| Updated | 1 day ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $275,130.28 |
| CAGR % | 5.41% |
| Max % Drawdown | (54.82%) |
| Standard Deviation | 4.16% |
| Annualized Sharpe | 0.23 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^FFR-LRG-MOM Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $461,934.90 |
| CAGR % | 8.29% |
| Max % Drawdown | (54.71%) |
| Standard Deviation | 4.98% |
| Annualized Sharpe | 0.38 |
| Win Rate % | 0.0% |
| Longest Drawdown | 48.7 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^FFR-LRG-VAL Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $486,422.28 |
| CAGR % | 8.58% |
| Max % Drawdown | (70.54%) |
| Standard Deviation | 5.85% |
| Annualized Sharpe | 0.36 |
| Win Rate % | 0.0% |
| Longest Drawdown | 66.4 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^FFR-SML-MOM Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $1,075,194.38 |
| CAGR % | 13.16% |
| Max % Drawdown | (58.81%) |
| Standard Deviation | 5.83% |
| Annualized Sharpe | 0.57 |
| Win Rate % | 0.0% |
| Longest Drawdown | 40.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^FFR-SML-VAL Instrument |
| Model | Buy and Hold |
| Period | 2000-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $1,003,373.75 |
| CAGR % | 12.75% |
| Max % Drawdown | (69.86%) |
| Standard Deviation | 5.78% |
| Annualized Sharpe | 0.55 |
| Win Rate % | 0.0% |
| Longest Drawdown | 61.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1980-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $7,374,886.62 |
| CAGR % | 11.59% |
| Max % Drawdown | (55.25%) |
| Standard Deviation | 4.28% |
| Annualized Sharpe | 0.62 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^SP-500 Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $9,143,062.43 |
| CAGR % | 10.26% |
| Max % Drawdown | (55.25%) |
| Standard Deviation | 4.37% |
| Annualized Sharpe | 0.53 |
| Win Rate % | 0.0% |
| Longest Drawdown | 73.5 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^FFR-LRG-MOM Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $50,982,270.52 |
| CAGR % | 14.44% |
| 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 | 1 day ago |
|---|---|
| Portfolio | ^FFR-LRG-VAL Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $35,487,835.69 |
| CAGR % | 13.55% |
| Max % Drawdown | (70.54%) |
| Standard Deviation | 5.21% |
| Annualized Sharpe | 0.63 |
| Win Rate % | 0.0% |
| Longest Drawdown | 66.4 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day ago |
|---|---|
| Portfolio | ^FFR-SML-MOM Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $324,473,318.29 |
| CAGR % | 19.12% |
| 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 | 1 day ago |
|---|---|
| Portfolio | ^FFR-SML-VAL Instrument |
| Model | Buy and Hold |
| Period | 1973-01-01 — 2019-03-22 |
|---|---|
| Timeframe | Monthly |
| Starting Equity | $100,000.00 |
| Ending Equity | $237,400,407.39 |
| CAGR % | 18.31% |
| Max % Drawdown | (69.93%) |
| Standard Deviation | 5.81% |
| Annualized Sharpe | 0.79 |
| Win Rate % | 0.0% |
| Longest Drawdown | 61.0 months |
| Avg Trades Per Year | 0.00 |
| Updated | 1 day 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 |
© Copyright 2013 - 2019
Extrategic Investing, LLC.
All rights reserved.
