US Tactical Switch Strategy

Tactical  Min % Max %
No allocation can exceed 100%, including the total portfolio allocation.
U.S. 7-10 BondsU.S. 7-10 Year Government Bonds
 
   0.00    100.00
U.S. l-cap StocksU.S. Large-capitalization Stocks
 
   0.00    100.00
Passive  %
This passive model is the benchmark.
U.S. l-cap StocksU.S. Large-capitalization Stocks
 
   100.00
Config
Allocation Rebalance 10.0% drift
Style Long-only
Metrics Passive Tactical
ReturnAnnualized Return %
 
   8.83    10.40
VolatilityAnnualized Volatility %
 
   13.73    10.44
SharpeSharpe Ratio
 
   0.54    0.86
SortinoSortino Ratio (tr=0)
 
   0.79    1.37
VaRVaR (95 - month) %
 
   -5.76    -4.12
DrawdownMaximum Drawdown %
 
   -50.77    -16.41
Allocation Changes
Average Changes per Year      0.92
Maximum Changes in a Year      2.00
Returns % Passive Tactical
Simulated performance, including transaction costs. 1y+ returns are annualized.
 close of 01/16/2018 
YTD      3.79    3.79
1 YEAR      24.34    24.34
3 YEAR      13.45    10.16
5 YEAR      15.80    13.77
10 YEAR      9.56    11.00
MAX      8.83    10.40

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