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Faber Tactical Asset Allocation w/ Relative Strength



Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $296,469.62
CAGR % 5.75%
Max % Drawdown (7.01%)
Standard Deviation 1.32%
Annualized Sharpe 0.60
Win Rate % 81.8%
Longest Drawdown 32.4 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 $396,263.53
CAGR % 7.34%
Max % Drawdown (21.49%)
Standard Deviation 2.70%
Annualized Sharpe 0.49
Win Rate % 58.3%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.62
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $725,773.00
CAGR % 10.73%
Max % Drawdown (21.03%)
Standard Deviation 3.61%
Annualized Sharpe 0.64
Win Rate % 66.7%
Longest Drawdown 34.1 months
Avg Trades Per Year 0.62
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Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $727,253.32
CAGR % 10.74%
Max % Drawdown (24.65%)
Standard Deviation 3.97%
Annualized Sharpe 0.60
Win Rate % 53.3%
Longest Drawdown 34.4 months
Avg Trades Per Year 0.77
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Updated 10 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $151,410.06
CAGR % 2.16%
Max % Drawdown (59.07%)
Standard Deviation 4.47%
Annualized Sharpe 0.02
Win Rate % 40.9%
Longest Drawdown 131.2 months
Avg Trades Per Year 1.13
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Updated 10 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $266,815.71
CAGR % 5.18%
Max % Drawdown (28.57%)
Standard Deviation 2.96%
Annualized Sharpe 0.25
Win Rate % 35.7%
Longest Drawdown 48.9 months
Avg Trades Per Year 0.72
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,854,650.85
CAGR % 8.72%
Max % Drawdown (10.02%)
Standard Deviation 1.53%
Annualized Sharpe 1.05
Win Rate % 68.0%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.54
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $8,526,747.52
CAGR % 10.04%
Max % Drawdown (32.95%)
Standard Deviation 3.34%
Annualized Sharpe 0.63
Win Rate % 58.1%
Longest Drawdown 32.9 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 $17,820,502.52
CAGR % 11.80%
Max % Drawdown (24.76%)
Standard Deviation 3.79%
Annualized Sharpe 0.69
Win Rate % 55.9%
Longest Drawdown 35.0 months
Avg Trades Per Year 0.73
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Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $12,834,247.41
CAGR % 11.02%
Max % Drawdown (21.10%)
Standard Deviation 3.37%
Annualized Sharpe 0.70
Win Rate % 56.7%
Longest Drawdown 35.0 months
Avg Trades Per Year 0.65
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Updated 10 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,373,799.15
CAGR % 7.06%
Max % Drawdown (59.61%)
Standard Deviation 4.57%
Annualized Sharpe 0.32
Win Rate % 39.5%
Longest Drawdown 131.2 months
Avg Trades Per Year 0.93
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Updated 10 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-06-14
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $5,175,813.81
CAGR % 8.87%
Max % Drawdown (28.97%)
Standard Deviation 3.51%
Annualized Sharpe 0.52
Win Rate % 48.6%
Longest Drawdown 56.2 months
Avg Trades Per Year 0.80
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