Portfolio Visualizer Moving Average Model Simulation

Model Description

Tactical asset allocation model results from Jan 2012 to Feb 2023 for Vanguard S&P 500 ETF (VOO) are based on 10 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 (CASHX). 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 S&P 500
ETF (VOO) [Oct 2010 - Feb 2023]. You can extend the available time period by using Vanguard 500 Index Investor (VFINX), which is the oldest share class of the fund.

Portfolio Performance (Jan 2012 - Feb 2023)

Metric Moving Average Model Buy & Hold Portfolio

Start Balance $100,000 $100,000
End Balance $327,694 $499,116
Annualized Return (CAGR) 11.21% 15.48%
Time-Weighted Rate of Return (TWRR) 8.42% 12.99%
Money-Weighted Rate of Return (MWRR) 7.97% 12.71%
Standard Deviation 11.17% 14.42%
Best Year 32.39% 32.39%
Worst Year -19.85% -18.19%
Maximum Drawdown -20.00% -23.91%
Max. Drawdown (excluding cashflows) -21.57% -23.91%
Sharpe Ratio 0.71 0.87
Sortino Ratio 1.07 1.35
Stock Market Correlation 0.75 1.00

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Trailing Returns

Total Return Annualized Return Annualized Standard

Deviation
3 Month Year To Date 1 year 3 year 5 year 10 year Full
Name 3 year 5 year
Moving Average Model -7.76% -2.15% -14.69% 7.98% 3.44% 7.62% 8.42% 13.68% 13.37%
Buy & Hold Portfolio -2.31% 3.63% -7.77% 12.03% 9.77% 12.20% 12.99% 20.82% 18.63%
Trailing return and volatility are as of last full calendar month ending February 2023

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Risk and Return Metrics (Jan 2012 - Feb 2023)

Metric Moving Average Model Buy & Hold Portfolio

Arithmetic Mean (monthly) 0.73% 1.11%
Arithmetic Mean (annualized) 9.09% 14.15%
Geometric Mean (monthly) 0.68% 1.02%
Geometric Mean (annualized) 8.42% 12.99%
Standard Deviation (monthly) 3.22% 4.16%
Standard Deviation (annualized) 11.17% 14.42%
Downside Deviation (monthly) 2.12% 2.64%
Maximum Drawdown -21.57% -23.91%
Stock Market Correlation 0.75 1.00
Beta (*) 0.56 0.97
Alpha (annualized) 1.41% 0.72%
R Squared 55.99% 99.21%
Sharpe Ratio 0.71 0.87
Sortino Ratio 1.07 1.35
Treynor Ratio (%) 14.17 12.97
Calmar Ratio 0.37 0.50
Active Return -4.16% 0.41%
Tracking Error 9.84% 1.36%
Information Ratio -0.42 0.30
Skewness -0.54 -0.49
Excess Kurtosis 1.25 0.92
Historical Value-at-Risk (5%) -5.83% -6.52%
Analytical Value-at-Risk (5%) -4.57% -5.74%
Conditional Value-at-Risk (5%) -7.29% -8.93%
Upside Capture Ratio (%) 68.35 99.98
Downside Capture Ratio (%) 74.84 97.65
Positive Periods 100 out of 134 (74.63%) 94 out of 134 (70.15%)
Gain/Loss Ratio 0.62 0.84
(*) US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

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Moving Average Model Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Cashflow Balance
2012 0.00% 4.28% 3.30% -0.64% -6.00% 4.14% 1.20% 2.51% 2.55% -1.96% 0.57% 1.02% 11.03% 1.74% $5,087 $116,121
2013 5.17% 1.33% 3.61% 2.09% 2.32% -1.50% 5.30% -3.08% 3.39% 4.47% 3.00% 2.64% 32.39% 1.50% $5,163 $158,901
2014 -3.53% 4.57% 0.88% 0.72% 2.29% 2.09% -1.38% 3.97% -1.38% 2.40% 2.76% -0.32% 13.55% 0.76% $5,203 $185,633
2015 -2.87% 5.58% -1.57% 1.00% 1.25% -1.95% 2.18% -6.14% 0.01% 0.00% 0.43% -1.74% -4.21% 0.73% $5,240 $183,060
2016 -4.91% 0.03% 0.03% 0.35% 1.75% 0.32% 3.68% 0.12% 0.04% -1.79% 3.73% 2.07% 5.23% 2.07% $5,349 $197,993
2017 1.78% 3.88% 0.13% 1.04% 1.40% 0.63% 2.06% 0.29% 2.04% 2.33% 3.06% 1.28% 21.77% 2.11% $5,462 $246,561
2018 5.59% -3.73% -2.48% 0.35% 2.42% 0.76% 3.56% 3.22% 0.58% -6.84% 0.19% -8.84% -6.09% 1.91% $5,566 $237,111
2019 0.20% 0.20% 1.92% 4.03% -6.35% 0.19% 1.46% -1.64% 1.97% 2.18% 3.63% 2.97% 10.84% 2.29% $5,694 $268,497
2020 -0.04% -8.10% 0.10% 0.01% 0.01% 1.83% 5.88% 6.97% -3.75% -2.55% 10.95% 3.75% 14.53% 1.36% $5,771 $313,289
2021 -1.02% 2.77% 4.57% 5.29% 0.67% 2.26% 2.45% 2.95% -4.66% 7.04% -0.73% 4.55% 28.78% 7.04% $6,177 $409,625
2022 -5.24% -2.98% 0.03% -8.78% 0.07% 0.09% 0.14% 0.20% 0.24% 0.27% 0.34% -5.73% -19.85% 6.45% $6,576 $334,882
2023 0.36% -2.50% -2.15% 0.80% $0.00 $327,694
Annual return for 2023 is from 01/01/2023 to 02/28/2023. The cashflow column shows the total annual portfolio contributions (positive) and withdrawals (negative).

Buy & Hold Portfolio Returns

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Cashflow Balance
2012 4.47% 4.28% 3.30% -0.64% -6.00% 4.14% 1.20% 2.51% 2.55% -1.96% 0.57% 1.02% 16.00% 1.74% $5,087 $121,086
2013 5.17% 1.33% 3.61% 2.09% 2.32% -1.50% 5.30% -3.08% 3.39% 4.47% 3.00% 2.64% 32.39% 1.50% $5,163 $165,475
2014 -3.53% 4.57% 0.88% 0.72% 2.29% 2.09% -1.38% 3.97% -1.38% 2.40% 2.76% -0.32% 13.55% 0.76% $5,203 $193,097
2015 -2.87% 5.58% -1.57% 1.00% 1.25% -1.95% 2.18% -6.14% -2.47% 8.45% 0.43% -1.74% 1.31% 0.73% $5,240 $200,877
2016 -4.91% -0.21% 6.87% 0.35% 1.75% 0.32% 3.68% 0.12% 0.04% -1.79% 3.73% 2.07% 12.17% 2.07% $5,349 $230,677
2017 1.78% 3.88% 0.13% 1.04% 1.40% 0.63% 2.06% 0.29% 2.04% 2.33% 3.06% 1.28% 21.77% 2.11% $5,462 $286,362
2018 5.59% -3.73% -2.48% 0.35% 2.42% 0.76% 3.56% 3.22% 0.58% -6.84% 1.89% -8.84% -4.50% 1.91% $5,566 $279,033
2019 7.92% 3.25% 1.92% 4.03% -6.35% 6.99% 1.46% -1.64% 1.97% 2.18% 3.63% 2.97% 31.35% 2.29% $5,694 $372,218
2020 -0.04% -8.10% -12.46% 12.79% 4.74% 1.83% 5.88% 6.97% -3.75% -2.55% 10.95% 3.75% 18.29% 1.36% $5,771 $446,076
2021 -1.02% 2.77% 4.57% 5.29% 0.67% 2.26% 2.45% 2.95% -4.66% 7.04% -0.73% 4.55% 28.78% 7.04% $6,177 $580,626
2022 -5.24% -2.98% 3.78% -8.78% 0.26% -8.26% 9.20% -4.13% -9.21% 8.12% 5.51% -5.73% -18.19% 6.45% $6,576 $481,611
2023 6.29% -2.50% 3.63% 0.80% $0.00 $499,116
Annual return for 2023 is from 01/01/2023 to 02/28/2023. The cashflow column shows the total annual portfolio contributions (positive) and withdrawals (negative).

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Drawdowns for Historical Market Stress Periods

Stress Period Start End Moving Average Model Buy & Hold Portfolio
COVID-19 Start Jan 2020 Mar 2020 -8.13% -19.58%

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Drawdowns for Moving Average Model (worst 10)

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2022 Feb 2023 1 year 2 months -21.57%
2 Oct 2018 Aug 2019 11 months Aug 2020 1 year 1 year 11 months -15.18%
3 Aug 2015 Jan 2016 6 months Feb 2017 1 year 1 month 1 year 7 months -11.92%
4 Apr 2012 May 2012 2 months Aug 2012 3 months 5 months -6.60%
5 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -6.20%
6 Feb 2018 Mar 2018 2 months Jul 2018 4 months 6 months -6.11%
7 Sep 2021 Sep 2021 1 month Oct 2021 1 month 2 months -4.66%
8 Jan 2014 Jan 2014 1 month Feb 2014 1 month 2 months -3.53%
9 Dec 2014 Jan 2015 2 months Feb 2015 1 month 3 months -3.18%
10 Aug 2013 Aug 2013 1 month Sep 2013 1 month 2 months -3.08%

Drawdowns for Buy & Hold Portfolio (worst 10)

Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2022 Sep 2022 9 months -23.91%
2 Jan 2020 Mar 2020 3 months Jul 2020 4 months 7 months -19.58%
3 Oct 2018 Dec 2018 3 months Apr 2019 4 months 7 months -13.47%
4 Aug 2015 Sep 2015 2 months May 2016 8 months 10 months -8.45%
5 Apr 2012 May 2012 2 months Aug 2012 3 months 5 months -6.60%
6 May 2019 May 2019 1 month Jun 2019 1 month 2 months -6.35%
7 Sep 2020 Oct 2020 2 months Nov 2020 1 month 3 months -6.20%
8 Feb 2018 Mar 2018 2 months Jul 2018 4 months 6 months -6.11%
9 Sep 2021 Sep 2021 1 month Oct 2021 1 month 2 months -4.66%
10 Jan 2014 Jan 2014 1 month Feb 2014 1 month 2 months -3.53%

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Rolling Returns (Jan 2012 - Feb 2023)

Moving Average Model Buy & Hold Portfolio

Roll Period Average High Low Average High Low
1 year 10.25% 42.82% -19.85% 13.90% 56.46% -18.19%
3 years 8.84% 19.64% 2.43% 13.37% 26.01% 5.08%
5 years 8.51% 13.78% 2.63% 13.22% 18.87% 6.70%
7 years 8.10% 9.83% 6.22% 13.05% 14.90% 9.61%
10 years 9.66% 12.14% 7.62% 13.59% 16.52% 11.66%

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Model Selections

# Start End Assets Moving Average Model Buy & Hold Portfolio
1 Jan 2012 Jan 2012 100.00% Cash (CASHX) 0.00% 4.47%
2 Feb 2012 Aug 2015 100.00% Vanguard S&P 500 ETF (VOO) 62.03% 62.03%
3 Sep 2015 Oct 2015 100.00% Cash (CASHX) 0.01% 5.77%
4 Nov 2015 Jan 2016 100.00% Vanguard S&P 500 ETF (VOO) -6.17% -6.17%
5 Feb 2016 Mar 2016 100.00% Cash (CASHX) 0.05% 6.65%
6 Apr 2016 Oct 2018 100.00% Vanguard S&P 500 ETF (VOO) 38.48% 38.48%
7 Nov 2018 Nov 2018 100.00% Cash (CASHX) 0.19% 1.89%
8 Dec 2018 Dec 2018 100.00% Vanguard S&P 500 ETF (VOO) -8.84% -8.84%
9 Jan 2019 Feb 2019 100.00% Cash (CASHX) 0.40% 11.43%
10 Mar 2019 May 2019 100.00% Vanguard S&P 500 ETF (VOO) -0.70% -0.70%
11 Jun 2019 Jun 2019 100.00% Cash (CASHX) 0.19% 6.99%
12 Jul 2019 Feb 2020 100.00% Vanguard S&P 500 ETF (VOO) 1.93% 1.93%
13 Mar 2020 May 2020 100.00% Cash (CASHX) 0.12% 3.41%
14 Jun 2020 Feb 2022 100.00% Vanguard S&P 500 ETF (VOO) 47.43% 47.43%
15 Mar 2022 Mar 2022 100.00% Cash (CASHX) 0.03% 3.78%
16 Apr 2022 Apr 2022 100.00% Vanguard S&P 500 ETF (VOO) -8.78% -8.78%
17 May 2022 Nov 2022 100.00% Cash (CASHX) 1.36% -0.28%
18 Dec 2022 Dec 2022 100.00% Vanguard S&P 500 ETF (VOO) -5.73% -5.73%
19 Jan 2023 Jan 2023 100.00% Cash (CASHX) 0.36% 6.29%
20 Feb 2023 Feb 2023 100.00% Vanguard S&P 500 ETF (VOO) -2.50% -2.50%

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Notes:
• 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, commissions, 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.
• Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
• The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted
by cashflows. If there are no external cashflows, TWRR will equal CAGR.
• The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash
outflows.
• Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form
of interest payments and stocks through dividends.
• Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around
the mean.
• Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess
return, and the displayed value is annualized.
• Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those
excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
• Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
• Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on
monthly returns.
• Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
• Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative
returns that hurt the portfolio performance.
• Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative
returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
• Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and
have heavy or fat tails.
• A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss
from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
• Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at
Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
• Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average
between the value at risk and losses exceeding the value at risk.
• Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market
benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
• Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark
return.
• Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
• Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
• Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
• Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark
when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that
the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is
less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is
calculated analogously.
• All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
• The annual results for 2023 are based on monthly returns from January to February.
• 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.

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• Monthly moving average period calculations are based on end-of-month samples.
• Inflation adjusted annual contribution of $5,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.

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