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Faber Tactical Asset Allocation w/ Relative Strength



Updated 4 days, 22 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $312,673.09
CAGR % 5.75%
Max % Drawdown (14.87%)
Standard Deviation 1.38%
Annualized Sharpe 0.58
Win Rate % 83.3%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.59
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Updated 4 days, 22 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $403,120.16
CAGR % 7.08%
Max % Drawdown (21.49%)
Standard Deviation 2.72%
Annualized Sharpe 0.46
Win Rate % 61.5%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.64
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Updated 4 days, 22 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $750,289.52
CAGR % 10.39%
Max % Drawdown (21.03%)
Standard Deviation 3.58%
Annualized Sharpe 0.62
Win Rate % 69.2%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.64
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Updated 4 days, 22 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $694,972.93
CAGR % 9.98%
Max % Drawdown (24.65%)
Standard Deviation 3.93%
Annualized Sharpe 0.55
Win Rate % 56.2%
Longest Drawdown 45.6 months
Avg Trades Per Year 0.78
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Updated 4 days, 22 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $128,385.50
CAGR % 1.23%
Max % Drawdown (60.12%)
Standard Deviation 4.44%
Annualized Sharpe (0.04)
Win Rate % 37.5%
Longest Drawdown 142.5 months
Avg Trades Per Year 1.18
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Updated 4 days, 22 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $256,794.81
CAGR % 4.74%
Max % Drawdown (28.57%)
Standard Deviation 2.99%
Annualized Sharpe 0.21
Win Rate % 33.3%
Longest Drawdown 48.9 months
Avg Trades Per Year 0.74
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Updated 4 days, 22 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $5,120,207.65
CAGR % 8.66%
Max % Drawdown (14.88%)
Standard Deviation 1.54%
Annualized Sharpe 1.03
Win Rate % 69.2%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.55
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Updated 4 days, 22 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $8,674,943.08
CAGR % 9.88%
Max % Drawdown (32.95%)
Standard Deviation 3.34%
Annualized Sharpe 0.62
Win Rate % 59.4%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.68
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Updated 4 days, 22 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $17,019,246.13
CAGR % 11.45%
Max % Drawdown (24.76%)
Standard Deviation 3.78%
Annualized Sharpe 0.67
Win Rate % 57.1%
Longest Drawdown 45.6 months
Avg Trades Per Year 0.74
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Updated 4 days, 22 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $13,268,973.98
CAGR % 10.87%
Max % Drawdown (21.10%)
Standard Deviation 3.36%
Annualized Sharpe 0.69
Win Rate % 58.1%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.65
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Updated 4 days, 22 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,009,878.09
CAGR % 6.54%
Max % Drawdown (60.63%)
Standard Deviation 4.56%
Annualized Sharpe 0.29
Win Rate % 37.8%
Longest Drawdown 142.5 months
Avg Trades Per Year 0.95
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Updated 4 days, 22 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,974,758.32
CAGR % 8.59%
Max % Drawdown (28.97%)
Standard Deviation 3.51%
Annualized Sharpe 0.50
Win Rate % 47.4%
Longest Drawdown 56.2 months
Avg Trades Per Year 0.80
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