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
Length
Unit
Weight
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
%
Portfolio Assets
Allocation
Asset 1
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Asset 2
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Asset 3
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Asset 4
%
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
%

Model Simulation Results (Jan 1988 - Dec 2015) Save

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.

Performance statistics for the timing portfolio and benchmark portfolios
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Moving Average Model$10,000$184,48310.97%12.27%46.76%-15.11%-18.88% 0.651.060.69
Buy & Hold Portfolio$10,000$97,9578.49%17.43%46.76%-37.82%-71.43% 0.370.520.93
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Moving Average Model0.38%0.51%15.47%11.13%6.12%10.97%10.82%10.99%
Buy & Hold Portfolio8.32%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.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The backtested performance results are created by retroactively applying the specified investment strategy or methodology to historical data. Backtested models are developed with the benefit of hindsight but might not have foresight of the future.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Out of market returns are based on 3-month treasury bill returns for cash or the selected alternative asset
  • The moving average signal is based on total return and accounts for splits and dividends
  • Monthly moving average period calculations are based on end-of-month samples
  • 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
YearInflationMoving Average ModelBuy & Hold PortfolioVanguard US Growth Investor (VWUSX)Cash (CASHX)
ReturnBalanceReturnBalance
19884.42%4.39%$10,4398.76%$10,8768.76%6.80%
19894.65%37.70%$14,37437.70%$14,97637.70%8.61%
19906.11%4.14%$14,9694.60%$15,6654.60%7.89%
19913.06%46.76%$21,96846.76%$22,98946.76%5.71%
19922.90%2.76%$22,5742.76%$23,6232.76%3.57%
19932.75%-4.90%$21,468-1.45%$23,281-1.45%3.05%
19942.67%0.71%$21,6203.88%$24,1853.88%4.20%
19952.54%38.44%$29,93238.44%$33,48338.44%5.71%
19963.32%26.05%$37,72826.05%$42,20426.05%5.17%
19971.70%25.93%$47,51125.93%$53,14825.93%5.22%
19981.61%32.47%$62,93839.98%$74,39739.98%4.97%
19992.68%22.28%$76,95822.28%$90,97022.28%4.77%
20003.39%1.91%$78,431-20.17%$72,625-20.17%5.99%
20011.55%3.70%$81,332-31.70%$49,604-31.70%3.70%
20022.38%1.65%$82,673-35.80%$31,844-35.80%1.65%
20031.88%18.81%$98,22526.10%$40,15726.10%1.04%
20043.26%-0.36%$97,8737.03%$42,9787.03%1.32%
20053.42%4.03%$101,81411.15%$47,77211.15%3.14%
20062.54%-0.50%$101,3081.77%$48,6161.77%4.82%
20074.08%10.15%$111,59010.15%$53,55010.15%4.56%
20080.09%-15.11%$94,727-37.82%$33,299-37.82%1.53%
20092.72%13.84%$107,83434.95%$44,93834.95%0.16%
20101.50%0.93%$108,83611.53%$50,12111.53%0.14%
20112.96%-0.71%$108,066-0.68%$49,782-0.68%0.07%
20121.74%10.87%$119,81718.43%$58,95518.43%0.08%
20131.50%35.49%$162,34235.49%$79,88035.49%0.05%
20140.76%13.06%$183,53913.06%$90,31013.06%0.03%
20150.73%0.51%$184,4838.47%$97,9578.47%0.05%
Monthly returns for the timing portfolio and various benchmark portfolios
YearMonthMoving Average Model ReturnBuy & Hold Portfolio ReturnVanguard US Growth Investor (VWUSX)Cash (CASHX)
198810.48%3.16%3.16%0.48%
198820.47%4.60%4.60%0.47%
198830.47%-3.99%-3.99%0.47%
198840.48%-0.69%-0.69%0.48%
198850.50%0.42%0.42%0.50%
198860.54%5.70%5.70%0.54%
198870.55%-2.50%-2.50%0.55%
198880.59%-3.24%-3.24%0.59%
198890.62%6.00%6.00%0.62%
1988100.39%0.39%0.39%0.61%
198811-2.10%-2.10%-2.10%0.62%
1988121.33%1.33%1.33%0.66%
198917.06%7.06%7.06%0.68%
19892-1.87%-1.87%-1.87%0.71%
198933.04%3.04%3.04%0.74%
198945.66%5.66%5.66%0.75%
198955.24%5.24%5.24%0.71%
19896-1.88%-1.88%-1.88%0.73%
1989710.82%10.82%10.82%0.67%
198981.83%1.83%1.83%0.66%
198991.60%1.60%1.60%0.67%
198910-0.98%-0.98%-0.98%0.67%
1989111.59%1.59%1.59%0.66%
1989121.09%1.09%1.09%0.64%
19901-5.97%-5.97%-5.97%0.64%
199022.29%2.29%2.29%0.65%
199034.58%4.58%4.58%0.66%
19904-0.58%-0.58%-0.58%0.66%
1990510.87%10.87%10.87%0.66%
199062.30%2.30%2.30%0.65%
19907-2.33%-2.33%-2.33%0.65%
19908-8.22%-8.22%-8.22%0.63%
199090.62%-5.88%-5.88%0.62%
1990100.60%-2.66%-2.66%0.60%
1990110.60%7.57%7.57%0.60%
1990120.59%4.40%4.40%0.59%
199118.58%8.58%8.58%0.54%
199127.46%7.46%7.46%0.52%
199133.10%3.10%3.10%0.51%
19914-1.11%-1.11%-1.11%0.48%
199154.97%4.97%4.97%0.46%
19916-4.96%-4.96%-4.96%0.47%
199175.62%5.62%5.62%0.47%
199184.11%4.11%4.11%0.47%
19919-1.68%-1.68%-1.68%0.45%
1991100.89%0.89%0.89%0.43%
199111-2.50%-2.50%-2.50%0.40%
19911216.27%16.27%16.27%0.37%
19921-2.30%-2.30%-2.30%0.33%
19922-1.35%-1.35%-1.35%0.32%
19923-1.37%-1.37%-1.37%0.33%
199240.35%0.35%0.35%0.34%
199250.62%0.62%0.62%0.31%
19926-2.06%-2.06%-2.06%0.31%
199273.85%3.85%3.85%0.30%
19928-0.88%-0.88%-0.88%0.27%
199291.50%1.50%1.50%0.26%
199210-0.07%-0.07%-0.07%0.23%
1992114.76%4.76%4.76%0.25%
199212-0.07%-0.07%-0.07%0.27%
19931-0.52%-0.52%-0.52%0.26%
19932-3.66%-3.66%-3.66%0.24%
199331.22%1.22%1.22%0.25%
19934-4.43%-4.43%-4.43%0.24%
199350.24%1.76%1.76%0.24%
199360.26%0.48%0.48%0.26%
199370.25%-1.03%-1.03%0.25%
199380.25%2.08%2.08%0.25%
199390.25%-0.41%-0.41%0.25%
1993100.24%2.25%2.25%0.24%
199311-0.07%-0.07%-0.07%0.25%
1993121.12%1.12%1.12%0.26%
199413.08%3.08%3.08%0.25%
19942-1.23%-1.23%-1.23%0.25%
19943-4.54%-4.54%-4.54%0.28%
199440.29%1.52%1.52%0.29%
199451.97%1.97%1.97%0.32%
19946-2.93%-2.93%-2.93%0.35%
199470.35%2.26%2.26%0.35%
199484.09%4.09%4.09%0.36%
19949-1.74%-1.74%-1.74%0.38%
1994102.49%2.49%2.49%0.39%
199411-2.11%-2.11%-2.11%0.42%
1994121.37%1.37%1.37%0.47%
199512.80%2.80%2.80%0.47%
199523.81%3.81%3.81%0.49%
199532.38%2.38%2.38%0.48%
199543.70%3.70%3.70%0.48%
199553.51%3.51%3.51%0.48%
199562.95%2.95%2.95%0.47%
199572.11%2.11%2.11%0.46%
19958-0.37%-0.37%-0.37%0.46%
199595.63%5.63%5.63%0.44%
1995102.36%2.36%2.36%0.44%
1995113.93%3.93%3.93%0.45%
1995120.30%0.30%0.30%0.45%
199614.03%4.03%4.03%0.42%
199623.12%3.12%3.12%0.41%
19963-0.37%-0.37%-0.37%0.41%
199641.84%1.84%1.84%0.42%
199652.93%2.93%2.93%0.42%
199662.19%2.19%2.19%0.42%
19967-4.76%-4.76%-4.76%0.42%
199681.94%1.94%1.94%0.44%
199697.21%7.21%7.21%0.43%
1996100.99%0.99%0.99%0.41%
1996117.19%7.19%7.19%0.42%
199612-2.28%-2.28%-2.28%0.42%
199715.60%5.60%5.60%0.43%
199720.72%0.72%0.72%0.42%
19973-5.43%-5.43%-5.43%0.43%
199746.70%6.70%6.70%0.44%
199756.51%6.51%6.51%0.43%
199762.69%2.69%2.69%0.40%
199777.00%7.00%7.00%0.43%
19978-6.98%-6.98%-6.98%0.43%
199793.60%3.60%3.60%0.43%
199710-1.91%-1.91%-1.91%0.41%
1997114.51%4.51%4.51%0.43%
1997121.48%1.48%1.48%0.43%
199812.89%2.89%2.89%0.44%
199827.82%7.82%7.82%0.43%
199834.11%4.11%4.11%0.44%
199842.38%2.38%2.38%0.42%
19985-1.53%-1.53%-1.53%0.41%
199866.40%6.40%6.40%0.41%
19987-0.59%-0.59%-0.59%0.42%
19988-14.12%-14.12%-14.12%0.42%
199890.40%6.09%6.09%0.40%
1998107.02%7.02%7.02%0.36%
1998117.25%7.25%7.25%0.36%
1998128.67%8.67%8.67%0.37%
199915.41%5.41%5.41%0.37%
19992-4.93%-4.93%-4.93%0.37%
199933.59%3.59%3.59%0.38%
19994-0.80%-0.80%-0.80%0.37%
19995-3.37%-3.37%-3.37%0.37%
199967.40%7.40%7.40%0.38%
19997-3.62%-3.62%-3.62%0.39%
199980.78%0.78%0.78%0.39%
19999-1.98%-1.98%-1.98%0.41%
1999108.65%8.65%8.65%0.40%
1999113.28%3.28%3.28%0.42%
1999127.08%7.08%7.08%0.43%
20001-5.56%-5.56%-5.56%0.43%
200022.14%2.14%2.14%0.47%
200039.03%9.03%9.03%0.47%
20004-3.12%-3.12%-3.12%0.48%
20005-5.23%-5.23%-5.23%0.48%
200069.09%9.09%9.09%0.46%
20007-2.33%-2.33%-2.33%0.48%
2000810.00%10.00%10.00%0.51%
20009-5.97%-5.97%-5.97%0.52%
200010-5.20%-5.20%-5.20%0.51%
2000110.52%-18.67%-18.67%0.52%
2000120.51%-2.68%-2.68%0.51%
200110.48%3.87%3.87%0.48%
200120.41%-21.66%-21.66%0.41%
200130.40%-15.24%-15.24%0.40%
200140.35%15.26%15.26%0.35%
200150.32%-0.91%-0.91%0.32%
200160.30%-5.92%-5.92%0.30%
200170.30%-3.47%-3.47%0.30%
200180.29%-9.00%-9.00%0.29%
200190.28%-12.39%-12.39%0.28%
2001100.20%7.80%7.80%0.20%
2001110.17%10.94%10.94%0.17%
2001120.15%0.14%0.14%0.15%
200210.14%-5.25%-5.25%0.14%
200220.14%-7.22%-7.22%0.14%
200230.15%4.89%4.89%0.15%
200240.15%-10.18%-10.18%0.15%
200250.15%-2.69%-2.69%0.15%
200260.14%-9.28%-9.28%0.14%
200270.14%-7.84%-7.84%0.14%
200280.14%1.73%1.73%0.14%
200290.14%-10.99%-10.99%0.14%
2002100.13%9.74%9.74%0.13%
2002110.12%3.57%3.57%0.12%
2002120.10%-7.41%-7.41%0.10%
200310.10%-2.40%-2.40%0.10%
200320.10%-0.93%-0.93%0.10%
200330.10%3.17%3.17%0.10%
200340.09%6.82%6.82%0.09%
200352.88%2.88%2.88%0.09%
200360.68%0.68%0.68%0.09%
200373.61%3.61%3.61%0.07%
200381.52%1.52%1.52%0.08%
20039-1.07%-1.07%-1.07%0.08%
2003105.56%5.56%5.56%0.08%
2003110.75%0.75%0.75%0.08%
2003123.25%3.25%3.25%0.08%
200413.03%3.03%3.03%0.08%
20042-0.06%-0.06%-0.06%0.08%
20043-1.02%-1.02%-1.02%0.08%
20044-2.46%-2.46%-2.46%0.08%
200452.52%2.52%2.52%0.08%
200461.42%1.42%1.42%0.09%
20047-7.47%-7.47%-7.47%0.11%
200480.12%-0.76%-0.76%0.12%
200490.13%2.50%2.50%0.13%
2004100.14%1.42%1.42%0.14%
2004110.16%4.68%4.68%0.16%
2004123.61%3.61%3.61%0.18%
20051-3.46%-3.46%-3.46%0.18%
200520.77%0.77%0.77%0.21%
20053-2.86%-2.86%-2.86%0.23%
20054-2.42%-2.42%-2.42%0.23%
200550.24%7.10%7.10%0.24%
200560.56%0.56%0.56%0.25%
200575.23%5.23%5.23%0.26%
20058-0.83%-0.83%-0.83%0.28%
200591.37%1.37%1.37%0.29%
2005100.29%0.29%0.29%0.29%
2005115.04%5.04%5.04%0.33%
2005120.42%0.42%0.42%0.32%
200613.34%3.34%3.34%0.33%
20062-1.83%-1.83%-1.83%0.37%
200630.33%0.33%0.33%0.38%
20064-0.44%-0.44%-0.44%0.38%
20065-5.83%-5.83%-5.83%0.39%
200660.40%-1.58%-1.58%0.40%
200670.41%-2.37%-2.37%0.41%
200680.42%3.65%3.65%0.42%
200690.41%2.87%2.87%0.41%
2006100.40%1.88%1.88%0.40%
2006111.96%1.96%1.96%0.42%
2006120.20%0.20%0.20%0.41%
200712.20%2.20%2.20%0.41%
20072-1.72%-1.72%-1.72%0.42%
200730.93%0.93%0.93%0.42%
200742.88%2.88%2.88%0.41%
200753.38%3.38%3.38%0.40%
20076-1.12%-1.12%-1.12%0.39%
20077-0.77%-0.77%-0.77%0.39%
200781.09%1.09%1.09%0.40%
200794.94%4.94%4.94%0.33%
2007102.16%2.16%2.16%0.31%
200711-3.89%-3.89%-3.89%0.32%
200712-0.02%-0.02%-0.02%0.26%
20081-10.40%-10.40%-10.40%0.28%
200820.16%-2.30%-2.30%0.16%
200830.15%-0.06%-0.06%0.15%
200840.11%6.31%6.31%0.11%
200850.12%3.02%3.02%0.12%
20086-6.29%-6.29%-6.29%0.15%
200870.16%-0.39%-0.39%0.16%
200880.14%0.45%0.45%0.14%
200890.14%-11.63%-11.63%0.14%
2008100.08%-15.43%-15.43%0.08%
2008110.04%-7.93%-7.93%0.04%
2008120.00%0.57%0.57%0.00%
200910.01%-4.49%-4.49%0.01%
200920.02%-7.51%-7.51%0.02%
200930.02%8.49%8.49%0.02%
200940.02%8.94%8.94%0.02%
200950.01%4.22%4.22%0.01%
200960.01%1.12%1.12%0.01%
200970.02%7.86%7.86%0.02%
200981.92%1.92%1.92%0.02%
200994.92%4.92%4.92%0.01%
200910-1.35%-1.35%-1.35%0.01%
2009114.95%4.95%4.95%0.00%
2009122.70%2.70%2.70%0.01%
20101-6.32%-6.32%-6.32%0.01%
201023.70%3.70%3.70%0.01%
201036.07%6.07%6.07%0.01%
201040.59%0.59%0.59%0.01%
20105-8.56%-8.56%-8.56%0.01%
20106-5.83%-5.83%-5.83%0.01%
201070.02%6.26%6.26%0.02%
201080.01%-5.51%-5.51%0.01%
201090.01%10.10%10.10%0.01%
2010105.73%5.73%5.73%0.01%
2010111.05%1.05%1.05%0.01%
2010125.81%5.81%5.81%0.01%
201112.19%2.19%2.19%0.01%
201123.91%3.91%3.91%0.01%
20113-0.26%-0.26%-0.26%0.01%
201143.47%3.47%3.47%0.01%
20115-1.25%-1.25%-1.25%0.00%
20116-1.06%-1.06%-1.06%0.01%
20117-1.07%-1.07%-1.07%0.00%
20118-6.26%-6.26%-6.26%0.01%
201190.00%-8.77%-8.77%0.00%
2011100.00%12.22%12.22%0.00%
2011110.00%-1.29%-1.29%0.00%
2011120.00%-1.00%-1.00%0.00%
201210.00%6.81%6.81%0.00%
201227.37%7.37%7.37%0.01%
201233.09%3.09%3.09%0.01%
20124-0.47%-0.47%-0.47%0.01%
20125-8.19%-8.19%-8.19%0.01%
201262.62%2.62%2.62%0.01%
201270.40%0.40%0.40%0.01%
201283.48%3.48%3.48%0.01%
201292.26%2.26%2.26%0.01%
201210-2.92%-2.92%-2.92%0.01%
2012113.05%3.05%3.05%0.01%
2012120.50%0.50%0.50%0.01%
201315.41%5.41%5.41%0.00%
201320.62%0.62%0.62%0.01%
201333.37%3.37%3.37%0.01%
201340.47%0.47%0.47%0.01%
201352.18%2.18%2.18%0.00%
20136-1.50%-1.50%-1.50%0.00%
201375.90%5.90%5.90%0.00%
20138-1.16%-1.16%-1.16%0.00%
201395.19%5.19%5.19%0.00%
2013103.47%3.47%3.47%0.00%
2013113.72%3.72%3.72%0.00%
2013123.43%3.43%3.43%0.01%
20141-2.82%-2.82%-2.82%0.01%
201426.78%6.78%6.78%0.00%
20143-2.99%-2.99%-2.99%0.00%
20144-0.97%-0.97%-0.97%0.00%
201453.32%3.32%3.32%0.00%
201462.57%2.57%2.57%0.00%
20147-1.68%-1.68%-1.68%0.00%
201484.13%4.13%4.13%0.00%
20149-1.51%-1.51%-1.51%0.00%
2014103.60%3.60%3.60%0.00%
2014113.32%3.32%3.32%0.00%
201412-0.84%-0.84%-0.84%0.00%
20151-1.37%-1.37%-1.37%0.00%
201526.88%6.88%6.88%0.00%
20153-0.89%-0.89%-0.89%0.00%
20154-0.03%-0.03%-0.03%0.00%
201552.11%2.11%2.11%0.00%
20156-0.63%-0.63%-0.63%0.00%
201574.01%4.01%4.01%0.00%
20158-6.31%-6.31%-6.31%0.01%
20159-3.04%-3.04%-3.04%0.01%
2015100.00%7.91%7.91%0.00%
2015110.68%0.68%0.68%0.01%
201512-0.30%-0.30%-0.30%0.02%
Portfolio return and risk metrics
MetricMoving Average ModelBuy & 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 Correlation0.690.93
Beta(*)0.581.11
Alpha (annualized)4.97%-2.21%
R247.42%86.23%
Sharpe Ratio0.650.37
Sortino Ratio1.060.52
Treynor Ratio (%)13.685.81
Calmar Ratio1.692.01
Active Return0.85%-1.63%
Tracking Error10.81%6.66%
Information Ratio0.08-0.24
Skewness0.03-0.68
Excess Kurtosis2.192.04
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 (%)73.28103.94
Downside Capture Ratio (%)57.15113.47
Safe Withdrawal Rate11.15%8.70%
Perpetual Withdrawal Rate7.55%5.44%
Positive Periods241 out of 336 (71.73%)199 out of 336 (59.23%)
Gain/Loss Ratio0.861.05
* US stock market 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 PeriodStartEndMoving Average ModelBuy & Hold Portfolio
Asian CrisisJul 1997Jan 1998-6.98%-6.98%
Russian Debt DefaultJul 1998Oct 1998-14.62%-14.62%
Dotcom CrashMar 2000Oct 2002-10.86%-70.60%
Subprime CrisisNov 2007Mar 2009-18.88%-47.22%

Drawdowns for Moving Average Model

Drawdowns for Moving Average Model (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Jun 20088 monthsApr 20112 years 10 months3 years 6 months-18.88%
2Jul 1998Aug 19982 monthsDec 19984 months6 months-14.62%
3Jul 2004Apr 200510 monthsDec 20058 months1 year 6 months-11.11%
4Sep 2000Oct 20002 monthsJul 20032 years 9 months2 years 11 months-10.86%
5Jul 1990Aug 19902 monthsFeb 19916 months8 months-10.36%
6May 2011Aug 20114 monthsMar 20127 months11 months-9.40%
7Aug 2015Sep 20152 months-9.16%
8Apr 2012May 20122 monthsDec 20127 months9 months-8.62%
9Dec 1992Jun 19941 year 7 monthsFeb 19958 months2 years 3 months-8.31%
10Apr 2000May 20002 monthsJun 20001 month3 months-8.19%
Worst 10 drawdowns included above

Drawdowns for Buy & Hold Portfolio

Drawdowns for Buy & Hold Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Feb 20098 years 6 months-71.43%
2Jul 1990Oct 19904 monthsJan 19913 months7 months-17.88%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-14.62%
4Apr 2000May 20002 monthsJun 20001 month3 months-8.19%
5Dec 1992Apr 19935 monthsJan 19949 months1 year 2 months-7.36%
6Aug 1997Aug 19971 monthDec 19974 months5 months-6.98%
7Jan 1992Jun 19926 monthsNov 19925 months11 months-5.99%
8Jan 1990Jan 19901 monthMar 19902 months3 months-5.97%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-5.72%
10Jul 1988Aug 19882 monthsOct 19882 months4 months-5.66%
Worst 10 drawdowns included above
Rolling returns summary
Roll PeriodMoving Average ModelBuy & Hold Portfolio
AverageHighLowAverageHighLow
1 year12.11%46.76%-18.46%10.74%48.41%-57.21%
3 years11.25%32.44%-5.39%8.82%32.44%-30.76%
5 years10.53%28.91%-1.36%7.39%30.34%-15.75%
7 years10.43%22.42%0.90%6.43%24.17%-9.30%
10 years10.47%19.68%1.01%5.63%21.20%-8.96%
15 years10.12%16.12%5.32%3.88%9.10%-0.66%
Timing periods and related holdings for the timing portfolio
#StartEndMonthsAssetsAsset PerformanceMoving Average ModelBuy & Hold Portfolio
31Jan 2016Jan 20161Please sign-in for forward signals---
30Nov 2015Dec 20152100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 0.38%0.38%0.38%
29Oct 2015Oct 20151100.00% Cash (CASHX)CASHX: 0.00%0.00%7.91%
28Feb 2012Sep 201544100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 70.06%70.06%70.06%
27Sep 2011Jan 20125100.00% Cash (CASHX)CASHX: 0.01%0.01%6.85%
26Oct 2010Aug 201111100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 12.24%12.24%12.24%
25Jul 2010Sep 20103100.00% Cash (CASHX)CASHX: 0.04%0.04%10.55%
24Aug 2009Jun 201011100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 1.49%1.49%1.49%
23Jul 2008Jul 200913100.00% Cash (CASHX)CASHX: 0.66%0.66%-17.82%
22Jun 2008Jun 20081100.00% Vanguard US Growth Investor (VWUSX)VWUSX: -6.29%-6.29%-6.29%
21Feb 2008May 20084100.00% Cash (CASHX)CASHX: 0.54%0.54%6.95%
20Nov 2006Jan 200815100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 0.84%0.84%0.84%
19Jun 2006Oct 20065100.00% Cash (CASHX)CASHX: 2.06%2.06%4.38%
18Jun 2005May 200612100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 7.40%7.40%7.40%
17May 2005May 20051100.00% Cash (CASHX)CASHX: 0.24%0.24%7.10%
16Dec 2004Apr 20055100.00% Vanguard US Growth Investor (VWUSX)VWUSX: -4.46%-4.46%-4.46%
15Aug 2004Nov 20044100.00% Cash (CASHX)CASHX: 0.55%0.55%8.00%
14May 2003Jul 200415100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 13.20%13.20%13.20%
13Nov 2000Apr 200330100.00% Cash (CASHX)CASHX: 6.91%6.91%-63.02%
12Oct 1998Oct 200025100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 53.84%53.84%53.84%
11Sep 1998Sep 19981100.00% Cash (CASHX)CASHX: 0.40%0.40%6.09%
10Aug 1994Aug 199849100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 141.81%141.81%141.81%
9Jul 1994Jul 19941100.00% Cash (CASHX)CASHX: 0.35%0.35%2.26%
8May 1994Jun 19942100.00% Vanguard US Growth Investor (VWUSX)VWUSX: -1.02%-1.02%-1.02%
7Apr 1994Apr 19941100.00% Cash (CASHX)CASHX: 0.29%0.29%1.52%
6Nov 1993Mar 19945100.00% Vanguard US Growth Investor (VWUSX)VWUSX: -1.79%-1.79%-1.79%
5May 1993Oct 19936100.00% Cash (CASHX)CASHX: 1.51%1.51%5.20%
4Jan 1991Apr 199328100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 39.80%39.80%39.80%
3Sep 1990Dec 19904100.00% Cash (CASHX)CASHX: 2.44%2.44%2.89%
2Oct 1988Aug 199023100.00% Vanguard US Growth Investor (VWUSX)VWUSX: 39.43%39.43%39.43%
1Jan 1988Sep 19889100.00% Cash (CASHX)CASHX: 4.80%4.80%9.20%