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P Market Timing rule with Bond to Equity Yield Ratio SMA30days 1day 1day GSPC
P Market Timing rule with Bond to Equity Yield Ratio SMA30days 1day 1day GSPC
(public) 0(0.0%) October 10
Delayed
Holdings (As of 08/31/2011)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
S&P500 | ^GSPC (S&P 500 INDEX) | 0.49% | 100.00% |
* Day change on 08/31/2011.
Performance (As of 10/10/2011)
Since 12/31/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Market Timing rule with Bond to Equity Yield Ratio SMA30days 1day 1day GSPC | N/A | -4.7% | 7.8% | -0.2% | 4.3% | |
VFINX (Vanguard (S&P 500) Index) | 10.4% | 33.9% | 11.9% | 15.1% | 12.9% | 15.4% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 6.6% | 21.3% | 5.3% | 9.0% | 8.1% | 10.3% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 01/02/2001 |
2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.0 | -4.7 | 7.8 | -0.2 | 4.3 | 2.0 | -11.1 | 4.0 | 34.7 | -28.7 | 6.3 | 15.1 | 3.8 | 8.8 | 26.6 | -8.9 | -12.2 |
Sharpe Ratio | NA | -0.25 | 0.3 | -0.05 | 0.16 | 0.04 | -0.54 | 0.23 | 1.91 | -0.74 | 0.22 | 1.33 | 0.17 | 0.84 | 1.82 | -0.43 | -0.87 |
Draw Down(%) | NA | 16.3 | 25.2 | 41.9 | 41.9 | 41.9 | 16.3 | 16.0 | 15.1 | 41.9 | 10.0 | 6.2 | 4.5 | 7.0 | 14.2 | 27.6 | 28.6 |
Standard Deviation(%) | NA | 18.7 | 25.6 | 23.6 | 19.5 | 19.4 | 20.8 | 17.2 | 18.1 | 40.1 | 14.4 | 8.9 | 9.1 | 9.3 | 14.2 | 23.4 | 16.7 |
Treynor Ratio | NA | -0.06 | 0.1 | -0.01 | 0.04 | 0.01 | -0.13 | 0.04 | 0.77 | -0.31 | 0.04 | 0.15 | 0.02 | 0.11 | 0.37 | -0.12 | -0.24 |
Alpha | NA | -0.03 | 0.0 | 0.01 | 0.01 | 0.01 | -0.04 | -0.03 | 0.08 | 0.05 | 0.01 | 0.01 | 0.0 | 0.01 | 0.03 | 0.05 | -0.03 |
Beta | NA | 0.82 | 0.8 | 0.82 | 0.8 | 0.79 | 0.84 | 0.91 | 0.45 | 0.95 | 0.81 | 0.79 | 0.78 | 0.7 | 0.7 | 0.81 | 0.6 |
RSquared | NA | 0.82 | 0.8 | 0.82 | 0.8 | 0.79 | 0.84 | 0.91 | 0.45 | 0.95 | 0.81 | 0.79 | 0.78 | 0.7 | 0.7 | 0.81 | 0.6 |
Sortino Ratio | NA | -0.32 | 0.43 | -0.07 | 0.22 | 0.05 | -0.67 | 0.32 | 3.24 | -0.98 | 0.3 | 2.0 | 0.25 | 1.23 | 2.93 | -0.62 | -1.16 |
Yield(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Strategies
Asset Strategy | Market Timing Rule with Bond to Equity Yield Ratio |