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P Doug Roberts Follow the Fed Add Treasury Note One Month Simple Constant Indicator
P Doug Roberts Follow the Fed Add Treasury Note One Month Simple Constant Indicator
live (public) 0.37% May 09
Delayed
Holdings (As of 03/28/2024)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Large or Small Cap | VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | 0.11% | 33.85% |
Treasury or Gold | VUSTX (VANGUARD LONG-TERM TREASURY FUND INVESTOR SHARES) | 0.0% | 32.61% |
Intermediate Treasury | VFITX (VANGUARD INTERMEDIATE-TERM TREASURY FUND INVESTOR SHARES) | 0.20% | 33.54% |
* Day change on 03/28/2024.
Performance (As of 05/09/2024)
Since 01/01/1997
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Doug Roberts Follow the Fed Add Treasury Note One Month Simple Constant Indicator | 1.9% | 9.1% | -0.1% | 6.6% | 5.7% | 7.2% |
VFINX (Vanguard (S&P 500) Index) | 10.0% | 28.0% | 9.2% | 14.4% | 12.7% | 14.3% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 4.7% | 16.0% | 3.3% | 8.2% | 7.9% | 9.5% |
* 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 01/02/1997 |
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 | 1997 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 1.8 | 1.9 | 9.1 | -0.1 | 6.6 | 5.7 | 7.2 | 7.6 | 8.3 | 11.3 | -12.8 | 8.5 | 18.0 | 20.0 | -5.4 | 11.7 | 11.2 | -4.1 | 4.1 | 2.1 | 9.2 | 5.2 | 21.8 | 14.4 | -4.8 | 12.3 | 13.9 | 9.6 | 10.1 | 22.4 | 2.9 | 5.2 | 4.9 | 4.7 | 18.1 | 19.2 |
Sharpe Ratio | NA | 0.07 | 0.59 | -0.18 | 0.35 | 0.41 | NA | NA | 0.66 | 0.7 | -0.81 | 0.7 | 0.88 | 2.47 | -0.71 | 2.06 | 1.39 | -0.51 | 0.55 | 0.21 | 1.04 | 0.42 | 2.04 | 1.2 | -0.37 | 1.24 | 0.9 | 1.05 | 1.46 | 3.2 | 0.26 | 0.38 | 0.08 | 0.16 | 1.92 | 1.93 |
Draw Down(%) | NA | 4.4 | 9.3 | 21.8 | 24.1 | 24.1 | NA | NA | 24.1 | 11.7 | 19.4 | 6.8 | 24.1 | 3.7 | 13.2 | 2.8 | 4.7 | 8.6 | 7.2 | 8.4 | 7.0 | 8.7 | 6.3 | 6.5 | 21.0 | 3.4 | 13.2 | 4.1 | 4.9 | 2.5 | 8.0 | 7.2 | 6.1 | 6.4 | 5.1 | 5.8 |
Standard Deviation(%) | NA | 8.0 | 8.9 | 13.0 | 14.3 | 11.5 | NA | NA | 10.3 | 10.1 | 17.5 | 12.1 | 20.2 | 7.5 | 9.4 | 5.4 | 7.9 | 8.1 | 7.3 | 9.7 | 8.8 | 12.4 | 10.6 | 11.9 | 15.3 | 7.5 | 11.7 | 7.0 | 6.3 | 6.8 | 7.0 | 7.7 | 10.1 | 9.6 | 7.7 | 8.1 |
Treynor Ratio | NA | 0.01 | 0.11 | -0.04 | 0.09 | 0.09 | NA | NA | 0.18 | 0.12 | -0.22 | 0.11 | 0.34 | 0.37 | -0.14 | 0.19 | 0.26 | -0.1 | 0.09 | 0.04 | 0.19 | 0.14 | 0.49 | 0.62 | -0.28 | 0.27 | 0.17 | 0.17 | 0.22 | 0.93 | 0.09 | 0.1 | 0.02 | 0.03 | 0.47 | 0.39 |
Alpha | NA | -0.03 | -0.02 | -0.02 | -0.01 | 0.0 | NA | NA | 0.02 | -0.01 | 0.0 | -0.04 | 0.03 | 0.02 | -0.01 | 0.0 | 0.03 | -0.02 | 0.0 | -0.05 | 0.01 | 0.02 | 0.06 | 0.03 | 0.02 | 0.03 | 0.02 | 0.03 | 0.02 | 0.06 | 0.03 | 0.03 | 0.03 | -0.02 | 0.03 | 0.02 |
Beta | NA | 0.42 | 0.48 | 0.64 | 0.58 | 0.54 | NA | NA | 0.38 | 0.57 | 0.66 | 0.74 | 0.53 | 0.5 | 0.49 | 0.57 | 0.42 | 0.42 | 0.45 | 0.57 | 0.49 | 0.37 | 0.44 | 0.23 | 0.21 | 0.34 | 0.63 | 0.44 | 0.42 | 0.23 | 0.2 | 0.28 | 0.43 | 0.49 | 0.31 | 0.4 |
RSquared | NA | 0.38 | 0.39 | 0.72 | 0.74 | 0.71 | NA | NA | 0.52 | 0.55 | 0.84 | 0.64 | 0.82 | 0.68 | 0.78 | 0.5 | 0.49 | 0.66 | 0.48 | 0.42 | 0.5 | 0.47 | 0.56 | 0.28 | 0.31 | 0.52 | 0.29 | 0.41 | 0.55 | 0.34 | 0.58 | 0.62 | 0.89 | 0.84 | 0.69 | 0.8 |
Sortino Ratio | NA | 0.1 | 0.85 | -0.25 | 0.48 | 0.56 | NA | NA | 0.93 | 1.01 | -1.11 | 0.99 | 1.14 | 3.78 | -0.93 | 3.2 | 2.06 | -0.68 | 0.77 | 0.27 | 1.53 | 0.59 | 2.99 | 1.79 | -0.51 | 1.8 | 1.27 | 1.58 | 2.25 | 7.06 | 0.38 | 0.56 | 0.12 | 0.23 | 2.89 | 2.91 |
Yield(%) | N/A | 1.96 | 6.38 | 2.84 | 2.34 | 1.82 | N/A | N/A | 2.43 | 4.85 | 1.01 | 0.95 | 1.77 | 1.44 | 1.27 | 1.2 | 1.57 | 1.26 | 1.15 | 1.05 | 1.39 | 2.22 | 2.08 | 3.1 | 2.39 | 3.47 | 2.44 | 1.83 | 1.7 | 2.25 | 2.61 | 2.39 | 4.15 | 4.43 | 4.54 | 5.13 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 01/01/1997
Strategies
Asset Allocation Strategy | Doug Roberts Follow the Fed Strategy |