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.
Tactical asset allocation model results from Jan 1988 to Dec 2015 for Vanguard US Growth Investor (VWUSX) are based on 12 calendar month simple moving average. The tactical asset allocation model is invested in the asset when the adjusted close price is greater than or equal to the moving average, otherwise the portfolio is invested in cash. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of month signals.
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Moving Average Model | $10,000 | $184,483 | 10.97% | 12.27% | 46.76% | -15.11% | -18.88% | 0.65 | 1.06 | 0.69 |
Buy & Hold Portfolio | $10,000 | $97,957 | 8.49% | 17.43% | 46.76% | -37.82% | -71.43% | 0.37 | 0.52 | 0.93 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Moving Average Model | 0.38% | 0.51% | 15.47% | 11.13% | 6.12% | 10.97% | 10.82% | 10.99% |
Buy & Hold Portfolio | 8.32% | 8.47% | 18.44% | 14.34% | 7.44% | 8.49% | 11.45% | 13.52% |
Trailing annualized return and volatility are for full months ending in December 2015 excluding portfolio cashflows. |
Year | Inflation | Moving Average Model | Buy & Hold Portfolio | Vanguard US Growth Investor (VWUSX) | Cash (CASHX) | ||
---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | ||||
1988 | 4.42% | 4.39% | $10,439 | 8.76% | $10,876 | 8.76% | 6.80% |
1989 | 4.65% | 37.70% | $14,374 | 37.70% | $14,976 | 37.70% | 8.61% |
1990 | 6.11% | 4.14% | $14,969 | 4.60% | $15,665 | 4.60% | 7.89% |
1991 | 3.06% | 46.76% | $21,968 | 46.76% | $22,989 | 46.76% | 5.71% |
1992 | 2.90% | 2.76% | $22,574 | 2.76% | $23,623 | 2.76% | 3.57% |
1993 | 2.75% | -4.90% | $21,468 | -1.45% | $23,281 | -1.45% | 3.05% |
1994 | 2.67% | 0.71% | $21,620 | 3.88% | $24,185 | 3.88% | 4.20% |
1995 | 2.54% | 38.44% | $29,932 | 38.44% | $33,483 | 38.44% | 5.71% |
1996 | 3.32% | 26.05% | $37,728 | 26.05% | $42,204 | 26.05% | 5.17% |
1997 | 1.70% | 25.93% | $47,511 | 25.93% | $53,148 | 25.93% | 5.22% |
1998 | 1.61% | 32.47% | $62,938 | 39.98% | $74,397 | 39.98% | 4.97% |
1999 | 2.68% | 22.28% | $76,958 | 22.28% | $90,970 | 22.28% | 4.77% |
2000 | 3.39% | 1.91% | $78,431 | -20.17% | $72,625 | -20.17% | 5.99% |
2001 | 1.55% | 3.70% | $81,332 | -31.70% | $49,604 | -31.70% | 3.70% |
2002 | 2.38% | 1.65% | $82,673 | -35.80% | $31,844 | -35.80% | 1.65% |
2003 | 1.88% | 18.81% | $98,225 | 26.10% | $40,157 | 26.10% | 1.04% |
2004 | 3.26% | -0.36% | $97,873 | 7.03% | $42,978 | 7.03% | 1.32% |
2005 | 3.42% | 4.03% | $101,814 | 11.15% | $47,772 | 11.15% | 3.14% |
2006 | 2.54% | -0.50% | $101,308 | 1.77% | $48,616 | 1.77% | 4.82% |
2007 | 4.08% | 10.15% | $111,590 | 10.15% | $53,550 | 10.15% | 4.56% |
2008 | 0.09% | -15.11% | $94,727 | -37.82% | $33,299 | -37.82% | 1.53% |
2009 | 2.72% | 13.84% | $107,834 | 34.95% | $44,938 | 34.95% | 0.16% |
2010 | 1.50% | 0.93% | $108,836 | 11.53% | $50,121 | 11.53% | 0.14% |
2011 | 2.96% | -0.71% | $108,066 | -0.68% | $49,782 | -0.68% | 0.07% |
2012 | 1.74% | 10.87% | $119,817 | 18.43% | $58,955 | 18.43% | 0.08% |
2013 | 1.50% | 35.49% | $162,342 | 35.49% | $79,880 | 35.49% | 0.05% |
2014 | 0.76% | 13.06% | $183,539 | 13.06% | $90,310 | 13.06% | 0.03% |
2015 | 0.73% | 0.51% | $184,483 | 8.47% | $97,957 | 8.47% | 0.05% |
Year | Month | Moving Average Model Return | Buy & Hold Portfolio Return | Vanguard US Growth Investor (VWUSX) | Cash (CASHX) |
---|---|---|---|---|---|
1988 | 1 | 0.48% | 3.16% | 3.16% | 0.48% |
1988 | 2 | 0.47% | 4.60% | 4.60% | 0.47% |
1988 | 3 | 0.47% | -3.99% | -3.99% | 0.47% |
1988 | 4 | 0.48% | -0.69% | -0.69% | 0.48% |
1988 | 5 | 0.50% | 0.42% | 0.42% | 0.50% |
1988 | 6 | 0.54% | 5.70% | 5.70% | 0.54% |
1988 | 7 | 0.55% | -2.50% | -2.50% | 0.55% |
1988 | 8 | 0.59% | -3.24% | -3.24% | 0.59% |
1988 | 9 | 0.62% | 6.00% | 6.00% | 0.62% |
1988 | 10 | 0.39% | 0.39% | 0.39% | 0.61% |
1988 | 11 | -2.10% | -2.10% | -2.10% | 0.62% |
1988 | 12 | 1.33% | 1.33% | 1.33% | 0.66% |
1989 | 1 | 7.06% | 7.06% | 7.06% | 0.68% |
1989 | 2 | -1.87% | -1.87% | -1.87% | 0.71% |
1989 | 3 | 3.04% | 3.04% | 3.04% | 0.74% |
1989 | 4 | 5.66% | 5.66% | 5.66% | 0.75% |
1989 | 5 | 5.24% | 5.24% | 5.24% | 0.71% |
1989 | 6 | -1.88% | -1.88% | -1.88% | 0.73% |
1989 | 7 | 10.82% | 10.82% | 10.82% | 0.67% |
1989 | 8 | 1.83% | 1.83% | 1.83% | 0.66% |
1989 | 9 | 1.60% | 1.60% | 1.60% | 0.67% |
1989 | 10 | -0.98% | -0.98% | -0.98% | 0.67% |
1989 | 11 | 1.59% | 1.59% | 1.59% | 0.66% |
1989 | 12 | 1.09% | 1.09% | 1.09% | 0.64% |
1990 | 1 | -5.97% | -5.97% | -5.97% | 0.64% |
1990 | 2 | 2.29% | 2.29% | 2.29% | 0.65% |
1990 | 3 | 4.58% | 4.58% | 4.58% | 0.66% |
1990 | 4 | -0.58% | -0.58% | -0.58% | 0.66% |
1990 | 5 | 10.87% | 10.87% | 10.87% | 0.66% |
1990 | 6 | 2.30% | 2.30% | 2.30% | 0.65% |
1990 | 7 | -2.33% | -2.33% | -2.33% | 0.65% |
1990 | 8 | -8.22% | -8.22% | -8.22% | 0.63% |
1990 | 9 | 0.62% | -5.88% | -5.88% | 0.62% |
1990 | 10 | 0.60% | -2.66% | -2.66% | 0.60% |
1990 | 11 | 0.60% | 7.57% | 7.57% | 0.60% |
1990 | 12 | 0.59% | 4.40% | 4.40% | 0.59% |
1991 | 1 | 8.58% | 8.58% | 8.58% | 0.54% |
1991 | 2 | 7.46% | 7.46% | 7.46% | 0.52% |
1991 | 3 | 3.10% | 3.10% | 3.10% | 0.51% |
1991 | 4 | -1.11% | -1.11% | -1.11% | 0.48% |
1991 | 5 | 4.97% | 4.97% | 4.97% | 0.46% |
1991 | 6 | -4.96% | -4.96% | -4.96% | 0.47% |
1991 | 7 | 5.62% | 5.62% | 5.62% | 0.47% |
1991 | 8 | 4.11% | 4.11% | 4.11% | 0.47% |
1991 | 9 | -1.68% | -1.68% | -1.68% | 0.45% |
1991 | 10 | 0.89% | 0.89% | 0.89% | 0.43% |
1991 | 11 | -2.50% | -2.50% | -2.50% | 0.40% |
1991 | 12 | 16.27% | 16.27% | 16.27% | 0.37% |
1992 | 1 | -2.30% | -2.30% | -2.30% | 0.33% |
1992 | 2 | -1.35% | -1.35% | -1.35% | 0.32% |
1992 | 3 | -1.37% | -1.37% | -1.37% | 0.33% |
1992 | 4 | 0.35% | 0.35% | 0.35% | 0.34% |
1992 | 5 | 0.62% | 0.62% | 0.62% | 0.31% |
1992 | 6 | -2.06% | -2.06% | -2.06% | 0.31% |
1992 | 7 | 3.85% | 3.85% | 3.85% | 0.30% |
1992 | 8 | -0.88% | -0.88% | -0.88% | 0.27% |
1992 | 9 | 1.50% | 1.50% | 1.50% | 0.26% |
1992 | 10 | -0.07% | -0.07% | -0.07% | 0.23% |
1992 | 11 | 4.76% | 4.76% | 4.76% | 0.25% |
1992 | 12 | -0.07% | -0.07% | -0.07% | 0.27% |
1993 | 1 | -0.52% | -0.52% | -0.52% | 0.26% |
1993 | 2 | -3.66% | -3.66% | -3.66% | 0.24% |
1993 | 3 | 1.22% | 1.22% | 1.22% | 0.25% |
1993 | 4 | -4.43% | -4.43% | -4.43% | 0.24% |
1993 | 5 | 0.24% | 1.76% | 1.76% | 0.24% |
1993 | 6 | 0.26% | 0.48% | 0.48% | 0.26% |
1993 | 7 | 0.25% | -1.03% | -1.03% | 0.25% |
1993 | 8 | 0.25% | 2.08% | 2.08% | 0.25% |
1993 | 9 | 0.25% | -0.41% | -0.41% | 0.25% |
1993 | 10 | 0.24% | 2.25% | 2.25% | 0.24% |
1993 | 11 | -0.07% | -0.07% | -0.07% | 0.25% |
1993 | 12 | 1.12% | 1.12% | 1.12% | 0.26% |
1994 | 1 | 3.08% | 3.08% | 3.08% | 0.25% |
1994 | 2 | -1.23% | -1.23% | -1.23% | 0.25% |
1994 | 3 | -4.54% | -4.54% | -4.54% | 0.28% |
1994 | 4 | 0.29% | 1.52% | 1.52% | 0.29% |
1994 | 5 | 1.97% | 1.97% | 1.97% | 0.32% |
1994 | 6 | -2.93% | -2.93% | -2.93% | 0.35% |
1994 | 7 | 0.35% | 2.26% | 2.26% | 0.35% |
1994 | 8 | 4.09% | 4.09% | 4.09% | 0.36% |
1994 | 9 | -1.74% | -1.74% | -1.74% | 0.38% |
1994 | 10 | 2.49% | 2.49% | 2.49% | 0.39% |
1994 | 11 | -2.11% | -2.11% | -2.11% | 0.42% |
1994 | 12 | 1.37% | 1.37% | 1.37% | 0.47% |
1995 | 1 | 2.80% | 2.80% | 2.80% | 0.47% |
1995 | 2 | 3.81% | 3.81% | 3.81% | 0.49% |
1995 | 3 | 2.38% | 2.38% | 2.38% | 0.48% |
1995 | 4 | 3.70% | 3.70% | 3.70% | 0.48% |
1995 | 5 | 3.51% | 3.51% | 3.51% | 0.48% |
1995 | 6 | 2.95% | 2.95% | 2.95% | 0.47% |
1995 | 7 | 2.11% | 2.11% | 2.11% | 0.46% |
1995 | 8 | -0.37% | -0.37% | -0.37% | 0.46% |
1995 | 9 | 5.63% | 5.63% | 5.63% | 0.44% |
1995 | 10 | 2.36% | 2.36% | 2.36% | 0.44% |
1995 | 11 | 3.93% | 3.93% | 3.93% | 0.45% |
1995 | 12 | 0.30% | 0.30% | 0.30% | 0.45% |
1996 | 1 | 4.03% | 4.03% | 4.03% | 0.42% |
1996 | 2 | 3.12% | 3.12% | 3.12% | 0.41% |
1996 | 3 | -0.37% | -0.37% | -0.37% | 0.41% |
1996 | 4 | 1.84% | 1.84% | 1.84% | 0.42% |
1996 | 5 | 2.93% | 2.93% | 2.93% | 0.42% |
1996 | 6 | 2.19% | 2.19% | 2.19% | 0.42% |
1996 | 7 | -4.76% | -4.76% | -4.76% | 0.42% |
1996 | 8 | 1.94% | 1.94% | 1.94% | 0.44% |
1996 | 9 | 7.21% | 7.21% | 7.21% | 0.43% |
1996 | 10 | 0.99% | 0.99% | 0.99% | 0.41% |
1996 | 11 | 7.19% | 7.19% | 7.19% | 0.42% |
1996 | 12 | -2.28% | -2.28% | -2.28% | 0.42% |
1997 | 1 | 5.60% | 5.60% | 5.60% | 0.43% |
1997 | 2 | 0.72% | 0.72% | 0.72% | 0.42% |
1997 | 3 | -5.43% | -5.43% | -5.43% | 0.43% |
1997 | 4 | 6.70% | 6.70% | 6.70% | 0.44% |
1997 | 5 | 6.51% | 6.51% | 6.51% | 0.43% |
1997 | 6 | 2.69% | 2.69% | 2.69% | 0.40% |
1997 | 7 | 7.00% | 7.00% | 7.00% | 0.43% |
1997 | 8 | -6.98% | -6.98% | -6.98% | 0.43% |
1997 | 9 | 3.60% | 3.60% | 3.60% | 0.43% |
1997 | 10 | -1.91% | -1.91% | -1.91% | 0.41% |
1997 | 11 | 4.51% | 4.51% | 4.51% | 0.43% |
1997 | 12 | 1.48% | 1.48% | 1.48% | 0.43% |
1998 | 1 | 2.89% | 2.89% | 2.89% | 0.44% |
1998 | 2 | 7.82% | 7.82% | 7.82% | 0.43% |
1998 | 3 | 4.11% | 4.11% | 4.11% | 0.44% |
1998 | 4 | 2.38% | 2.38% | 2.38% | 0.42% |
1998 | 5 | -1.53% | -1.53% | -1.53% | 0.41% |
1998 | 6 | 6.40% | 6.40% | 6.40% | 0.41% |
1998 | 7 | -0.59% | -0.59% | -0.59% | 0.42% |
1998 | 8 | -14.12% | -14.12% | -14.12% | 0.42% |
1998 | 9 | 0.40% | 6.09% | 6.09% | 0.40% |
1998 | 10 | 7.02% | 7.02% | 7.02% | 0.36% |
1998 | 11 | 7.25% | 7.25% | 7.25% | 0.36% |
1998 | 12 | 8.67% | 8.67% | 8.67% | 0.37% |
1999 | 1 | 5.41% | 5.41% | 5.41% | 0.37% |
1999 | 2 | -4.93% | -4.93% | -4.93% | 0.37% |
1999 | 3 | 3.59% | 3.59% | 3.59% | 0.38% |
1999 | 4 | -0.80% | -0.80% | -0.80% | 0.37% |
1999 | 5 | -3.37% | -3.37% | -3.37% | 0.37% |
1999 | 6 | 7.40% | 7.40% | 7.40% | 0.38% |
1999 | 7 | -3.62% | -3.62% | -3.62% | 0.39% |
1999 | 8 | 0.78% | 0.78% | 0.78% | 0.39% |
1999 | 9 | -1.98% | -1.98% | -1.98% | 0.41% |
1999 | 10 | 8.65% | 8.65% | 8.65% | 0.40% |
1999 | 11 | 3.28% | 3.28% | 3.28% | 0.42% |
1999 | 12 | 7.08% | 7.08% | 7.08% | 0.43% |
2000 | 1 | -5.56% | -5.56% | -5.56% | 0.43% |
2000 | 2 | 2.14% | 2.14% | 2.14% | 0.47% |
2000 | 3 | 9.03% | 9.03% | 9.03% | 0.47% |
2000 | 4 | -3.12% | -3.12% | -3.12% | 0.48% |
2000 | 5 | -5.23% | -5.23% | -5.23% | 0.48% |
2000 | 6 | 9.09% | 9.09% | 9.09% | 0.46% |
2000 | 7 | -2.33% | -2.33% | -2.33% | 0.48% |
2000 | 8 | 10.00% | 10.00% | 10.00% | 0.51% |
2000 | 9 | -5.97% | -5.97% | -5.97% | 0.52% |
2000 | 10 | -5.20% | -5.20% | -5.20% | 0.51% |
2000 | 11 | 0.52% | -18.67% | -18.67% | 0.52% |
2000 | 12 | 0.51% | -2.68% | -2.68% | 0.51% |
2001 | 1 | 0.48% | 3.87% | 3.87% | 0.48% |
2001 | 2 | 0.41% | -21.66% | -21.66% | 0.41% |
2001 | 3 | 0.40% | -15.24% | -15.24% | 0.40% |
2001 | 4 | 0.35% | 15.26% | 15.26% | 0.35% |
2001 | 5 | 0.32% | -0.91% | -0.91% | 0.32% |
2001 | 6 | 0.30% | -5.92% | -5.92% | 0.30% |
2001 | 7 | 0.30% | -3.47% | -3.47% | 0.30% |
2001 | 8 | 0.29% | -9.00% | -9.00% | 0.29% |
2001 | 9 | 0.28% | -12.39% | -12.39% | 0.28% |
2001 | 10 | 0.20% | 7.80% | 7.80% | 0.20% |
2001 | 11 | 0.17% | 10.94% | 10.94% | 0.17% |
2001 | 12 | 0.15% | 0.14% | 0.14% | 0.15% |
2002 | 1 | 0.14% | -5.25% | -5.25% | 0.14% |
2002 | 2 | 0.14% | -7.22% | -7.22% | 0.14% |
2002 | 3 | 0.15% | 4.89% | 4.89% | 0.15% |
2002 | 4 | 0.15% | -10.18% | -10.18% | 0.15% |
2002 | 5 | 0.15% | -2.69% | -2.69% | 0.15% |
2002 | 6 | 0.14% | -9.28% | -9.28% | 0.14% |
2002 | 7 | 0.14% | -7.84% | -7.84% | 0.14% |
2002 | 8 | 0.14% | 1.73% | 1.73% | 0.14% |
2002 | 9 | 0.14% | -10.99% | -10.99% | 0.14% |
2002 | 10 | 0.13% | 9.74% | 9.74% | 0.13% |
2002 | 11 | 0.12% | 3.57% | 3.57% | 0.12% |
2002 | 12 | 0.10% | -7.41% | -7.41% | 0.10% |
2003 | 1 | 0.10% | -2.40% | -2.40% | 0.10% |
2003 | 2 | 0.10% | -0.93% | -0.93% | 0.10% |
2003 | 3 | 0.10% | 3.17% | 3.17% | 0.10% |
2003 | 4 | 0.09% | 6.82% | 6.82% | 0.09% |
2003 | 5 | 2.88% | 2.88% | 2.88% | 0.09% |
2003 | 6 | 0.68% | 0.68% | 0.68% | 0.09% |
2003 | 7 | 3.61% | 3.61% | 3.61% | 0.07% |
2003 | 8 | 1.52% | 1.52% | 1.52% | 0.08% |
2003 | 9 | -1.07% | -1.07% | -1.07% | 0.08% |
2003 | 10 | 5.56% | 5.56% | 5.56% | 0.08% |
2003 | 11 | 0.75% | 0.75% | 0.75% | 0.08% |
2003 | 12 | 3.25% | 3.25% | 3.25% | 0.08% |
2004 | 1 | 3.03% | 3.03% | 3.03% | 0.08% |
2004 | 2 | -0.06% | -0.06% | -0.06% | 0.08% |
2004 | 3 | -1.02% | -1.02% | -1.02% | 0.08% |
2004 | 4 | -2.46% | -2.46% | -2.46% | 0.08% |
2004 | 5 | 2.52% | 2.52% | 2.52% | 0.08% |
2004 | 6 | 1.42% | 1.42% | 1.42% | 0.09% |
2004 | 7 | -7.47% | -7.47% | -7.47% | 0.11% |
2004 | 8 | 0.12% | -0.76% | -0.76% | 0.12% |
2004 | 9 | 0.13% | 2.50% | 2.50% | 0.13% |
2004 | 10 | 0.14% | 1.42% | 1.42% | 0.14% |
2004 | 11 | 0.16% | 4.68% | 4.68% | 0.16% |
2004 | 12 | 3.61% | 3.61% | 3.61% | 0.18% |
2005 | 1 | -3.46% | -3.46% | -3.46% | 0.18% |
2005 | 2 | 0.77% | 0.77% | 0.77% | 0.21% |
2005 | 3 | -2.86% | -2.86% | -2.86% | 0.23% |
2005 | 4 | -2.42% | -2.42% | -2.42% | 0.23% |
2005 | 5 | 0.24% | 7.10% | 7.10% | 0.24% |
2005 | 6 | 0.56% | 0.56% | 0.56% | 0.25% |
2005 | 7 | 5.23% | 5.23% | 5.23% | 0.26% |
2005 | 8 | -0.83% | -0.83% | -0.83% | 0.28% |
2005 | 9 | 1.37% | 1.37% | 1.37% | 0.29% |
2005 | 10 | 0.29% | 0.29% | 0.29% | 0.29% |
2005 | 11 | 5.04% | 5.04% | 5.04% | 0.33% |
2005 | 12 | 0.42% | 0.42% | 0.42% | 0.32% |
2006 | 1 | 3.34% | 3.34% | 3.34% | 0.33% |
2006 | 2 | -1.83% | -1.83% | -1.83% | 0.37% |
2006 | 3 | 0.33% | 0.33% | 0.33% | 0.38% |
2006 | 4 | -0.44% | -0.44% | -0.44% | 0.38% |
2006 | 5 | -5.83% | -5.83% | -5.83% | 0.39% |
2006 | 6 | 0.40% | -1.58% | -1.58% | 0.40% |
2006 | 7 | 0.41% | -2.37% | -2.37% | 0.41% |
2006 | 8 | 0.42% | 3.65% | 3.65% | 0.42% |
2006 | 9 | 0.41% | 2.87% | 2.87% | 0.41% |
2006 | 10 | 0.40% | 1.88% | 1.88% | 0.40% |
2006 | 11 | 1.96% | 1.96% | 1.96% | 0.42% |
2006 | 12 | 0.20% | 0.20% | 0.20% | 0.41% |
2007 | 1 | 2.20% | 2.20% | 2.20% | 0.41% |
2007 | 2 | -1.72% | -1.72% | -1.72% | 0.42% |
2007 | 3 | 0.93% | 0.93% | 0.93% | 0.42% |
2007 | 4 | 2.88% | 2.88% | 2.88% | 0.41% |
2007 | 5 | 3.38% | 3.38% | 3.38% | 0.40% |
2007 | 6 | -1.12% | -1.12% | -1.12% | 0.39% |
2007 | 7 | -0.77% | -0.77% | -0.77% | 0.39% |
2007 | 8 | 1.09% | 1.09% | 1.09% | 0.40% |
2007 | 9 | 4.94% | 4.94% | 4.94% | 0.33% |
2007 | 10 | 2.16% | 2.16% | 2.16% | 0.31% |
2007 | 11 | -3.89% | -3.89% | -3.89% | 0.32% |
2007 | 12 | -0.02% | -0.02% | -0.02% | 0.26% |
2008 | 1 | -10.40% | -10.40% | -10.40% | 0.28% |
2008 | 2 | 0.16% | -2.30% | -2.30% | 0.16% |
2008 | 3 | 0.15% | -0.06% | -0.06% | 0.15% |
2008 | 4 | 0.11% | 6.31% | 6.31% | 0.11% |
2008 | 5 | 0.12% | 3.02% | 3.02% | 0.12% |
2008 | 6 | -6.29% | -6.29% | -6.29% | 0.15% |
2008 | 7 | 0.16% | -0.39% | -0.39% | 0.16% |
2008 | 8 | 0.14% | 0.45% | 0.45% | 0.14% |
2008 | 9 | 0.14% | -11.63% | -11.63% | 0.14% |
2008 | 10 | 0.08% | -15.43% | -15.43% | 0.08% |
2008 | 11 | 0.04% | -7.93% | -7.93% | 0.04% |
2008 | 12 | 0.00% | 0.57% | 0.57% | 0.00% |
2009 | 1 | 0.01% | -4.49% | -4.49% | 0.01% |
2009 | 2 | 0.02% | -7.51% | -7.51% | 0.02% |
2009 | 3 | 0.02% | 8.49% | 8.49% | 0.02% |
2009 | 4 | 0.02% | 8.94% | 8.94% | 0.02% |
2009 | 5 | 0.01% | 4.22% | 4.22% | 0.01% |
2009 | 6 | 0.01% | 1.12% | 1.12% | 0.01% |
2009 | 7 | 0.02% | 7.86% | 7.86% | 0.02% |
2009 | 8 | 1.92% | 1.92% | 1.92% | 0.02% |
2009 | 9 | 4.92% | 4.92% | 4.92% | 0.01% |
2009 | 10 | -1.35% | -1.35% | -1.35% | 0.01% |
2009 | 11 | 4.95% | 4.95% | 4.95% | 0.00% |
2009 | 12 | 2.70% | 2.70% | 2.70% | 0.01% |
2010 | 1 | -6.32% | -6.32% | -6.32% | 0.01% |
2010 | 2 | 3.70% | 3.70% | 3.70% | 0.01% |
2010 | 3 | 6.07% | 6.07% | 6.07% | 0.01% |
2010 | 4 | 0.59% | 0.59% | 0.59% | 0.01% |
2010 | 5 | -8.56% | -8.56% | -8.56% | 0.01% |
2010 | 6 | -5.83% | -5.83% | -5.83% | 0.01% |
2010 | 7 | 0.02% | 6.26% | 6.26% | 0.02% |
2010 | 8 | 0.01% | -5.51% | -5.51% | 0.01% |
2010 | 9 | 0.01% | 10.10% | 10.10% | 0.01% |
2010 | 10 | 5.73% | 5.73% | 5.73% | 0.01% |
2010 | 11 | 1.05% | 1.05% | 1.05% | 0.01% |
2010 | 12 | 5.81% | 5.81% | 5.81% | 0.01% |
2011 | 1 | 2.19% | 2.19% | 2.19% | 0.01% |
2011 | 2 | 3.91% | 3.91% | 3.91% | 0.01% |
2011 | 3 | -0.26% | -0.26% | -0.26% | 0.01% |
2011 | 4 | 3.47% | 3.47% | 3.47% | 0.01% |
2011 | 5 | -1.25% | -1.25% | -1.25% | 0.00% |
2011 | 6 | -1.06% | -1.06% | -1.06% | 0.01% |
2011 | 7 | -1.07% | -1.07% | -1.07% | 0.00% |
2011 | 8 | -6.26% | -6.26% | -6.26% | 0.01% |
2011 | 9 | 0.00% | -8.77% | -8.77% | 0.00% |
2011 | 10 | 0.00% | 12.22% | 12.22% | 0.00% |
2011 | 11 | 0.00% | -1.29% | -1.29% | 0.00% |
2011 | 12 | 0.00% | -1.00% | -1.00% | 0.00% |
2012 | 1 | 0.00% | 6.81% | 6.81% | 0.00% |
2012 | 2 | 7.37% | 7.37% | 7.37% | 0.01% |
2012 | 3 | 3.09% | 3.09% | 3.09% | 0.01% |
2012 | 4 | -0.47% | -0.47% | -0.47% | 0.01% |
2012 | 5 | -8.19% | -8.19% | -8.19% | 0.01% |
2012 | 6 | 2.62% | 2.62% | 2.62% | 0.01% |
2012 | 7 | 0.40% | 0.40% | 0.40% | 0.01% |
2012 | 8 | 3.48% | 3.48% | 3.48% | 0.01% |
2012 | 9 | 2.26% | 2.26% | 2.26% | 0.01% |
2012 | 10 | -2.92% | -2.92% | -2.92% | 0.01% |
2012 | 11 | 3.05% | 3.05% | 3.05% | 0.01% |
2012 | 12 | 0.50% | 0.50% | 0.50% | 0.01% |
2013 | 1 | 5.41% | 5.41% | 5.41% | 0.00% |
2013 | 2 | 0.62% | 0.62% | 0.62% | 0.01% |
2013 | 3 | 3.37% | 3.37% | 3.37% | 0.01% |
2013 | 4 | 0.47% | 0.47% | 0.47% | 0.01% |
2013 | 5 | 2.18% | 2.18% | 2.18% | 0.00% |
2013 | 6 | -1.50% | -1.50% | -1.50% | 0.00% |
2013 | 7 | 5.90% | 5.90% | 5.90% | 0.00% |
2013 | 8 | -1.16% | -1.16% | -1.16% | 0.00% |
2013 | 9 | 5.19% | 5.19% | 5.19% | 0.00% |
2013 | 10 | 3.47% | 3.47% | 3.47% | 0.00% |
2013 | 11 | 3.72% | 3.72% | 3.72% | 0.00% |
2013 | 12 | 3.43% | 3.43% | 3.43% | 0.01% |
2014 | 1 | -2.82% | -2.82% | -2.82% | 0.01% |
2014 | 2 | 6.78% | 6.78% | 6.78% | 0.00% |
2014 | 3 | -2.99% | -2.99% | -2.99% | 0.00% |
2014 | 4 | -0.97% | -0.97% | -0.97% | 0.00% |
2014 | 5 | 3.32% | 3.32% | 3.32% | 0.00% |
2014 | 6 | 2.57% | 2.57% | 2.57% | 0.00% |
2014 | 7 | -1.68% | -1.68% | -1.68% | 0.00% |
2014 | 8 | 4.13% | 4.13% | 4.13% | 0.00% |
2014 | 9 | -1.51% | -1.51% | -1.51% | 0.00% |
2014 | 10 | 3.60% | 3.60% | 3.60% | 0.00% |
2014 | 11 | 3.32% | 3.32% | 3.32% | 0.00% |
2014 | 12 | -0.84% | -0.84% | -0.84% | 0.00% |
2015 | 1 | -1.37% | -1.37% | -1.37% | 0.00% |
2015 | 2 | 6.88% | 6.88% | 6.88% | 0.00% |
2015 | 3 | -0.89% | -0.89% | -0.89% | 0.00% |
2015 | 4 | -0.03% | -0.03% | -0.03% | 0.00% |
2015 | 5 | 2.11% | 2.11% | 2.11% | 0.00% |
2015 | 6 | -0.63% | -0.63% | -0.63% | 0.00% |
2015 | 7 | 4.01% | 4.01% | 4.01% | 0.00% |
2015 | 8 | -6.31% | -6.31% | -6.31% | 0.01% |
2015 | 9 | -3.04% | -3.04% | -3.04% | 0.01% |
2015 | 10 | 0.00% | 7.91% | 7.91% | 0.00% |
2015 | 11 | 0.68% | 0.68% | 0.68% | 0.01% |
2015 | 12 | -0.30% | -0.30% | -0.30% | 0.02% |
Metric | Moving Average Model | Buy & Hold Portfolio |
---|---|---|
Arithmetic Mean (monthly) | 0.93% | 0.81% |
Arithmetic Mean (annualized) | 11.79% | 10.17% |
Geometric Mean (monthly) | 0.87% | 0.68% |
Geometric Mean (annualized) | 10.97% | 8.49% |
Volatility (monthly) | 3.54% | 5.03% |
Volatility (annualized) | 12.27% | 17.43% |
Downside Deviation (monthly) | 2.03% | 3.43% |
Max. Drawdown | -18.88% | -71.43% |
US Market Correlation | 0.69 | 0.93 |
Beta(*) | 0.58 | 1.11 |
Alpha (annualized) | 4.97% | -2.21% |
R2 | 47.42% | 86.23% |
Sharpe Ratio | 0.65 | 0.37 |
Sortino Ratio | 1.06 | 0.52 |
Treynor Ratio (%) | 13.68 | 5.81 |
Calmar Ratio | 1.69 | 2.01 |
Active Return | 0.85% | -1.63% |
Tracking Error | 10.81% | 6.66% |
Information Ratio | 0.08 | -0.24 |
Skewness | 0.03 | -0.68 |
Excess Kurtosis | 2.19 | 2.04 |
Historical Value-at-Risk (5%) | -5.28% | -7.86% |
Analytical Value-at-Risk (5%) | -4.89% | -7.47% |
Conditional Value-at-Risk (5%) | -7.28% | -11.80% |
Upside Capture Ratio (%) | 73.28 | 103.94 |
Downside Capture Ratio (%) | 57.15 | 113.47 |
Safe Withdrawal Rate | 11.15% | 8.70% |
Perpetual Withdrawal Rate | 7.55% | 5.44% |
Positive Periods | 241 out of 336 (71.73%) | 199 out of 336 (59.23%) |
Gain/Loss Ratio | 0.86 | 1.05 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Moving Average Model | Buy & Hold Portfolio |
---|---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -6.98% | -6.98% |
Russian Debt Default | Jul 1998 | Oct 1998 | -14.62% | -14.62% |
Dotcom Crash | Mar 2000 | Oct 2002 | -10.86% | -70.60% |
Subprime Crisis | Nov 2007 | Mar 2009 | -18.88% | -47.22% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Jun 2008 | 8 months | Apr 2011 | 2 years 10 months | 3 years 6 months | -18.88% |
2 | Jul 1998 | Aug 1998 | 2 months | Dec 1998 | 4 months | 6 months | -14.62% |
3 | Jul 2004 | Apr 2005 | 10 months | Dec 2005 | 8 months | 1 year 6 months | -11.11% |
4 | Sep 2000 | Oct 2000 | 2 months | Jul 2003 | 2 years 9 months | 2 years 11 months | -10.86% |
5 | Jul 1990 | Aug 1990 | 2 months | Feb 1991 | 6 months | 8 months | -10.36% |
6 | May 2011 | Aug 2011 | 4 months | Mar 2012 | 7 months | 11 months | -9.40% |
7 | Aug 2015 | Sep 2015 | 2 months | -9.16% | |||
8 | Apr 2012 | May 2012 | 2 months | Dec 2012 | 7 months | 9 months | -8.62% |
9 | Dec 1992 | Jun 1994 | 1 year 7 months | Feb 1995 | 8 months | 2 years 3 months | -8.31% |
10 | Apr 2000 | May 2000 | 2 months | Jun 2000 | 1 month | 3 months | -8.19% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Sep 2000 | Feb 2009 | 8 years 6 months | -71.43% | |||
2 | Jul 1990 | Oct 1990 | 4 months | Jan 1991 | 3 months | 7 months | -17.88% |
3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -14.62% |
4 | Apr 2000 | May 2000 | 2 months | Jun 2000 | 1 month | 3 months | -8.19% |
5 | Dec 1992 | Apr 1993 | 5 months | Jan 1994 | 9 months | 1 year 2 months | -7.36% |
6 | Aug 1997 | Aug 1997 | 1 month | Dec 1997 | 4 months | 5 months | -6.98% |
7 | Jan 1992 | Jun 1992 | 6 months | Nov 1992 | 5 months | 11 months | -5.99% |
8 | Jan 1990 | Jan 1990 | 1 month | Mar 1990 | 2 months | 3 months | -5.97% |
9 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -5.72% |
10 | Jul 1988 | Aug 1988 | 2 months | Oct 1988 | 2 months | 4 months | -5.66% |
Worst 10 drawdowns included above |
Roll Period | Moving Average Model | Buy & Hold Portfolio | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 12.11% | 46.76% | -18.46% | 10.74% | 48.41% | -57.21% |
3 years | 11.25% | 32.44% | -5.39% | 8.82% | 32.44% | -30.76% |
5 years | 10.53% | 28.91% | -1.36% | 7.39% | 30.34% | -15.75% |
7 years | 10.43% | 22.42% | 0.90% | 6.43% | 24.17% | -9.30% |
10 years | 10.47% | 19.68% | 1.01% | 5.63% | 21.20% | -8.96% |
15 years | 10.12% | 16.12% | 5.32% | 3.88% | 9.10% | -0.66% |
# | Start | End | Months | Assets | Asset Performance | Moving Average Model | Buy & Hold Portfolio |
---|---|---|---|---|---|---|---|
31 | Jan 2016 | Jan 2016 | 1 | Please sign-in for forward signals | - | - | - |
30 | Nov 2015 | Dec 2015 | 2 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 0.38% | 0.38% | 0.38% |
29 | Oct 2015 | Oct 2015 | 1 | 100.00% Cash (CASHX) | CASHX: 0.00% | 0.00% | 7.91% |
28 | Feb 2012 | Sep 2015 | 44 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 70.06% | 70.06% | 70.06% |
27 | Sep 2011 | Jan 2012 | 5 | 100.00% Cash (CASHX) | CASHX: 0.01% | 0.01% | 6.85% |
26 | Oct 2010 | Aug 2011 | 11 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 12.24% | 12.24% | 12.24% |
25 | Jul 2010 | Sep 2010 | 3 | 100.00% Cash (CASHX) | CASHX: 0.04% | 0.04% | 10.55% |
24 | Aug 2009 | Jun 2010 | 11 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 1.49% | 1.49% | 1.49% |
23 | Jul 2008 | Jul 2009 | 13 | 100.00% Cash (CASHX) | CASHX: 0.66% | 0.66% | -17.82% |
22 | Jun 2008 | Jun 2008 | 1 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: -6.29% | -6.29% | -6.29% |
21 | Feb 2008 | May 2008 | 4 | 100.00% Cash (CASHX) | CASHX: 0.54% | 0.54% | 6.95% |
20 | Nov 2006 | Jan 2008 | 15 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 0.84% | 0.84% | 0.84% |
19 | Jun 2006 | Oct 2006 | 5 | 100.00% Cash (CASHX) | CASHX: 2.06% | 2.06% | 4.38% |
18 | Jun 2005 | May 2006 | 12 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 7.40% | 7.40% | 7.40% |
17 | May 2005 | May 2005 | 1 | 100.00% Cash (CASHX) | CASHX: 0.24% | 0.24% | 7.10% |
16 | Dec 2004 | Apr 2005 | 5 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: -4.46% | -4.46% | -4.46% |
15 | Aug 2004 | Nov 2004 | 4 | 100.00% Cash (CASHX) | CASHX: 0.55% | 0.55% | 8.00% |
14 | May 2003 | Jul 2004 | 15 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 13.20% | 13.20% | 13.20% |
13 | Nov 2000 | Apr 2003 | 30 | 100.00% Cash (CASHX) | CASHX: 6.91% | 6.91% | -63.02% |
12 | Oct 1998 | Oct 2000 | 25 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 53.84% | 53.84% | 53.84% |
11 | Sep 1998 | Sep 1998 | 1 | 100.00% Cash (CASHX) | CASHX: 0.40% | 0.40% | 6.09% |
10 | Aug 1994 | Aug 1998 | 49 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 141.81% | 141.81% | 141.81% |
9 | Jul 1994 | Jul 1994 | 1 | 100.00% Cash (CASHX) | CASHX: 0.35% | 0.35% | 2.26% |
8 | May 1994 | Jun 1994 | 2 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: -1.02% | -1.02% | -1.02% |
7 | Apr 1994 | Apr 1994 | 1 | 100.00% Cash (CASHX) | CASHX: 0.29% | 0.29% | 1.52% |
6 | Nov 1993 | Mar 1994 | 5 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: -1.79% | -1.79% | -1.79% |
5 | May 1993 | Oct 1993 | 6 | 100.00% Cash (CASHX) | CASHX: 1.51% | 1.51% | 5.20% |
4 | Jan 1991 | Apr 1993 | 28 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 39.80% | 39.80% | 39.80% |
3 | Sep 1990 | Dec 1990 | 4 | 100.00% Cash (CASHX) | CASHX: 2.44% | 2.44% | 2.89% |
2 | Oct 1988 | Aug 1990 | 23 | 100.00% Vanguard US Growth Investor (VWUSX) | VWUSX: 39.43% | 39.43% | 39.43% |
1 | Jan 1988 | Sep 1988 | 9 | 100.00% Cash (CASHX) | CASHX: 4.80% | 4.80% | 9.20% |