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Faber Tactical Asset Allocation w/ Relative Strength



Updated 1 day, 1 hour ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $434,527.60
CAGR % 7.95%
Max % Drawdown (40.14%)
Standard Deviation 3.99%
Annualized Sharpe 0.41
Win Rate % 50.0%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.73
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Updated 1 day, 1 hour ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $316,147.07
CAGR % 6.17%
Max % Drawdown (45.68%)
Standard Deviation 3.86%
Annualized Sharpe 0.29
Win Rate % 35.3%
Longest Drawdown 90.5 months
Avg Trades Per Year 0.88
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Updated 1 day, 1 hour ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $197,483.06
CAGR % 3.61%
Max % Drawdown (12.57%)
Standard Deviation 1.65%
Annualized Sharpe 0.13
Win Rate % 52.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.88
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Updated 1 day, 1 hour ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $187,339.36
CAGR % 3.32%
Max % Drawdown (26.03%)
Standard Deviation 3.06%
Annualized Sharpe 0.08
Win Rate % 47.6%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.09
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Updated 1 day, 1 hour ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $173,640.90
CAGR % 2.91%
Max % Drawdown (6.83%)
Standard Deviation 0.98%
Annualized Sharpe (0.01)
Win Rate % 38.9%
Longest Drawdown 44.6 months
Avg Trades Per Year 0.94
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Updated 1 day, 1 hour ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $559,906.40
CAGR % 9.38%
Max % Drawdown (26.56%)
Standard Deviation 3.70%
Annualized Sharpe 0.53
Win Rate % 61.5%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.68
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Updated 1 day, 1 hour ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $839,749.88
CAGR % 11.71%
Max % Drawdown (26.19%)
Standard Deviation 3.45%
Annualized Sharpe 0.74
Win Rate % 60.0%
Longest Drawdown 28.6 months
Avg Trades Per Year 0.52
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Updated 1 day, 1 hour ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $899,240.68
CAGR % 12.11%
Max % Drawdown (30.07%)
Standard Deviation 4.65%
Annualized Sharpe 0.61
Win Rate % 73.3%
Longest Drawdown 38.9 months
Avg Trades Per Year 0.78
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Updated 1 day, 1 hour ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,115,040.26
CAGR % 13.37%
Max % Drawdown (23.94%)
Standard Deviation 4.00%
Annualized Sharpe 0.76
Win Rate % 69.2%
Longest Drawdown 31.7 months
Avg Trades Per Year 0.68
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Updated 1 day, 1 hour ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $211,673.63
CAGR % 3.98%
Max % Drawdown (5.60%)
Standard Deviation 0.92%
Annualized Sharpe 0.31
Win Rate % 84.6%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.68
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Updated 1 day, 1 hour ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $14,698,885.64
CAGR % 11.40%
Max % Drawdown (40.19%)
Standard Deviation 4.60%
Annualized Sharpe 0.57
Win Rate % 57.1%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.76
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Updated 1 day, 1 hour ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $6,265,866.27
CAGR % 9.37%
Max % Drawdown (45.73%)
Standard Deviation 4.70%
Annualized Sharpe 0.45
Win Rate % 35.9%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.84
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Updated 1 day, 1 hour ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,372,054.93
CAGR % 7.09%
Max % Drawdown (13.99%)
Standard Deviation 2.04%
Annualized Sharpe 0.59
Win Rate % 48.6%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.76
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Updated 1 day, 1 hour ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,525,631.70
CAGR % 8.01%
Max % Drawdown (26.75%)
Standard Deviation 3.61%
Annualized Sharpe 0.44
Win Rate % 47.5%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.87
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Updated 1 day, 1 hour ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,398,860.79
CAGR % 5.87%
Max % Drawdown (10.96%)
Standard Deviation 1.39%
Annualized Sharpe 0.60
Win Rate % 45.7%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.76
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Updated 1 day, 1 hour ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $31,648,418.96
CAGR % 13.27%
Max % Drawdown (38.92%)
Standard Deviation 4.38%
Annualized Sharpe 0.71
Win Rate % 64.7%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.74
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Updated 1 day, 1 hour ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $25,727,107.86
CAGR % 12.76%
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 0.69
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Updated 1 day, 1 hour ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $201,202,145.44
CAGR % 17.89%
Max % Drawdown (37.55%)
Standard Deviation 5.06%
Annualized Sharpe 0.86
Win Rate % 71.0%
Longest Drawdown 52.7 months
Avg Trades Per Year 0.67
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Updated 1 day, 1 hour ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $180,597,351.80
CAGR % 17.61%
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 1 day, 1 hour ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-03-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,148,102.55
CAGR % 7.75%
Max % Drawdown (6.14%)
Standard Deviation 1.44%
Annualized Sharpe 0.93
Win Rate % 84.0%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.54
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