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Faber Tactical Asset Allocation w/ Relative Strength



Updated 6 days, 1 hour ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $429,276.51
CAGR % 7.96%
Max % Drawdown (40.14%)
Standard Deviation 4.01%
Annualized Sharpe 0.41
Win Rate % 50.0%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.74
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Updated 6 days, 1 hour ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $310,760.28
CAGR % 6.14%
Max % Drawdown (45.68%)
Standard Deviation 3.87%
Annualized Sharpe 0.29
Win Rate % 35.3%
Longest Drawdown 88.1 months
Avg Trades Per Year 0.89
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Updated 6 days, 1 hour ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $193,244.78
CAGR % 3.52%
Max % Drawdown (12.57%)
Standard Deviation 1.65%
Annualized Sharpe 0.12
Win Rate % 52.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.89
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Updated 6 days, 1 hour ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $182,250.71
CAGR % 3.21%
Max % Drawdown (26.03%)
Standard Deviation 3.07%
Annualized Sharpe 0.07
Win Rate % 47.6%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.10
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Updated 6 days, 1 hour ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $171,028.14
CAGR % 2.86%
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 0.95
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Updated 6 days, 1 hour ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $556,618.70
CAGR % 9.44%
Max % Drawdown (26.56%)
Standard Deviation 3.72%
Annualized Sharpe 0.53
Win Rate % 61.5%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.68
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Updated 6 days, 1 hour ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $836,743.46
CAGR % 11.82%
Max % Drawdown (26.19%)
Standard Deviation 3.46%
Annualized Sharpe 0.74
Win Rate % 60.0%
Longest Drawdown 28.6 months
Avg Trades Per Year 0.53
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Updated 6 days, 1 hour ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $896,021.27
CAGR % 12.22%
Max % Drawdown (30.07%)
Standard Deviation 4.67%
Annualized Sharpe 0.61
Win Rate % 73.3%
Longest Drawdown 38.9 months
Avg Trades Per Year 0.79
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Updated 6 days, 1 hour ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,116,843.93
CAGR % 13.53%
Max % Drawdown (23.93%)
Standard Deviation 4.02%
Annualized Sharpe 0.77
Win Rate % 69.2%
Longest Drawdown 31.7 months
Avg Trades Per Year 0.68
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Updated 6 days, 1 hour ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $204,224.86
CAGR % 3.83%
Max % Drawdown (5.60%)
Standard Deviation 0.91%
Annualized Sharpe 0.27
Win Rate % 84.6%
Longest Drawdown 27.5 months
Avg Trades Per Year 0.68
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Updated 6 days, 1 hour ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $14,520,840.66
CAGR % 11.42%
Max % Drawdown (40.19%)
Standard Deviation 4.61%
Annualized Sharpe 0.57
Win Rate % 57.1%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.76
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Updated 6 days, 1 hour ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $6,159,076.27
CAGR % 9.37%
Max % Drawdown (45.73%)
Standard Deviation 4.71%
Annualized Sharpe 0.45
Win Rate % 35.9%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.85
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Updated 6 days, 1 hour ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,319,814.21
CAGR % 7.07%
Max % Drawdown (13.99%)
Standard Deviation 2.04%
Annualized Sharpe 0.58
Win Rate % 48.6%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.76
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Updated 6 days, 1 hour ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,428,437.29
CAGR % 7.98%
Max % Drawdown (26.75%)
Standard Deviation 3.62%
Annualized Sharpe 0.44
Win Rate % 47.5%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.87
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Updated 6 days, 1 hour ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,377,317.89
CAGR % 5.86%
Max % Drawdown (10.96%)
Standard Deviation 1.39%
Annualized Sharpe 0.59
Win Rate % 45.7%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.76
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Updated 6 days, 1 hour ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $31,462,543.59
CAGR % 13.31%
Max % Drawdown (38.92%)
Standard Deviation 4.39%
Annualized Sharpe 0.71
Win Rate % 64.7%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.74
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Updated 6 days, 1 hour ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $25,635,001.19
CAGR % 12.81%
Max % Drawdown (27.26%)
Standard Deviation 3.66%
Annualized Sharpe 0.78
Win Rate % 56.2%
Longest Drawdown 30.4 months
Avg Trades Per Year 0.70
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Updated 6 days, 1 hour ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $200,481,813.42
CAGR % 17.96%
Max % Drawdown (37.55%)
Standard Deviation 5.07%
Annualized Sharpe 0.87
Win Rate % 71.0%
Longest Drawdown 52.7 months
Avg Trades Per Year 0.67
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Updated 6 days, 1 hour ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $178,163,766.78
CAGR % 17.66%
Max % Drawdown (30.28%)
Standard Deviation 4.40%
Annualized Sharpe 0.95
Win Rate % 72.4%
Longest Drawdown 42.2 months
Avg Trades Per Year 0.63
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Updated 6 days, 1 hour ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-01-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,037,319.12
CAGR % 7.70%
Max % Drawdown (6.14%)
Standard Deviation 1.44%
Annualized Sharpe 0.92
Win Rate % 84.0%
Longest Drawdown 27.5 months
Avg Trades Per Year 0.54
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