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Faber Tactical Asset Allocation w/ Relative Strength



Updated 3 days, 1 hour ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $479,694.40
CAGR % 7.22%
Max % Drawdown (40.14%)
Standard Deviation 3.93%
Annualized Sharpe 0.36
Win Rate % 42.1%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.84
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Updated 3 days, 1 hour ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $344,962.63
CAGR % 5.66%
Max % Drawdown (45.68%)
Standard Deviation 3.84%
Annualized Sharpe 0.26
Win Rate % 34.8%
Longest Drawdown 129.8 months
Avg Trades Per Year 1.02
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Updated 3 days, 1 hour ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $216,586.91
CAGR % 3.50%
Max % Drawdown (12.57%)
Standard Deviation 1.59%
Annualized Sharpe 0.11
Win Rate % 50.0%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.89
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Updated 3 days, 1 hour ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $226,486.46
CAGR % 3.70%
Max % Drawdown (26.03%)
Standard Deviation 3.00%
Annualized Sharpe 0.12
Win Rate % 47.8%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.02
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Updated 3 days, 1 hour ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $189,939.19
CAGR % 2.89%
Max % Drawdown (6.83%)
Standard Deviation 0.94%
Annualized Sharpe (0.02)
Win Rate % 40.0%
Longest Drawdown 44.6 months
Avg Trades Per Year 0.89
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Updated 3 days, 1 hour ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $746,474.28
CAGR % 9.35%
Max % Drawdown (26.38%)
Standard Deviation 3.69%
Annualized Sharpe 0.53
Win Rate % 56.2%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.71
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Updated 3 days, 1 hour ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,062,679.70
CAGR % 11.08%
Max % Drawdown (30.37%)
Standard Deviation 3.86%
Annualized Sharpe 0.63
Win Rate % 50.0%
Longest Drawdown 36.6 months
Avg Trades Per Year 0.62
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Updated 3 days, 1 hour ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,894,754.83
CAGR % 13.97%
Max % Drawdown (30.02%)
Standard Deviation 4.86%
Annualized Sharpe 0.68
Win Rate % 68.8%
Longest Drawdown 33.5 months
Avg Trades Per Year 0.71
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Updated 3 days, 1 hour ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,211,513.44
CAGR % 14.76%
Max % Drawdown (23.71%)
Standard Deviation 4.30%
Annualized Sharpe 0.80
Win Rate % 66.7%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.67
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Updated 3 days, 1 hour ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $207,824.52
CAGR % 3.31%
Max % Drawdown (7.81%)
Standard Deviation 0.99%
Annualized Sharpe 0.10
Win Rate % 75.0%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.71
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Updated 3 days, 1 hour ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $16,222,370.19
CAGR % 10.83%
Max % Drawdown (40.19%)
Standard Deviation 4.54%
Annualized Sharpe 0.55
Win Rate % 52.5%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.81
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Updated 3 days, 1 hour ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $6,839,691.35
CAGR % 8.91%
Max % Drawdown (45.73%)
Standard Deviation 4.65%
Annualized Sharpe 0.42
Win Rate % 35.6%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.91
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Updated 3 days, 1 hour ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,606,438.13
CAGR % 6.81%
Max % Drawdown (13.99%)
Standard Deviation 2.00%
Annualized Sharpe 0.56
Win Rate % 47.4%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.77
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Updated 3 days, 1 hour ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,271,706.54
CAGR % 7.88%
Max % Drawdown (26.75%)
Standard Deviation 3.56%
Annualized Sharpe 0.44
Win Rate % 47.6%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.85
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Updated 3 days, 1 hour ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,533,514.04
CAGR % 5.67%
Max % Drawdown (10.96%)
Standard Deviation 1.36%
Annualized Sharpe 0.57
Win Rate % 45.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.75
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Updated 3 days, 1 hour ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $41,934,428.18
CAGR % 12.98%
Max % Drawdown (38.91%)
Standard Deviation 4.34%
Annualized Sharpe 0.69
Win Rate % 62.2%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.75
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Updated 3 days, 1 hour ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $39,654,410.07
CAGR % 12.85%
Max % Drawdown (30.37%)
Standard Deviation 3.80%
Annualized Sharpe 0.76
Win Rate % 52.8%
Longest Drawdown 36.6 months
Avg Trades Per Year 0.73
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Updated 3 days, 1 hour ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $429,410,772.43
CAGR % 18.41%
Max % Drawdown (37.53%)
Standard Deviation 5.12%
Annualized Sharpe 0.88
Win Rate % 71.0%
Longest Drawdown 50.9 months
Avg Trades Per Year 0.63
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Updated 3 days, 1 hour ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $300,545,202.36
CAGR % 17.56%
Max % Drawdown (30.14%)
Standard Deviation 4.49%
Annualized Sharpe 0.93
Win Rate % 71.9%
Longest Drawdown 42.3 months
Avg Trades Per Year 0.65
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Updated 3 days, 1 hour ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-07-01
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,090,855.28
CAGR % 7.18%
Max % Drawdown (7.81%)
Standard Deviation 1.44%
Annualized Sharpe 0.82
Win Rate % 78.6%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.57
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