| Updated | 6 days ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $254,043.13 |
| CAGR % | 5.02% |
| Max % Drawdown | (54.82%) |
| Standard Deviation | 4.15% |
| Annualized Sharpe | 0.21 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-LRG-MOM Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $425,238.46 |
| CAGR % | 7.91% |
| Max % Drawdown | (54.71%) |
| Standard Deviation | 4.96% |
| Annualized Sharpe | 0.36 |
| Win Rate % | 0.0% |
| Longest Drawdown | 48.7 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-LRG-VAL Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $473,678.95 |
| CAGR % | 8.52% |
| Max % Drawdown | (70.54%) |
| Standard Deviation | 5.82% |
| Annualized Sharpe | 0.36 |
| Win Rate % | 0.0% |
| Longest Drawdown | 66.4 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-SML-MOM Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $1,051,847.29 |
| CAGR % | 13.17% |
| Max % Drawdown | (58.81%) |
| Standard Deviation | 5.85% |
| Annualized Sharpe | 0.57 |
| Win Rate % | 0.0% |
| Longest Drawdown | 40.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-SML-VAL Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $1,037,106.46 |
| CAGR % | 13.08% |
| Max % Drawdown | (69.89%) |
| Standard Deviation | 5.78% |
| Annualized Sharpe | 0.57 |
| Win Rate % | 0.0% |
| Longest Drawdown | 61.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1980-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $6,807,685.32 |
| CAGR % | 11.42% |
| Max % Drawdown | (55.25%) |
| Standard Deviation | 4.28% |
| Annualized Sharpe | 0.61 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $8,439,870.53 |
| CAGR % | 10.12% |
| Max % Drawdown | (55.25%) |
| Standard Deviation | 4.37% |
| Annualized Sharpe | 0.52 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-LRG-MOM Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $46,932,151.98 |
| CAGR % | 14.30% |
| Max % Drawdown | (54.71%) |
| Standard Deviation | 5.28% |
| Annualized Sharpe | 0.66 |
| Win Rate % | 0.0% |
| Longest Drawdown | 48.7 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-LRG-VAL Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $34,558,106.38 |
| CAGR % | 13.54% |
| Max % Drawdown | (70.54%) |
| Standard Deviation | 5.19% |
| Annualized Sharpe | 0.63 |
| Win Rate % | 0.0% |
| Longest Drawdown | 66.4 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-SML-MOM Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $317,426,740.25 |
| CAGR % | 19.15% |
| Max % Drawdown | (58.83%) |
| Standard Deviation | 5.98% |
| Annualized Sharpe | 0.81 |
| Win Rate % | 0.0% |
| Longest Drawdown | 40.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^FFR-SML-VAL Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-01-11 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $242,479,406.58 |
| CAGR % | 18.45% |
| Max % Drawdown | (69.93%) |
| Standard Deviation | 5.81% |
| Annualized Sharpe | 0.80 |
| Win Rate % | 0.0% |
| Longest Drawdown | 61.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 6 days ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1950-01-01 — 1979-12-31 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $2,169,512.70 |
| CAGR % | 10.80% |
| Max % Drawdown | (44.89%) |
| Standard Deviation | 3.90% |
| Annualized Sharpe | 0.61 |
| Win Rate % | 0.0% |
| Longest Drawdown | 41.9 months |
| Avg Trades Per Year | 0.00 |
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