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Faber Tactical Asset Allocation w/ Relative Strength



Updated 6 days, 15 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $327,044.79
CAGR % 5.61%
Max % Drawdown (14.87%)
Standard Deviation 1.39%
Annualized Sharpe 0.54
Win Rate % 84.6%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.60
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Updated 6 days, 15 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $597,473.44
CAGR % 8.58%
Max % Drawdown (21.49%)
Standard Deviation 2.82%
Annualized Sharpe 0.59
Win Rate % 61.5%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.60
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Updated 6 days, 15 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $992,351.89
CAGR % 11.15%
Max % Drawdown (21.03%)
Standard Deviation 3.52%
Annualized Sharpe 0.69
Win Rate % 69.2%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.60
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Updated 6 days, 15 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $916,400.43
CAGR % 10.75%
Max % Drawdown (24.65%)
Standard Deviation 3.87%
Annualized Sharpe 0.61
Win Rate % 56.2%
Longest Drawdown 56.8 months
Avg Trades Per Year 0.74
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Updated 6 days, 15 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $181,228.30
CAGR % 2.78%
Max % Drawdown (60.26%)
Standard Deviation 4.42%
Annualized Sharpe 0.06
Win Rate % 37.5%
Longest Drawdown 158.3 months
Avg Trades Per Year 1.11
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Updated 6 days, 15 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 2000-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $336,954.56
CAGR % 5.76%
Max % Drawdown (28.57%)
Standard Deviation 3.09%
Annualized Sharpe 0.30
Win Rate % 33.3%
Longest Drawdown 48.9 months
Avg Trades Per Year 0.69
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Updated 6 days, 15 hours ago
Portfolio ^DJ-CBND Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $5,355,828.58
CAGR % 8.52%
Max % Drawdown (14.88%)
Standard Deviation 1.55%
Annualized Sharpe 1.00
Win Rate % 70.4%
Longest Drawdown 32.4 months
Avg Trades Per Year 0.55
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Updated 6 days, 15 hours ago
Portfolio ^SP-500 Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $12,911,237.23
CAGR % 10.49%
Max % Drawdown (32.95%)
Standard Deviation 3.36%
Annualized Sharpe 0.66
Win Rate % 59.4%
Longest Drawdown 32.9 months
Avg Trades Per Year 0.66
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Updated 6 days, 15 hours ago
Portfolio ^US-REIT Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $22,466,362.63
CAGR % 11.76%
Max % Drawdown (24.76%)
Standard Deviation 3.76%
Annualized Sharpe 0.69
Win Rate % 57.1%
Longest Drawdown 56.9 months
Avg Trades Per Year 0.72
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Updated 6 days, 15 hours ago
Portfolio ^NAR-COMP Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $17,549,655.98
CAGR % 11.19%
Max % Drawdown (21.10%)
Standard Deviation 3.33%
Annualized Sharpe 0.72
Win Rate % 58.1%
Longest Drawdown 35.9 months
Avg Trades Per Year 0.64
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Updated 6 days, 15 hours ago
Portfolio ^GSCI Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $2,847,591.89
CAGR % 7.12%
Max % Drawdown (60.77%)
Standard Deviation 4.55%
Annualized Sharpe 0.33
Win Rate % 37.8%
Longest Drawdown 158.3 months
Avg Trades Per Year 0.92
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Updated 6 days, 15 hours ago
Portfolio ^EAFE Instrument
Model Faber Tactical Asset Allocation w/ Relativ...
Period 1973-01-01 — 2021-09-17
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $6,540,378.32
CAGR % 8.96%
Max % Drawdown (28.97%)
Standard Deviation 3.54%
Annualized Sharpe 0.52
Win Rate % 47.4%
Longest Drawdown 56.2 months
Avg Trades Per Year 0.78
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