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Faber Tactical Asset Allocation w/ Relative Strength



Updated 6 days, 21 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $312,193.23
CAGR % 5.98%
Max % Drawdown (7.01%)
Standard Deviation 1.34%
Annualized Sharpe 0.64
Win Rate % 81.8%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.56
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Updated 6 days, 21 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $387,605.40
CAGR % 7.15%
Max % Drawdown (21.49%)
Standard Deviation 2.70%
Annualized Sharpe 0.47
Win Rate % 58.3%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.61
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Updated 6 days, 21 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $748,976.21
CAGR % 10.81%
Max % Drawdown (21.03%)
Standard Deviation 3.60%
Annualized Sharpe 0.65
Win Rate % 66.7%
Longest Drawdown 35.5 months
Avg Trades Per Year 0.61
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Updated 6 days, 21 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $738,411.94
CAGR % 10.73%
Max % Drawdown (24.65%)
Standard Deviation 3.95%
Annualized Sharpe 0.60
Win Rate % 53.3%
Longest Drawdown 36.5 months
Avg Trades Per Year 0.76
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Updated 6 days, 21 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $143,190.34
CAGR % 1.85%
Max % Drawdown (59.07%)
Standard Deviation 4.47%
Annualized Sharpe 0.00
Win Rate % 40.9%
Longest Drawdown 133.3 months
Avg Trades Per Year 1.12
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Updated 6 days, 21 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $251,610.43
CAGR % 4.82%
Max % Drawdown (28.57%)
Standard Deviation 2.97%
Annualized Sharpe 0.22
Win Rate % 35.7%
Longest Drawdown 48.9 months
Avg Trades Per Year 0.71
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Updated 6 days, 21 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $5,112,196.10
CAGR % 8.80%
Max % Drawdown (10.02%)
Standard Deviation 1.53%
Annualized Sharpe 1.06
Win Rate % 68.0%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.54
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Updated 6 days, 21 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $8,338,554.94
CAGR % 9.95%
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 0.66
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Updated 6 days, 21 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $18,096,375.86
CAGR % 11.80%
Max % Drawdown (24.76%)
Standard Deviation 3.79%
Annualized Sharpe 0.69
Win Rate % 55.9%
Longest Drawdown 36.5 months
Avg Trades Per Year 0.73
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Updated 6 days, 21 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $13,245,957.41
CAGR % 11.05%
Max % Drawdown (21.10%)
Standard Deviation 3.36%
Annualized Sharpe 0.71
Win Rate % 56.7%
Longest Drawdown 35.5 months
Avg Trades Per Year 0.64
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Updated 6 days, 21 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,244,839.63
CAGR % 6.90%
Max % Drawdown (59.61%)
Standard Deviation 4.57%
Annualized Sharpe 0.31
Win Rate % 39.5%
Longest Drawdown 133.3 months
Avg Trades Per Year 0.92
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Updated 6 days, 21 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2019-08-16
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $4,872,273.19
CAGR % 8.69%
Max % Drawdown (28.97%)
Standard Deviation 3.51%
Annualized Sharpe 0.50
Win Rate % 48.6%
Longest Drawdown 56.2 months
Avg Trades Per Year 0.79
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