Faber Relative Strength Portfolio: Top 3 of 5
for period ending April 30, 2023
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Risk vs. return for t.frs3: The scatterplots below show the best portfolio recipes as dots closest to the green smiley the at top left of each scatterplot. The yellow dot shows the total return and risk for this portfolio recipe. The risk is measured by maximum loss over each period. Any dot closer to the top left corner has shown better performance using this metric.
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Maximum Drawdown vs. Annual Return
●t.frs3●Peer group recipes●All other recipes●S&P 500 (SPY)●U.S. Bonds (BND)●Balanced (60% Equity / 40% Bonds)
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Description Faber Relative Strength Portfolio: Top 3 of 5 gives investors access to a dynamic portfolio that uses an asset allocation algorithm that chooses asset classes to invest in based on recent returns. This portfolio recipe uses exchange-traded funds and uses a dynamic asset allocation algorithm which ranks asset classes based a relative strength score using the returns over the past 1, 3, 6, 9, and 12 months..
Category Tactical: DIY. This portfolio recipe is tactical (dynamic) and do-it-yourself.
Ingredients used This portfolio recipe invests in exchange-traded funds (ETFs) chosen from a set of 6 possible asset class ETFs. The percentage allocation (i.e., weighting) to each of the chosen ETFs is selected using the algorithm for this portfolio recipe.
Peer Group Tactical: DIY
- Tactical: This is a Tactical (i.e., dynamic, active) portfolio that is updated at the beginning of each calendar month. Tactical means that the ingredients and allocation to each ingredient can change every month. This portfolio recipe is updated monthly to reflect the new allocation.
- DIY: do-it-yourself. This is a do-it-yourself portfolio, which you can buy and update at your favorite brokerage. See How to Invest, below.
You can see how this recipe has performed compared to its peers by clicking on any "Rank: Group" link in the Compare sections, below.
Methodology This portfolio recipe is created using an algorithm chooses the ingredients and weightings for each of the asset class ETFs in this portfolio recipe. The Faber Relative Strength Portfolio: Top 3 of 5 uses a tactical (also called "dynamic" or "active") asset allocation approach. This portfolio recipe is allowed to choose from 6 ETFs that represent major asset classes. The steps to create this portfolio are as follows:
- VizMetrics chooses the set of possible asset classes that will be used for this Folio's asset allocation, which are the following: U.S. Large Cap Equity, U.S. Short-Term Treasury Bonds, U.S. Real Estate, U.S. Intermediate Term Treasury Bonds, International Developed Markets Equity, and Commodities.
- VizMetrics chooses one ETF to represent each asset class, based on liquidity, history, and cost considerations. The ETFs chosen to represent the asset classes are as follows: SPY, SHY, VNQ, IEF, EFA, DBC.
- VizMetrics runs the investment algorithm to choose the optimal asset allocation portfolio by ranking five of the asset classes (all except SHY) based on a composite momentum score which is the sum of returns over the past 1, 3, 6, 9, and 12 months.
- VizMetrics determines the Top 3 asset class based on the ranking. If a chosen asset class is above its 10-month simple moving average (SMA) based on total return, then the algorithm chooses that asset class to invest in during the upcoming month. If the asset class is below it 10-month SMA, then the algorithm invests in SHY instead.
Cost Access to this portfolio recipe is included at no extra charge as part of your VizMetrics Investor subscription. You can invest in this portfolio recipe using the Recipe Ingredients listed below at your favorite brokerage. See
How to Invest, below.
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Update frequency: The recipe for this portfolio can change monthly. In other words, the ingredients and percentage allocation to each ingredient can change at the beginning of each month. Therefore, this portfolio requires a few minutes each month to buy or sell the ingredients to match the updated portfolio recipe.
Where to get the recipe updates&nsbp;&nsbp;This portfolio recipe is available to VizMetrics Investor subscribers.
Upgrade your subscription. After subscribing, the exact recipe (ingredient plus percentage allocation to each ingredient) appears on this page under a new section labelled "Recipe ingredients"
Rebalancing stepsYou need to update this portfolio each month to adhere to this portfolio's recipe. See
How to rebalance your portfolio for period ending April 30, 2023
Downside Deviation vs. Annual Return
●t.frs3●Peer group recipes●All other recipes●S&P 500 (SPY)●U.S. Bonds (BND)●Balanced (60% Equity / 40% Bonds)
The location of
●t.frs3 and the identities of all the
● portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only.
Upgrade your subscription. Only $15 per month. Cancel anytime.
Standard Deviation vs. Annual Return
●t.frs3●Peer group recipes●All other recipes●S&P 500 (SPY)●U.S. Bonds (BND)●Balanced (60% Equity / 40% Bonds)
The location of
●t.frs3 and the identities of all the
● portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only.
Upgrade your subscription. Only $15 per month. Cancel anytime.
for period ending April 30, 2023
5-year graph ●t.frs3●Global equities (ACWI)●U.S. equities (SPY)●U.S. bonds (BND)●60% Equity / 40% Bonds (s.6040)
for period ending April 30, 2023
for period ending April 30, 2023
| | 1 year | 3 year | 5 year | 7 year | 10 year | 15 year |
| to Global Stocks (ACWI) | 0.75 | 0.75 | 0.64 | 0.65 | 0.65 | 0.65 |
| to S&P500 (SPY) | 0.70 | 0.74 | 0.64 | 0.65 | 0.64 | 0.64 |
| to U.S. Bonds (BND) | 0.78 | 0.41 | 0.24 | 0.24 | 0.28 | 0.23 |
| to Commodities (DBC) | 0.71 | 0.63 | 0.50 | 0.48 | 0.36 | 0.47 |
| to Gold (GLD) | 0.56 | 0.23 | 0.13 | 0.17 | 0.15 | 0.21 |
