Something went wrong.
Please reload...

Faber US NAREIT — 2000 to 2024

Last Update: June 15, 2024 10:07 p.m. (12 hours ago)
NOT AN INVESTMENT ADVICE. RESULTS ARE HYPOTHETICAL AND SIMULATED. READ OUR DISCLAIMER.

Loading...

Current Positions and Signals

Members Only

Sorry, but this is for members only. The good news is that you can join us today for FREE and start following this strategy.

Sign Up now to get started!

If you're already a member, then please Sign In.

Last Six Months
Last Three Years

Last 10 Trades
Loading...
Logarithmic Equity Curve with Drawdown

Linear Equity Curve with Drawdown

Underwater Equity Curve

Want to see more?

With Advanced Backtest Analytics you can! Gain better insights and see the daily, monthly, and yearly equity logs, the total equity at risk, detailed trade logs, R-multiple distributions, and advanced stats. Learn More.
Loading...
Yearly Percent Returns

Yearly Percent Returns Distribution

Yearly Performance Summary

Want to see more?

With Advanced Backtest Analytics you can! Gain better insights and see the daily, monthly, and yearly equity logs, the total equity at risk, detailed trade logs, R-multiple distributions, and advanced stats. Learn More.

Monthly Percent Returns

Monthly Percent Returns with Benchmark

Monthly Percent Returns Distribution

Percent Returns Heatmap

Monthly Performance Summary

Overall Summary
Model Benchmark
Start Date 2000-01-01 2000-01-01
End Date 2024-06-14 2024-06-14
Time Elapsed 24 years, 5 months 24 years, 5 months
Starting Equity $100,000.00 $100,000.00
Ending Equity $889,023.10 $881,911.65
CAGR % 9.35% 9.31%
Max % Drawdown (21.03%) (68.13%)
Standard Deviation 3.57% 5.76%
Annualized Sharpe 0.55 0.40
MAR Ratio 0.44 0.14
Win Rate % 55.6% 0.0%
Avg Win / Loss Ratio 3.66
Expectancy $1.59
Avg Win % 29.42% 0.00%
Avg Loss % (3.92%) 0.00%
Longest Drawdown Duration 35.9 months 71.1 months
Avg Trades Per Year 0.74 0.00
Equity Breakdown
Model Benchmark
Starting Equity $100,000.00 $100,000.00
Ending Equity $889,023.10 $881,911.65
Open Equity $0.00 $781,911.65
Gross Profit $933,870.76 $0.00
Gross Loss ($203,958.92) $0.00
Net Profit $729,911.84 $0.00
Net Long Profit $729,911.84 $0.00
Net Short Profit $0.00 $0.00
Net Long Profit as % of Net Profit 100.0%
Net Short Profit as % of Net Profit 0.0%
Earned Dividends $0.00 $0.00
Earned Interest $59,111.26 $0.00
Margin Interest $0.00 $0.00
Total Slippage $0.00 $0.00
Total Forex Carry $0.00 $0.00
Total Commissions $0.00 $0.00
Expenses
Model Benchmark
Margin Interest $0.00 $0.00
Total Commissions $0.00 $0.00
Round Turns 1,893.0 0.0
Commissions Per Round Turn $0.00 $0.00
Slippage Per Round Turn $0.00 $0.00
Risk / Reward
Model Benchmark
MAR Ratio 0.44 0.14
Calmar Ratio 0.44 0.14
Modified Sharpe Ratio 0.79 0.55
Robust Sharpe Ratio 0.77 0.44
R-Squared 0.9184 0.9011
Profit Expectation
Model Benchmark
CAGR % 9.35% 9.31%
RAR 9.56% 8.85%
Profit Factor 4.58 0.00
Percent Profit Factor 9.38 0.00
Expectancy $1.59
Percentage Expectancy 0.15 0.00
Total Equity Drawdowns
Model Benchmark
Max % Drawdown (21.03%) (68.13%)
Longest Drawdown Duration 35.9 months 71.1 months
Max Monthly % Drawdown (21.03%) (68.13%)
Avg of Top-5 Max % Drawdowns (16.69%) (31.07%)
Avg Duration of Top-5 Longest Drawdowns 26.9 months 28.1 months
Avg of All % Drawdowns (6.65%) (9.27%)
Std Dev of All % Drawdowns 5.36% 13.71%
Closed Equity Drawdowns
Model Benchmark
Closed-Equity Max % Drawdown (10.50%) 0.00%
Closed-Equity Max Monthly % Drawdown (10.42%) 0.00%
Closed-Equity Avg of All % Drawdown (6.50%) 0.00%
Closed-Equity Std Dev of All % Drawdown 4.03% 0.00%
Trades
Model Benchmark
Win Rate % 55.6% 0.0%
Lose Rate % 44.4% 0.0%
Winning Trades 10 0
Losing Trades 8 0
Total Trades 18 0
Max Consecutive Wins 3 0
Max Consecutive Losses 4 0
Avg Trade Duration 353.1 days 0.0 days
Avg Winning Trade Duration 565.9 days 0.0 days
Avg Losing Trade Duration 87.1 days 0.0 days
Largest Winning Trade $216,040.20 $0.00
Largest Losing Trade ($55,980.54) $0.00
Largest Win as % of Net Profit 29.60%
Avg Win $93,387.08 $0.00
Avg Loss ($25,494.86) $0.00
Avg Win / Loss Ratio 3.66
Avg Trade $40,550.66 $0.00
Avg Win % 29.42% 0.00%
Avg Loss % (3.92%) 0.00%
Avg Trade % 14.60% 0.00%
Avg Risk % (99.52%) 0.00%
Avg Trades Per Year 0.74 0.00
Avg Trades Per Month 0.06 0.00
Avg Trades Per Day 0.00 0.00
Monthly Win / Loss Profile
Model Benchmark
Winning Months % 74.5% 63.6%
Losing Months % 25.5% 36.4%
Winning Months 219 187
Losing Months 75 107
Total Months 294 294
Max Consecutive Winning Months 18 14
Max Consecutive Losing Months 3 4
Yearly Win / Loss Profile
Model Benchmark
Winning Years % 64.0% 76.0%
Losing Years % 36.0% 24.0%
Winning Years 16 19
Losing Years 9 6
Total Years 25 25
Max Consecutive Winning Years 7 9
Max Consecutive Losing Years 2 2
Rolling Periods
Model Benchmark
Rolling 3-Month Win Rate 69.9% 66.1%
Rolling 6-Month Win Rate 70.6% 72.3%
Rolling 12-Month Win Rate 73.5% 76.3%
Rolling 3-Year Win Rate 91.3% 82.6%
Rolling 5-Year Win Rate 100.0% 85.7%
Rolling 10-Year Win Rate 100.0% 100.0%
Rolling 3-Month Periods 292 292
Rolling 6-Month Periods 289 289
Rolling 12-Month Periods 283 283
Rolling 3-Year Periods 23 23
Rolling 5-Year Periods 21 21
Rolling 10-Year Periods 16 16
Loading...
Trade By Trade Chart
Instrument


Profit % Distribution

Want to see more?

With Advanced Backtest Analytics you can! Gain better insights and see the daily, monthly, and yearly equity logs, the total equity at risk, detailed trade logs, R-multiple distributions, and advanced stats. Learn More.
Loading...
Last Available Instrument Data

Current Open Positions

Members Only

Sorry, but this is for members only. The good news is that you can join us today for FREE and start following this strategy.

Sign Up now to get started!

If you're already a member, then please Sign In.

New Open Orders

Members Only

Sorry, but this is for members only. The good news is that you can join us today for FREE and start following this strategy.

Sign Up now to get started!

If you're already a member, then please Sign In.