| Updated | 6 days ago |
|---|---|
| Portfolio | ^DJ-CBND Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $273,637.84 |
| CAGR % | 5.43% |
| Max % Drawdown | (7.01%) |
| Standard Deviation | 1.32% |
| Annualized Sharpe | 0.53 |
| Win Rate % | 81.8% |
| Longest Drawdown | 30.0 months |
| Avg Trades Per Year | 0.58 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $399,720.41 |
| CAGR % | 7.56% |
| Max % Drawdown | (21.49%) |
| Standard Deviation | 2.68% |
| Annualized Sharpe | 0.51 |
| Win Rate % | 63.6% |
| Longest Drawdown | 32.9 months |
| Avg Trades Per Year | 0.58 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^NAR-COMP Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $691,691.10 |
| CAGR % | 10.70% |
| Max % Drawdown | (21.03%) |
| Standard Deviation | 3.64% |
| Annualized Sharpe | 0.64 |
| Win Rate % | 66.7% |
| Longest Drawdown | 34.1 months |
| Avg Trades Per Year | 0.63 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^US-REIT Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $683,142.83 |
| CAGR % | 10.63% |
| Max % Drawdown | (24.65%) |
| Standard Deviation | 4.01% |
| Annualized Sharpe | 0.58 |
| Win Rate % | 53.3% |
| Longest Drawdown | 34.3 months |
| Avg Trades Per Year | 0.79 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^GSCI Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $163,835.74 |
| CAGR % | 2.63% |
| Max % Drawdown | (59.07%) |
| Standard Deviation | 4.49% |
| Annualized Sharpe | 0.05 |
| Win Rate % | 42.9% |
| Longest Drawdown | 126.1 months |
| Avg Trades Per Year | 1.10 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^EAFE Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $272,459.45 |
| CAGR % | 5.41% |
| Max % Drawdown | (28.57%) |
| Standard Deviation | 2.98% |
| Annualized Sharpe | 0.28 |
| Win Rate % | 38.5% |
| Longest Drawdown | 48.9 months |
| Avg Trades Per Year | 0.68 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^DJ-CBND Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $4,480,682.60 |
| CAGR % | 8.61% |
| Max % Drawdown | (10.02%) |
| Standard Deviation | 1.53% |
| Annualized Sharpe | 1.03 |
| Win Rate % | 68.0% |
| Longest Drawdown | 30.0 months |
| Avg Trades Per Year | 0.54 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $8,602,626.43 |
| CAGR % | 10.16% |
| Max % Drawdown | (32.95%) |
| Standard Deviation | 3.34% |
| Annualized Sharpe | 0.64 |
| Win Rate % | 60.0% |
| Longest Drawdown | 32.9 months |
| Avg Trades Per Year | 0.65 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^US-REIT Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $16,729,419.57 |
| CAGR % | 11.77% |
| Max % Drawdown | (24.76%) |
| Standard Deviation | 3.81% |
| Annualized Sharpe | 0.69 |
| Win Rate % | 55.9% |
| Longest Drawdown | 35.0 months |
| Avg Trades Per Year | 0.74 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^NAR-COMP Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $12,229,650.92 |
| CAGR % | 11.01% |
| Max % Drawdown | (21.10%) |
| Standard Deviation | 3.38% |
| Annualized Sharpe | 0.70 |
| Win Rate % | 56.7% |
| Longest Drawdown | 35.0 months |
| Avg Trades Per Year | 0.65 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^GSCI Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $2,569,318.55 |
| CAGR % | 7.31% |
| Max % Drawdown | (59.61%) |
| Standard Deviation | 4.58% |
| Annualized Sharpe | 0.34 |
| Win Rate % | 40.5% |
| Longest Drawdown | 126.1 months |
| Avg Trades Per Year | 0.91 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^EAFE Instrument |
| Model | Faber Tactical Asset Allocation w/ Relativ... |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $5,289,028.09 |
| CAGR % | 9.00% |
| Max % Drawdown | (28.97%) |
| Standard Deviation | 3.52% |
| Annualized Sharpe | 0.53 |
| Win Rate % | 50.0% |
| Longest Drawdown | 56.2 months |
| Avg Trades Per Year | 0.78 |
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