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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Asset 2
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Model Simulation Results (Jan 1987 - Dec 2020) Save

Tactical asset allocation model results from Jan 1987 to Dec 2020 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). 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 Vanguard Total Bond Market Index Inv (VBMFX) [Jan 1987 - Dec 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$441,85011.79%12.31%34.28%-7.90%-23.52% 0.731.100.80
Equal Weight Portfolio$10,000$315,66810.69%15.15%37.45%-37.02%-50.97% 0.550.790.99
Vanguard 500 Index Investor$10,000$315,66810.69%15.15%37.45%-37.02%-50.97% 0.550.790.99
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Dual Momentum Model12.12%2.30%2.30%5.12%8.54%9.13%11.79%16.76%13.57%
Equal Weight Portfolio12.12%18.25%18.25%14.03%15.07%13.72%10.69%18.80%15.26%
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%13.72%10.69%18.80%15.26%
Trailing return and volatility are as of last full calendar month ending December 2020
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • The simulated performance results are created by retroactively applying the specified investment strategy to historical data. Future results may vary.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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 PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
19874.43%8.50%$10,8504.71%$10,4714.71%$10,4714.71%1.54%
19884.42%8.06%$11,72516.22%$12,16916.22%$12,16916.22%7.35%
19894.65%31.36%$15,40231.36%$15,98631.36%$15,98631.36%13.64%
19906.11%7.48%$16,554-3.32%$15,454-3.32%$15,454-3.32%8.65%
19913.06%26.22%$20,89530.22%$20,12530.22%$20,12530.22%15.25%
19922.90%7.42%$22,4467.42%$21,6197.42%$21,6197.42%7.14%
19932.75%9.89%$24,6669.89%$23,7579.89%$23,7579.89%9.68%
19942.67%-1.73%$24,2401.18%$24,0361.18%$24,0361.18%-2.66%
19952.54%34.28%$32,55137.45%$33,03737.45%$33,03737.45%18.18%
19963.32%22.88%$39,99722.88%$40,59522.88%$40,59522.88%3.58%
19971.70%33.19%$53,27333.19%$54,06933.19%$54,06933.19%9.44%
19981.61%28.62%$68,51828.62%$69,54128.62%$69,54128.62%8.58%
19992.68%21.07%$82,95321.07%$84,19321.07%$84,19321.07%-0.76%
20003.39%-7.90%$76,396-9.06%$76,568-9.06%$76,568-9.06%11.39%
20011.55%8.43%$82,834-12.02%$67,362-12.02%$67,362-12.02%8.43%
20022.38%8.26%$89,675-22.15%$52,445-22.15%$52,445-22.15%8.26%
20031.88%13.55%$101,82428.50%$67,39328.50%$67,39328.50%3.97%
20043.26%10.74%$112,76010.74%$74,63110.74%$74,63110.74%4.24%
20053.42%4.77%$118,1444.77%$78,1944.77%$78,1944.77%2.40%
20062.54%15.64%$136,62315.64%$90,42515.64%$90,42515.64%4.27%
20074.08%5.39%$143,9835.39%$95,2965.39%$95,2965.39%6.92%
20080.09%-2.91%$139,798-37.02%$60,016-37.02%$60,016-37.02%5.05%
20092.72%14.84%$160,55026.49%$75,91226.49%$75,91226.49%5.93%
20101.50%14.91%$184,49414.91%$87,23414.91%$87,23414.91%6.42%
20112.96%1.97%$188,1211.97%$88,9491.97%$88,9491.97%7.56%
20121.74%11.29%$209,36815.82%$103,02415.82%$103,02415.82%4.05%
20131.50%32.18%$276,73332.18%$136,17332.18%$136,17332.18%-2.26%
20140.76%13.51%$314,11513.51%$154,56813.51%$154,56813.51%5.76%
20150.73%-6.60%$293,3691.25%$156,4981.25%$156,4981.25%0.30%
20162.07%6.56%$312,62111.82%$174,99111.82%$174,99111.82%2.50%
20172.11%21.67%$380,35921.67%$212,90721.67%$212,90721.67%3.46%
20181.91%-4.52%$363,151-4.52%$203,275-4.52%$203,275-4.52%-0.13%
20192.29%18.94%$431,92531.33%$266,95531.33%$266,95531.33%8.61%
20201.36%2.30%$441,85018.25%$315,66818.25%$315,66818.25%7.61%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthDual Momentum ModelEqual Weight PortfolioVanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
ReturnBalanceReturnBalanceReturnBalance
1987113.27%$11,32713.27%$11,32713.27%$11,32713.27%1.29%
198723.97%$11,7763.97%$11,7763.97%$11,7763.97%0.54%
198732.89%$12,1172.89%$12,1172.89%$12,1172.89%-0.64%
19874-1.03%$11,992-1.03%$11,992-1.03%$11,992-1.03%-3.20%
198751.04%$12,1171.04%$12,1171.04%$12,1171.04%-0.39%
198765.02%$12,7255.02%$12,7255.02%$12,7255.02%1.42%
198774.91%$13,3514.91%$13,3514.91%$13,3514.91%-0.11%
198783.84%$13,8633.84%$13,8633.84%$13,8633.84%-0.77%
19879-2.29%$13,547-2.29%$13,547-2.29%$13,547-2.29%-2.25%
198710-21.73%$10,603-21.73%$10,603-21.73%$10,603-21.73%3.50%
1987110.69%$10,677-8.19%$9,735-8.19%$9,735-8.19%0.69%
1987121.62%$10,8507.55%$10,4717.55%$10,4717.55%1.62%
198813.09%$11,1854.17%$10,9084.17%$10,9084.17%3.09%
198821.19%$11,3194.59%$11,4084.59%$11,4084.59%1.19%
19883-1.15%$11,189-3.04%$11,061-3.04%$11,061-3.04%-1.15%
19884-0.56%$11,1261.01%$11,1731.01%$11,1731.01%-0.56%
19885-0.96%$11,0190.81%$11,2640.81%$11,2640.81%-0.96%
198862.68%$11,3154.56%$11,7774.56%$11,7774.56%2.68%
19887-0.48%$11,261-0.37%$11,734-0.37%$11,734-0.37%-0.48%
198880.18%$11,282-3.40%$11,335-3.40%$11,335-3.40%0.18%
198892.19%$11,5294.26%$11,8174.26%$11,8174.26%2.19%
1988101.46%$11,6972.73%$12,1402.73%$12,1402.73%1.46%
198811-1.40%$11,533-1.40%$11,970-1.40%$11,970-1.40%-0.86%
1988121.66%$11,7251.66%$12,1691.66%$12,1691.66%0.45%
198917.32%$12,5837.32%$13,0607.32%$13,0607.32%0.87%
19892-2.47%$12,272-2.47%$12,737-2.47%$12,737-2.47%-0.62%
198932.26%$12,5502.26%$13,0252.26%$13,0252.26%0.26%
198945.18%$13,2005.18%$13,7015.18%$13,7015.18%1.98%
198954.04%$13,7334.04%$14,2534.04%$14,2534.04%2.54%
19896-0.59%$13,653-0.59%$14,170-0.59%$14,170-0.59%2.93%
198979.01%$14,8829.01%$15,4469.01%$15,4469.01%2.19%
198981.86%$15,1591.86%$15,7331.86%$15,7331.86%-1.60%
19899-0.40%$15,098-0.40%$15,670-0.40%$15,670-0.40%0.47%
198910-2.34%$14,744-2.34%$15,303-2.34%$15,303-2.34%2.46%
1989112.04%$15,0452.04%$15,6152.04%$15,6152.04%0.75%
1989122.38%$15,4022.38%$15,9862.38%$15,9862.38%0.74%
19901-6.72%$14,367-6.72%$14,912-6.72%$14,912-6.72%-1.89%
199021.27%$14,5501.27%$15,1021.27%$15,1021.27%0.75%
199032.61%$14,9302.61%$15,4952.61%$15,4952.61%0.08%
19904-2.50%$14,556-2.50%$15,108-2.50%$15,108-2.50%-0.90%
199059.69%$15,9679.69%$16,5729.69%$16,5729.69%2.86%
19906-0.66%$15,862-0.66%$16,463-0.66%$16,463-0.66%1.60%
19907-0.35%$15,806-0.35%$16,405-0.35%$16,405-0.35%1.27%
19908-1.21%$15,614-9.03%$14,923-9.03%$14,923-9.03%-1.21%
199090.72%$15,727-4.89%$14,194-4.89%$14,194-4.89%0.72%
1990101.49%$15,961-0.41%$14,135-0.41%$14,135-0.41%1.49%
1990112.23%$16,3176.44%$15,0466.44%$15,0466.44%2.23%
1990121.45%$16,5542.72%$15,4542.72%$15,4542.72%1.45%
199111.12%$16,7394.32%$16,1224.32%$16,1224.32%1.12%
199127.15%$17,9367.15%$17,2757.15%$17,2757.15%0.78%
199132.41%$18,3672.41%$17,6902.41%$17,6902.41%0.69%
199140.20%$18,4030.20%$17,7250.20%$17,7250.20%0.99%
199154.27%$19,1894.27%$18,4824.27%$18,4824.27%0.68%
19916-4.56%$18,314-4.56%$17,640-4.56%$17,640-4.56%-0.06%
199174.63%$19,1624.63%$18,4564.63%$18,4564.63%1.32%
199182.33%$19,6092.33%$18,8862.33%$18,8862.33%2.05%
19919-1.67%$19,282-1.67%$18,571-1.67%$18,571-1.67%2.01%
1991101.33%$19,5381.33%$18,8181.33%$18,8181.33%0.96%
199111-4.01%$18,754-4.01%$18,063-4.01%$18,063-4.01%0.74%
19911211.41%$20,89511.41%$20,12511.41%$20,12511.41%3.04%
19921-1.88%$20,501-1.88%$19,746-1.88%$19,746-1.88%-1.39%
199221.24%$20,7561.24%$19,9921.24%$19,9921.24%0.62%
19923-1.93%$20,357-1.93%$19,607-1.93%$19,607-1.93%-0.50%
199242.91%$20,9502.91%$20,1782.91%$20,1782.91%0.71%
199250.48%$21,0520.48%$20,2760.48%$20,2760.48%1.84%
19926-1.49%$20,738-1.49%$19,973-1.49%$19,973-1.49%1.31%
199274.04%$21,5764.04%$20,7814.04%$20,7814.04%1.91%
19928-2.07%$21,130-2.07%$20,351-2.07%$20,351-2.07%0.98%
199291.17%$21,3771.17%$20,5891.17%$20,5891.17%1.26%
1992100.33%$21,4470.33%$20,6570.33%$20,6570.33%-1.22%
1992113.40%$22,1773.40%$21,3603.40%$21,3603.40%-0.02%
1992121.21%$22,4461.21%$21,6191.21%$21,6191.21%1.48%
199310.81%$22,6260.81%$21,7930.81%$21,7930.81%1.79%
199321.36%$22,9331.36%$22,0881.36%$22,0881.36%1.96%
199332.11%$23,4172.11%$22,5542.11%$22,5542.11%0.37%
19934-2.42%$22,849-2.42%$22,007-2.42%$22,007-2.42%0.74%
199352.65%$23,4552.65%$22,5912.65%$22,5912.65%0.14%
199360.27%$23,5180.27%$22,6510.27%$22,6510.27%1.80%
19937-0.42%$23,418-0.42%$22,555-0.42%$22,555-0.42%0.61%
199383.79%$24,3053.79%$23,4093.79%$23,4093.79%1.69%
19939-0.79%$24,112-0.79%$23,223-0.79%$23,223-0.79%0.40%
1993102.08%$24,6132.08%$23,7062.08%$23,7062.08%0.30%
199311-1.00%$24,368-1.00%$23,470-1.00%$23,470-1.00%-0.97%
1993121.22%$24,6661.22%$23,7571.22%$23,7571.22%0.48%
199413.38%$25,4993.38%$24,5593.38%$24,5593.38%1.39%
19942-2.71%$24,807-2.71%$23,893-2.71%$23,893-2.71%-1.78%
19943-4.39%$23,718-4.39%$22,844-4.39%$22,844-4.39%-2.30%
19944-0.83%$23,5211.29%$23,1391.29%$23,1391.29%-0.83%
199451.63%$23,9041.63%$23,5151.63%$23,5151.63%0.00%
19946-2.47%$23,314-2.47%$22,935-2.47%$22,935-2.47%-0.18%
199471.84%$23,7443.28%$23,6863.28%$23,6863.28%1.84%
199484.08%$24,7124.08%$24,6524.08%$24,6524.08%0.14%
19949-2.45%$24,107-2.45%$24,049-2.45%$24,049-2.45%-1.44%
199410-0.07%$24,0912.25%$24,5892.25%$24,5892.25%-0.07%
199411-0.18%$24,047-3.65%$23,690-3.65%$23,690-3.65%-0.18%
1994120.80%$24,2401.46%$24,0361.46%$24,0361.46%0.80%
199511.90%$24,7002.58%$24,6572.58%$24,6572.58%1.90%
199522.17%$25,2373.88%$25,6143.88%$25,6143.88%2.17%
199532.95%$25,9822.95%$26,3702.95%$26,3702.95%0.67%
199542.94%$26,7462.94%$27,1462.94%$27,1462.94%1.31%
199553.95%$27,8043.95%$28,2193.95%$28,2193.95%3.95%
199562.31%$28,4472.31%$28,8722.31%$28,8722.31%0.66%
199573.30%$29,3873.30%$29,8263.30%$29,8263.30%-0.25%
199580.25%$29,4590.25%$29,8990.25%$29,8990.25%1.18%
199594.23%$30,7054.23%$31,1644.23%$31,1644.23%0.95%
199510-0.36%$30,594-0.36%$31,051-0.36%$31,051-0.36%1.47%
1995114.38%$31,9344.38%$32,4114.38%$32,4114.38%1.44%
1995121.93%$32,5511.93%$33,0371.93%$33,0371.93%1.44%
199613.39%$33,6533.39%$34,1563.39%$34,1563.39%0.63%
199620.92%$33,9640.92%$34,4710.92%$34,4710.92%-1.76%
199630.98%$34,2950.98%$34,8080.98%$34,8080.98%-0.77%
199641.46%$34,7951.46%$35,3151.46%$35,3151.46%-0.49%
199652.54%$35,6802.54%$36,2132.54%$36,2132.54%-0.17%
199660.38%$35,8170.38%$36,3520.38%$36,3520.38%1.27%
19967-4.42%$34,233-4.42%$34,745-4.42%$34,745-4.42%0.25%
199682.10%$34,9512.10%$35,4732.10%$35,4732.10%-0.16%
199695.61%$36,9115.61%$37,4625.61%$37,4625.61%1.70%
1996102.76%$37,9282.76%$38,4942.76%$38,4942.76%2.21%
1996117.56%$40,7967.56%$41,4067.56%$41,4067.56%1.76%
199612-1.96%$39,997-1.96%$40,595-1.96%$40,595-1.96%-0.85%
199716.22%$42,4846.22%$43,1196.22%$43,1196.22%0.25%
199720.79%$42,8190.79%$43,4590.79%$43,4590.79%0.11%
19973-4.14%$41,048-4.14%$41,662-4.14%$41,662-4.14%-0.97%
199745.96%$43,4935.96%$44,1435.96%$44,1435.96%1.49%
199756.09%$46,1416.09%$46,8306.09%$46,8306.09%0.87%
199764.45%$48,1964.45%$48,9164.45%$48,9164.45%1.16%
199777.97%$52,0357.97%$52,8127.97%$52,8127.97%2.80%
19978-5.61%$49,116-5.61%$49,850-5.61%$49,850-5.61%-0.85%
199795.47%$51,8035.47%$52,5765.47%$52,5765.47%1.45%
199710-3.35%$50,067-3.35%$50,815-3.35%$50,815-3.35%1.45%
1997114.60%$52,3694.60%$53,1524.60%$53,1524.60%0.33%
1997121.72%$53,2731.72%$54,0691.72%$54,0691.72%1.04%
199811.11%$53,8641.11%$54,6691.11%$54,6691.11%1.32%
199827.19%$57,7387.19%$58,6017.19%$58,6017.19%-0.10%
199835.10%$60,6855.10%$61,5925.10%$61,5925.10%0.33%
199841.01%$61,2971.01%$62,2121.01%$62,2121.01%0.51%
19985-1.74%$60,228-1.74%$61,128-1.74%$61,128-1.74%1.02%
199864.07%$62,6804.07%$63,6164.07%$63,6164.07%0.81%
19987-1.05%$62,019-1.05%$62,946-1.05%$62,946-1.05%0.23%
19988-14.47%$53,043-14.47%$53,835-14.47%$53,835-14.47%1.90%
199896.41%$56,4446.41%$57,2876.41%$57,2876.41%1.96%
1998108.16%$61,0528.16%$61,9648.16%$61,9648.16%-0.55%
1998116.07%$64,7596.07%$65,7266.07%$65,7266.07%0.49%
1998125.81%$68,5185.81%$69,5415.81%$69,5415.81%0.38%
199914.20%$71,3984.20%$72,4654.20%$72,4654.20%0.79%
19992-3.12%$69,167-3.12%$70,201-3.12%$70,201-3.12%-1.77%
199934.00%$71,9314.00%$73,0064.00%$73,0064.00%0.56%
199943.85%$74,7023.85%$75,8183.85%$75,8183.85%0.40%
19995-2.39%$72,918-2.39%$74,007-2.39%$74,007-2.39%-0.88%
199965.56%$76,9695.56%$78,1195.56%$78,1195.56%-0.50%
19997-3.13%$74,560-3.13%$75,674-3.13%$75,674-3.13%-0.39%
19998-0.50%$74,189-0.50%$75,298-0.50%$75,298-0.50%-0.08%
19999-2.74%$72,157-2.74%$73,235-2.74%$73,235-2.74%1.26%
1999106.33%$76,7226.33%$77,8696.33%$77,8696.33%0.33%
1999112.02%$78,2752.02%$79,4442.02%$79,4442.02%0.02%
1999125.98%$82,9535.98%$84,1935.98%$84,1935.98%-0.48%
20001-5.03%$78,779-5.03%$79,956-5.03%$79,956-5.03%-0.17%
20002-1.91%$77,277-1.91%$78,432-1.91%$78,432-1.91%1.18%
200039.75%$84,8139.75%$86,0819.75%$86,0819.75%1.40%
20004-3.00%$82,270-3.00%$83,499-3.00%$83,499-3.00%-0.49%
20005-2.04%$80,593-2.04%$81,797-2.04%$81,797-2.04%-0.16%
200062.49%$82,6042.49%$83,8382.49%$83,8382.49%2.15%
20007-1.50%$81,366-1.50%$82,582-1.50%$82,582-1.50%0.88%
200086.19%$86,4036.19%$87,6946.19%$87,6946.19%1.40%
20009-5.29%$81,833-5.29%$83,055-5.29%$83,055-5.29%0.76%
200010-0.43%$81,481-0.43%$82,698-0.43%$82,698-0.43%0.57%
200011-7.89%$75,056-7.89%$76,177-7.89%$76,177-7.89%1.58%
2000121.79%$76,3960.51%$76,5680.51%$76,5680.51%1.79%
200111.76%$77,7413.55%$79,2833.55%$79,2833.55%1.76%
200120.91%$78,447-9.14%$72,038-9.14%$72,038-9.14%0.91%
200130.54%$78,870-6.36%$67,459-6.36%$67,459-6.36%0.54%
20014-0.46%$78,5037.77%$72,7017.77%$72,7017.77%-0.46%
200150.73%$79,0790.65%$73,1730.65%$73,1730.65%0.73%
200160.52%$79,494-2.45%$71,384-2.45%$71,384-2.45%0.52%
200172.23%$81,265-1.00%$70,670-1.00%$70,670-1.00%2.23%
200181.11%$82,167-6.27%$66,236-6.27%$66,236-6.27%1.11%
200190.89%$82,902-8.09%$60,877-8.09%$60,877-8.09%0.89%
2001101.86%$84,4461.90%$62,0311.90%$62,0311.90%1.86%
200111-1.34%$83,3167.65%$66,7797.65%$66,7797.65%-1.34%
200112-0.58%$82,8340.87%$67,3620.87%$67,3620.87%-0.58%
200210.69%$83,405-1.47%$66,370-1.47%$66,370-1.47%0.69%
200220.85%$84,116-1.94%$65,085-1.94%$65,085-1.94%0.85%
20023-1.46%$82,8873.74%$67,5213.74%$67,5213.74%-1.46%
200241.69%$84,290-6.07%$63,419-6.07%$63,419-6.07%1.69%
200250.80%$84,964-0.75%$62,941-0.75%$62,941-0.75%0.80%
200260.29%$85,210-7.13%$58,450-7.13%$58,450-7.13%0.29%
200270.48%$85,622-7.72%$53,939-7.72%$53,939-7.72%0.48%
200281.66%$87,0440.65%$54,2910.65%$54,2910.65%1.66%
200291.53%$88,375-10.87%$48,387-10.87%$48,387-10.87%1.53%
200210-0.61%$87,8348.78%$52,6368.78%$52,6368.78%-0.61%
2002110.02%$87,8565.88%$55,7295.88%$55,7295.88%0.02%
2002122.07%$89,675-5.89%$52,445-5.89%$52,445-5.89%2.07%
200310.05%$89,721-2.62%$51,068-2.62%$51,068-2.62%0.05%
200321.38%$90,955-1.52%$50,293-1.52%$50,293-1.52%1.38%
20033-0.13%$90,8400.96%$50,7740.96%$50,7740.96%-0.13%
200340.87%$91,6288.25%$54,9658.25%$54,9658.25%0.87%
200351.82%$93,2995.26%$57,8585.26%$57,8585.26%1.82%
20036-0.13%$93,1731.26%$58,5871.26%$58,5871.26%-0.13%
20037-3.34%$90,0631.74%$59,6091.74%$59,6091.74%-3.34%
200381.93%$91,8041.93%$60,7611.93%$60,7611.93%0.61%
20039-1.07%$90,820-1.07%$60,109-1.07%$60,109-1.07%2.71%
2003105.64%$95,9435.64%$63,5005.64%$63,5005.64%-0.96%
2003110.86%$96,7730.86%$64,0490.86%$64,0490.86%0.27%
2003125.22%$101,8245.22%$67,3935.22%$67,3935.22%0.88%
200411.82%$103,6791.82%$68,6201.82%$68,6201.82%0.86%
200421.38%$105,1071.38%$69,5651.38%$69,5651.38%1.03%
20043-1.51%$103,516-1.51%$68,512-1.51%$68,512-1.51%0.80%
20044-1.58%$101,884-1.58%$67,432-1.58%$67,432-1.58%-2.61%
200451.36%$103,2671.36%$68,3481.36%$68,3481.36%-0.43%
200461.93%$105,2601.93%$69,6671.93%$69,6671.93%0.56%
20047-3.31%$101,775-3.31%$67,360-3.31%$67,360-3.31%0.96%
200480.38%$102,1640.38%$67,6180.38%$67,6180.38%1.94%
200491.07%$103,2541.07%$68,3391.07%$68,3391.07%0.16%
2004101.51%$104,8181.51%$69,3741.51%$69,3741.51%0.85%
2004114.05%$109,0594.05%$72,1814.05%$72,1814.05%-0.81%
2004123.39%$112,7603.39%$74,6313.39%$74,6313.39%0.92%
20051-2.45%$109,993-2.45%$72,799-2.45%$72,799-2.45%0.65%
200522.09%$112,2962.09%$74,3232.09%$74,3232.09%-0.63%
20053-1.76%$110,319-1.76%$73,015-1.76%$73,015-1.76%-0.49%
20054-1.91%$108,210-1.91%$71,619-1.91%$71,619-1.91%1.35%
200553.17%$111,6373.17%$73,8883.17%$73,8883.17%1.05%
200560.13%$111,7790.13%$73,9820.13%$73,9820.13%0.55%
200573.71%$115,9223.71%$76,7243.71%$76,7243.71%-0.99%
20058-0.91%$114,864-0.91%$76,023-0.91%$76,023-0.91%1.36%
200590.79%$115,7760.79%$76,6270.79%$76,6270.79%-1.10%
200510-1.68%$113,833-1.68%$75,340-1.68%$75,340-1.68%-0.81%
2005113.76%$118,1183.76%$78,1773.76%$78,1773.76%0.48%
2005120.02%$118,1440.02%$78,1940.02%$78,1940.02%0.99%
200612.65%$121,2692.65%$80,2622.65%$80,2622.65%-0.11%
200620.26%$121,5880.26%$80,4730.26%$80,4730.26%0.37%
200631.23%$123,0841.23%$81,4641.23%$81,4641.23%-1.00%
200641.33%$124,7251.33%$82,5501.33%$82,5501.33%-0.21%
20065-2.90%$121,112-2.90%$80,159-2.90%$80,159-2.90%-0.09%
200660.13%$121,2670.13%$80,2610.13%$80,2610.13%0.10%
200670.61%$122,0030.61%$80,7480.61%$80,7480.61%1.35%
200682.36%$124,8852.36%$82,6562.36%$82,6562.36%1.64%
200692.56%$128,0862.56%$84,7742.56%$84,7742.56%0.81%
2006103.25%$132,2503.25%$87,5303.25%$87,5303.25%0.72%
2006111.89%$134,7491.89%$89,1841.89%$89,1841.89%1.11%
2006121.39%$136,6231.39%$90,4251.39%$90,4251.39%-0.48%
200711.49%$138,6641.49%$91,7751.49%$91,7751.49%-0.08%
20072-1.97%$135,933-1.97%$89,968-1.97%$89,968-1.97%1.50%
200731.11%$137,4441.11%$90,9681.11%$90,9681.11%0.02%
200744.42%$143,5164.42%$94,9874.42%$94,9874.42%0.51%
200753.48%$148,5063.48%$98,2893.48%$98,2893.48%-0.78%
20076-1.68%$146,017-1.68%$96,642-1.68%$96,642-1.68%-0.39%
20077-3.08%$141,513-3.08%$93,661-3.08%$93,661-3.08%0.84%
200781.50%$143,6331.50%$95,0641.50%$95,0641.50%1.34%
200793.72%$148,9823.72%$98,6043.72%$98,6043.72%0.72%
2007101.58%$151,3341.58%$100,1611.58%$100,1611.58%0.93%
200711-4.19%$144,998-4.19%$95,967-4.19%$95,967-4.19%1.91%
200712-0.70%$143,983-0.70%$95,296-0.70%$95,296-0.70%0.22%
20081-6.02%$135,322-6.02%$89,563-6.02%$89,563-6.02%1.69%
200820.19%$135,578-3.25%$86,651-3.25%$86,651-3.25%0.19%
200830.30%$135,980-0.44%$86,269-0.44%$86,269-0.44%0.30%
20084-0.30%$135,5714.85%$90,4574.85%$90,4574.85%-0.30%
20085-0.79%$134,5041.29%$91,6261.29%$91,6261.29%-0.79%
20086-0.01%$134,496-8.44%$83,895-8.44%$83,895-8.44%-0.01%
200870.00%$134,497-0.83%$83,197-0.83%$83,197-0.83%0.00%
200880.70%$135,4381.45%$84,4001.45%$84,4001.45%0.70%
20089-1.10%$133,943-8.91%$76,883-8.91%$76,883-8.91%-1.10%
200810-2.53%$130,549-16.79%$63,973-16.79%$63,973-16.79%-2.53%
2008113.64%$135,302-7.17%$59,383-7.17%$59,383-7.17%3.64%
2008123.32%$139,7981.07%$60,0161.07%$60,0161.07%3.32%
20091-0.70%$138,824-8.41%$54,968-8.41%$54,968-8.41%-0.70%
20092-0.42%$138,236-10.66%$49,110-10.66%$49,110-10.66%-0.42%
200931.48%$140,2838.76%$53,4128.76%$53,4128.76%1.48%
200940.36%$140,7849.56%$58,5179.56%$58,5179.56%0.36%
200950.85%$141,9795.62%$61,8055.62%$61,8055.62%0.85%
200960.54%$142,7440.22%$61,9400.22%$61,9400.22%0.54%
200971.43%$144,7827.58%$66,6347.58%$66,6347.58%1.43%
200981.01%$146,2513.60%$69,0323.60%$69,0323.60%1.01%
200991.19%$147,9883.72%$71,5983.72%$71,5983.72%1.19%
2009100.41%$148,598-1.87%$70,261-1.87%$70,261-1.87%0.41%
2009115.98%$157,4865.98%$74,4645.98%$74,4645.98%1.36%
2009121.95%$160,5501.95%$75,9121.95%$75,9121.95%-1.68%
20101-3.60%$154,764-3.60%$73,177-3.60%$73,177-3.60%1.57%
201023.09%$159,5493.09%$75,4393.09%$75,4393.09%0.20%
201036.01%$169,1436.01%$79,9766.01%$79,9766.01%-0.08%
201041.58%$171,8121.58%$81,2381.58%$81,2381.58%1.06%
20105-8.01%$158,059-8.01%$74,734-8.01%$74,734-8.01%0.87%
20106-5.24%$149,777-5.24%$70,819-5.24%$70,819-5.24%1.61%
201077.00%$160,2567.00%$75,7737.00%$75,7737.00%0.94%
20108-4.53%$152,997-4.53%$72,341-4.53%$72,341-4.53%1.48%
201098.92%$166,6428.92%$78,7938.92%$78,7938.92%-0.01%
2010103.79%$172,9553.79%$81,7783.79%$81,7783.79%0.36%
2010110.00%$172,9550.00%$81,7780.00%$81,7780.00%-0.57%
2010126.67%$184,4946.67%$87,2346.67%$87,2346.67%-1.15%
201112.36%$188,8422.36%$89,2902.36%$89,2902.36%0.08%
201123.42%$195,2943.42%$92,3403.42%$92,3403.42%0.16%
201130.03%$195,3440.03%$92,3640.03%$92,3640.03%-0.01%
201142.95%$201,1022.95%$95,0872.95%$95,0872.95%1.32%
20115-1.15%$198,799-1.15%$93,997-1.15%$93,997-1.15%1.30%
20116-1.67%$195,474-1.67%$92,426-1.67%$92,426-1.67%-0.39%
20117-2.05%$191,473-2.05%$90,534-2.05%$90,534-2.05%1.58%
20118-5.45%$181,045-5.45%$85,603-5.45%$85,603-5.45%1.46%
20119-7.04%$168,294-7.04%$79,574-7.04%$79,574-7.04%0.89%
20111010.91%$186,66210.91%$88,25910.91%$88,25910.91%0.16%
201111-0.23%$186,226-0.23%$88,053-0.23%$88,053-0.23%-0.30%
2011121.02%$188,1211.02%$88,9491.02%$88,9491.02%1.08%
201214.46%$196,5204.46%$92,9204.46%$92,9204.46%0.87%
201224.31%$204,9834.31%$96,9224.31%$96,9224.31%-0.05%
201233.28%$211,7103.28%$100,1023.28%$100,1023.28%-0.58%
20124-0.64%$210,356-0.64%$99,462-0.64%$99,462-0.64%1.14%
20125-6.02%$197,697-6.02%$93,476-6.02%$93,476-6.02%0.95%
201260.04%$197,7704.11%$97,3174.11%$97,3174.11%0.04%
201271.37%$200,4791.37%$98,6511.37%$98,6511.37%1.39%
201282.24%$204,9682.24%$100,8602.24%$100,8602.24%0.03%
201292.58%$210,2502.58%$103,4582.58%$103,4582.58%0.11%
201210-1.86%$206,340-1.86%$101,535-1.86%$101,535-1.86%0.11%
2012110.56%$207,4950.56%$102,1030.56%$102,1030.56%0.19%
2012120.90%$209,3680.90%$103,0240.90%$103,0240.90%-0.20%
201315.18%$220,2055.18%$108,3575.18%$108,3575.18%-0.71%
201321.34%$223,1531.34%$109,8081.34%$109,8081.34%0.54%
201333.74%$231,4963.74%$113,9133.74%$113,9133.74%0.08%
201341.91%$235,9151.91%$116,0871.91%$116,0871.91%0.91%
201352.33%$241,4052.33%$118,7892.33%$118,7892.33%-1.71%
20136-1.35%$238,145-1.35%$117,185-1.35%$117,185-1.35%-1.65%
201375.07%$250,2245.07%$123,1295.07%$123,1295.07%0.20%
20138-2.91%$242,938-2.91%$119,544-2.91%$119,544-2.91%-0.64%
201393.12%$250,5223.12%$123,2753.12%$123,2753.12%0.96%
2013104.59%$262,0124.59%$128,9294.59%$128,9294.59%0.78%
2013113.03%$269,9473.03%$132,8343.03%$132,8343.03%-0.35%
2013122.51%$276,7332.51%$136,1732.51%$136,1732.51%-0.65%
20141-3.47%$267,133-3.47%$131,449-3.47%$131,449-3.47%1.54%
201424.56%$279,3164.56%$137,4444.56%$137,4444.56%0.48%
201430.82%$281,6170.82%$138,5760.82%$138,5760.82%-0.15%
201440.72%$283,6560.72%$139,5800.72%$139,5800.72%0.77%
201452.33%$290,2792.33%$142,8392.33%$142,8392.33%1.05%
201462.05%$296,2352.05%$145,7702.05%$145,7702.05%0.11%
20147-1.39%$292,123-1.39%$143,746-1.39%$143,746-1.39%-0.26%
201483.98%$303,7553.98%$149,4703.98%$149,4703.98%1.13%
20149-1.41%$299,464-1.41%$147,358-1.41%$147,358-1.41%-0.72%
2014102.42%$306,7202.42%$150,9292.42%$150,9292.42%0.94%
2014112.68%$314,9482.68%$154,9782.68%$154,9782.68%0.65%
201412-0.26%$314,115-0.26%$154,568-0.26%$154,568-0.26%0.09%
20151-3.02%$304,637-3.02%$149,904-3.02%$149,904-3.02%2.31%
201525.74%$322,1215.74%$158,5085.74%$158,5085.74%-1.08%
20153-1.59%$316,988-1.59%$155,982-1.59%$155,982-1.59%0.41%
201540.95%$319,9960.95%$157,4620.95%$157,4620.95%-0.36%
201551.27%$324,0691.27%$159,4661.27%$159,4661.27%-0.45%
20156-1.93%$317,805-1.93%$156,384-1.93%$156,384-1.93%-1.01%
201572.08%$324,4162.08%$159,6372.08%$159,6372.08%0.76%
20158-6.05%$304,799-6.05%$149,984-6.05%$149,984-6.05%-0.36%
20159-2.48%$297,226-2.48%$146,257-2.48%$146,257-2.48%0.76%
2015100.01%$297,2668.42%$158,5768.42%$158,5768.42%0.01%
2015110.29%$298,1170.29%$159,0300.29%$159,0300.29%-0.27%
201512-1.59%$293,369-1.59%$156,498-1.59%$156,498-1.59%-0.38%
20161-4.98%$278,769-4.98%$148,709-4.98%$148,709-4.98%1.43%
201620.66%$280,610-0.15%$148,493-0.15%$148,493-0.15%0.66%
201630.94%$283,2586.78%$158,5546.78%$158,5546.78%0.94%
201640.37%$284,3160.37%$159,1470.37%$159,1470.37%0.38%
201651.78%$289,3851.78%$161,9841.78%$161,9841.78%0.01%
201660.25%$290,1090.25%$162,3890.25%$162,3890.25%1.94%
201673.68%$300,7743.68%$168,3593.68%$168,3593.68%0.64%
201680.13%$301,1630.13%$168,5770.13%$168,5770.13%-0.17%
201690.01%$301,1880.01%$168,5910.01%$168,5910.01%-0.09%
201610-1.83%$295,667-1.83%$165,501-1.83%$165,501-1.83%-0.81%
2016113.70%$306,6043.70%$171,6233.70%$171,6233.70%-2.64%
2016121.96%$312,6211.96%$174,9911.96%$174,9911.96%0.24%
201711.88%$318,5081.88%$178,2861.88%$178,2861.88%0.29%
201723.96%$331,1303.96%$185,3513.96%$185,3513.96%0.66%
201730.10%$331,4610.10%$185,5370.10%$185,5370.10%-0.07%
201741.02%$334,8361.02%$187,4261.02%$187,4261.02%0.76%
201751.39%$339,5031.39%$190,0381.39%$190,0381.39%0.67%
201760.61%$341,5790.61%$191,2000.61%$191,2000.61%0.01%
201772.04%$348,5562.04%$195,1052.04%$195,1052.04%0.39%
201780.29%$349,5780.29%$195,6780.29%$195,6780.29%0.85%
201792.06%$356,7772.06%$199,7072.06%$199,7072.06%-0.54%
2017102.32%$365,0452.32%$204,3352.32%$204,3352.32%0.11%
2017113.06%$376,2133.06%$210,5873.06%$210,5873.06%-0.17%
2017121.10%$380,3591.10%$212,9071.10%$212,9071.10%0.44%
201815.71%$402,0885.71%$225,0705.71%$225,0705.71%-1.09%
20182-3.69%$387,232-3.69%$216,754-3.69%$216,754-3.69%-1.03%
20183-2.56%$377,337-2.56%$211,216-2.56%$211,216-2.56%0.63%
201840.37%$378,7450.37%$212,0040.37%$212,0040.37%-0.83%
201852.39%$387,8142.39%$217,0802.39%$217,0802.39%0.61%
201860.61%$390,1610.61%$218,3940.61%$218,3940.61%0.03%
201873.71%$404,6333.71%$226,4953.71%$226,4953.71%0.03%
201883.25%$417,7693.25%$233,8473.25%$233,8473.25%0.52%
201890.55%$420,0840.55%$235,1440.55%$235,1440.55%-0.54%
201810-6.85%$391,313-6.85%$219,039-6.85%$219,039-6.85%-0.73%
2018112.03%$399,2432.03%$223,4782.03%$223,4782.03%0.53%
201812-9.04%$363,151-9.04%$203,275-9.04%$203,275-9.04%1.80%
201911.01%$366,8088.00%$219,5418.00%$219,5418.00%1.01%
20192-0.06%$366,5803.20%$226,5683.20%$226,5683.20%-0.06%
201931.94%$373,6791.94%$230,9561.94%$230,9561.94%1.96%
201944.04%$388,7804.04%$240,2894.04%$240,2894.04%0.04%
20195-6.36%$364,036-6.36%$224,995-6.36%$224,995-6.36%1.83%
201967.03%$389,6387.03%$240,8197.03%$240,8197.03%1.15%
201971.43%$395,1941.43%$244,2531.43%$244,2531.43%0.23%
20198-1.59%$388,906-1.59%$240,367-1.59%$240,367-1.59%2.78%
201991.86%$396,1351.86%$244,8351.86%$244,8351.86%-0.60%
2019102.15%$404,6722.15%$250,1112.15%$250,1112.15%0.21%
2019113.62%$419,3233.62%$259,1663.62%$259,1663.62%-0.06%
2019123.01%$431,9253.01%$266,9553.01%$266,9553.01%-0.15%
20201-0.05%$431,708-0.05%$266,821-0.05%$266,821-0.05%2.11%
20202-8.24%$396,130-8.24%$244,831-8.24%$244,831-8.24%1.71%
20203-12.37%$347,120-12.37%$214,541-12.37%$214,541-12.37%-0.59%
202041.69%$352,99912.81%$242,03112.81%$242,03112.81%1.69%
202050.54%$354,8904.76%$253,5424.76%$253,5424.76%0.54%
202061.98%$361,9091.98%$258,5561.98%$258,5561.98%0.70%
202075.63%$382,2735.63%$273,1055.63%$273,1055.63%1.55%
202087.18%$409,7097.18%$292,7067.18%$292,7067.18%-1.02%
20209-3.81%$394,097-3.81%$281,552-3.81%$281,552-3.81%0.08%
202010-2.67%$383,569-2.67%$274,031-2.67%$274,031-2.67%-0.61%
20201110.94%$425,51510.94%$303,99810.94%$303,99810.94%1.11%
2020123.84%$441,8503.84%$315,6683.84%$315,6683.84%0.15%
Portfolio return and risk metrics
MetricDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Arithmetic Mean (monthly)1.00%0.95%0.95%
Arithmetic Mean (annualized)12.64%11.97%11.97%
Geometric Mean (monthly)0.93%0.85%0.85%
Geometric Mean (annualized)11.79%10.69%10.69%
Standard Deviation (monthly)3.55%4.37%4.37%
Standard Deviation (annualized)12.31%15.15%15.15%
Downside Deviation (monthly)2.24%2.91%2.91%
Max. Drawdown-23.52%-50.97%-50.97%
US Market Correlation0.800.990.99
Beta(*)0.661.001.00
Alpha (annualized)4.46%0.00%0.00%
R265.96%100.00%100.00%
Sharpe Ratio0.730.550.55
Sortino Ratio1.100.790.79
Treynor Ratio (%)13.538.338.33
Calmar Ratio0.260.710.71
Active Return1.10%N/AN/A
Tracking Error8.84%N/AN/A
Information Ratio0.12N/AN/A
Skewness-0.83-0.77-0.77
Excess Kurtosis5.392.512.51
Historical Value-at-Risk (5%)-4.55%-6.97%-6.97%
Analytical Value-at-Risk (5%)-4.85%-6.25%-6.25%
Conditional Value-at-Risk (5%)-7.76%-9.97%-9.97%
Upside Capture Ratio (%)78.48100.00100.00
Downside Capture Ratio (%)63.22100.00100.00
Safe Withdrawal Rate10.54%8.94%8.94%
Perpetual Withdrawal Rate8.26%7.35%7.35%
Positive Periods280 out of 408 (68.63%)269 out of 408 (65.93%)269 out of 408 (65.93%)
Gain/Loss Ratio0.980.900.90
* 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 PeriodStartEndDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
Black Monday PeriodSep 1987Nov 1987-23.52%-29.78%-29.78%
Asian CrisisJul 1997Jan 1998-5.61%-5.61%-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.38%-15.38%
Dotcom CrashMar 2000Oct 2002-13.13%-44.82%-44.82%
Subprime CrisisNov 2007Mar 2009-13.73%-50.97%-50.97%
COVID-19 StartJan 2020Mar 2020-19.63%-19.63%-19.63%

Drawdowns for Dual Momentum Model

Drawdowns for Dual Momentum Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 1987Oct 19872 monthsJul 19891 year 9 months1 year 11 months-23.52%
2Jan 2020Mar 20203 monthsDec 20209 months1 year-19.63%
3May 2011Sep 20115 monthsFeb 20125 months10 months-16.31%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Aug 2015Jan 20166 monthsFeb 20171 year 1 month1 year 7 months-14.07%
6Nov 2007Oct 20081 yearNov 20091 year 1 month2 years 1 month-13.73%
7Oct 2018Dec 20183 monthsDec 20191 year1 year 3 months-13.55%
8Sep 2000Nov 20003 monthsAug 20021 year 9 months2 years-13.13%
9May 2010Jun 20102 monthsOct 20104 months6 months-12.83%
10Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-8.57%
Worst 10 drawdowns included above

Drawdowns for Equal Weight Portfolio

Drawdowns for Equal Weight Portfolio (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%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
10Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
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%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
6Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
7Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
8Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
10Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year11.69%52.00%-18.62%11.12%53.61%-43.32%11.12%53.61%-43.32%
3 years11.98%32.68%0.85%10.51%32.68%-16.14%10.51%32.68%-16.14%
5 years11.95%27.90%1.83%10.14%28.49%-6.73%10.14%28.49%-6.73%
7 years12.07%20.61%5.60%9.88%21.51%-3.94%9.88%21.51%-3.94%
10 years12.14%19.31%5.88%9.40%19.37%-3.51%9.40%19.37%-3.51%
15 years11.56%15.50%7.94%8.13%13.56%3.64%8.13%13.56%3.64%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceDual Momentum ModelEqual Weight PortfolioVanguard 500 Index Investor
26Jan 2021Jan 20211Please sign-in for forward signals----
25Jun 2020Dec 20207100.00% Vanguard 500 Index Investor (VFINX)VFINX: 24.50%24.50%24.50%24.50%
24Apr 2020May 20202100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 2.24%2.24%18.18%18.18%
23Mar 2019Mar 202013100.00% Vanguard 500 Index Investor (VFINX)VFINX: -5.31%-5.31%-5.31%-5.31%
22Jan 2019Feb 20192100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.94%0.94%11.46%11.46%
21Apr 2016Dec 201833100.00% Vanguard 500 Index Investor (VFINX)VFINX: 28.21%28.21%28.21%28.21%
20Feb 2016Mar 20162100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.61%1.61%6.62%6.62%
19Nov 2015Jan 20163100.00% Vanguard 500 Index Investor (VFINX)VFINX: -6.22%-6.22%-6.22%-6.22%
18Oct 2015Oct 20151100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.01%0.01%8.42%8.42%
17Jul 2012Sep 201539100.00% Vanguard 500 Index Investor (VFINX)VFINX: 50.29%50.29%50.29%50.29%
16Jun 2012Jun 20121100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 0.04%0.04%4.11%4.11%
15Nov 2009May 201231100.00% Vanguard 500 Index Investor (VFINX)VFINX: 33.04%33.04%33.04%33.04%
14Feb 2008Oct 200921100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 9.81%9.81%-21.55%-21.55%
13Aug 2003Jan 200854100.00% Vanguard 500 Index Investor (VFINX)VFINX: 50.25%50.25%50.25%50.25%
12Dec 2000Jul 200332100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 19.99%19.99%-21.75%-21.75%
11Mar 1995Nov 200069100.00% Vanguard 500 Index Investor (VFINX)VFINX: 197.41%197.41%197.41%197.41%
10Oct 1994Feb 19955100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 4.69%4.69%6.51%6.51%
9Aug 1994Sep 19942100.00% Vanguard 500 Index Investor (VFINX)VFINX: 1.53%1.53%1.53%1.53%
8Jul 1994Jul 19941100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 1.84%1.84%3.28%3.28%
7May 1994Jun 19942100.00% Vanguard 500 Index Investor (VFINX)VFINX: -0.88%-0.88%-0.88%-0.88%
6Apr 1994Apr 19941100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: -0.83%-0.83%1.29%1.29%
5Feb 1991Mar 199438100.00% Vanguard 500 Index Investor (VFINX)VFINX: 41.70%41.70%41.70%41.70%
4Aug 1990Jan 19916100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 5.90%5.90%-1.73%-1.73%
3Nov 1988Jul 199021100.00% Vanguard 500 Index Investor (VFINX)VFINX: 35.13%35.13%35.13%35.13%
2Nov 1987Oct 198812100.00% Vanguard Total Bond Market Index Inv (VBMFX)VBMFX: 10.31%10.31%14.49%14.49%
1Jan 1987Oct 198710100.00% Vanguard 500 Index Investor (VFINX)VFINX: 6.03%6.03%6.03%6.03%