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Faber Tactical Asset Allocation w/ Relative Strength



Updated 6 days, 22 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $382,411.52
CAGR % 7.08%
Max % Drawdown (40.14%)
Standard Deviation 4.01%
Annualized Sharpe 0.35
Win Rate % 46.7%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.76
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Updated 6 days, 22 hours ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $365,299.88
CAGR % 6.83%
Max % Drawdown (45.68%)
Standard Deviation 3.88%
Annualized Sharpe 0.34
Win Rate % 35.3%
Longest Drawdown 95.3 months
Avg Trades Per Year 0.87
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Updated 6 days, 22 hours ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $211,973.60
CAGR % 3.90%
Max % Drawdown (12.57%)
Standard Deviation 1.65%
Annualized Sharpe 0.18
Win Rate % 52.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.87
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Updated 6 days, 22 hours ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $215,847.15
CAGR % 4.00%
Max % Drawdown (26.03%)
Standard Deviation 3.10%
Annualized Sharpe 0.14
Win Rate % 47.6%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.07
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Updated 6 days, 22 hours ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $180,834.53
CAGR % 3.07%
Max % Drawdown (6.83%)
Standard Deviation 0.98%
Annualized Sharpe 0.03
Win Rate % 38.9%
Longest Drawdown 44.6 months
Avg Trades Per Year 0.92
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Updated 6 days, 22 hours ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $546,524.38
CAGR % 9.04%
Max % Drawdown (26.56%)
Standard Deviation 3.68%
Annualized Sharpe 0.51
Win Rate % 57.1%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.71
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Updated 6 days, 22 hours ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $713,197.14
CAGR % 10.53%
Max % Drawdown (26.19%)
Standard Deviation 3.51%
Annualized Sharpe 0.64
Win Rate % 54.5%
Longest Drawdown 28.6 months
Avg Trades Per Year 0.56
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Updated 6 days, 22 hours ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $877,635.40
CAGR % 11.71%
Max % Drawdown (30.07%)
Standard Deviation 4.62%
Annualized Sharpe 0.59
Win Rate % 73.3%
Longest Drawdown 38.9 months
Avg Trades Per Year 0.76
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Updated 6 days, 22 hours ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,122,583.36
CAGR % 13.12%
Max % Drawdown (23.94%)
Standard Deviation 3.96%
Annualized Sharpe 0.75
Win Rate % 69.2%
Longest Drawdown 31.7 months
Avg Trades Per Year 0.66
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Updated 6 days, 22 hours ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $228,847.19
CAGR % 4.31%
Max % Drawdown (5.60%)
Standard Deviation 0.94%
Annualized Sharpe 0.40
Win Rate % 84.6%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.66
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Updated 6 days, 22 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $12,931,898.56
CAGR % 10.99%
Max % Drawdown (40.19%)
Standard Deviation 4.60%
Annualized Sharpe 0.55
Win Rate % 55.6%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.77
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Updated 6 days, 22 hours ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $7,240,342.66
CAGR % 9.62%
Max % Drawdown (45.73%)
Standard Deviation 4.70%
Annualized Sharpe 0.46
Win Rate % 35.9%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.84
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Updated 6 days, 22 hours ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,551,061.21
CAGR % 7.19%
Max % Drawdown (13.99%)
Standard Deviation 2.04%
Annualized Sharpe 0.60
Win Rate % 48.6%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.75
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Updated 6 days, 22 hours ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,070,933.20
CAGR % 8.27%
Max % Drawdown (26.75%)
Standard Deviation 3.62%
Annualized Sharpe 0.46
Win Rate % 47.5%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.86
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Updated 6 days, 22 hours ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,458,301.12
CAGR % 5.92%
Max % Drawdown (10.96%)
Standard Deviation 1.39%
Annualized Sharpe 0.61
Win Rate % 45.7%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.75
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Updated 6 days, 22 hours ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $30,891,467.32
CAGR % 13.08%
Max % Drawdown (38.92%)
Standard Deviation 4.37%
Annualized Sharpe 0.70
Win Rate % 62.9%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.75
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Updated 6 days, 22 hours ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $21,849,786.68
CAGR % 12.25%
Max % Drawdown (27.26%)
Standard Deviation 3.68%
Annualized Sharpe 0.74
Win Rate % 54.5%
Longest Drawdown 30.4 months
Avg Trades Per Year 0.71
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Updated 6 days, 22 hours ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $196,324,192.04
CAGR % 17.66%
Max % Drawdown (37.55%)
Standard Deviation 5.05%
Annualized Sharpe 0.85
Win Rate % 71.0%
Longest Drawdown 52.7 months
Avg Trades Per Year 0.66
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Updated 6 days, 22 hours ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $181,818,902.11
CAGR % 17.47%
Max % Drawdown (30.28%)
Standard Deviation 4.38%
Annualized Sharpe 0.95
Win Rate % 72.4%
Longest Drawdown 42.2 months
Avg Trades Per Year 0.62
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Updated 6 days, 22 hours ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,403,520.11
CAGR % 7.86%
Max % Drawdown (6.14%)
Standard Deviation 1.44%
Annualized Sharpe 0.95
Win Rate % 84.0%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.54
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