- Portfolio Overview
- Holdings
- Performance
- Calculators
- Rolling Returns
- Drawdowns
Portfolio Overview
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.
Holdings
Historical Performance
The return data shown below all delayed by 3 months. Their latest dates are all the same: 10/31/2016.
AR inception is since 12/31/1998.
AR inception is since 12/31/1998.
| Name | YTD Return | 1Yr AR | 3Yr AR | 5Yr AR | 10Yr AR | 15Yr AR | 20Yr AR | Inception |
|---|---|---|---|---|---|---|---|---|
| P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury | NA | -3.16% | 2.29% | 3.29% | 4.48% | 6.10% | NA | 6.88% |
| VFINX (VANGUARD 500 INDEX FUND INVESTOR SHARES) | NA | 3.15% | 8.68% | 13.40% | 6.58% | 6.76% | 7.56% | 5.23% |
| VSMGX (VANGUARD LIFESTRATEGY MODERATE GROWTH FUND INVESTOR SHARES) | NA | 1.66% | 3.84% | 6.59% | 4.34% | 5.64% | 6.45% | 5.29% |
| Ticker/Portfolio | Last 1 Week | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Inception | YTD | 2024 | 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 | 1996 | 1995 | 1994 | 1993 | 1992 | 1991 | 1990 | 1989 | 1988 | 1987 | 1986 | 1985 | 1984 | 1983 | 1982 | 1981 | 1980 | 1979 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return (%) | P Diversified... Treasury | -1.54 | -3.16 | 2.29 | 3.29 | 4.48 | 6.10 | NA | 6.88 | NA | NA | NA | NA | NA | NA | NA | NA | 0.81 | 0.00 | -3.92 | 10.72 | 5.20 | 4.45 | -0.78 | 6.91 | 15.82 | -1.19 | 6.61 | 12.30 | 7.95 | 11.68 | 20.41 | -0.34 | -0.92 | 11.73 | 14.44 | 0.00 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | -1.16 | 3.15 | 8.68 | 13.40 | 6.58 | 6.76 | 7.56 | 5.23 | NA | 24.84 | 26.12 | -18.24 | 28.53 | 18.74 | 31.33 | -4.55 | 21.66 | 11.83 | 1.23 | 13.52 | 32.17 | 15.82 | 1.96 | 14.91 | 26.52 | -37.02 | 5.39 | 15.64 | 4.77 | 10.74 | 28.50 | -22.17 | -12.03 | -9.05 | 21.08 | 28.62 | 33.18 | 22.87 | 37.45 | 1.18 | 10.15 | 8.24 | 32.05 | -3.33 | 28.37 | 14.92 | 3.97 | 9.30 | 22.60 | 3.67 | 17.07 | 19.25 | -8.55 | 27.89 | -2.07 | |
| VSMGX (VANGUA...R SHARES) | -0.82 | 1.66 | 3.84 | 6.59 | 4.34 | 5.64 | 6.45 | 5.29 | NA | 10.28 | 15.51 | -16.01 | 10.08 | 13.59 | 19.30 | -6.28 | 14.86 | 7.09 | -2.21 | 6.38 | 14.73 | 9.78 | 0.12 | 13.14 | 20.35 | -26.49 | 7.21 | 13.30 | 5.68 | 11.76 | 22.40 | -10.34 | -4.78 | 1.27 | 14.09 | 21.59 | 17.90 | 10.77 | 26.58 | 2.04 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Sharpe Ratio | P Diversified... Treasury | NA | 0.13 | 0.47 | 0.59 | 0.48 | NA | NA | 0.71 | NA | NA | NA | NA | NA | NA | NA | NA | 0.71 | -0.04 | -0.75 | 2.20 | 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 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | 0.23 | 0.32 | 0.74 | 0.56 | NA | NA | 0.44 | -0.70 | 1.44 | 1.69 | -0.81 | 2.17 | 0.53 | 2.40 | -0.34 | 3.16 | 0.89 | 0.08 | 1.19 | 2.90 | 1.25 | 0.08 | 0.82 | 0.97 | -0.92 | 0.15 | 1.24 | 0.25 | 0.88 | 1.63 | -0.90 | -0.68 | -0.59 | 0.98 | 1.24 | 1.62 | 1.63 | 4.33 | -0.18 | 0.91 | 0.58 | 1.92 | -0.53 | 1.73 | 0.60 | 0.00 | 0.31 | 1.49 | -0.24 | 0.80 | 0.65 | -1.27 | 1.19 | -3.84 | |
| VSMGX (VANGUA...R SHARES) | NA | 0.29 | 0.15 | 0.51 | 0.38 | NA | NA | 0.49 | -0.10 | 0.48 | 1.37 | -1.22 | 1.32 | 0.70 | 2.78 | -0.86 | 3.76 | 0.83 | -0.26 | 1.01 | 2.16 | 1.23 | 0.01 | 1.18 | 1.12 | -0.98 | 0.41 | 1.36 | 0.50 | 1.49 | 2.09 | -0.75 | -0.58 | -0.23 | 1.08 | 1.57 | 1.57 | 0.93 | 4.20 | 4.63 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Standard Deviation(%) | P Diversified... Treasury | NA | 5.40 | 5.20 | 5.71 | 8.15 | NA | NA | 7.52 | NA | NA | NA | NA | NA | NA | NA | NA | 1.13 | 5.43 | 5.28 | 4.86 | 6.35 | 6.46 | 9.47 | 11.55 | 12.78 | 6.72 | 8.41 | 7.45 | 7.84 | 7.77 | 6.92 | 4.72 | 3.27 | 7.41 | 6.44 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | 19.39 | 18.60 | 17.94 | 18.44 | NA | NA | 18.12 | 28.69 | 12.67 | 13.09 | 24.19 | 13.11 | 34.69 | 12.48 | 17.11 | 6.68 | 13.11 | 15.51 | 11.39 | 11.07 | 12.74 | 23.36 | 18.07 | 27.22 | 40.99 | 16.02 | 10.04 | 10.29 | 11.10 | 17.04 | 25.96 | 21.55 | 22.20 | 18.17 | 20.48 | 18.21 | 11.77 | 7.77 | 9.92 | 8.83 | 9.93 | 14.69 | 16.06 | 13.09 | 17.07 | 33.80 | 16.55 | 11.67 | 12.80 | 13.62 | 18.09 | 14.61 | 16.53 | 23.80 | |
| VSMGX (VANGUA...R SHARES) | NA | 10.43 | 10.86 | 10.39 | 10.40 | NA | NA | 11.50 | 14.60 | 7.69 | 8.26 | 14.34 | 7.62 | 19.08 | 6.43 | 8.81 | 3.80 | 8.31 | 8.51 | 6.28 | 6.80 | 7.99 | 14.68 | 11.10 | 18.01 | 27.95 | 10.37 | 7.43 | 6.96 | 7.25 | 10.38 | 15.37 | 12.42 | 12.30 | 10.07 | 11.65 | 9.10 | 7.74 | 5.41 | 15.57 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Draw Down(%) | P Diversified... Treasury | NA | 5.97 | 8.68 | 8.68 | 11.55 | NA | NA | 11.55 | NA | NA | NA | NA | NA | NA | NA | NA | 0.00 | 5.97 | 7.29 | 3.06 | 6.92 | 4.49 | 11.55 | 8.79 | 5.28 | 9.70 | 6.29 | 7.01 | 5.54 | 4.97 | 5.63 | 6.86 | 2.92 | 3.79 | 5.47 | 0.00 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | 18.76 | 18.76 | 24.59 | 33.83 | NA | NA | 55.25 | 18.76 | 8.45 | 9.97 | 24.59 | 5.14 | 33.83 | 6.63 | 19.40 | 2.60 | 10.29 | 12.05 | 7.30 | 5.59 | 9.60 | 18.71 | 15.66 | 27.17 | 47.73 | 9.88 | 7.47 | 7.01 | 7.47 | 13.79 | 33.02 | 29.18 | 16.55 | 11.81 | 19.20 | 10.79 | 7.45 | 2.50 | 8.48 | 4.84 | 5.63 | 5.57 | 19.19 | 7.35 | 7.24 | 33.08 | 11.63 | 7.51 | 10.58 | 7.02 | 13.21 | 15.61 | 16.03 | 2.40 | |
| VSMGX (VANGUA...R SHARES) | NA | 9.62 | 13.24 | 22.29 | 22.43 | NA | NA | 41.18 | 9.62 | 4.17 | 8.15 | 21.74 | 3.53 | 22.43 | 3.12 | 11.47 | 1.14 | 6.20 | 8.34 | 4.70 | 5.67 | 6.27 | 12.90 | 8.64 | 19.61 | 36.81 | 6.11 | 6.13 | 4.74 | 5.89 | 8.91 | 20.06 | 17.93 | 8.77 | 6.26 | 11.99 | 6.02 | 4.75 | 1.82 | 1.89 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| Yield(%) | P Diversified... Treasury | NA | 4.45 | 3.11 | 2.59 | 2.68 | NA | NA | 3.09 | NA | NA | NA | NA | NA | NA | NA | NA | 0.00 | 4.46 | 2.12 | 2.76 | 0.98 | 2.63 | 1.85 | 2.20 | 2.57 | 1.63 | 5.55 | 2.98 | 5.52 | 2.99 | 3.81 | 2.38 | 3.22 | 5.09 | 2.83 | 0.00 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| VFINX (VANGUA...R SHARES) | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | |
| VSMGX (VANGUA...R SHARES) | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury Return Calculator
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Calculators
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Rolling Returns
From 12/31/1998 to 01/05/2017, the worst annualized return of 3-year rolling returns for P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury is 1.53%.
From 12/31/1998 to 01/05/2017, the worst annualized return of 5-year rolling returns for P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury is 1.35%.
From 12/31/1998 to 01/05/2017, the worst annualized return of 10-year rolling returns for P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury is 4.22%.
Maximum Drawdown
P Diversified Timing On Endowment Asset Allocation Model SMA 10 Months With Long Treasury Maximum Drawdown