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Faber Tactical Asset Allocation w/ Relative Strength



Updated 2 days, 5 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $316,382.70
CAGR % 5.16%
Max % Drawdown (14.87%)
Standard Deviation 1.38%
Annualized Sharpe 0.46
Win Rate % 78.6%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.61
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Updated 2 days, 5 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $544,163.34
CAGR % 7.67%
Max % Drawdown (21.49%)
Standard Deviation 2.89%
Annualized Sharpe 0.49
Win Rate % 60.0%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.65
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Updated 2 days, 5 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $930,578.13
CAGR % 10.23%
Max % Drawdown (21.03%)
Standard Deviation 3.57%
Annualized Sharpe 0.61
Win Rate % 66.7%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.65
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Updated 2 days, 5 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $971,798.52
CAGR % 10.43%
Max % Drawdown (24.65%)
Standard Deviation 3.90%
Annualized Sharpe 0.58
Win Rate % 58.8%
Longest Drawdown 56.8 months
Avg Trades Per Year 0.74
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Updated 2 days, 5 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $236,310.42
CAGR % 3.82%
Max % Drawdown (60.26%)
Standard Deviation 4.58%
Annualized Sharpe 0.13
Win Rate % 40.0%
Longest Drawdown 172.8 months
Avg Trades Per Year 1.09
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Updated 2 days, 5 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $317,592.56
CAGR % 5.17%
Max % Drawdown (28.57%)
Standard Deviation 3.05%
Annualized Sharpe 0.25
Win Rate % 35.3%
Longest Drawdown 48.9 months
Avg Trades Per Year 0.74
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Updated 2 days, 5 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $5,180,917.43
CAGR % 8.23%
Max % Drawdown (14.88%)
Standard Deviation 1.54%
Annualized Sharpe 0.96
Win Rate % 67.9%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.56
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Updated 2 days, 5 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $11,739,594.20
CAGR % 10.02%
Max % Drawdown (32.95%)
Standard Deviation 3.37%
Annualized Sharpe 0.62
Win Rate % 58.8%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.68
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Updated 2 days, 5 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $23,828,196.48
CAGR % 11.59%
Max % Drawdown (24.76%)
Standard Deviation 3.78%
Annualized Sharpe 0.68
Win Rate % 58.3%
Longest Drawdown 56.9 months
Avg Trades Per Year 0.72
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Updated 2 days, 5 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $16,450,944.50
CAGR % 10.76%
Max % Drawdown (21.10%)
Standard Deviation 3.36%
Annualized Sharpe 0.68
Win Rate % 57.6%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.66
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Updated 2 days, 5 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,720,489.49
CAGR % 7.51%
Max % Drawdown (60.77%)
Standard Deviation 4.61%
Annualized Sharpe 0.35
Win Rate % 39.1%
Longest Drawdown 172.8 months
Avg Trades Per Year 0.92
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Updated 2 days, 5 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2022-12-02
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $6,160,737.59
CAGR % 8.61%
Max % Drawdown (28.97%)
Standard Deviation 3.51%
Annualized Sharpe 0.50
Win Rate % 47.5%
Longest Drawdown 56.2 months
Avg Trades Per Year 0.80
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