Dual Momentum — 200-Day MA + AGG bonds

Universe: VOO (US large cap, S&P 500) / VEU (international equity ex-US) / AGG (US aggregate bonds)
Selection rule: hold VOO or VEU — whichever is above its own 200-day MA with the higher average ROC(3/6/9/12); if neither is above its 200dma, hold AGG
Allocation: 100% to the single selected sleeve
Signal Date: 2026-06-18
Last Updated: 2026-06-21

Current Signal

Asset Ticker Avg ROC (3/6/9/12) 3M ROC 6M ROC 9M ROC 12M ROC Price 200D MA Above 200D MA?
US Equity (S&P 500) VOO 16.39% 13.47% 11.29% 14.01% 26.79% $688.11 $630.80 ✓
International Equity VEU 21.77% 13.38% 18.16% 21.86% 33.67% $84.92 $75.49 ✓
US Aggregate Bonds (safe asset) AGG 1.87% 0.52% 0.56% 1.57% 4.84% $98.90 $98.34 ✓
Current Selection: VEU — the higher avg-ROC among VOO/VEU above its 200-day MA; AGG if neither.
Other variant: the classic 12-month-ROC dual momentum (GEM) — rank VOO/VEU by trailing 12-month return, hold the higher if it beats the 3-month T-bill, otherwise AGG. View 12-month-ROC backtest →

📊 Backtest: ma200_agg_bonds

Dual Momentum (200-day MA variant): hold VOO (US) or VEU (intl ex-US) -- whichever is above its own 200-day MA with the higher average ROC(3/6/9/12); if neither is above its 200dma, hold AGG bonds. Monthly. The 200dma cousin of the 12-month-ROC dual momentum. Proxies VFINX->VOO, VGTSX->VEU, 50% VFITX + 50% VFICX -> AGG (back to ~1997). Pre-tax + after-tax (liquidation-value model) from the plists_v2 dual_momentum_200dma engine.

Portfolio Value Over Time

Performance Summary

MetricValue
PeriodMay 30, 1997 to May 12, 2026 (29.0 years)
Pre-Tax CAGR11.13%
After-Tax CAGR8.15%
Tax Drag2.98%
Final Value (Pre-Tax)$212,303 (from $10,000)
Final Value (After-Tax)$96,545
Total Taxes Paid$115,758
Effective Tax Rate57.2% on gains
Total Transactions55 (2/yr)
Maximum Drawdown (After-Tax)-26.09%

Drawdown Analysis (After-Tax, Top 5)

Rank Drawdown Peak Trough Recovery Duration
1 -26.09% Oct, 2007 Oct, 2008 Apr, 2010 30 mo
2 -25.28% Dec, 2021 Dec, 2022 Jul, 2024 31 mo
3 -20.50% Oct, 2001 Jul, 2002 Oct, 2003 24 mo
4 -15.61% Jan, 2018 Dec, 2018 Aug, 2020 31 mo
5 -15.38% Jun, 1998 Aug, 1998 Jan, 1999 7 mo

Annual Returns

Year Pre-Tax Return After-Tax Return Tax Drag Pre-Tax Value After-Tax Value
2026 11.93% 10.97% 0.96% $212,303 $96,545
2025 19.82% 16.45% 3.36% $189,679 $87,002
2024 24.84% 20.02% 4.82% $158,308 $74,711
2023 15.44% 13.40% 2.04% $126,808 $62,249
2022 -25.28% -29.83% 4.55% $109,848 $54,895
2021 21.32% 24.66% -3.35% $147,011 $78,232
2020 16.94% 11.52% 5.42% $121,177 $62,754
2019 12.83% 8.32% 4.51% $103,620 $56,269
2018 -10.89% -10.05% -0.84% $91,841 $51,948
2017 21.23% 19.23% 2.00% $103,070 $57,754
2016 14.21% 3.71% 10.50% $85,023 $48,440
2015 -3.25% 3.22% -6.46% $74,444 $46,708
2014 13.51% 11.32% 2.19% $76,942 $45,253
2013 22.95% 10.96% 11.99% $67,785 $40,652
2012 19.58% 16.39% 3.19% $55,132 $36,636
2011 -2.08% -6.54% 4.46% $46,105 $31,476
2010 5.69% 9.90% -4.21% $47,084 $33,680
2009 23.54% 0.88% 22.66% $44,550 $30,646
2008 -14.26% -0.58% -13.68% $36,061 $30,377
2007 15.52% 13.58% 1.94% $42,059 $30,553
2006 26.64% 22.55% 4.08% $36,408 $26,900
2005 15.57% 12.88% 2.69% $28,750 $21,949
2004 20.84% 17.71% 3.12% $24,876 $19,445
2003 36.56% 28.63% 7.92% $20,586 $16,519
2002 -13.78% -13.10% -0.68% $15,075 $12,842
2001 8.49% 4.43% 4.05% $17,485 $14,778
2000 -5.22% -6.92% 1.70% $16,117 $14,151
1999 28.91% 20.62% 8.30% $17,004 $15,203
1998 14.25% 18.01% -3.76% $13,191 $12,604
1997 15.46% 6.81% 8.65% $11,545 $10,680

Monthly Returns (349 months)

Date Pre-Tax Return After-Tax Return Pre-Tax Value After-Tax Value Holding
May, 2026 1.73% 1.41% $212,303 $96,545 VEU
Apr, 2026 8.16% 6.55% $208,699 $95,205 VEU
Mar, 2026 -8.64% -2.01% $192,953 $89,349 VEU
Feb, 2026 5.31% 3.49% $211,207 $91,183 VEU
Jan, 2026 5.74% 1.27% $200,560 $88,107 VEU
Dec, 2025 2.65% 1.69% $189,679 $87,002 VEU
Nov, 2025 0.25% 0.16% $184,786 $85,555 VEU
Oct, 2025 1.52% 0.97% $184,324 $85,418 VEU
Sep, 2025 3.62% 2.27% $181,556 $84,599 VEU
Aug, 2025 4.19% 2.58% $175,207 $82,721 VEU
Jul, 2025 -0.95% -0.59% $168,165 $80,638 VEU
Jun, 2025 3.89% 2.37% $169,773 $81,113 VEU
May, 2025 4.62% 2.77% $163,423 $79,235 VEU
Apr, 2025 3.11% 6.91% $156,202 $77,099 VEU
Mar, 2025 -5.65% -4.57% $151,490 $72,115 VOO
Feb, 2025 -1.32% -1.07% $160,557 $75,568 VOO
Jan, 2025 2.77% 2.24% $162,697 $76,383 VOO
Dec, 2024 -2.40% -1.94% $158,308 $74,711 VOO
Nov, 2024 5.86% 8.75% $162,194 $76,191 VOO
Oct, 2024 -0.92% -0.59% $153,221 $70,063 VOO
Sep, 2024 2.12% 1.37% $154,637 $70,482 VOO
Aug, 2024 2.41% 1.54% $151,422 $69,531 VOO
Jul, 2024 1.20% 0.77% $147,853 $68,475 VOO
Jun, 2024 3.58% 2.25% $146,093 $67,954 VOO
May, 2024 4.95% 3.05% $141,050 $66,462 VOO
Apr, 2024 -4.10% -2.57% $134,402 $64,496 VOO
Mar, 2024 3.21% 1.98% $140,142 $66,194 VOO
Feb, 2024 5.33% 3.23% $135,790 $64,906 VOO
Jan, 2024 1.67% 1.00% $128,920 $62,874 VOO
Dec, 2023 4.53% 4.51% $126,808 $62,249 VOO
Nov, 2023 4.47% 3.02% $121,309 $59,564 AGG
Oct, 2023 -2.12% -1.27% $116,122 $57,820 VOO
Sep, 2023 -4.78% -2.92% $118,631 $58,563 VOO
Aug, 2023 -1.60% -0.99% $124,584 $60,324 VOO
Jul, 2023 3.20% 1.94% $126,613 $60,924 VOO
Jun, 2023 6.60% 5.87% $122,684 $59,762 VOO
May, 2023 -3.38% -2.07% $115,093 $56,446 VEU
Apr, 2023 1.69% 1.03% $119,124 $57,639 VEU
Mar, 2023 2.64% 1.58% $117,142 $57,052 VEU
Feb, 2023 -4.15% -2.54% $114,134 $56,163 VEU
Jan, 2023 8.40% 4.97% $119,079 $57,625 VEU
Dec, 2022 -5.77% -5.77% $109,848 $54,895 VOO
Nov, 2022 3.59% 3.59% $116,578 $58,258 AGG
Oct, 2022 -0.64% -0.64% $112,537 $56,239 AGG
Sep, 2022 -4.07% -4.07% $113,264 $56,602 AGG
Aug, 2022 -3.02% -2.32% $118,072 $59,005 AGG
Jul, 2022 2.72% 1.98% $121,755 $60,404 AGG
Jun, 2022 -1.76% -1.41% $118,529 $59,233 AGG
May, 2022 0.89% 0.53% $120,657 $60,079 AGG
Apr, 2022 -8.73% -8.73% $119,591 $59,763 VOO
Mar, 2022 -3.08% -2.06% $131,030 $65,480 AGG
Feb, 2022 -3.00% -1.82% $135,200 $66,858 VOO
Jan, 2022 -5.19% -12.96% $139,384 $68,096 VOO
Dec, 2021 4.47% 2.72% $147,011 $78,232 VOO
Nov, 2021 -0.70% -0.43% $140,723 $76,164 VOO
Oct, 2021 6.99% 4.15% $141,719 $76,491 VOO
Sep, 2021 -4.66% -2.82% $132,456 $73,444 VOO
Aug, 2021 3.03% 1.81% $138,935 $75,575 VOO
Jul, 2021 2.36% 1.40% $134,850 $74,231 VOO
Jun, 2021 -0.46% 1.91% $131,738 $73,208 VEU
May, 2021 0.69% 0.42% $132,345 $71,834 VOO
Apr, 2021 5.32% 4.82% $131,440 $71,536 VOO
Mar, 2021 1.69% 1.01% $124,797 $68,249 VEU
Feb, 2021 2.32% 9.82% $122,724 $67,567 VEU
Jan, 2021 -1.02% -1.96% $119,939 $61,524 VOO
Dec, 2020 3.84% 2.44% $121,177 $62,754 VOO
Nov, 2020 10.94% 6.68% $116,697 $61,261 VOO
Oct, 2020 -2.67% -1.65% $105,193 $57,426 VOO
Sep, 2020 -4.01% -2.51% $108,081 $58,388 VOO
Aug, 2020 7.40% 4.51% $112,598 $59,894 VOO
Jul, 2020 5.63% 3.36% $104,838 $57,308 VOO
Jun, 2020 1.98% 2.15% $99,253 $55,446 VOO
May, 2020 1.25% 0.75% $97,328 $54,277 AGG
Apr, 2020 1.96% 1.49% $96,123 $53,875 AGG
Mar, 2020 -0.80% -0.13% $94,276 $53,086 AGG
Feb, 2020 -8.24% -5.08% $95,032 $53,154 VOO
Jan, 2020 -0.05% -0.48% $103,568 $55,999 VOO
Dec, 2019 3.01% 1.83% $103,620 $56,269 VOO
Nov, 2019 3.62% 2.18% $100,596 $55,257 VOO
Oct, 2019 2.15% 1.28% $97,082 $54,080 VOO
Sep, 2019 1.86% 1.18% $95,034 $53,394 VOO
Aug, 2019 -1.59% -1.02% $93,299 $52,773 VOO
Jul, 2019 1.43% 1.40% $94,808 $53,318 VOO
Jun, 2019 1.36% 0.80% $93,475 $52,584 AGG
May, 2019 -6.36% -4.13% $92,225 $52,165 VOO
Apr, 2019 4.04% 2.41% $98,493 $54,413 VOO
Mar, 2019 1.94% 1.61% $94,668 $53,132 VOO
Feb, 2019 -0.00% -0.00% $92,869 $52,292 AGG
Jan, 2019 1.12% 0.67% $92,873 $52,294 AGG
Dec, 2018 -9.04% -8.83% $91,841 $51,948 VOO
Nov, 2018 0.57% 0.71% $100,969 $56,978 AGG
Oct, 2018 -6.85% -4.19% $100,392 $56,578 VOO
Sep, 2018 0.55% 0.34% $107,774 $59,049 VOO
Aug, 2018 3.25% 1.95% $107,180 $58,850 VOO
Jul, 2018 3.71% 2.20% $103,810 $57,722 VOO
Jun, 2018 0.61% 0.36% $100,097 $56,479 VOO
May, 2018 -1.92% -1.59% $99,495 $56,277 VEU
Apr, 2018 0.83% 0.49% $101,439 $57,185 VEU
Mar, 2018 -2.55% 1.84% $100,606 $56,906 VOO
Feb, 2018 -5.14% -3.24% $103,240 $55,879 VEU
Jan, 2018 5.59% -0.00% $108,834 $57,752 VEU
Dec, 2017 2.07% 1.27% $103,070 $57,754 VEU
Nov, 2017 0.73% 0.44% $100,982 $57,030 VEU
Oct, 2017 1.94% 1.17% $100,254 $56,778 VEU
Sep, 2017 1.81% 1.09% $98,351 $56,119 VEU
Aug, 2017 0.64% 0.38% $96,605 $55,514 VEU
Jul, 2017 3.42% 2.03% $95,992 $55,302 VEU
Jun, 2017 0.52% 4.43% $92,818 $54,202 VEU
May, 2017 1.39% 1.10% $92,334 $51,904 VOO
Apr, 2017 1.02% 0.80% $91,065 $51,338 VOO
Mar, 2017 0.10% 2.69% $90,147 $50,928 VOO
Feb, 2017 3.96% 2.46% $90,057 $49,593 VOO
Jan, 2017 1.88% -0.08% $86,624 $48,404 VOO
Dec, 2016 1.96% 1.20% $85,023 $48,440 VOO
Nov, 2016 3.70% 2.23% $83,386 $47,867 VOO
Oct, 2016 -1.83% -1.11% $80,412 $46,823 VOO
Sep, 2016 0.01% 0.00% $81,913 $47,350 VOO
Aug, 2016 0.13% 0.08% $81,907 $47,348 VOO
Jul, 2016 3.68% 2.20% $81,801 $47,310 VOO
Jun, 2016 0.25% 0.15% $78,900 $46,293 VOO
May, 2016 1.78% 1.06% $78,703 $46,224 VOO
Apr, 2016 0.37% 1.62% $77,325 $45,741 VOO
Mar, 2016 1.00% 0.60% $77,037 $45,013 AGG
Feb, 2016 0.73% 0.44% $76,275 $44,746 AGG
Jan, 2016 1.72% -4.62% $75,721 $44,552 AGG
Dec, 2015 -1.59% -1.48% $74,444 $46,708 VOO
Nov, 2015 0.29% 0.59% $75,649 $47,409 VOO
Oct, 2015 -0.05% -0.03% $75,433 $47,132 AGG
Sep, 2015 1.08% 6.75% $75,474 $47,147 AGG
Aug, 2015 -6.04% -4.94% $74,664 $44,164 VOO
Jul, 2015 2.08% 1.69% $79,465 $46,459 VOO
Jun, 2015 -1.93% -1.58% $77,846 $45,685 VOO
May, 2015 1.27% 1.04% $79,380 $46,419 VOO
Apr, 2015 0.95% 0.77% $78,383 $45,942 VOO
Mar, 2015 -1.59% -1.30% $77,646 $45,590 VOO
Feb, 2015 5.73% 4.63% $78,903 $46,191 VOO
Jan, 2015 -3.01% -2.45% $74,624 $44,145 VOO
Dec, 2014 -0.26% -0.21% $76,942 $45,253 VOO
Nov, 2014 2.68% 2.17% $77,146 $45,351 VOO
Oct, 2014 2.42% 1.95% $75,131 $44,387 VOO
Sep, 2014 -1.42% -1.15% $73,353 $43,537 VOO
Aug, 2014 3.99% 3.20% $74,408 $44,042 VOO
Jul, 2014 -1.39% -1.12% $71,555 $42,678 VOO
Jun, 2014 2.05% 1.64% $72,562 $43,159 VOO
May, 2014 2.33% 1.86% $71,103 $42,462 VOO
Apr, 2014 0.72% 0.58% $69,481 $41,686 VOO
Mar, 2014 0.82% 3.80% $68,981 $41,447 VOO
Feb, 2014 4.56% 2.86% $68,418 $39,928 VOO
Jan, 2014 -3.47% -4.51% $65,434 $38,820 VOO
Dec, 2013 2.51% 1.58% $67,785 $40,652 VOO
Nov, 2013 3.03% 1.88% $66,123 $40,019 VOO
Oct, 2013 4.59% 2.80% $64,179 $39,280 VOO
Sep, 2013 3.12% 1.88% $61,365 $38,209 VOO
Aug, 2013 -2.91% -1.78% $59,507 $37,503 VOO
Jul, 2013 5.07% 3.04% $61,292 $38,182 VOO
Jun, 2013 -1.35% -0.81% $58,333 $37,056 VOO
May, 2013 2.33% 1.39% $59,132 $37,360 VOO
Apr, 2013 1.91% 3.96% $57,787 $36,848 VOO
Mar, 2013 0.77% 0.46% $56,704 $35,445 VEU
Feb, 2013 -1.23% -0.75% $56,273 $35,281 VEU
Jan, 2013 3.34% -2.97% $56,973 $35,547 VEU
Dec, 2012 4.17% 8.16% $55,132 $36,636 VEU
Nov, 2012 0.56% 0.35% $52,924 $33,874 VOO
Oct, 2012 -1.86% -1.17% $52,629 $33,756 VOO
Sep, 2012 2.58% 1.60% $53,626 $34,155 VOO
Aug, 2012 2.24% 1.38% $52,279 $33,616 VOO
Jul, 2012 1.37% 0.84% $51,134 $33,158 VOO
Jun, 2012 4.11% 2.48% $50,443 $32,882 VOO
May, 2012 -6.02% -3.72% $48,452 $32,085 VOO
Apr, 2012 -0.64% -0.40% $51,555 $33,326 VOO
Mar, 2012 3.28% 2.01% $51,886 $33,459 VOO
Feb, 2012 4.31% 2.59% $50,238 $32,799 VOO
Jan, 2012 4.46% 1.57% $48,164 $31,970 VOO
Dec, 2011 1.48% 0.87% $46,105 $31,476 AGG
Nov, 2011 -0.62% -0.37% $45,435 $31,203 AGG
Oct, 2011 0.51% 0.30% $45,719 $31,319 AGG
Sep, 2011 0.19% 0.11% $45,485 $31,224 AGG
Aug, 2011 -5.45% -5.45% $45,398 $31,189 VOO
Jul, 2011 -2.05% -2.05% $48,013 $32,985 VOO
Jun, 2011 -1.67% -1.67% $49,017 $33,674 VOO
May, 2011 -2.87% 3.01% $49,850 $34,247 VEU
Apr, 2011 2.95% 1.83% $51,323 $33,245 VOO
Mar, 2011 0.03% 0.02% $49,853 $32,647 VOO
Feb, 2011 3.42% 2.09% $49,840 $32,642 VOO
Jan, 2011 2.36% -5.07% $48,194 $31,973 VOO
Dec, 2010 6.67% 3.95% $47,084 $33,680 VOO
Nov, 2010 -4.52% -3.17% $44,139 $32,400 VEU
Oct, 2010 3.55% 4.64% $46,230 $33,460 VEU
Sep, 2010 0.61% 0.37% $44,647 $31,978 AGG
Aug, 2010 1.98% 1.19% $44,375 $31,860 AGG
Jul, 2010 1.54% 0.92% $43,512 $31,485 AGG
Jun, 2010 2.04% 1.21% $42,853 $31,199 AGG
May, 2010 -8.00% -5.24% $41,994 $30,826 VOO
Apr, 2010 1.58% 0.96% $45,644 $32,529 VOO
Mar, 2010 6.01% 9.70% $44,935 $32,221 VOO
Feb, 2010 0.22% 0.14% $42,386 $29,371 VEU
Jan, 2010 -5.07% -4.29% $42,293 $29,331 VEU
Dec, 2009 1.53% 0.97% $44,550 $30,646 VEU
Nov, 2009 3.86% 2.42% $43,877 $30,350 VEU
Oct, 2009 -2.17% -1.37% $42,247 $29,634 VEU
Sep, 2009 5.15% 3.19% $43,183 $30,045 VEU
Aug, 2009 3.50% 2.14% $41,069 $29,116 VEU
Jul, 2009 9.96% 6.44% $39,680 $28,506 VEU
Jun, 2009 -1.32% -0.06% $36,086 $26,781 VEU
May, 2009 1.10% 0.66% $36,570 $26,797 AGG
Apr, 2009 0.33% 0.20% $36,170 $26,622 AGG
Mar, 2009 2.10% 1.39% $36,050 $26,569 AGG
Feb, 2009 -1.06% -0.78% $35,310 $26,204 AGG
Jan, 2009 -1.03% -13.06% $35,690 $26,411 AGG
Dec, 2008 4.18% 3.45% $36,061 $30,377 AGG
Nov, 2008 3.83% 3.83% $34,615 $29,365 AGG
Oct, 2008 -4.04% -4.04% $33,338 $28,282 AGG
Sep, 2008 -2.65% -2.37% $34,742 $29,473 AGG
Aug, 2008 0.67% 0.40% $35,689 $30,190 AGG
Jul, 2008 0.04% 0.02% $35,452 $30,071 AGG
Jun, 2008 -8.99% -8.43% $35,439 $30,065 VEU
May, 2008 1.51% 0.90% $38,939 $32,833 VEU
Apr, 2008 -1.27% -0.87% $38,359 $32,542 AGG
Mar, 2008 0.18% 0.11% $38,852 $32,826 AGG
Feb, 2008 0.83% 16.16% $38,783 $32,791 AGG
Jan, 2008 -8.55% -7.61% $38,464 $28,229 VEU
Dec, 2007 -2.28% -2.04% $42,059 $30,553 VEU
Nov, 2007 -4.57% -4.10% $43,042 $31,189 VEU
Oct, 2007 5.90% 5.26% $45,103 $32,521 VEU
Sep, 2007 6.38% 5.65% $42,589 $30,896 VEU
Aug, 2007 -0.72% -0.63% $40,034 $29,244 VEU
Jul, 2007 -1.06% -0.94% $40,323 $29,431 VEU
Jun, 2007 0.61% 0.54% $40,755 $29,710 VEU
May, 2007 3.09% 2.73% $40,508 $29,551 VEU
Apr, 2007 3.92% 3.45% $39,292 $28,765 VEU
Mar, 2007 2.80% 2.45% $37,809 $27,806 VEU
Feb, 2007 0.06% 0.05% $36,779 $27,140 VEU
Jan, 2007 0.96% 0.84% $36,758 $27,126 VEU
Dec, 2006 3.09% 2.69% $36,408 $26,900 VEU
Nov, 2006 3.73% 3.23% $35,318 $26,195 VEU
Oct, 2006 4.00% 3.45% $34,048 $25,375 VEU
Sep, 2006 0.25% 0.21% $32,739 $24,528 VEU
Aug, 2006 2.53% 2.17% $32,658 $24,476 VEU
Jul, 2006 1.15% 0.99% $31,852 $23,955 VEU
Jun, 2006 -0.38% -0.33% $31,490 $23,721 VEU
May, 2006 -4.45% -3.84% $31,611 $23,799 VEU
Apr, 2006 5.12% 4.39% $33,081 $24,750 VEU
Mar, 2006 3.17% 2.71% $31,469 $23,708 VEU
Feb, 2006 -0.72% -0.62% $30,502 $23,083 VEU
Jan, 2006 6.87% 5.81% $30,724 $23,226 VEU
Dec, 2005 5.14% 4.32% $28,750 $21,949 VEU
Nov, 2005 2.67% 2.23% $27,344 $21,041 VEU
Oct, 2005 -3.37% -2.83% $26,633 $20,581 VEU
Sep, 2005 4.73% 3.95% $27,561 $21,181 VEU
Aug, 2005 2.85% 2.37% $26,317 $20,377 VEU
Jul, 2005 3.68% 3.04% $25,587 $19,905 VEU
Jun, 2005 1.30% 1.07% $24,679 $19,318 VEU
May, 2005 0.08% 0.07% $24,363 $19,114 VEU
Apr, 2005 -2.07% -1.71% $24,343 $19,101 VEU
Mar, 2005 -2.93% -2.43% $24,856 $19,433 VEU
Feb, 2005 4.68% 3.86% $25,607 $19,918 VEU
Jan, 2005 -1.67% -1.38% $24,461 $19,177 VEU
Dec, 2004 4.44% 3.65% $24,876 $19,445 VEU
Nov, 2004 7.23% 5.86% $23,818 $18,761 VEU
Oct, 2004 3.24% 2.61% $22,212 $17,723 VEU
Sep, 2004 2.96% 2.37% $21,515 $17,273 VEU
Aug, 2004 0.75% 0.60% $20,896 $16,873 VEU
Jul, 2004 -3.34% 1.38% $20,741 $16,772 VEU
Jun, 2004 2.40% 1.55% $21,457 $16,544 VEU
May, 2004 0.46% 0.30% $20,954 $16,291 VEU
Apr, 2004 -3.14% -2.05% $20,857 $16,243 VEU
Mar, 2004 0.45% 0.29% $21,534 $16,583 VEU
Feb, 2004 2.50% 1.61% $21,438 $16,534 VEU
Jan, 2004 1.60% -1.50% $20,915 $16,272 VEU
Dec, 2003 7.80% 4.87% $20,586 $16,519 VEU
Nov, 2003 2.13% 1.32% $19,096 $15,752 VEU
Oct, 2003 6.49% 3.93% $18,697 $15,546 VEU
Sep, 2003 2.78% 1.66% $17,557 $14,959 VEU
Aug, 2003 2.51% 4.82% $17,082 $14,714 VEU
Jul, 2003 1.74% 1.06% $16,664 $14,038 VOO
Jun, 2003 1.26% 0.76% $16,378 $13,891 VOO
May, 2003 5.26% 6.11% $16,175 $13,786 VOO
Apr, 2003 0.69% 0.42% $15,366 $12,992 AGG
Mar, 2003 -0.29% -0.18% $15,260 $12,937 AGG
Feb, 2003 1.80% 1.09% $15,305 $12,960 AGG
Jan, 2003 -0.27% -0.16% $15,035 $12,821 AGG
Dec, 2002 1.88% 1.13% $15,075 $12,842 AGG
Nov, 2002 -0.69% -0.42% $14,797 $12,699 AGG
Oct, 2002 -0.86% -0.52% $14,900 $12,752 AGG
Sep, 2002 2.70% 1.61% $15,030 $12,819 AGG
Aug, 2002 2.33% 1.38% $14,635 $12,615 AGG
Jul, 2002 -9.80% -9.80% $14,302 $12,444 VEU
Jun, 2002 -4.28% -3.83% $15,856 $13,796 VEU
May, 2002 1.16% 0.69% $16,565 $14,345 VEU
Apr, 2002 -6.07% -3.37% $16,375 $14,247 VOO
Mar, 2002 -2.06% -1.62% $17,434 $14,744 AGG
Feb, 2002 1.42% 1.12% $17,801 $14,988 AGG
Jan, 2002 0.38% 0.30% $17,551 $14,822 AGG
Dec, 2001 -1.02% -0.80% $17,485 $14,778 AGG
Nov, 2001 -1.81% -1.43% $17,664 $14,897 AGG
Oct, 2001 2.13% 3.98% $17,990 $15,113 AGG
Sep, 2001 1.57% 0.97% $17,615 $14,534 AGG
Aug, 2001 1.19% 0.73% $17,343 $14,394 AGG
Jul, 2001 2.84% 1.74% $17,139 $14,289 AGG
Jun, 2001 0.42% 0.26% $16,665 $14,045 AGG
May, 2001 0.50% 0.30% $16,595 $14,009 AGG
Apr, 2001 -0.75% -0.46% $16,513 $13,967 AGG
Mar, 2001 0.30% 0.19% $16,638 $14,031 AGG
Feb, 2001 1.25% 0.76% $16,587 $14,005 AGG
Jan, 2001 1.65% -1.78% $16,382 $13,899 AGG
Dec, 2000 2.31% 1.38% $16,117 $14,151 AGG
Nov, 2000 1.96% 1.17% $15,754 $13,958 AGG
Oct, 2000 0.43% 0.49% $15,450 $13,798 AGG
Sep, 2000 -5.29% -3.21% $15,384 $13,730 VOO
Aug, 2000 6.19% 3.66% $16,243 $14,185 VOO
Jul, 2000 -4.46% -3.51% $15,296 $13,684 VEU
Jun, 2000 2.49% 5.15% $16,011 $14,181 VOO
May, 2000 -2.67% -1.66% $15,622 $13,487 VEU
Apr, 2000 -5.41% -3.42% $16,051 $13,714 VEU
Mar, 2000 3.48% 2.17% $16,969 $14,200 VEU
Feb, 2000 2.83% 1.75% $16,398 $13,898 VEU
Jan, 2000 -6.22% -10.16% $15,947 $13,659 VEU
Dec, 1999 9.37% 5.74% $17,004 $15,203 VEU
Nov, 1999 4.08% 2.46% $15,547 $14,377 VEU
Oct, 1999 3.74% 2.22% $14,938 $14,033 VEU
Sep, 1999 0.82% 8.31% $14,400 $13,728 VEU
Aug, 1999 -0.50% -0.32% $14,283 $12,674 VOO
Jul, 1999 -3.13% -2.02% $14,354 $12,715 VOO
Jun, 1999 5.56% 3.52% $14,818 $12,977 VOO
May, 1999 -2.39% -1.53% $14,038 $12,536 VOO
Apr, 1999 3.85% 2.43% $14,381 $12,730 VOO
Mar, 1999 4.00% 2.48% $13,848 $12,428 VOO
Feb, 1999 -3.12% -1.97% $13,316 $12,127 VOO
Jan, 1999 4.20% -1.86% $13,745 $12,370 VOO
Dec, 1998 5.81% 3.52% $13,191 $12,604 VOO
Nov, 1998 6.07% 4.53% $12,467 $12,176 VOO
Oct, 1998 -1.12% -0.67% $11,753 $11,648 AGG
Sep, 1998 3.40% 6.58% $11,887 $11,727 AGG
Aug, 1998 -14.47% -11.87% $11,495 $11,003 VOO
Jul, 1998 -1.05% -0.87% $13,441 $12,485 VOO
Jun, 1998 4.07% 3.32% $13,584 $12,594 VOO
May, 1998 -1.74% -1.43% $13,053 $12,189 VOO
Apr, 1998 1.01% 6.31% $13,284 $12,366 VOO
Mar, 1998 5.10% 3.36% $13,152 $11,631 VOO
Feb, 1998 7.19% 4.62% $12,513 $11,253 VOO
Jan, 1998 1.11% 0.71% $11,673 $10,756 VOO
Dec, 1997 1.73% 1.10% $11,545 $10,680 VOO
Nov, 1997 4.60% 2.88% $11,349 $10,564 VOO
Oct, 1997 -3.35% -2.12% $10,850 $10,269 VOO
Sep, 1997 5.47% 3.40% $11,227 $10,492 VOO
Aug, 1997 -5.61% -3.56% $10,644 $10,147 VOO
Jul, 1997 7.97% 4.91% $11,277 $10,522 VOO
Jun, 1997 4.45% 2.70% $10,445 $10,029 VOO
May, 1997 - - $10,000 $9,765 VOO

About This Strategy

Logic:

  • Compute the 12-month return for VOO (US S&P 500) and VEU (international equity ex-US), and the 12-month rolling return on 3-month T-bills (FRED DGS3MO).
  • An equity sleeve is "passing" if its 12-month ROC is above the T-bill hurdle.
  • Both passing → hold the one with the higher 12-month ROC.
  • One passing → hold that one.
  • Neither passing → hold AGG (US aggregate bonds) as the defensive sleeve.

Rebalance: Monthly on the last trading day.

Historical proxy splices: VOO is extended back through VFINX (pre-2010-09-09); VEU through VWIGX (pre-1996-04-29) and VGTSX (1996-04-29 → 2007-03-07); AGG through VBMFX (pre-2003-09-22). These splices extend the backtest series back to 1986 without distorting returns — scaling factors are applied so the synthetic price chain is continuous at each transition.