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P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury
P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury
live (public) 0.19% January 05
This portfolio is based on Mebane Faber's article A Quantitative Approach to Tactical Asset Allocation. It uses equal weights on five major asset classes:
- US Equity: Vanguard 500 Index VFINX
- International Equity: Vanguard International Equity VGTSX
- REITs: Vanguard REITs Index VGSIX
- Commodities: Oppenheimer Commodity Strat Total Ret A (QRAAX) --- This is chosen purely for the reason to have longer price history.
- Long Term Treasury Bonds: Vanguard Long Term Treasury VUSTX
It uses the following rules:
BUY RULE
Buy when monthly price > 10-month SMA.
SELL RULE
Sell and move to cash when monthly price < 10-month SMA.
1. All entry and exit prices are on the day of the signal at the close. The model is only
updated once a month on the last day of the month. Price fluctuations during the rest of
the month are ignored.
2. All data series are total return series including dividends, updated monthly.
Delayed
Holdings (As of 11/30/2016)
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| Asset | Fund in this portfolio | Price change* | Percentage |
|---|---|---|---|
| us | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.24% | 20.94% |
| inter | VGTSX (VANGUARD TOTAL INTERNATIONAL STOCK INDEX FUND INVESTOR SHARES) | 0.0% | 18.45% |
| nareit | CASH (CASH) | 0.0% | 19.83% |
| commodity | CASH (CASH) | 0.0% | 17.05% |
| bonds | CASH (CASH) | 0.0% | 21.11% |
| CASH | CASH (CASH) | 0.0% | 2.62% |
* Day change on 11/30/2016.
Previous
Performance (As of 01/05/2017)
Since 12/31/1998
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury | 0.8% | 0.9% | 2.5% | 3.4% | 4.4% | 6.2% |
| VFINX (Vanguard (S&P 500) Index) | 5.5% | 22.3% | 7.7% | 13.3% | 12.5% | 14.5% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 1.7% | 12.8% | 2.3% | 7.6% | 7.7% | 9.6% |
* YTD: Year to Date
** AR: Annualized Return
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | Since 12/31/1998 |
2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 0.9 | 0.9 | 2.5 | 3.4 | 4.4 | 6.2 | 6.6 | 0.8 | 0.0 | -3.9 | 10.7 | 5.2 | 4.5 | -0.8 | 6.9 | 15.8 | -1.2 | 6.6 | 12.3 | 8.0 | 11.7 | 20.4 | -0.3 | -0.9 | 11.7 | 14.4 | 0.0 |
| Sharpe Ratio | NA | 0.13 | 0.47 | 0.59 | 0.48 | NA | 0.71 | 0.71 | -0.04 | -0.75 | 2.2 | 0.81 | 0.68 | -0.09 | 0.59 | 1.23 | -0.32 | 0.43 | 1.21 | 0.74 | 1.38 | 2.85 | -0.31 | -0.99 | 1.04 | 1.74 | NA |
| Draw Down(%) | NA | 6.0 | 8.7 | 8.7 | 11.5 | NA | 11.5 | 0.0 | 6.0 | 7.3 | 3.1 | 6.9 | 4.5 | 11.5 | 8.8 | 5.3 | 9.7 | 6.3 | 7.0 | 5.5 | 5.0 | 5.6 | 6.9 | 2.9 | 3.8 | 5.5 | 0.0 |
| Standard Deviation(%) | NA | 5.4 | 5.2 | 5.7 | 8.1 | NA | 7.5 | 1.1 | 5.4 | 5.3 | 4.9 | 6.3 | 6.5 | 9.5 | 11.5 | 12.8 | 6.7 | 8.4 | 7.4 | 7.8 | 7.8 | 6.9 | 4.7 | 3.3 | 7.4 | 6.4 | NA |
| Treynor Ratio | NA | 0.03 | 0.11 | 0.11 | 0.24 | NA | 0.35 | 0.06 | -0.01 | -0.22 | 0.35 | 0.1 | 0.11 | -0.1 | 0.13 | 0.84 | -2.17 | 0.09 | 0.16 | 0.13 | 0.36 | 1.85 | -0.53 | -1.21 | 0.63 | 0.53 | NA |
| Alpha | NA | -0.01 | 0.0 | 0.0 | 0.01 | NA | 0.02 | 0.21 | -0.01 | -0.02 | 0.03 | -0.03 | 0.0 | 0.0 | 0.0 | 0.04 | -0.01 | 0.01 | 0.01 | 0.02 | 0.03 | 0.06 | 0.0 | -0.01 | 0.04 | 0.03 | NA |
| Beta | NA | 0.22 | 0.22 | 0.3 | 0.16 | NA | 0.15 | 0.13 | 0.22 | 0.18 | 0.3 | 0.52 | 0.38 | 0.08 | 0.53 | 0.19 | 0.01 | 0.4 | 0.58 | 0.45 | 0.3 | 0.11 | 0.03 | 0.03 | 0.12 | 0.21 | NA |
| RSquared | NA | 0.27 | 0.32 | 0.45 | 0.18 | NA | 0.16 | 0.76 | 0.27 | 0.27 | 0.5 | 0.81 | 0.57 | 0.04 | 0.69 | 0.16 | 0.0 | 0.57 | 0.61 | 0.34 | 0.18 | 0.07 | 0.02 | 0.03 | 0.14 | 0.36 | NA |
| Sortino Ratio | NA | 0.17 | 0.64 | 0.8 | 0.66 | NA | 0.99 | NA | -0.05 | -0.98 | 3.26 | 1.07 | 0.96 | -0.11 | 0.81 | 1.82 | -0.43 | 0.58 | 1.81 | 1.07 | 2.06 | 4.34 | -0.4 | -1.31 | 1.48 | 2.63 | NA |
| Yield(%) | N/A | 4.45 | 3.11 | 2.59 | 2.68 | N/A | 3.09 | 0.0 | 4.46 | 2.12 | 2.76 | 0.98 | 2.63 | 1.85 | 2.2 | 2.57 | 1.63 | 5.55 | 2.98 | 5.52 | 2.99 | 3.81 | 2.38 | 3.22 | 5.09 | 2.83 | 0.0 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/1998
Strategies
| Rebalancing Strategy | Fixed Time Interval Rebalancing |
| Asset Strategy | SMA Timing Method proposed by Faber |
| Asset Strategy | SMA Timing Method proposed by Faber |
| Asset Strategy | SMA Timing Method proposed by Faber |
| Asset Strategy | SMA Timing Method proposed by Faber |
| Asset Strategy | SMA Timing Method proposed by Faber |
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