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Faber Tactical Asset Allocation w/ Relative Strength



Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $378,918.64
CAGR % 6.75%
Max % Drawdown (40.14%)
Standard Deviation 3.99%
Annualized Sharpe 0.33
Win Rate % 41.2%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.83
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $418,851.56
CAGR % 7.28%
Max % Drawdown (45.68%)
Standard Deviation 3.86%
Annualized Sharpe 0.37
Win Rate % 35.3%
Longest Drawdown 104.5 months
Avg Trades Per Year 0.83
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $227,464.60
CAGR % 4.11%
Max % Drawdown (12.57%)
Standard Deviation 1.65%
Annualized Sharpe 0.22
Win Rate % 52.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.83
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $240,343.95
CAGR % 4.40%
Max % Drawdown (26.03%)
Standard Deviation 3.11%
Annualized Sharpe 0.18
Win Rate % 47.6%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.03
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $190,293.01
CAGR % 3.21%
Max % Drawdown (6.83%)
Standard Deviation 0.98%
Annualized Sharpe 0.07
Win Rate % 38.9%
Longest Drawdown 44.6 months
Avg Trades Per Year 0.88
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $543,686.84
CAGR % 8.66%
Max % Drawdown (26.56%)
Standard Deviation 3.65%
Annualized Sharpe 0.49
Win Rate % 53.3%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.74
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $654,525.13
CAGR % 9.66%
Max % Drawdown (30.90%)
Standard Deviation 3.57%
Annualized Sharpe 0.57
Win Rate % 46.2%
Longest Drawdown 28.6 months
Avg Trades Per Year 0.64
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $801,734.66
CAGR % 10.75%
Max % Drawdown (30.33%)
Standard Deviation 4.56%
Annualized Sharpe 0.54
Win Rate % 62.5%
Longest Drawdown 38.9 months
Avg Trades Per Year 0.78
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,004,966.93
CAGR % 11.99%
Max % Drawdown (23.96%)
Standard Deviation 3.95%
Annualized Sharpe 0.68
Win Rate % 64.3%
Longest Drawdown 31.7 months
Avg Trades Per Year 0.69
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $216,430.28
CAGR % 3.86%
Max % Drawdown (6.34%)
Standard Deviation 0.97%
Annualized Sharpe 0.26
Win Rate % 85.7%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.69
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $12,813,448.59
CAGR % 10.78%
Max % Drawdown (40.19%)
Standard Deviation 4.59%
Annualized Sharpe 0.54
Win Rate % 52.6%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.80
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $8,308,086.16
CAGR % 9.78%
Max % Drawdown (45.73%)
Standard Deviation 4.68%
Annualized Sharpe 0.47
Win Rate % 35.9%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.82
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,742,520.30
CAGR % 7.24%
Max % Drawdown (13.99%)
Standard Deviation 2.03%
Annualized Sharpe 0.61
Win Rate % 48.6%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,539,500.54
CAGR % 8.38%
Max % Drawdown (26.75%)
Standard Deviation 3.62%
Annualized Sharpe 0.47
Win Rate % 47.5%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.84
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,536,583.16
CAGR % 5.93%
Max % Drawdown (10.96%)
Standard Deviation 1.38%
Annualized Sharpe 0.61
Win Rate % 45.7%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $30,729,599.92
CAGR % 12.85%
Max % Drawdown (38.92%)
Standard Deviation 4.35%
Annualized Sharpe 0.69
Win Rate % 61.1%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.76
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $20,052,105.55
CAGR % 11.84%
Max % Drawdown (30.90%)
Standard Deviation 3.71%
Annualized Sharpe 0.71
Win Rate % 51.4%
Longest Drawdown 30.4 months
Avg Trades Per Year 0.74
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $177,708,788.42
CAGR % 17.11%
Max % Drawdown (37.55%)
Standard Deviation 5.02%
Annualized Sharpe 0.83
Win Rate % 65.6%
Longest Drawdown 52.7 months
Avg Trades Per Year 0.68
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $144,656,564.60
CAGR % 16.60%
Max % Drawdown (30.28%)
Standard Deviation 4.37%
Annualized Sharpe 0.90
Win Rate % 71.0%
Longest Drawdown 42.2 months
Avg Trades Per Year 0.65
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,218,846.18
CAGR % 7.60%
Max % Drawdown (6.34%)
Standard Deviation 1.44%
Annualized Sharpe 0.90
Win Rate % 84.6%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.55
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