Portfolio Visualizer Dual Momentum Model Simulation

Model Description

Tactical asset allocation model results from Jan 2011 to Jan 2021 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 Long-Term Treasury ETF (VGLT). The model uses multiple weighted performance
windows to rank the assets by weighted average of asset performance. Tactical asset allocation model trades are executed using the end of month close price each month based on the end of
month signals.

Tactical Asset Allocation Model Assets

Ticker Name
SPY SPDR S&P 500 ETF Trust
VTI Vanguard Total Stock Market ETF

Timing Periods

Period Length Unit Weight

Timing Period 1 1 Months 33.00%
Timing Period 2 3 Months 33.00%
Timing Period 3 6 Months 34.00%

Portfolio Performance (Jan 2011 - Jan 2021)

Metric Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor
Start Balance $10,000 $10,000 $10,000
End Balance $39,794 $36,079 $35,817
CAGR 14.68% 13.57% 13.49%
Stdev 11.14% 13.74% 13.50%
Best Year 32.72% 32.88% 32.18%
Worst Year -2.83% -4.88% -4.52%
Max. Drawdown -10.68% -20.14% -19.63%
Sharpe Ratio 1.24 0.95 0.96
Sortino Ratio 2.25 1.55 1.57
US Stock Market Correlation 0.43 1.00 1.00

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Trailing Returns

Annualized Return Annualized Volatility

Name 3 Month YTD 1 year 3 year 5 year 10 year Full 3 year 5 year
Dual Momentum 16.64% -0.33% 23.65% 13.78% 16.35% 14.58% 14.68% 13.89% 11.32%
Model
Equal Weight 15.22% -0.68% 18.95% 11.99% 16.39% 13.44% 13.57% 18.97% 15.26%
Portfolio
Vanguard 500 14.02% -1.02% 17.10% 11.55% 16.01% 13.34% 13.49% 18.65% 15.03%
Index Investor
Trailing annualized return and volatility are for full months ending in January 2021 excluding portfolio cashflows.

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Risk and Return Metrics (Jan 2011 - Jan 2021)

Metric Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor
Arithmetic Mean (monthly) 1.20% 1.14% 1.14%
Arithmetic Mean (annualized) 15.37% 14.63% 14.51%
Geometric Mean (monthly) 1.15% 1.07% 1.06%
Geometric Mean (annualized) 14.68% 13.57% 13.49%
Volatility (monthly) 3.22% 3.97% 3.90%
Volatility (annualized) 11.14% 13.74% 13.50%
Downside Deviation (monthly) 1.75% 2.42% 2.37%
Max. Drawdown -10.68% -20.14% -19.63%
US Market Correlation 0.43 1.00 1.00
Beta (*) 0.36 1.02 1.00
Alpha (annualized) 9.44% -0.12% 0.00%
R Squared 19.33% 99.76% 100.00%
Sharpe Ratio 1.24 0.95 0.96
Sortino Ratio 2.25 1.55 1.57
Treynor Ratio (%) 38.05 12.93 13.04
Calmar Ratio 1.73 0.60 0.59
Active Return 1.19% 0.08% N/A
Tracking Error 13.20% 0.70% N/A
Information Ratio 0.09 0.12 N/A
Skewness -0.04 -0.36 -0.33
Excess Kurtosis 1.24 1.79 1.64
Historical Value-at-Risk (5%) -3.74% -6.12% -6.05%
Analytical Value-at-Risk (5%) -4.09% -5.38% -5.28%
Conditional Value-at-Risk (5%) -6.38% -8.49% -8.32%
Upside Capture Ratio (%) 72.39 101.27 100.00
Downside Capture Ratio (%) 41.32 101.59 100.00
Safe Withdrawal Rate 18.78% 16.64% 16.67%
Perpetual Withdrawal Rate 11.39% 10.51% 10.45%
Positive Periods 87 out of 121 (71.90%) 85 out of 121 (70.25%) 85 out of 121 (70.25%)
Gain/Loss Ratio 1.03 0.91 0.91
(*) Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

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Dual Momentum Model Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Balance
2011 2.05% 3.70% 0.42% 2.90% -1.06% -1.79% -2.27% 8.76% 9.95% -3.74% -0.41% 2.86% 22.44% 2.96% $12,244
2012 4.64% 4.22% 3.06% -0.64% -6.01% -1.51% 1.18% 2.51% 2.54% -1.82% 0.57% 1.29% 9.96% 1.74% $13,463
2013 5.42% 1.28% 3.95% 1.61% 2.44% -1.43% 5.17% -3.03% 3.90% 4.27% 2.70% 2.73% 32.72% 1.50% $17,869
2014 -3.17% 4.87% 0.51% 0.70% 2.32% 2.06% -1.99% 3.95% -1.38% 2.36% 2.75% -0.26% 13.11% 0.76% $20,211
2015 -2.96% 5.74% -1.16% 0.62% 1.30% -1.67% 1.70% -6.10% 1.87% -0.38% 0.37% -1.72% -2.83% 0.73% $19,638
2016 -4.98% 2.80% 0.00% 0.39% 1.73% 0.27% 3.98% 0.21% 0.21% -2.19% 3.68% 1.98% 8.03% 2.07% $21,215
2017 1.86% 3.69% 0.13% 0.99% 1.01% 0.64% 1.88% 0.29% 2.01% 2.17% 3.06% 1.16% 20.54% 2.11% $25,572
2018 5.64% -3.64% -2.74% 0.45% 1.88% 0.70% 3.32% 3.43% 0.20% -6.91% 1.85% 5.62% 9.41% 1.91% $27,977
2019 0.48% 3.56% 1.42% 4.09% -6.38% 1.00% 1.41% -1.67% 1.95% 2.21% 3.62% 2.90% 15.08% 2.29% $32,195
2020 -0.04% -7.92% 6.42% 0.97% -1.73% 1.78% 5.74% 7.10% -3.54% -1.95% 11.80% 4.68% 24.02% 1.36% $39,927
2021 -0.33% -0.33% 0.00% $39,794

Equal Weight Portfolio Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Balance
2011 2.19% 3.59% 0.21% 2.90% -1.09% -1.74% -2.13% -5.79% -7.26% 11.14% -0.39% 1.01% 1.43% 2.96% $10,143
2012 4.85% 4.28% 3.14% -0.65% -6.12% 4.05% 1.03% 2.60% 2.51% -1.81% 0.67% 1.09% 16.22% 1.74% $11,788
2013 5.27% 1.28% 3.87% 1.76% 2.40% -1.38% 5.46% -3.02% 3.53% 4.45% 2.83% 2.66% 32.88% 1.50% $15,664
2014 -3.35% 4.71% 0.67% 0.38% 2.21% 2.34% -1.67% 4.05% -1.74% 2.55% 2.61% -0.15% 13.01% 0.76% $17,701
2015 -2.85% 5.68% -1.36% 0.80% 1.29% -1.85% 1.98% -6.09% -2.73% 8.21% 0.48% -1.92% 0.81% 0.73% $17,844
2016 -5.35% -0.05% 6.92% 0.53% 1.72% 0.31% 3.81% 0.16% 0.11% -1.96% 4.09% 2.01% 12.42% 2.07% $20,060
2017 1.82% 3.81% 0.09% 1.03% 1.21% 0.79% 1.97% 0.22% 2.23% 2.26% 3.04% 1.18% 21.46% 2.11% $24,364
2018 5.43% -3.70% -2.35% 0.48% 2.58% 0.64% 3.51% 3.31% 0.40% -7.16% 1.93% -8.98% -4.88% 1.91% $23,174
2019 8.27% 3.40% 1.61% 4.01% -6.41% 7.02% 1.46% -1.88% 1.86% 2.16% 3.70% 2.85% 30.95% 2.29% $30,346
2020 -0.05% -7.96% -13.19% 12.92% 5.08% 2.03% 5.82% 7.04% -3.64% -2.22% 11.34% 4.19% 19.70% 1.36% $36,324
2021 -0.68% -0.68% 0.00% $36,079

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Vanguard 500 Index Investor Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Balance
2011 2.36% 3.42% 0.03% 2.95% -1.15% -1.67% -2.05% -5.45% -7.04% 10.91% -0.23% 1.02% 1.97% 2.96% $10,197
2012 4.46% 4.31% 3.28% -0.64% -6.02% 4.11% 1.37% 2.24% 2.58% -1.86% 0.56% 0.90% 15.82% 1.74% $11,810
2013 5.18% 1.34% 3.74% 1.91% 2.33% -1.35% 5.07% -2.91% 3.12% 4.59% 3.03% 2.51% 32.18% 1.50% $15,610
2014 -3.47% 4.56% 0.82% 0.72% 2.33% 2.05% -1.39% 3.98% -1.41% 2.42% 2.68% -0.26% 13.51% 0.76% $17,719
2015 -3.02% 5.74% -1.59% 0.95% 1.27% -1.93% 2.08% -6.05% -2.48% 8.42% 0.29% -1.59% 1.25% 0.73% $17,940
2016 -4.98% -0.15% 6.78% 0.37% 1.78% 0.25% 3.68% 0.13% 0.01% -1.83% 3.70% 1.96% 11.82% 2.07% $20,060
2017 1.88% 3.96% 0.10% 1.02% 1.39% 0.61% 2.04% 0.29% 2.06% 2.32% 3.06% 1.10% 21.67% 2.11% $24,407
2018 5.71% -3.69% -2.56% 0.37% 2.39% 0.61% 3.71% 3.25% 0.55% -6.85% 2.03% -9.04% -4.52% 1.91% $23,302
2019 8.00% 3.20% 1.94% 4.04% -6.36% 7.03% 1.43% -1.59% 1.86% 2.15% 3.62% 3.01% 31.33% 2.29% $30,602
2020 -0.05% -8.24% -12.37% 12.81% 4.76% 1.98% 5.63% 7.18% -3.81% -2.67% 10.94% 3.84% 18.25% 1.36% $36,187
2021 -1.02% -1.02% 0.00% $35,817

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Drawdowns for Dual Momentum Model (worst 10)

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jun 2015 Jan 2016 8 months Dec 2016 11 months 1 year 7 months -10.68%
2 Apr 2012 Jun 2012 3 months Jan 2013 7 months 10 months -8.01%
3 Jan 2020 Feb 2020 2 months Jul 2020 5 months 7 months -7.95%
4 Oct 2018 Oct 2018 1 month Dec 2018 2 months 3 months -6.91%
5 May 2019 May 2019 1 month Nov 2019 6 months 7 months -6.38%
6 Feb 2018 Mar 2018 2 months Aug 2018 5 months 7 months -6.28%
7 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -5.42%
8 May 2011 Jul 2011 3 months Aug 2011 1 month 4 months -5.04%
9 Oct 2011 Nov 2011 2 months Jan 2012 2 months 4 months -4.13%
10 Dec 2014 Jan 2015 2 months Feb 2015 1 month 3 months -3.21%

Drawdowns for Equal Weight Portfolio (worst 10)

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2020 Mar 2020 3 months Jul 2020 4 months 7 months -20.14%
2 May 2011 Sep 2011 5 months Feb 2012 5 months 10 months -16.90%
3 Oct 2018 Dec 2018 3 months Apr 2019 4 months 7 months -13.86%
4 Aug 2015 Sep 2015 2 months May 2016 8 months 10 months -8.66%
5 Apr 2012 May 2012 2 months Aug 2012 3 months 5 months -6.73%
6 May 2019 May 2019 1 month Jun 2019 1 month 2 months -6.41%
7 Feb 2018 Mar 2018 2 months Jul 2018 4 months 6 months -5.96%
8 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -5.78%
9 Jan 2014 Jan 2014 1 month Feb 2014 1 month 2 months -3.35%
10 Aug 2013 Aug 2013 1 month Sep 2013 1 month 2 months -3.02%

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Drawdowns for Vanguard 500 Index Investor (worst 10)

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2020 Mar 2020 3 months Jul 2020 4 months 7 months -19.63%
2 May 2011 Sep 2011 5 months Feb 2012 5 months 10 months -16.31%
3 Oct 2018 Dec 2018 3 months Apr 2019 4 months 7 months -13.55%
4 Aug 2015 Sep 2015 2 months May 2016 8 months 10 months -8.38%
5 Apr 2012 May 2012 2 months Aug 2012 3 months 5 months -6.62%
6 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -6.38%
7 May 2019 May 2019 1 month Jun 2019 1 month 2 months -6.36%
8 Feb 2018 Mar 2018 2 months Jul 2018 4 months 6 months -6.16%
9 Jan 2014 Jan 2014 1 month Feb 2014 1 month 2 months -3.47%
10 Dec 2014 Jan 2015 2 months Feb 2015 1 month 3 months -3.27%

Rolling Returns (Jan 2011 - Jan 2021)

Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor
Roll Period Average High Low Average High Low Average High Low
1 year 13.60% 32.72% -7.50% 13.12% 32.88% -8.07% 13.16% 32.18% -7.11%
3 years 12.51% 21.87% 5.81% 13.09% 22.92% 4.52% 13.14% 22.80% 4.96%
5 years 11.26% 16.35% 7.40% 12.40% 16.39% 6.22% 12.48% 16.20% 6.58%
7 years 12.38% 14.92% 10.51% 13.04% 16.80% 9.24% 13.10% 16.74% 9.47%
10 years 14.71% 14.85% 14.58% 13.61% 13.77% 13.44% 13.53% 13.72% 13.34%

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Model Selections

# Start End Assets Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor
1 Jan 2011 Jul 2011 100.00% Vanguard Total Stock Market ETF (VTI) 3.83% 3.82% 3.78%
2 Aug 2011 Oct 2011 100.00% Vanguard Long-Term Treasury ETF (VGLT) 15.11% -2.90% -2.51%
3 Nov 2011 Nov 2011 100.00% SPDR S&P 500 ETF Trust (SPY) -0.41% -0.39% -0.23%
4 Dec 2011 Dec 2011 100.00% Vanguard Long-Term Treasury ETF (VGLT) 2.86% 1.01% 1.02%
5 Jan 2012 Jan 2012 100.00% SPDR S&P 500 ETF Trust (SPY) 4.64% 4.85% 4.46%
6 Feb 2012 Apr 2012 100.00% Vanguard Total Stock Market ETF (VTI) 6.73% 6.85% 7.04%
7 May 2012 May 2012 100.00% SPDR S&P 500 ETF Trust (SPY) -6.01% -6.12% -6.02%
8 Jun 2012 Jun 2012 100.00% Vanguard Long-Term Treasury ETF (VGLT) -1.51% 4.05% 4.11%
9 Jul 2012 Nov 2012 100.00% SPDR S&P 500 ETF Trust (SPY) 5.00% 5.04% 4.92%
10 Dec 2012 Jun 2013 100.00% Vanguard Total Stock Market ETF (VTI) 15.33% 15.05% 14.77%
11 Jul 2013 Jul 2013 100.00% SPDR S&P 500 ETF Trust (SPY) 5.17% 5.46% 5.07%
12 Aug 2013 Mar 2014 100.00% Vanguard Total Stock Market ETF (VTI) 13.11% 12.80% 12.55%
13 Apr 2014 Jun 2014 100.00% SPDR S&P 500 ETF Trust (SPY) 5.16% 5.00% 5.19%
14 Jul 2014 Jul 2014 100.00% Vanguard Total Stock Market ETF (VTI) -1.99% -1.67% -1.39%
15 Aug 2014 Jan 2015 100.00% SPDR S&P 500 ETF Trust (SPY) 4.35% 4.37% 4.28%
16 Feb 2015 Jul 2015 100.00% Vanguard Total Stock Market ETF (VTI) 6.52% 6.53% 6.49%
17 Aug 2015 Aug 2015 100.00% SPDR S&P 500 ETF Trust (SPY) -6.10% -6.09% -6.05%
18 Sep 2015 Oct 2015 100.00% Vanguard Long-Term Treasury ETF (VGLT) 1.48% 5.25% 5.73%
19 Nov 2015 Jan 2016 100.00% SPDR S&P 500 ETF Trust (SPY) -6.27% -6.72% -6.22%
20 Feb 2016 Mar 2016 100.00% Vanguard Long-Term Treasury ETF (VGLT) 2.80% 6.87% 6.62%
21 Apr 2016 Apr 2016 100.00% SPDR S&P 500 ETF Trust (SPY) 0.39% 0.53% 0.37%
22 May 2016 Oct 2016 100.00% Vanguard Total Stock Market ETF (VTI) 4.17% 4.13% 3.99%
23 Nov 2016 Nov 2016 100.00% SPDR S&P 500 ETF Trust (SPY) 3.68% 4.09% 3.70%
24 Dec 2016 Feb 2017 100.00% Vanguard Total Stock Market ETF (VTI) 7.71% 7.82% 8.00%
25 Mar 2017 Apr 2017 100.00% SPDR S&P 500 ETF Trust (SPY) 1.12% 1.12% 1.12%
26 May 2017 May 2017 100.00% Vanguard Total Stock Market ETF (VTI) 1.01% 1.21% 1.39%
27 Jun 2017 Jun 2017 100.00% SPDR S&P 500 ETF Trust (SPY) 0.64% 0.79% 0.61%
28 Jul 2017 Jul 2017 100.00% Vanguard Total Stock Market ETF (VTI) 1.88% 1.97% 2.04%
29 Aug 2017 Sep 2017 100.00% SPDR S&P 500 ETF Trust (SPY) 2.31% 2.45% 2.36%
30 Oct 2017 Oct 2017 100.00% Vanguard Total Stock Market ETF (VTI) 2.17% 2.26% 2.32%
31 Nov 2017 Nov 2017 100.00% SPDR S&P 500 ETF Trust (SPY) 3.06% 3.04% 3.06%
32 Dec 2017 Dec 2017 100.00% Vanguard Total Stock Market ETF (VTI) 1.16% 1.18% 1.10%
33 Jan 2018 Mar 2018 100.00% SPDR S&P 500 ETF Trust (SPY) -1.00% -0.85% -0.79%

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# Start End Assets Dual Momentum Model Equal Weight Portfolio Vanguard 500 Index Investor
34 Apr 2018 Apr 2018 100.00% Vanguard Total Stock Market ETF (VTI) 0.45% 0.48% 0.37%
35 May 2018 May 2018 100.00% Vanguard Long-Term Treasury ETF (VGLT) 1.88% 2.58% 2.39%
36 Jun 2018 Sep 2018 100.00% Vanguard Total Stock Market ETF (VTI) 7.83% 8.05% 8.32%
37 Oct 2018 Oct 2018 100.00% SPDR S&P 500 ETF Trust (SPY) -6.91% -7.16% -6.85%
38 Nov 2018 Jan 2019 100.00% Vanguard Long-Term Treasury ETF (VGLT) 8.09% 0.46% 0.23%
39 Feb 2019 Mar 2019 100.00% Vanguard Total Stock Market ETF (VTI) 5.03% 5.07% 5.20%
40 Apr 2019 May 2019 100.00% SPDR S&P 500 ETF Trust (SPY) -2.55% -2.67% -2.58%
41 Jun 2019 Jun 2019 100.00% Vanguard Long-Term Treasury ETF (VGLT) 1.00% 7.02% 7.03%
42 Jul 2019 Jul 2019 100.00% Vanguard Total Stock Market ETF (VTI) 1.41% 1.46% 1.43%
43 Aug 2019 Feb 2020 100.00% SPDR S&P 500 ETF Trust (SPY) 0.56% 0.19% 0.24%
44 Mar 2020 May 2020 100.00% Vanguard Long-Term Treasury ETF (VGLT) 5.60% 3.01% 3.56%
45 Jun 2020 Jun 2020 100.00% SPDR S&P 500 ETF Trust (SPY) 1.78% 2.03% 1.98%
46 Jul 2020 Jan 2021 100.00% Vanguard Total Stock Market ETF (VTI) 24.94% 22.96% 20.84%
47 Feb 2021 Feb 2021 100.00% Vanguard Total Stock Market ETF (VTI) - - -

Notes:
• 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.
• The annual results for 2021 are based on monthly returns from January to January
• 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

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