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Faber Tactical Asset Allocation w/ Relative Strength



Updated 2 days, 13 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $312,148.39
CAGR % 4.70%
Max % Drawdown (14.87%)
Standard Deviation 1.42%
Annualized Sharpe 0.36
Win Rate % 68.8%
Longest Drawdown 45.2 months
Avg Trades Per Year 0.65
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Updated 2 days, 13 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $700,751.31
CAGR % 8.18%
Max % Drawdown (24.14%)
Standard Deviation 2.92%
Annualized Sharpe 0.54
Win Rate % 58.8%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.69
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Updated 2 days, 13 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,056,900.74
CAGR % 9.99%
Max % Drawdown (21.03%)
Standard Deviation 3.58%
Annualized Sharpe 0.59
Win Rate % 55.6%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.73
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Updated 2 days, 13 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,037,613.69
CAGR % 9.91%
Max % Drawdown (24.65%)
Standard Deviation 3.91%
Annualized Sharpe 0.55
Win Rate % 55.0%
Longest Drawdown 56.8 months
Avg Trades Per Year 0.81
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Updated 2 days, 13 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $231,605.41
CAGR % 3.45%
Max % Drawdown (60.26%)
Standard Deviation 4.45%
Annualized Sharpe 0.10
Win Rate % 40.7%
Longest Drawdown 195.1 months
Avg Trades Per Year 1.09
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Updated 2 days, 13 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $388,053.26
CAGR % 5.63%
Max % Drawdown (28.57%)
Standard Deviation 3.06%
Annualized Sharpe 0.29
Win Rate % 38.9%
Longest Drawdown 48.9 months
Avg Trades Per Year 0.73
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Updated 2 days, 13 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $5,111,278.47
CAGR % 7.89%
Max % Drawdown (14.88%)
Standard Deviation 1.56%
Annualized Sharpe 0.89
Win Rate % 63.3%
Longest Drawdown 45.2 months
Avg Trades Per Year 0.58
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Updated 2 days, 13 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $15,110,909.05
CAGR % 10.18%
Max % Drawdown (32.95%)
Standard Deviation 3.37%
Annualized Sharpe 0.64
Win Rate % 58.3%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.70
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Updated 2 days, 13 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $25,469,033.63
CAGR % 11.29%
Max % Drawdown (24.76%)
Standard Deviation 3.79%
Annualized Sharpe 0.66
Win Rate % 56.4%
Longest Drawdown 56.9 months
Avg Trades Per Year 0.75
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Updated 2 days, 13 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $18,691,325.97
CAGR % 10.63%
Max % Drawdown (21.10%)
Standard Deviation 3.38%
Annualized Sharpe 0.67
Win Rate % 52.8%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.70
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Updated 2 days, 13 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $3,641,645.78
CAGR % 7.19%
Max % Drawdown (60.77%)
Standard Deviation 4.55%
Annualized Sharpe 0.33
Win Rate % 39.6%
Longest Drawdown 195.1 months
Avg Trades Per Year 0.93
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Updated 2 days, 13 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2024-10-11
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $7,545,093.59
CAGR % 8.71%
Max % Drawdown (28.97%)
Standard Deviation 3.51%
Annualized Sharpe 0.51
Win Rate % 48.8%
Longest Drawdown 56.2 months
Avg Trades Per Year 0.79
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