| Updated | 10 hours ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $284,952.82 |
| CAGR % | 5.53% |
| Max % Drawdown | (54.82%) |
| Standard Deviation | 4.18% |
| Annualized Sharpe | 0.24 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-LRG-MOM Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $469,746.46 |
| CAGR % | 8.28% |
| Max % Drawdown | (54.71%) |
| Standard Deviation | 4.97% |
| Annualized Sharpe | 0.38 |
| Win Rate % | 0.0% |
| Longest Drawdown | 48.7 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-LRG-VAL Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $502,207.10 |
| CAGR % | 8.65% |
| Max % Drawdown | (70.54%) |
| Standard Deviation | 5.86% |
| Annualized Sharpe | 0.37 |
| Win Rate % | 0.0% |
| Longest Drawdown | 66.4 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-SML-MOM Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $1,079,233.74 |
| CAGR % | 13.01% |
| Max % Drawdown | (58.81%) |
| Standard Deviation | 5.83% |
| Annualized Sharpe | 0.56 |
| Win Rate % | 0.0% |
| Longest Drawdown | 40.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-SML-VAL Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $973,341.96 |
| CAGR % | 12.42% |
| Max % Drawdown | (69.86%) |
| Standard Deviation | 5.82% |
| Annualized Sharpe | 0.54 |
| Win Rate % | 0.0% |
| Longest Drawdown | 61.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1980-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $7,639,092.90 |
| CAGR % | 11.62% |
| Max % Drawdown | (55.25%) |
| Standard Deviation | 4.29% |
| Annualized Sharpe | 0.62 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $9,470,614.07 |
| CAGR % | 10.29% |
| Max % Drawdown | (55.25%) |
| Standard Deviation | 4.38% |
| Annualized Sharpe | 0.53 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-LRG-MOM Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $51,844,418.02 |
| CAGR % | 14.40% |
| Max % Drawdown | (54.71%) |
| Standard Deviation | 5.28% |
| Annualized Sharpe | 0.67 |
| Win Rate % | 0.0% |
| Longest Drawdown | 48.7 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-LRG-VAL Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $36,639,466.36 |
| CAGR % | 13.55% |
| Max % Drawdown | (70.54%) |
| Standard Deviation | 5.22% |
| Annualized Sharpe | 0.63 |
| Win Rate % | 0.0% |
| Longest Drawdown | 66.4 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-SML-MOM Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $325,692,467.76 |
| CAGR % | 19.02% |
| Max % Drawdown | (58.83%) |
| Standard Deviation | 5.97% |
| Annualized Sharpe | 0.81 |
| Win Rate % | 0.0% |
| Longest Drawdown | 40.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours ago |
|---|---|
| Portfolio | ^FFR-SML-VAL Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-06-14 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $230,290,929.81 |
| CAGR % | 18.14% |
| Max % Drawdown | (69.93%) |
| Standard Deviation | 5.83% |
| Annualized Sharpe | 0.78 |
| Win Rate % | 0.0% |
| Longest Drawdown | 61.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 10 hours 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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