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P Shiller Cyclically Adjusted PE 10 SO (1.5) TAA SU (0.83) SAA Switching Monthly
P Shiller Cyclically Adjusted PE 10 SO (1.5) TAA SU (0.83) SAA Switching Monthly
live (public) 0.14% November 29
If Shiller CAPE10 > 1.5x CAPE10 Long Term Average, switch to P Relative Strength Trend Following Six Assets
else
If Shiller CAPE10 < 0.8x CAPE10 Long Term Average, buy VFINX (S&P 500)
else hold
Delayed
Holdings (As of 09/30/2021)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Safe | P_39067 (P Relative Strength Trend Following Six Assets) | 1.05% | 100.00% |
* Day change on 09/30/2021.
Performance (As of 11/29/2021)
Since 12/31/1991
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Shiller Cyclically Adjusted PE 10 SO (1.5) TAA SU (0.83) SAA Switching Monthly | 11.7% | 21.0% | 13.2% | 9.6% | 9.6% | 10.6% |
VFINX (Vanguard (S&P 500) Index) | 7.3% | 27.5% | 8.3% | 13.5% | 12.6% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 2.7% | 15.1% | 2.4% | 7.6% | 7.7% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 12/31/1991 |
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 | 1996 | 1995 | 1994 | 1993 | 1992 | 1991 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | -1.6 | 21.0 | 13.2 | 9.6 | 9.6 | 10.6 | 12.1 | 11.3 | 16.3 | 15.9 | 14.0 | -14.6 | 21.0 | 0.6 | -7.7 | 5.5 | 31.2 | 15.8 | 2.0 | 14.9 | 53.8 | -2.1 | 8.5 | 22.5 | 6.8 | 21.1 | 30.7 | 3.7 | 8.3 | -1.1 | 27.2 | 12.0 | -3.0 | 15.6 | 22.1 | 3.3 | 10.3 | 5.4 | 0.0 |
Sharpe Ratio | NA | 1.86 | 1.16 | 0.82 | 0.83 | NA | NA | 0.83 | 1.43 | 1.28 | 1.62 | -1.08 | 3.06 | 0.04 | -0.69 | 0.63 | 2.81 | 1.24 | 0.08 | 0.82 | 2.35 | -0.33 | 0.34 | 1.34 | 0.45 | 1.67 | 3.41 | 0.48 | 1.32 | -0.46 | 2.13 | 0.96 | -1.01 | 1.88 | 3.35 | 0.04 | 1.28 | 0.58 | NA |
Draw Down(%) | NA | 6.4 | 14.4 | 23.0 | 23.0 | NA | NA | 23.0 | 6.4 | 14.4 | 4.3 | 23.0 | 2.6 | 8.5 | 13.6 | 6.2 | 5.6 | 9.6 | 18.7 | 15.7 | 9.9 | 12.4 | 10.6 | 17.3 | 7.0 | 13.0 | 3.3 | 7.5 | 3.2 | 8.5 | 6.0 | 11.7 | 9.3 | 5.6 | 3.1 | 7.0 | 5.3 | 2.4 | 0.0 |
Standard Deviation(%) | NA | 11.3 | 10.8 | 10.9 | 11.0 | NA | NA | 11.7 | 11.4 | 12.2 | 7.8 | 14.7 | 6.7 | 9.7 | 11.3 | 8.8 | 11.1 | 12.7 | 23.4 | 18.1 | 22.9 | 9.3 | 16.2 | 14.4 | 10.2 | 12.0 | 8.8 | 5.5 | 4.5 | 11.2 | 11.2 | 9.1 | 6.5 | 6.4 | 5.4 | 7.1 | 6.4 | 5.2 | NA |
Treynor Ratio | NA | 0.26 | 0.58 | 0.3 | 0.21 | NA | NA | 0.28 | 0.2 | 1.38 | 0.44 | -0.24 | 0.25 | 0.01 | -0.15 | 0.08 | 0.31 | 0.16 | 0.02 | 0.15 | 0.78 | 0.64 | 0.06 | 0.23 | 0.06 | 0.3 | 2.03 | 2.73 | 1.14 | -0.19 | 0.63 | 0.41 | -0.4 | 0.33 | 0.4 | 0.01 | 0.22 | NA | NA |
Alpha | NA | -0.01 | 0.03 | 0.02 | 0.01 | NA | NA | 0.03 | -0.01 | 0.05 | 0.02 | -0.05 | 0.01 | -0.02 | -0.03 | -0.01 | 0.0 | 0.0 | 0.0 | 0.0 | 0.11 | -0.02 | 0.01 | 0.03 | 0.01 | 0.05 | 0.09 | 0.01 | 0.03 | -0.01 | 0.06 | 0.01 | -0.04 | 0.02 | 0.01 | 0.01 | 0.02 | NA | NA |
Beta | NA | 0.81 | 0.22 | 0.3 | 0.43 | NA | NA | 0.35 | 0.8 | 0.11 | 0.28 | 0.67 | 0.8 | 0.41 | 0.54 | 0.67 | 0.99 | 1.0 | 1.01 | 1.01 | 0.69 | -0.05 | 0.88 | 0.85 | 0.73 | 0.67 | 0.15 | 0.01 | 0.05 | 0.28 | 0.38 | 0.21 | 0.16 | 0.36 | 0.46 | 0.42 | 0.37 | NA | NA |
RSquared | NA | 0.76 | 0.2 | 0.26 | 0.4 | NA | NA | 0.3 | 0.77 | 0.1 | 0.21 | 0.62 | 0.66 | 0.3 | 0.54 | 0.72 | 0.99 | 1.0 | 1.0 | 1.0 | 0.64 | 0.04 | 0.75 | 0.35 | 0.55 | 0.38 | 0.08 | 0.0 | 0.07 | 0.35 | 0.38 | 0.27 | 0.26 | 0.55 | 0.52 | 0.38 | 0.26 | NA | NA |
Sortino Ratio | NA | 2.71 | 1.59 | 1.07 | 1.14 | NA | NA | 1.17 | 2.06 | 1.7 | 2.29 | -1.26 | 5.0 | 0.05 | -0.9 | 0.85 | 4.23 | 1.88 | 0.11 | 1.16 | 3.69 | -0.42 | 0.46 | 1.93 | 0.67 | 2.39 | 5.58 | 0.71 | 2.07 | -0.64 | 3.3 | 1.31 | -1.18 | 2.73 | 5.17 | 0.06 | 1.83 | 0.82 | NA |
Yield(%) | N/A | 0.0 | 0.16 | 0.09 | 0.51 | N/A | N/A | 0.48 | 0.0 | 0.0 | 0.52 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.55 | 2.31 | 1.93 | 1.9 | 3.12 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.13 | 0.8 | 0.73 | 0.78 | 0.0 |
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 | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/1991
Strategies
Asset Allocation Strategy | Shiller Cyclically Adjusted PE 10 Stock Market Timing Strategy |