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Faber Tactical Asset Allocation w/ Relative Strength



Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $564,498.13
CAGR % 8.86%
Max % Drawdown (34.32%)
Standard Deviation 5.58%
Annualized Sharpe 0.38
Win Rate % 52.0%
Longest Drawdown 63.8 months
Avg Trades Per Year 5.00
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $564,498.13
CAGR % 8.86%
Max % Drawdown (34.32%)
Standard Deviation 5.58%
Annualized Sharpe 0.38
Win Rate % 52.0%
Longest Drawdown 63.8 months
Avg Trades Per Year 5.00
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $924,362.26
CAGR % 11.53%
Max % Drawdown (24.51%)
Standard Deviation 3.85%
Annualized Sharpe 0.67
Win Rate % 55.4%
Longest Drawdown 38.9 months
Avg Trades Per Year 10.45
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $932,662.29
CAGR % 11.58%
Max % Drawdown (24.51%)
Standard Deviation 3.85%
Annualized Sharpe 0.67
Win Rate % 56.0%
Longest Drawdown 38.9 months
Avg Trades Per Year 10.59
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,021,800.62
CAGR % 12.08%
Max % Drawdown (19.27%)
Standard Deviation 3.26%
Annualized Sharpe 0.81
Win Rate % 61.1%
Longest Drawdown 28.4 months
Avg Trades Per Year 11.08
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $1,059,019.60
CAGR % 12.28%
Max % Drawdown (19.34%)
Standard Deviation 3.27%
Annualized Sharpe 0.82
Win Rate % 62.3%
Longest Drawdown 24.7 months
Avg Trades Per Year 11.58
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $802,604.43
CAGR % 10.76%
Max % Drawdown (14.73%)
Standard Deviation 2.58%
Annualized Sharpe 0.86
Win Rate % 61.3%
Longest Drawdown 20.7 months
Avg Trades Per Year 12.41
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Period 2000-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $859,985.76
CAGR % 11.13%
Max % Drawdown (14.57%)
Standard Deviation 2.58%
Annualized Sharpe 0.90
Win Rate % 63.3%
Longest Drawdown 16.3 months
Avg Trades Per Year 14.42
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $91,181,330.69
CAGR % 15.47%
Max % Drawdown (44.30%)
Standard Deviation 6.36%
Annualized Sharpe 0.63
Win Rate % 60.4%
Longest Drawdown 63.8 months
Avg Trades Per Year 4.79
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $97,081,480.68
CAGR % 15.62%
Max % Drawdown (44.30%)
Standard Deviation 6.37%
Annualized Sharpe 0.64
Win Rate % 60.5%
Longest Drawdown 63.8 months
Avg Trades Per Year 4.81
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $257,363,017.48
CAGR % 18.02%
Max % Drawdown (32.66%)
Standard Deviation 4.52%
Annualized Sharpe 0.95
Win Rate % 63.5%
Longest Drawdown 38.9 months
Avg Trades Per Year 9.43
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $293,838,996.79
CAGR % 18.35%
Max % Drawdown (32.66%)
Standard Deviation 4.54%
Annualized Sharpe 0.97
Win Rate % 64.1%
Longest Drawdown 38.9 months
Avg Trades Per Year 9.64
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $183,213,677.24
CAGR % 17.18%
Max % Drawdown (27.16%)
Standard Deviation 3.71%
Annualized Sharpe 1.07
Win Rate % 64.4%
Longest Drawdown 28.9 months
Avg Trades Per Year 10.42
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $231,695,118.42
CAGR % 17.76%
Max % Drawdown (27.20%)
Standard Deviation 3.74%
Annualized Sharpe 1.10
Win Rate % 66.2%
Longest Drawdown 24.7 months
Avg Trades Per Year 11.06
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $74,382,572.67
CAGR % 14.97%
Max % Drawdown (20.45%)
Standard Deviation 3.01%
Annualized Sharpe 1.11
Win Rate % 64.2%
Longest Drawdown 20.7 months
Avg Trades Per Year 12.13
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Period 1973-01-01 — 2020-05-22
Timeframe Monthly
Starting Equity $100,000.00
Ending Equity $107,279,338.93
CAGR % 15.86%
Max % Drawdown (20.38%)
Standard Deviation 3.08%
Annualized Sharpe 1.16
Win Rate % 66.9%
Longest Drawdown 19.6 months
Avg Trades Per Year 14.33
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