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Faber Tactical Asset Allocation w/ Relative Strength



Updated 6 days, 16 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $490,806.02
CAGR % 7.61%
Max % Drawdown (40.14%)
Standard Deviation 3.99%
Annualized Sharpe 0.39
Win Rate % 44.4%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.83
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Updated 6 days, 17 hours ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $366,347.91
CAGR % 6.16%
Max % Drawdown (45.68%)
Standard Deviation 3.90%
Annualized Sharpe 0.29
Win Rate % 35.0%
Longest Drawdown 120.3 months
Avg Trades Per Year 0.92
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Updated 6 days, 16 hours ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $222,606.51
CAGR % 3.76%
Max % Drawdown (12.57%)
Standard Deviation 1.61%
Annualized Sharpe 0.16
Win Rate % 55.6%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.83
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Updated 6 days, 17 hours ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $231,660.76
CAGR % 3.95%
Max % Drawdown (26.03%)
Standard Deviation 3.04%
Annualized Sharpe 0.14
Win Rate % 50.0%
Longest Drawdown 72.5 months
Avg Trades Per Year 1.01
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Updated 6 days, 17 hours ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $189,683.42
CAGR % 2.99%
Max % Drawdown (6.83%)
Standard Deviation 0.95%
Annualized Sharpe 0.01
Win Rate % 40.0%
Longest Drawdown 44.6 months
Avg Trades Per Year 0.92
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Updated 6 days, 16 hours ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $813,273.16
CAGR % 10.14%
Max % Drawdown (26.37%)
Standard Deviation 3.69%
Annualized Sharpe 0.59
Win Rate % 53.3%
Longest Drawdown 41.3 months
Avg Trades Per Year 0.69
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Updated 6 days, 17 hours ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,043,971.79
CAGR % 11.41%
Max % Drawdown (30.71%)
Standard Deviation 3.80%
Annualized Sharpe 0.66
Win Rate % 46.2%
Longest Drawdown 36.6 months
Avg Trades Per Year 0.60
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Updated 6 days, 17 hours ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,975,989.73
CAGR % 14.74%
Max % Drawdown (30.03%)
Standard Deviation 4.92%
Annualized Sharpe 0.72
Win Rate % 66.7%
Longest Drawdown 33.5 months
Avg Trades Per Year 0.69
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Updated 6 days, 17 hours ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,295,376.36
CAGR % 15.53%
Max % Drawdown (23.74%)
Standard Deviation 4.34%
Annualized Sharpe 0.84
Win Rate % 69.2%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.60
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Updated 6 days, 17 hours ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $206,127.71
CAGR % 3.39%
Max % Drawdown (8.44%)
Standard Deviation 1.01%
Annualized Sharpe 0.12
Win Rate % 80.0%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.69
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Updated 6 days, 17 hours ago
Portfolio ^EEM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $16,599,025.68
CAGR % 11.07%
Max % Drawdown (40.19%)
Standard Deviation 4.57%
Annualized Sharpe 0.56
Win Rate % 53.8%
Longest Drawdown 80.6 months
Avg Trades Per Year 0.80
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Updated 6 days, 17 hours ago
Portfolio $HH-GOLD Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $7,265,778.81
CAGR % 9.20%
Max % Drawdown (45.73%)
Standard Deviation 4.68%
Annualized Sharpe 0.44
Win Rate % 35.7%
Longest Drawdown 147.6 months
Avg Trades Per Year 0.86
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Updated 6 days, 17 hours ago
Portfolio ^US-GBND-10Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,681,902.58
CAGR % 6.99%
Max % Drawdown (13.99%)
Standard Deviation 2.01%
Annualized Sharpe 0.58
Win Rate % 50.0%
Longest Drawdown 50.4 months
Avg Trades Per Year 0.74
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Updated 6 days, 17 hours ago
Portfolio ^US-GBND-30Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,372,800.35
CAGR % 8.06%
Max % Drawdown (26.75%)
Standard Deviation 3.58%
Annualized Sharpe 0.45
Win Rate % 48.8%
Longest Drawdown 72.5 months
Avg Trades Per Year 0.84
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Updated 6 days, 17 hours ago
Portfolio ^US-GBND-5Y Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,531,449.02
CAGR % 5.76%
Max % Drawdown (10.96%)
Standard Deviation 1.37%
Annualized Sharpe 0.58
Win Rate % 45.9%
Longest Drawdown 44.8 months
Avg Trades Per Year 0.76
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Updated 6 days, 17 hours ago
Portfolio ^FFR-LRG-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $45,700,745.33
CAGR % 13.40%
Max % Drawdown (38.91%)
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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Updated 6 days, 17 hours ago
Portfolio ^FFR-LRG-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $38,955,639.28
CAGR % 13.03%
Max % Drawdown (30.71%)
Standard Deviation 3.78%
Annualized Sharpe 0.78
Win Rate % 51.4%
Longest Drawdown 36.6 months
Avg Trades Per Year 0.72
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Updated 6 days, 17 hours ago
Portfolio ^FFR-SML-MOM Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $447,951,616.02
CAGR % 18.84%
Max % Drawdown (37.53%)
Standard Deviation 5.15%
Annualized Sharpe 0.90
Win Rate % 70.0%
Longest Drawdown 50.9 months
Avg Trades Per Year 0.62
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Updated 6 days, 17 hours ago
Portfolio ^FFR-SML-VAL Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $316,399,081.58
CAGR % 17.99%
Max % Drawdown (30.14%)
Standard Deviation 4.51%
Annualized Sharpe 0.95
Win Rate % 73.3%
Longest Drawdown 42.3 months
Avg Trades Per Year 0.62
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Updated 6 days, 17 hours ago
Portfolio ^WXU-GBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,065,618.69
CAGR % 7.28%
Max % Drawdown (8.44%)
Standard Deviation 1.45%
Annualized Sharpe 0.84
Win Rate % 81.5%
Longest Drawdown 29.5 months
Avg Trades Per Year 0.55
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