-0.58%
200210.69%-1.47%$13,991$12,275-1.47%-4.63%0.69%
200220.85%-1.94%$14,110$12,037-1.94%0.90%0.85%
20023-1.46%3.74%$13,904$12,4883.74%5.71%-1.46%
200241.69%-6.07%$14,140$11,729-6.07%0.42%1.69%
200250.80%-0.75%$14,253$11,641-0.75%1.16%0.80%
200260.29%-7.13%$14,294$10,810-7.13%-4.28%0.29%
200270.48%-7.72%$14,363$9,976-7.72%-9.80%0.48%
200281.66%0.65%$14,602$10,0410.65%-0.12%1.66%
200291.53%-10.87%$14,825$8,949-10.87%-10.88%1.53%
200210-0.61%8.78%$14,734$9,7358.78%5.70%-0.61%
2002110.02%5.88%$14,738$10,3075.88%4.75%0.02%
2002122.07%-5.89%$15,043$9,700-5.89%-3.43%2.07%
200310.05%-2.62%$15,051$9,445-2.62%-3.76%0.05%
200321.38%-1.52%$15,258$9,302-1.52%-2.42%1.38%
20033-0.13%0.96%$15,238$9,3910.96%-1.93%-0.13%
200340.87%8.25%$15,371$10,1668.25%9.70%0.87%
200351.82%5.26%$15,651$10,7015.26%6.15%1.82%
20036-0.13%1.26%$15,630$10,8361.26%2.66%-0.13%
20037-3.34%1.74%$15,108$11,0251.74%3.18%-3.34%
200381.93%1.93%$15,400$11,2381.93%2.51%0.61%
20039-1.07%-1.07%$15,235$11,117-1.07%2.78%2.71%
2003106.49%5.64%$16,224$11,7445.64%6.49%-0.96%
2003112.13%0.86%$16,571$11,8460.86%2.13%0.27%
2003127.80%5.22%$17,864$12,4645.22%7.80%0.88%
200411.60%1.82%$18,149$12,6911.82%1.60%0.86%
200422.50%1.38%$18,602$12,8661.38%2.50%1.03%
200430.45%-1.51%$18,686$12,671-1.51%0.45%0.80%
20044-3.14%-1.58%$18,099$12,472-1.58%-3.14%-2.61%
200450.46%1.36%$18,183$12,6411.36%0.46%-0.43%
200462.40%1.93%$18,619$12,8851.93%2.40%0.56%
20047-3.34%-3.31%$17,998$12,458-3.31%-3.34%0.96%
200480.75%0.38%$18,132$12,5060.38%0.75%1.94%
200492.96%1.07%$18,669$12,6391.07%2.96%0.16%
2004103.24%1.51%$19,274$12,8311.51%3.24%0.85%
2004117.23%4.05%$20,667$13,3504.05%7.23%-0.81%
2004124.44%3.39%$21,586$13,8033.39%4.44%0.92%
20051-1.67%-2.45%$21,226$13,464-2.45%-1.67%0.65%
200524.68%2.09%$22,220$13,7462.09%4.68%-0.63%
20053-2.93%-1.76%$21,569$13,504-1.76%-2.93%-0.49%
20054-2.07%-1.91%$21,123$13,246-1.91%-2.07%1.35%
200550.08%3.17%$21,140$13,6663.17%0.08%1.05%
200561.30%0.13%$21,414$13,6830.13%1.30%0.55%
200573.68%3.71%$22,202$14,1903.71%3.68%-0.99%
200582.85%-0.91%$22,836$14,060-0.91%2.85%1.36%
200594.73%0.79%$23,916$14,1720.79%4.73%-1.10%
200510-3.37%-1.68%$23,110$13,934-1.68%-3.37%-0.81%
2005112.67%3.76%$23,727$14,4593.76%2.67%0.48%
2005125.14%0.02%$24,947$14,4620.02%5.14%0.99%
200616.87%2.65%$26,660$14,8452.65%6.87%-0.11%
20062-0.72%0.26%$26,468$14,8840.26%-0.72%0.37%
200633.17%1.23%$27,307$15,0671.23%3.17%-1.00%
200645.12%1.33%$28,705$15,2681.33%5.12%-0.21%
20065-4.45%-2.90%$27,429$14,825-2.90%-4.45%-0.09%
20066-0.38%0.13%$27,324$14,8440.13%-0.38%0.10%
200671.15%0.61%$27,639$14,9340.61%1.15%1.35%
200682.53%2.36%$28,338$15,2872.36%2.53%1.64%
200690.25%2.56%$28,408$15,6792.56%0.25%0.81%
2006104.00%3.25%$29,545$16,1893.25%4.00%0.72%
2006113.73%1.89%$30,646$16,4951.89%3.73%1.11%
2006123.09%1.39%$31,592$16,7241.39%3.09%-0.48%
200710.96%1.49%$31,896$16,9741.49%0.96%-0.08%
200720.06%-1.97%$31,914$16,640-1.97%0.06%1.50%
200732.80%1.11%$32,808$16,8251.11%2.80%0.02%
200743.92%4.42%$34,095$17,5684.42%3.92%0.51%
200753.09%3.48%$35,150$18,1793.48%3.09%-0.78%
200760.61%-1.68%$35,364$17,874-1.68%0.61%-0.39%
20077-1.06%-3.08%$34,989$17,323-3.08%-1.06%0.84%
20078-0.72%1.50%$34,739$17,5821.50%-0.72%1.34%
200796.38%3.72%$36,956$18,2373.72%6.38%0.72%
2007105.90%1.58%$39,137$18,5251.58%5.90%0.93%
200711-4.57%-4.19%$37,349$17,749-4.19%-4.57%1.91%
200712-2.28%-0.70%$36,496$17,625-0.70%-2.28%0.22%
20081-8.55%-6.02%$33,376$16,565-6.02%-8.55%1.69%
200820.19%-3.25%$33,440$16,026-3.25%0.33%0.19%
200830.30%-0.44%$33,539$15,956-0.44%-0.71%0.30%
20084-0.30%4.85%$33,438$16,7304.85%5.85%-0.30%
20085-0.79%1.29%$33,175$16,9461.29%1.51%-0.79%
20086-0.01%-8.44%$33,173$15,516-8.44%-8.99%-0.01%
200870.00%-0.83%$33,173$15,387-0.83%-3.67%0.00%
200880.70%1.45%$33,405$15,6101.45%-5.10%0.70%
20089-1.10%-8.91%$33,036$14,220-8.91%-13.09%-1.10%
200810-2.53%-16.79%$32,199$11,832-16.79%-22.09%-2.53%
2008113.64%-7.17%$33,372$10,983-7.17%-6.29%3.64%
2008123.32%1.07%$34,480$11,1001.07%8.16%3.32%
20091-0.70%-8.41%$34,240$10,166-8.41%-11.96%-0.70%
20092-0.42%-10.66%$34,095$9,083-10.66%-9.58%-0.42%
200931.48%8.76%$34,600$9,8798.76%9.31%1.48%
200940.36%9.56%$34,724$10,8239.56%12.78%0.36%
200950.85%5.62%$35,018$11,4315.62%14.35%0.85%
200960.54%0.22%$35,207$11,4560.22%-1.32%0.54%
200971.43%7.58%$35,710$12,3247.58%9.96%1.43%
200981.01%3.60%$36,072$12,7683.60%3.50%1.01%
200991.19%3.72%$36,501$13,2423.72%5.15%1.19%
2009100.41%-1.87%$36,651$12,995-1.87%-2.17%0.41%
2009113.86%5.98%$38,066$13,7725.98%3.86%1.36%
2009121.53%1.95%$38,649$14,0401.95%1.53%-1.68%
20101-5.07%-3.60%$36,691$13,534-3.60%-5.07%1.57%
201020.22%3.09%$36,772$13,9523.09%0.22%0.20%
201036.71%6.01%$39,239$14,7916.01%6.71%-0.08%
20104-1.71%1.58%$38,569$15,0251.58%-1.71%1.06%
20105-10.78%-8.01%$34,412$13,822-8.01%-10.78%0.87%
20106-5.24%-5.24%$32,609$13,098-5.24%-1.17%1.61%
201077.00%7.00%$34,890$14,0147.00%10.33%0.94%
20108-4.53%-4.53%$33,309$13,379-4.53%-3.22%1.48%
201098.92%8.92%$36,280$14,5738.92%10.41%-0.01%
2010103.79%3.79%$37,655$15,1253.79%3.55%0.36%
2010110.00%0.00%$37,655$15,1250.00%-4.52%-0.57%
2010126.67%6.67%$40,167$16,1346.67%8.34%-1.15%
201112.36%2.36%$41,114$16,5142.36%0.70%0.08%
201123.42%3.42%$42,518$17,0783.42%2.71%0.16%
201130.03%0.03%$42,529$17,0830.03%-0.43%-0.01%
201142.95%2.95%$43,783$17,5862.95%5.24%1.32%
20115-2.87%-1.15%$42,527$17,385-1.15%-2.87%1.30%
20116-1.51%-1.67%$41,886$17,094-1.67%-1.51%-0.39%
20117-1.53%-2.05%$41,245$16,744-2.05%-1.53%1.58%
20118-5.45%-5.45%$38,999$15,832-5.45%-8.45%1.46%
20119-7.04%-7.04%$36,252$14,717-7.04%-12.29%0.89%
20111010.91%10.91%$40,209$16,32310.91%10.22%0.16%
201111-0.23%-0.23%$40,115$16,285-0.23%-2.88%-0.30%
2011121.02%1.02%$40,523$16,4511.02%-2.64%1.08%
201214.46%4.46%$42,332$17,1864.46%7.27%0.87%
201224.31%4.31%$44,155$17,9264.31%5.14%-0.05%
201233.28%3.28%$45,604$18,5143.28%-0.75%-0.58%
20124-0.64%-0.64%$45,312$18,396-0.64%-1.78%1.14%
20125-6.02%-6.02%$42,586$17,288-6.02%-11.14%0.95%
201260.04%4.11%$42,601$17,9994.11%6.03%0.04%
201271.37%1.37%$43,185$18,2451.37%0.44%1.39%
201282.24%2.24%$44,152$18,6542.24%2.72%0.03%
201292.58%2.58%$45,290$19,1352.58%3.62%0.11%
201210-1.86%-1.86%$44,447$18,779-1.86%0.56%0.11%
2012110.56%0.56%$44,696$18,8840.56%1.82%0.19%
2012120.90%0.90%$45,100$19,0540.90%4.17%-0.20%
201313.34%5.18%$46,605$20,0415.18%3.34%-0.71%
201321.34%1.34%$47,229$20,3091.34%-1.23%0.54%
201333.74%3.74%$48,995$21,0683.74%0.77%0.08%
201341.91%1.91%$49,930$21,4701.91%3.58%0.91%
201352.33%2.33%$51,092$21,9702.33%-2.95%-1.71%
20136-1.35%-1.35%$50,402$21,673-1.35%-3.75%-1.65%
201375.07%5.07%$52,958$22,7735.07%4.56%0.20%
20138-2.91%-2.91%$51,416$22,110-2.91%-1.63%-0.64%
201393.12%3.12%$53,021$22,8003.12%7.21%0.96%
2013104.59%4.59%$55,453$23,8464.59%3.41%0.78%
2013113.03%3.03%$57,132$24,5683.03%0.12%-0.35%
2013122.51%2.51%$58,569$25,1852.51%1.25%-0.65%
20141-3.47%-3.47%$56,537$24,312-3.47%-4.78%1.54%
201424.56%4.56%$59,115$25,4204.56%5.39%0.48%
201430.82%0.82%$59,602$25,6300.82%0.41%-0.15%
201440.72%0.72%$60,034$25,8150.72%1.31%0.77%
201452.33%2.33%$61,436$26,4182.33%1.88%1.05%
201462.05%2.05%$62,696$26,9602.05%1.74%0.11%
20147-1.39%-1.39%$61,826$26,586-1.39%-1.61%-0.26%
201483.98%3.98%$64,288$27,6443.98%1.05%1.13%
20149-1.41%-1.41%$63,379$27,254-1.41%-5.01%-0.72%
2014102.42%2.42%$64,915$27,9142.42%-0.31%0.94%
2014112.68%2.68%$66,657$28,6632.68%-0.25%0.65%
201412-0.26%-0.26%$66,480$28,587-0.26%-3.65%0.09%
20151-3.02%-3.02%$64,474$27,725-3.02%0.13%2.31%
201525.74%5.74%$68,175$29,3165.74%5.52%-1.08%
20153-1.59%-1.59%$67,088$28,849-1.59%-1.54%0.41%
201540.95%0.95%$67,725$29,1230.95%5.08%-0.36%
201551.27%1.27%$68,587$29,4931.27%-0.94%-0.45%
20156-1.93%-1.93%$67,261$28,923-1.93%-2.69%-1.01%
201572.08%2.08%$68,660$29,5252.08%-0.80%0.76%
20158-6.04%-6.04%$64,512$27,741-6.04%-7.29%-0.36%
20159-2.49%-2.49%$62,906$27,050-2.49%-3.90%0.76%
2015100.01%8.42%$62,914$29,3298.42%6.26%0.01%
2015110.29%0.29%$63,094$29,4130.29%-1.32%-0.27%
201512-1.59%-1.59%$62,090$28,944-1.59%-2.07%-0.38%
20161-4.98%-4.98%$59,000$27,504-4.98%-5.59%1.43%
201620.66%-0.15%$59,389$27,464-0.15%-2.27%0.66%
201630.94%6.78%$59,950$29,3256.78%8.19%0.94%
201640.37%0.37%$60,174$29,4340.37%2.22%0.38%
201651.78%1.78%$61,246$29,9591.78%-1.02%0.01%
201660.25%0.25%$61,399$30,0340.25%-0.94%1.94%
201673.68%3.68%$63,657$31,1383.68%4.41%0.64%
201680.13%0.13%$63,739$31,1780.13%0.74%-0.17%
201690.01%0.01%$63,744$31,1810.01%1.37%-0.09%
201610-1.83%-1.83%$62,576$30,609-1.83%-1.72%-0.81%
2016113.70%3.70%$64,891$31,7423.70%-2.15%-2.64%
2016121.96%1.96%$66,164$32,3651.96%2.02%0.24%
201711.88%1.88%$67,410$32,9741.88%3.87%0.29%
201723.96%3.96%$70,081$34,2813.96%1.50%0.66%
201730.10%0.10%$70,152$34,3150.10%2.82%-0.07%
201741.02%1.02%$70,866$34,6641.02%2.20%0.76%
201751.39%1.39%$71,853$35,1481.39%3.01%0.67%
201760.52%0.61%$72,231$35,3620.61%0.52%0.01%
201773.42%2.04%$74,700$36,0852.04%3.42%0.39%
201780.64%0.29%$75,177$36,1910.29%0.64%0.85%
201791.81%2.06%$76,536$36,9362.06%1.81%-0.54%
2017101.94%2.32%$78,017$37,7922.32%1.94%0.11%
2017110.78%3.06%$78,627$38,9483.06%0.78%-0.17%
2017122.01%1.10%$80,209$39,3771.10%2.01%0.44%
201815.59%5.71%$84,694$41,6275.71%5.59%-1.09%
20182-5.14%-3.69%$80,340$40,089-3.69%-5.14%-1.03%
20183-0.64%-2.56%$79,830$39,064-2.56%-0.64%0.63%
201840.83%0.37%$80,491$39,2100.37%0.83%-0.83%
20185-1.92%2.39%$78,948$40,1492.39%-1.92%0.61%
201860.61%0.61%$79,426$40,3920.61%-2.08%0.03%
201873.71%3.71%$82,372$41,8903.71%2.48%0.03%
201883.25%3.25%$85,046$43,2503.25%-2.19%0.52%
201890.55%0.55%$85,518$43,4900.55%0.30%-0.54%
201810-6.85%-6.85%$79,661$40,511-6.85%-8.35%-0.73%
2018112.03%2.03%$81,275$41,3322.03%1.26%0.53%
201812-9.04%-9.04%$73,928$37,596-9.04%-4.85%1.80%
Portfolio return and risk metrics
MetricTiming PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)0.86%0.62%
Arithmetic Mean (annualized)10.78%7.70%
Geometric Mean (monthly)0.80%0.53%
Geometric Mean (annualized)9.99%6.51%
Volatility (monthly)3.45%4.30%
Volatility (annualized)11.94%14.88%
Downside Deviation (monthly)2.21%2.98%
Max. Drawdown-19.70%-50.97%
US Market Correlation0.700.99
Beta(*)0.551.00
Alpha (annualized)6.21%0.00%
R246.42%100.00%
Sharpe Ratio0.700.37
Sortino Ratio1.060.52
Treynor Ratio (%)15.355.56
Calmar Ratio0.440.67
Active Return3.49%N/A
Tracking Error11.04%N/A
Information Ratio0.32N/A
Skewness-0.60-0.67
Excess Kurtosis1.961.25
Historical Value-at-Risk (5%)-5.33%-7.77%
Analytical Value-at-Risk (5%)-4.81%-6.45%
Conditional Value-at-Risk (5%)-7.81%-10.06%
Upside Capture Ratio (%)78.56100.00
Downside Capture Ratio (%)56.18100.00
Safe Withdrawal Rate10.74%6.34%
Perpetual Withdrawal Rate7.15%4.11%
Positive Periods173 out of 252 (68.65%)161 out of 252 (63.89%)
Gain/Loss Ratio0.880.81
* Vanguard 500 Index Investor 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 PeriodStartEndTiming PortfolioVanguard 500 Index Investor
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-19.53%-44.82%
Subprime CrisisNov 2007Mar 2009-17.73%-50.97%

Drawdowns for Timing Portfolio

Drawdowns for Timing Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2000Nov 200011 monthsOct 20032 years 11 months3 years 10 months-19.70%
2Nov 2007Oct 20081 yearMar 20101 year 5 months2 years 5 months-17.73%
3May 2011Sep 20115 monthsFeb 20125 months10 months-17.20%
4Apr 2010Jun 20103 monthsDec 20106 months9 months-16.90%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Aug 2015Jan 20166 monthsFeb 20171 year 1 month1 year 7 months-14.07%
7Oct 2018Dec 20183 months-13.55%
8Feb 2018May 20184 monthsAug 20183 months7 months-6.78%
9Apr 2012May 20122 monthsJan 20138 months10 months-6.62%
10Jul 1999Sep 19993 monthsDec 19993 months6 months-6.25%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery 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%
4Oct 2018Dec 20183 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodTiming PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year10.75%29.87%-18.27%8.07%32.18%-37.02%
3 years9.86%20.93%-1.37%6.16%20.22%-14.60%
5 years10.49%19.39%4.32%5.94%17.81%-2.38%
7 years10.75%16.13%7.98%6.09%14.67%-1.64%
10 years10.54%13.82%7.67%5.39%12.97%-1.46%
15 years10.73%11.80%9.93%6.00%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceTiming PortfolioVanguard 500 Index Investor
1Jan 1998Sep 199921100.00% Vanguard 500 Index Investor (VFINX)VFINX: 35.45%35.45%35.45%
2Oct 1999Oct 19991100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.74%3.74%6.33%
3Nov 1999Nov 19991100.00% Vanguard 500 Index Investor (VFINX)VFINX: 2.02%2.02%2.02%
4Dec 1999Aug 20009100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 1.10%1.10%10.38%
5Sep 2000Nov 20003100.00% Vanguard 500 Index Investor (VFINX)VFINX: -13.13%-13.13%-13.13%
6Dec 2000Jul 200332100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 19.99%19.99%-21.76%
7Aug 2003Sep 20032100.00% Vanguard 500 Index Investor (VFINX)VFINX: 0.84%0.84%0.84%
8Oct 2003Jan 200852100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 119.08%119.08%49.00%
9Feb 2008Oct 200921100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 9.81%9.81%-21.55%
10Nov 2009May 20107100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -6.11%-6.11%6.37%
11Jun 2010Apr 201111100.00% Vanguard 500 Index Investor (VFINX)VFINX: 27.23%27.23%27.23%
12May 2011Jul 20113100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -5.80%-5.80%-4.79%
13Aug 2011May 201210100.00% Vanguard 500 Index Investor (VFINX)VFINX: 3.25%3.25%3.25%
14Jun 2012Jun 20121100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.04%0.04%4.11%
15Jul 2012Dec 20126100.00% Vanguard 500 Index Investor (VFINX)VFINX: 5.86%5.86%5.86%
16Jan 2013Jan 20131100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.34%3.34%5.18%
17Feb 2013Sep 201532100.00% Vanguard 500 Index Investor (VFINX)VFINX: 34.98%34.98%34.98%
18Oct 2015Oct 20151100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.01%0.01%8.42%
19Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-6.22%
20Feb 2016Mar 20162100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.61%1.61%6.62%
21Apr 2016May 201714100.00% Vanguard 500 Index Investor (VFINX)VFINX: 19.86%19.86%19.86%
22Jun 2017May 201812100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 9.87%9.87%14.23%
23Jun 2018Dec 20187100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.36%-6.36%-6.36%
24Jan 2019Jan 20191100.00% Vanguard Total Bond Market Index Inv (VBMFX)---