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P Diversified Timing On Permanent Portfolio SMA 10 Months With Long Treasury
P Diversified Timing On Permanent Portfolio SMA 10 Months With Long Treasury
live (public) 0.32% May 24
Delayed
Holdings (As of 03/28/2024)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
us | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.11% | 21.62% |
inter | VGTSX (VANGUARD TOTAL INTERNATIONAL STOCK INDEX FUND INVESTOR SHARES) | 0.05% | 20.37% |
nareit | VGSIX (VANGUARD REIT INDEX FUND INVESTOR SHARES) | 0.77% | 18.95% |
commodity | GLD (SPDR® Gold Shares) | 1.29% | 20.90% |
bonds | VUSTX (VANGUARD LONG-TERM TREASURY FUND INVESTOR SHARES) | 0.0% | 18.16% |
* Day change on 03/28/2024.
Performance (As of 05/24/2024)
Since 12/31/1998
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Diversified Timing On Permanent Portfolio SMA 10 Months With Long Treasury | 2.5% | 5.6% | 1.6% | 5.7% | 3.4% | 5.3% |
VFINX (Vanguard (S&P 500) Index) | 11.8% | 30.7% | 9.7% | 15.2% | 12.8% | 14.7% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.8% | 18.2% | 3.6% | 8.7% | 7.9% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 12/31/1998 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000 | 1999 | 1998 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | -1.7 | 2.5 | 5.6 | 1.6 | 5.7 | 3.4 | 5.3 | 5.6 | 5.7 | 3.9 | -5.8 | 12.1 | 6.4 | 14.1 | -4.1 | 6.8 | 1.7 | -6.2 | 8.7 | 4.0 | 4.5 | 3.1 | 12.7 | 13.9 | -3.2 | 5.2 | 15.6 | 8.2 | 9.7 | 23.2 | 2.5 | 1.7 | 3.1 | 6.9 | 0.0 |
Sharpe Ratio | NA | 0.11 | 0.24 | -0.12 | 0.55 | 0.01 | NA | NA | 0.04 | -0.05 | -1.62 | 1.63 | 0.64 | 2.12 | -0.01 | 1.29 | 0.23 | -1.13 | 1.72 | 0.64 | 0.71 | 0.33 | 1.12 | 1.12 | -0.66 | 0.23 | 1.36 | 0.86 | 1.34 | 3.56 | 0.35 | -0.23 | -0.17 | 0.56 | NA |
Draw Down(%) | NA | 3.4 | 6.0 | 7.5 | 10.9 | 98.5 | NA | NA | 98.5 | 7.3 | 6.8 | 4.7 | 10.9 | 2.3 | 98.5 | 2.5 | 7.0 | 9.6 | 3.4 | 7.2 | 4.2 | 6.1 | 7.2 | 6.7 | 11.0 | 6.0 | 9.7 | 4.1 | 6.9 | 2.9 | 3.8 | 2.7 | 4.3 | 4.5 | 0.0 |
Standard Deviation(%) | NA | 8.9 | 7.6 | 6.6 | 7.4 | 187.6 | NA | NA | 118.0 | 7.1 | 4.4 | 7.4 | 9.6 | 6.0 | 594.1 | 4.8 | 6.5 | 5.5 | 5.1 | 6.2 | 6.3 | 9.2 | 11.3 | 12.3 | 6.3 | 9.4 | 9.1 | 7.0 | 6.5 | 6.3 | 3.9 | 2.7 | 5.7 | 6.5 | NA |
Treynor Ratio | NA | 0.02 | 0.04 | -0.04 | 0.29 | 0.01 | NA | NA | 0.07 | -0.01 | -1.16 | 0.26 | 0.74 | 0.78 | 0.0 | 0.16 | 0.11 | -0.35 | 0.28 | 0.08 | 0.12 | 0.65 | 0.25 | 0.85 | -6.36 | 0.05 | 0.2 | 0.12 | 0.24 | 1.25 | 1.66 | -0.25 | -0.06 | 0.15 | NA |
Alpha | NA | -0.04 | -0.03 | -0.01 | 0.01 | 2.49 | NA | NA | 1.01 | -0.03 | -0.02 | 0.0 | 0.02 | 0.03 | 25.91 | 0.0 | 0.0 | -0.03 | 0.02 | -0.04 | 0.0 | 0.01 | 0.02 | 0.04 | -0.01 | 0.01 | 0.02 | 0.02 | 0.02 | 0.06 | 0.01 | 0.0 | 0.0 | 0.0 | NA |
Beta | NA | 0.59 | 0.48 | 0.18 | 0.14 | 1.61 | NA | NA | 0.64 | 0.36 | 0.06 | 0.47 | 0.08 | 0.16 | 17.5 | 0.39 | 0.14 | 0.18 | 0.31 | 0.51 | 0.37 | 0.05 | 0.5 | 0.16 | 0.01 | 0.47 | 0.63 | 0.49 | 0.37 | 0.18 | 0.01 | 0.03 | 0.16 | 0.24 | NA |
RSquared | NA | 0.56 | 0.52 | 0.24 | 0.17 | 0.0 | NA | NA | 0.0 | 0.44 | 0.11 | 0.69 | 0.09 | 0.11 | 0.0 | 0.3 | 0.08 | 0.25 | 0.48 | 0.82 | 0.56 | 0.01 | 0.63 | 0.13 | 0.0 | 0.64 | 0.48 | 0.51 | 0.39 | 0.23 | 0.0 | 0.04 | 0.37 | 0.45 | NA |
Sortino Ratio | NA | 0.15 | 0.34 | -0.16 | 0.74 | 0.02 | NA | NA | 0.05 | -0.06 | -1.99 | 2.33 | 0.81 | 3.12 | -0.01 | 1.7 | 0.32 | -1.45 | 2.37 | 0.84 | 1.0 | 0.44 | 1.56 | 1.65 | -0.87 | 0.31 | 2.0 | 1.27 | 1.98 | 6.78 | 0.55 | -0.33 | -0.23 | 0.88 | NA |
Yield(%) | N/A | 0.8 | 3.0 | 2.2 | 2.4 | 2.1 | 2.8 | 3.6 | 2.1 | 2.9 | 1.5 | 1.8 | 1.3 | 2.6 | 1.7 | 0.3 | 2.3 | 1.2 | 2.2 | 0.8 | 2.0 | 1.9 | 1.6 | 1.9 | 1.7 | 1.9 | 2.3 | 2.9 | 2.6 | 2.8 | 2.1 | 3.5 | 4.1 | 1.8 | 0.0 |
Dividend Growth(%) | N/A | -72.8 | 49.8 | 44.6 | 59.4 | 54.5 | N/A | N/A | N/A | 79.2 | -5.5 | 42.9 | -41.0 | 46.8 | 566.2 | -87.8 | 70.4 | -38.2 | 165.7 | -55.9 | 11.2 | 33.2 | -5.0 | 7.2 | -3.4 | -6.3 | -14.3 | 22.5 | 16.3 | 35.8 | -39.6 | -12.5 | 138.7 | N/A | N/A |
*: 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 |