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P Shiller Cyclically Adjusted PE 10 SO SU SMA 200 Days Total Return Bond As Cash And Strategic Switch Monthly 1x
P Shiller Cyclically Adjusted PE 10 SO SU SMA 200 Days Total Return Bond As Cash And Strategic Switch Monthly 1x
live (public) 0.98% November 29
If Shiller CAPE10 > 1x CAPE10 Long Term Average, switch to P SMA 200d VFINX Total Return Bond As Cash Monthly
else
Switch to VFINX (S&P 500)
Delayed
Holdings (As of 09/30/2021)
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Asset | Fund in this portfolio | Price change* | Percentage |
---|---|---|---|
Safe | P_61056 (P SMA 200d VFINX Total Return Bond As Cash Monthly) | 1.19% | 100.00% |
* Day change on 09/30/2021.
Performance (As of 11/29/2021)
Since 01/02/2001
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
P Shiller Cyclically Adjusted PE 10 SO SU SMA 200 Days Total Return Bond As Cash And Strategic Switch Monthly 1x | 12.8% | 24.7% | 12.4% | 12.5% | 13.3% | 11.9% |
VFINX (Vanguard (S&P 500) Index) | 6.0% | 22.5% | 7.9% | 13.2% | 12.4% | 14.5% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 3.0% | 14.4% | 2.6% | 7.7% | 7.7% | 9.5% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | -0.9 | 24.7 | 12.4 | 12.5 | 13.3 | 11.9 | 12.3 | 11.9 | 20.6 | 15.2 | 12.2 | -5.4 | 20.0 | 16.4 | -3.1 | 13.5 | 32.2 | 15.8 | -0.6 | 15.8 | 26.5 | 0.4 | 5.4 | 15.6 | 4.8 | 12.2 | 36.8 | 2.8 | 2.3 |
Sharpe Ratio | NA | 1.9 | 0.8 | 0.88 | 0.95 | NA | NA | 0.79 | 1.55 | 0.87 | 1.01 | -0.41 | 2.82 | 0.86 | -0.23 | 1.18 | 2.9 | 1.24 | -0.04 | 1.14 | 0.97 | -0.04 | 0.15 | 1.23 | 0.25 | 1.04 | 3.19 | 0.31 | 0.01 |
Draw Down(%) | NA | 6.5 | 18.6 | 20.9 | 20.9 | NA | NA | 28.7 | 6.5 | 18.6 | 7.7 | 20.9 | 3.0 | 11.1 | 12.0 | 7.3 | 5.6 | 9.6 | 17.5 | 12.1 | 27.2 | 13.1 | 9.9 | 7.5 | 7.0 | 7.5 | 4.4 | 7.1 | 0.0 |
Standard Deviation(%) | NA | 13.0 | 14.7 | 13.4 | 13.6 | NA | NA | 13.9 | 13.3 | 17.3 | 10.7 | 16.3 | 6.9 | 18.7 | 13.7 | 11.4 | 11.1 | 12.7 | 17.3 | 13.8 | 27.2 | 15.8 | 16.0 | 10.0 | 10.3 | 10.8 | 11.3 | 5.4 | 0.0 |
Treynor Ratio | NA | 0.26 | 0.3 | 0.25 | 0.22 | NA | NA | 0.25 | 0.21 | 0.61 | 0.15 | -0.07 | 0.19 | 0.37 | -0.04 | 0.13 | 0.32 | 0.16 | -0.01 | 0.3 | 0.26 | -0.06 | 0.02 | 0.13 | 0.03 | 0.12 | 0.95 | -2.11 | -0.03 |
Alpha | NA | -0.01 | 0.01 | 0.01 | 0.01 | NA | NA | 0.03 | -0.01 | 0.04 | -0.03 | -0.01 | -0.01 | 0.05 | -0.02 | 0.0 | 0.0 | 0.0 | -0.01 | 0.03 | 0.0 | 0.02 | 0.0 | 0.0 | 0.0 | 0.01 | 0.09 | 0.01 | 0.0 |
Beta | NA | 0.97 | 0.4 | 0.48 | 0.58 | NA | NA | 0.45 | 0.97 | 0.25 | 0.72 | 0.91 | 1.0 | 0.43 | 0.79 | 1.01 | 1.0 | 1.0 | 0.53 | 0.53 | 1.02 | 0.1 | 0.99 | 0.97 | 0.97 | 0.91 | 0.38 | -0.01 | 0.0 |
RSquared | NA | 0.82 | 0.37 | 0.45 | 0.47 | NA | NA | 0.39 | 0.81 | 0.23 | 0.71 | 0.89 | 0.96 | 0.09 | 0.8 | 1.0 | 1.0 | 1.0 | 0.5 | 0.48 | 0.99 | 0.07 | 0.96 | 0.94 | 0.95 | 0.88 | 0.31 | 0.0 | 0.0 |
Sortino Ratio | NA | 2.65 | 1.05 | 1.15 | 1.32 | NA | NA | 1.1 | 2.13 | 1.1 | 1.34 | -0.52 | 4.29 | 1.33 | -0.31 | 1.65 | 4.39 | 1.88 | -0.05 | 1.58 | 1.39 | -0.05 | 0.2 | 1.86 | 0.36 | 1.5 | 5.0 | 0.4 | NA |
Yield(%) | N/A | 0.0 | 0.16 | 0.09 | 0.05 | N/A | N/A | 0.12 | 0.0 | 0.0 | 0.51 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.13 | 0.83 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 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 |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 01/02/2001
Strategies
Asset Allocation Strategy | Shiller Cyclically Adjusted PE 10 Stock Market Timing Strategy |