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Faber Tactical Asset Allocation w/ Relative Strength



Updated 7 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $533,825.14
CAGR % 8.13%
Max % Drawdown (40.14%)
Standard Deviation 3.99%
Annualized Sharpe 0.42
Win Rate % 41.2%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.79
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $398,996.51
CAGR % 6.67%
Max % Drawdown (45.68%)
Standard Deviation 3.88%
Annualized Sharpe 0.33
Win Rate % 36.8%
Longest Drawdown 117.1 months
Avg Trades Per Year 0.89
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $225,194.73
CAGR % 3.86%
Max % Drawdown (12.57%)
Standard Deviation 1.62%
Annualized Sharpe 0.17
Win Rate % 55.6%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.84
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $233,002.29
CAGR % 4.03%
Max % Drawdown (26.03%)
Standard Deviation 3.06%
Annualized Sharpe 0.14
Win Rate % 50.0%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.03
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $190,509.00
CAGR % 3.05%
Max % Drawdown (6.83%)
Standard Deviation 0.96%
Annualized Sharpe 0.03
Win Rate % 42.1%
Longest Drawdown 44.6 months
Avg Trades Per Year 0.89
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $791,393.27
CAGR % 10.13%
Max % Drawdown (26.56%)
Standard Deviation 3.69%
Annualized Sharpe 0.59
Win Rate % 53.3%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.70
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,109,694.51
CAGR % 11.88%
Max % Drawdown (30.41%)
Standard Deviation 3.79%
Annualized Sharpe 0.69
Win Rate % 42.9%
Longest Drawdown 36.5 months
Avg Trades Per Year 0.65
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,648,447.85
CAGR % 13.97%
Max % Drawdown (30.25%)
Standard Deviation 4.90%
Annualized Sharpe 0.68
Win Rate % 64.7%
Longest Drawdown 37.2 months
Avg Trades Per Year 0.79
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,341,423.44
CAGR % 15.85%
Max % Drawdown (23.76%)
Standard Deviation 4.34%
Annualized Sharpe 0.86
Win Rate % 69.2%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.61
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Period 2000-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $209,513.26
CAGR % 3.51%
Max % Drawdown (7.75%)
Standard Deviation 1.01%
Annualized Sharpe 0.16
Win Rate % 80.0%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.70
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Updated 7 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $18,055,408.26
CAGR % 11.32%
Max % Drawdown (40.19%)
Standard Deviation 4.57%
Annualized Sharpe 0.57
Win Rate % 52.6%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.78
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $7,914,189.16
CAGR % 9.44%
Max % Drawdown (45.73%)
Standard Deviation 4.68%
Annualized Sharpe 0.45
Win Rate % 36.6%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.85
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,714,399.07
CAGR % 7.05%
Max % Drawdown (13.99%)
Standard Deviation 2.01%
Annualized Sharpe 0.59
Win Rate % 50.0%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,398,960.10
CAGR % 8.12%
Max % Drawdown (26.75%)
Standard Deviation 3.59%
Annualized Sharpe 0.45
Win Rate % 48.8%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.85
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,538,385.10
CAGR % 5.80%
Max % Drawdown (10.96%)
Standard Deviation 1.37%
Annualized Sharpe 0.59
Win Rate % 47.2%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $44,774,728.46
CAGR % 13.43%
Max % Drawdown (38.92%)
Standard Deviation 4.35%
Annualized Sharpe 0.72
Win Rate % 61.1%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $39,227,181.22
CAGR % 13.12%
Max % Drawdown (30.41%)
Standard Deviation 3.78%
Annualized Sharpe 0.78
Win Rate % 50.0%
Longest Drawdown 36.5 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $363,899,498.11
CAGR % 18.44%
Max % Drawdown (37.55%)
Standard Deviation 5.14%
Annualized Sharpe 0.88
Win Rate % 66.7%
Longest Drawdown 52.7 months
Avg Trades Per Year 0.68
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $323,231,543.58
CAGR % 18.15%
Max % Drawdown (30.27%)
Standard Deviation 4.51%
Annualized Sharpe 0.96
Win Rate % 73.3%
Longest Drawdown 42.3 months
Avg Trades Per Year 0.62
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Period 1973-01-01 — 2021-06-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,115,971.86
CAGR % 7.36%
Max % Drawdown (7.75%)
Standard Deviation 1.45%
Annualized Sharpe 0.85
Win Rate % 81.5%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.56
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