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Test Tactical Allocation Models

Tactical Allocation Overview

This tool allows you to test different tactical asset allocation models based on moving averages, momentum, market valuation and target volatility. The supported models include:

  • Shiller PE Ratio Market Valuation
  • Seasonal Model
  • Moving Averages - Single Asset
  • Moving Averages - Portfolio Assets
  • Momentum - Relative Strength
  • Momentum - Dual Momentum
  • Momentum - Adaptive Allocation
  • Target Volatility

You can find a summary of the selected tactical asset allocation model below, and a more detailed description in the documentation 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 tactical asset allocation 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 tactical asset allocation 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 lookback period, or multiple weighted lookback 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.

Risk Managed Allocation

The risk managed portfolio allocation model adjusts the risky asset exposure in the portfolio based the defined signal in order to protect against large drawdowns.

Model Configuration

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Risk Adjustment Levels
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Lookback Periods
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Lookback Period #2
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Lookback Period #5
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Volatility Period
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Portfolio Assets
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Asset 2
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Model Simulation Results (Jan 2017 - Sep 2026) Save

Tactical asset allocation model results from Jan 2017 to Sep 2026 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 Invesco QQQ Trust (QQQ). 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 Invesco QQQ Trust (QQQ) [Apr 1999 - Sep 2026].
Note: The time period of the results is limited to 10 years for free tier accounts.

Performance Summary

MetricDual Momentum ModelVanguard 500 Index Investor
Start Balance$10,000$10,000
End Balance$67,822$39,573
Annualized Return (CAGR)21.69%15.15%
Standard Deviation18.99%15.51%
Best Year54.85%31.33%
Worst Year-32.58%-18.23%
Maximum Drawdown -32.58% -23.95%
Sharpe Ratio1.010.83
Sortino Ratio1.661.31
Active Return6.54%N/A
Tracking Error8.42%N/A
Information Ratio0.78N/A
Benchmark Correlation0.90N/A

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Dual Momentum Model-0.50%20.87%27.97%28.76%16.70%21.69%16.45%20.49%
Vanguard 500 Index Investor2.27%12.63%15.58%22.71%13.63%15.15%12.42%15.64%
Trailing return and volatility are as of last calendar month ending September 2026

Active Returns Chart

Annualized Active Return

Rolling Active Return

Up vs. Down Market Performance

Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market53288165%2.04%-1.63%0.77%
Down Market16203644%2.29%-1.94%-0.06%
Total694811759%2.10%-1.76%0.52%

Active Return Confidence

Risk and Return Metrics

MetricDual Momentum ModelVanguard 500 Index Investor
Arithmetic Mean (monthly)1.80%1.28%
Arithmetic Mean (annualized)23.85%16.52%
Geometric Mean (monthly)1.65%1.18%
Geometric Mean (annualized)21.69%15.15%
Standard Deviation (monthly)5.48%4.48%
Standard Deviation (annualized)18.99%15.51%
Downside Deviation (monthly)3.24%2.76%
Maximum Drawdown-32.58%-23.95%
Benchmark Correlation0.901.00
Beta(*)1.101.00
Alpha (annualized)4.62%0.00%
R281.03%100.00%
Sharpe Ratio1.010.83
Sortino Ratio1.661.31
Treynor Ratio (%)17.3312.92
Calmar Ratio2.853.02
Modigliani–Modigliani Measure18.08%15.39%
Active Return6.54%N/A
Tracking Error8.42%N/A
Information Ratio0.78N/A
Skewness-0.41-0.43
Excess Kurtosis-0.010.59
Historical Value-at-Risk (5%)8.64%7.13%
Analytical Value-at-Risk (5%)7.22%6.08%
Conditional Value-at-Risk (5%)9.91%9.31%
Upside Capture Ratio (%)126.24100.00
Downside Capture Ratio (%)102.25100.00
Safe Withdrawal Rate23.50%18.09%
Perpetual Withdrawal Rate16.17%11.00%
Positive Periods78 out of 117 (66.67%)81 out of 117 (69.23%)
Gain/Loss Ratio1.120.92
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Annual Returns

YearInflationDual Momentum ModelVanguard 500 Index InvestorInvesco QQQ Trust (QQQ)Vanguard Total Intl Stock Index Inv (VGTSX)
ReturnBalanceReturnBalance
20263.37%20.87%$67,82212.63%$39,57320.83%13.27%
20252.68%22.73%$56,11017.71%$35,13720.77%32.05%
20242.89%25.58%$45,71724.84%$29,85025.58%5.09%
20233.35%54.85%$36,40626.11%$23,91054.85%15.44%
20226.45%-32.58%$23,510-18.23%$18,960-32.58%-16.05%
20217.04%27.42%$34,87028.53%$23,18627.42%8.61%
20201.36%48.62%$27,36618.25%$18,03948.62%11.16%
20192.29%38.96%$18,41431.33%$15,25538.96%21.43%
20181.91%-0.12%$13,251-4.52%$11,616-0.12%-14.44%
20172.11%32.66%$13,26621.67%$12,16732.66%27.40%
Annual return for 2026 is from 01/01/2026 to 09/30/2026

Monthly Returns

YearMonthDual Momentum ModelVanguard 500 Index InvestorInvesco QQQ Trust (QQQ)Vanguard Total Intl Stock Index Inv (VGTSX)
ReturnBalanceReturnBalance
202693.31%$67,822-0.36%$39,5733.31%-2.60%
202683.09%$65,6452.71%$39,7154.18%3.09%
20267-6.57%$63,679-0.08%$38,667-6.57%-0.98%
20266-0.15%$68,160-0.96%$38,697-0.15%-0.20%
2026510.57%$68,2615.25%$39,07310.57%3.75%
202648.16%$61,73710.48%$37,12415.69%8.16%
20263-8.64%$57,078-4.99%$33,602-4.84%-8.64%
202625.31%$62,478-0.77%$35,367-2.34%5.31%
202615.74%$59,3291.44%$35,6421.23%5.74%
2025122.65%$56,1100.05%$35,137-0.67%2.65%
202511-1.56%$54,6630.23%$35,120-1.56%0.25%
2025104.78%$55,5292.33%$35,0384.78%1.52%
202595.38%$52,9963.64%$34,2405.38%3.62%
202580.95%$50,2922.02%$33,0390.95%4.19%
20257-0.95%$49,8172.23%$32,3852.42%-0.95%
202566.38%$50,2935.07%$31,6796.38%3.89%
202559.18%$47,2756.28%$30,1509.18%4.62%
202543.11%$43,301-0.69%$28,3681.40%3.11%
20253-7.59%$41,994-5.65%$28,564-7.59%0.27%
20252-2.70%$45,443-1.32%$30,274-2.70%1.79%
202512.16%$46,7062.77%$30,6772.16%3.32%
2024120.45%$45,717-2.40%$29,8500.45%-2.58%
2024115.35%$45,5115.86%$30,5835.35%-0.25%
202410-0.86%$43,199-0.92%$28,891-0.86%-4.71%
202492.62%$43,5762.12%$29,1582.62%2.58%
202481.10%$42,4632.41%$28,5521.10%2.46%
20247-1.68%$42,0001.20%$27,879-1.68%2.79%
202466.47%$42,7163.58%$27,5476.47%-0.91%
202456.15%$40,1204.95%$26,5966.15%4.02%
20244-4.37%$37,795-4.10%$25,342-4.37%-2.27%
202431.27%$39,5233.21%$26,4251.27%3.07%
202425.28%$39,0265.33%$25,6045.28%3.06%
202411.82%$37,0681.67%$24,3091.82%-1.83%
2023125.59%$36,4064.53%$23,9105.59%5.09%
20231110.82%$34,4809.12%$22,87310.82%8.51%
202310-2.07%$31,114-2.12%$20,962-2.07%-3.55%
20239-5.08%$31,770-4.78%$21,415-5.08%-3.32%
20238-1.48%$33,470-1.60%$22,489-1.48%-4.44%
202373.86%$33,9743.20%$22,8563.86%3.89%
202366.30%$32,7116.60%$22,1466.30%4.37%
202357.88%$30,7710.42%$20,7767.88%-3.38%
202340.51%$28,5231.55%$20,6890.51%1.69%
202339.49%$28,3793.66%$20,3739.49%2.64%
20232-0.36%$25,918-2.45%$19,654-0.36%-4.15%
2023110.64%$26,0126.27%$20,14810.64%8.40%
202212-9.01%$23,510-5.77%$18,960-9.01%-2.15%
2022115.54%$25,8385.58%$20,1215.54%13.36%
2022104.00%$24,4818.08%$19,0584.00%3.40%
20229-10.54%$23,539-9.22%$17,633-10.54%-9.99%
20228-5.13%$26,312-4.09%$19,424-5.13%-4.09%
2022712.55%$27,7359.21%$20,25312.55%3.63%
20226-8.91%$24,642-8.27%$18,545-8.91%-8.31%
20225-1.59%$27,0530.17%$20,216-1.59%1.39%
20224-13.60%$27,489-8.73%$20,182-13.60%-6.26%
202234.67%$31,8153.69%$22,1124.67%-0.43%
20222-4.48%$30,396-3.00%$21,324-4.48%-2.97%
20221-8.75%$31,820-5.19%$21,984-8.75%-2.84%
2021121.15%$34,8704.47%$23,1861.15%4.09%
2021112.00%$34,472-0.71%$22,1942.00%-4.41%
2021107.86%$33,7976.99%$22,3527.86%2.61%
20219-5.68%$31,333-4.66%$20,891-5.68%-3.42%
202184.22%$33,2213.03%$21,9134.22%1.73%
202172.86%$31,8762.38%$21,2692.86%-1.28%
202166.26%$30,9892.31%$20,7756.26%-0.46%
20215-1.20%$29,1630.69%$20,307-1.20%3.14%
202145.91%$29,5185.32%$20,1685.91%2.78%
202131.71%$27,8714.37%$19,1491.71%1.69%
20212-0.13%$27,4012.76%$18,347-0.13%2.32%
202110.26%$27,438-1.02%$17,8550.26%-0.10%
2020124.90%$27,3663.84%$18,0394.90%5.82%
20201111.23%$26,08710.94%$17,37211.23%12.93%
202010-3.04%$23,454-2.67%$15,660-3.04%-2.21%
20209-5.64%$24,191-3.81%$16,090-5.64%-1.96%
2020810.94%$25,6377.18%$16,72710.94%4.31%
202077.35%$23,1085.63%$15,6077.35%4.10%
202066.28%$21,5271.98%$14,7756.28%4.24%
202056.60%$20,2544.76%$14,4896.60%4.80%
2020414.97%$19,00012.81%$13,83114.97%8.09%
20203-7.29%$16,525-12.37%$12,260-7.29%-16.11%
20202-6.06%$17,824-8.24%$13,991-6.06%-6.72%
202013.04%$18,973-0.05%$15,2483.04%-3.30%
2019123.89%$18,4143.01%$15,2553.89%4.27%
2019114.07%$17,7253.62%$14,8104.07%1.11%
2019104.38%$17,0322.15%$14,2934.38%3.38%
201990.92%$16,3171.86%$13,9910.92%2.72%
20198-1.90%$16,169-1.59%$13,736-1.90%-2.35%
201972.33%$16,4821.43%$13,9582.33%-1.89%
201967.59%$16,1067.03%$13,7627.59%5.83%
20195-8.23%$14,970-6.36%$12,858-8.23%-5.55%
201945.50%$16,3114.04%$13,7325.50%2.76%
201933.92%$15,4611.94%$13,1983.92%0.72%
201922.99%$14,8773.20%$12,9472.99%1.72%
201919.01%$14,4458.00%$12,5469.01%7.58%
201812-8.65%$13,251-9.04%$11,616-8.65%-4.85%
201811-0.26%$14,5062.03%$12,771-0.26%1.26%
201810-8.60%$14,545-6.85%$12,517-8.60%-8.35%
20189-0.28%$15,9130.55%$13,437-0.28%0.30%
201885.78%$15,9583.25%$13,3635.78%-2.19%
201872.80%$15,0863.71%$12,9432.80%2.48%
201861.15%$14,6750.61%$12,4801.15%-2.08%
201855.67%$14,5092.39%$12,4055.67%-1.92%
201840.51%$13,7300.37%$12,1150.51%0.83%
20183-4.08%$13,661-2.56%$12,070-4.08%-0.64%
20182-1.29%$14,242-3.69%$12,387-1.29%-5.14%
201818.76%$14,4285.71%$12,8628.76%5.59%
2017120.60%$13,2661.10%$12,1670.60%2.01%
2017111.97%$13,1873.06%$12,0341.97%0.78%
2017104.61%$12,9322.32%$11,6774.61%1.94%
20179-0.29%$12,3632.06%$11,412-0.29%1.81%
201782.07%$12,3990.29%$11,1822.07%0.64%
201774.06%$12,1472.04%$11,1494.06%3.42%
20176-2.32%$11,6730.61%$10,926-2.32%0.52%
201753.90%$11,9501.39%$10,8603.90%3.01%
201742.73%$11,5021.02%$10,7112.73%2.20%
201732.03%$11,1960.10%$10,6032.03%2.82%
201724.38%$10,9743.96%$10,5924.38%1.50%
201715.14%$10,5141.88%$10,1885.14%3.87%

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndDual Momentum ModelVanguard 500 Index Investor
COVID-19 StartJan 2020Mar 2020-12.90%-19.63%

Drawdowns for Dual Momentum Model

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Dec 20221 yearDec 20231 year2 years-32.58%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-16.96%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-12.90%
4Feb 2025Mar 20252 monthsMay 20252 months4 months-10.09%
5Mar 2026Mar 20261 monthMay 20262 months3 months-8.64%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-8.52%
7May 2019May 20191 monthJul 20192 months3 months-8.23%
8Jun 2026Jul 20262 months-6.71%
9Sep 2021Sep 20211 monthOct 20211 month2 months-5.68%
10Feb 2018Mar 20182 monthsMay 20182 months4 months-5.32%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 monthsDec 20231 year 3 months2 years-23.95%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Feb 2025Apr 20253 monthsJun 20252 months5 months-7.53%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
6May 2019May 20191 monthJun 20191 month2 months-6.36%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Feb 2026Mar 20262 monthsApr 20261 month3 months-5.72%
9Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
10Apr 2024Apr 20241 monthMay 20241 month2 months-4.10%
Worst 10 drawdowns included above

Rolling Returns

Roll PeriodDual Momentum ModelVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year22.50%68.66%-32.58%15.59%56.19%-18.23%
3 years20.22%38.06%8.49%14.46%25.91%4.96%
5 years18.05%28.38%12.12%13.68%18.43%9.09%
7 years20.06%24.20%17.40%14.49%17.21%12.92%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

Allocation Changes

Risk Management Performance

TypePeriods #Periods %ModelBenchmarkRisk-free ReturnUp/Down Performance
ReturnStdevSharpe RatioExcess ReturnTracking ErrorInformation RatioReturnStdevSharpe RatioWin %Upside CaptureDownside CaptureGain/Loss
In Market86.84%18.91%17.90%1.338.69%12.93%0.6710.23%15.30%0.782.57%62.50%112.0912.561.13
Out of Market10993.16%21.13%19.14%0.986.02%8.07%0.7515.11%15.59%0.832.40%58.72%127.04105.441.19
Risk management regimes are based on monthly returns. All risk and return metrics are annualized. Gain/loss ratio for average periodic excess return vs. benchmark.

Trading Performance

MetricValue
Total Trades9
Analyzed Trades9
Rebalancing Trades0
Winning Trades7
Losing Trades2
Win %77.78%
Average Win22.16%
Median Win3.80%
Average Loss2.09%
Median Loss2.09%
Average Annual Turnover78.41%
Average Turnover Per Trade100.00%
Median Turnover Per Trade100.00%
Average Turnover Per Trade Excluding Rebalancing100.00%
Median Turnover Per Trade Excluding Rebalancing100.00%
Cumulative Trading Return without Costs578.22%
Cumulative Trading Return after Costs553.05%
Cumulative Trading Cost Impact25.17%
Annualized Trading Return without Costs21.69%
Annualized Trading Return after Costs21.22%
Annualized Trading Cost Impact0.47%
Trading costs estimate assumes 25bps cost per trade.

Model Trades

#Start DateEnd DateTrade DateTrade TypeTurnoverAllocationAsset PerformanceDual Momentum ModelMin/Max PLVanguard 500 Index InvestorExcess ReturnCost Adjusted Return
1010/01/202610/31/2026Open TradeN/APlease sign-in for forward signalsN/AN/AN/AN/AN/AN/A
909/01/202609/30/202608/31/2026Signal100.00%100.00% Invesco QQQ Trust (QQQ)QQQ: 3.31%3.31%-1.70% / 4.39%-0.36%3.67%2.81%
808/01/202608/31/202607/31/2026Signal100.00%100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.09%3.09%0.66% / 3.82%2.71%0.38%2.59%
705/01/202607/31/202604/30/2026Signal100.00%100.00% Invesco QQQ Trust (QQQ)QQQ: 3.15%3.15%-0.79% / 11.74%4.16%-1.01%2.65%
612/01/202504/30/202611/28/2025Signal100.00%100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 12.94%12.94%-0.37% / 14.51%5.71%7.24%12.44%
508/01/202511/30/202507/31/2025Signal100.00%100.00% Invesco QQQ Trust (QQQ)QQQ: 9.73%9.73%-1.97% / 12.65%8.44%1.28%9.23%
407/01/202507/31/202506/30/2025Signal100.00%100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: -0.95%-0.95%-0.95% / 2.75%2.23%-3.17%-1.45%
305/01/202506/30/202504/30/2025Signal100.00%100.00% Invesco QQQ Trust (QQQ)QQQ: 16.15%16.15%1.25% / 16.15%11.67%4.47%15.65%
204/01/202504/30/202503/31/2025Signal100.00%100.00% Vanguard Total Intl Stock Index Inv (VGTSX)VGTSX: 3.11%3.11%-10.09% / 3.11%-0.69%3.80%2.61%
101/01/201703/31/202512/30/2016Initial EntryN/A100.00% Invesco QQQ Trust (QQQ)QQQ: 319.94%319.94%0.89% / 382.47%185.64%134.30%319.94%
Trade execution assumes end-of-day close price minus trade execution cost. Initial entry is excluded from turnover and transaction costs.

  • 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. Other investments not considered may have characteristics similar or superior to those being analyzed.
  • 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.
  • 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.
  • Risk-free returns are calculated based on U.S. 3-Month Treasury Bill Rate.
  • Inflation is calculated based on U.S. Consumer Price Index.
  • 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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. 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.
  • Invesco QQQ is a paid sponsor of the SRL Analytics Tool, Portfolio Visualizer. The model portfolios are for illustrative purposes only and do not constitute a recommendation or suitability for any investor. Inveso is not affiliated with SRL Global.
  • The annual results for 2026 are based on monthly returns from January to September.
  • 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.