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Faber Tactical Asset Allocation w/ Relative Strength



Updated 11 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $416,123.41
CAGR % 7.61%
Max % Drawdown (40.14%)
Standard Deviation 4.00%
Annualized Sharpe 0.38
Win Rate % 46.7%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.77
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $325,775.55
CAGR % 6.26%
Max % Drawdown (45.68%)
Standard Deviation 3.85%
Annualized Sharpe 0.30
Win Rate % 35.3%
Longest Drawdown 93.2 months
Avg Trades Per Year 0.87
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $203,487.90
CAGR % 3.72%
Max % Drawdown (12.57%)
Standard Deviation 1.65%
Annualized Sharpe 0.15
Win Rate % 52.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.87
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $196,979.83
CAGR % 3.55%
Max % Drawdown (26.03%)
Standard Deviation 3.07%
Annualized Sharpe 0.10
Win Rate % 47.6%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.08
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $177,293.71
CAGR % 2.99%
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 0.93
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $545,512.64
CAGR % 9.12%
Max % Drawdown (26.56%)
Standard Deviation 3.70%
Annualized Sharpe 0.51
Win Rate % 57.1%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.72
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $762,142.62
CAGR % 11.01%
Max % Drawdown (26.19%)
Standard Deviation 3.49%
Annualized Sharpe 0.68
Win Rate % 54.5%
Longest Drawdown 28.6 months
Avg Trades Per Year 0.57
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $907,746.58
CAGR % 12.01%
Max % Drawdown (30.07%)
Standard Deviation 4.62%
Annualized Sharpe 0.60
Win Rate % 73.3%
Longest Drawdown 38.9 months
Avg Trades Per Year 0.77
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,119,583.93
CAGR % 13.23%
Max % Drawdown (23.94%)
Standard Deviation 3.97%
Annualized Sharpe 0.76
Win Rate % 69.2%
Longest Drawdown 31.7 months
Avg Trades Per Year 0.67
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $217,880.96
CAGR % 4.09%
Max % Drawdown (5.60%)
Standard Deviation 0.92%
Annualized Sharpe 0.34
Win Rate % 84.6%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.67
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Updated 11 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $14,074,049.51
CAGR % 11.24%
Max % Drawdown (40.19%)
Standard Deviation 4.60%
Annualized Sharpe 0.56
Win Rate % 55.6%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.78
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $6,456,749.38
CAGR % 9.39%
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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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,446,133.28
CAGR % 7.13%
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 0.75
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,709,921.89
CAGR % 8.09%
Max % Drawdown (26.75%)
Standard Deviation 3.61%
Annualized Sharpe 0.45
Win Rate % 47.5%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.86
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,429,012.89
CAGR % 5.89%
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 0.75
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $30,834,447.65
CAGR % 13.13%
Max % Drawdown (38.92%)
Standard Deviation 4.38%
Annualized Sharpe 0.70
Win Rate % 62.9%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.75
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $23,349,391.87
CAGR % 12.46%
Max % Drawdown (27.26%)
Standard Deviation 3.68%
Annualized Sharpe 0.76
Win Rate % 54.5%
Longest Drawdown 30.4 months
Avg Trades Per Year 0.71
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $203,106,968.55
CAGR % 17.82%
Max % Drawdown (37.55%)
Standard Deviation 5.05%
Annualized Sharpe 0.86
Win Rate % 71.0%
Longest Drawdown 52.7 months
Avg Trades Per Year 0.67
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $181,333,100.72
CAGR % 17.53%
Max % Drawdown (30.28%)
Standard Deviation 4.39%
Annualized Sharpe 0.95
Win Rate % 72.4%
Longest Drawdown 42.2 months
Avg Trades Per Year 0.62
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,240,422.22
CAGR % 7.78%
Max % Drawdown (6.14%)
Standard Deviation 1.44%
Annualized Sharpe 0.94
Win Rate % 84.0%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.54
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