Investment Returns

Our verifiable proof: The results of this method are proven and documented by a research study that was published in the Journal of Wealth Management. You can download the study from us or from Social Science Research Network.

The chart below shows the historical annual returns of the Pro-Folio USA method as compared to the same portfolio “Buy-and-Hold” — that is, without market-timing, as documented in the research paper. Please note that these are the returns of the market indexes, before any fees or commissions are deducted. With ETF fees and commissions included, your performance will be lower. Past performance is not necessarily an indicator of future performance. Future returns are not guaranteed, and your portfolio may lose value.

Summary over 1973-2012

Buy & Hold Pro-Folio Difference
Avg Return 9.92% 10.48% 5.6% better
Volatility 10.28% 6.99%  30% better
Max Drawdown -35.98% -9.53%  66% better
Best Year 26.58% 26.20%  about same
Worst Year -30.09% -0.59%  99% better

Yearly Returns Comparison

 Year  Buy & Hold  Pro-Folio  Difference
 1973  1.03%  7.39%  6.36%
 1974  -11.80%  12.07%  23.87%
 1975  20.16%  1.46%  -18.70%
 1976  15.04%  16.01%  0.97%
 1977  8.24%  7.20%  -1.04%
1978 13.65% 11.88% -1.77%
 1979  17.89%  14.65%  -3.24%
 1980  18.95%  12.91%  -6.04%
 1981  -3.34%  4.80%  8.14%
 1982  21.34%  22.06%  0.72%
 1983  17.97%  15.77%  -2.20%
 1984  9.43%  6.98%  -2.45%
 1985  26.58%  26.20%  -0.38%
 1986  25.50%  21.54%  -3.96%
 1987  8.53%  11.63%  3.10%
 1988  18.46%  11.74%  -6.72%
 1989  19.25%  18.12%  -1.13%
 1990  -1.10%  4.94%  6.04%
 1991  18.19%  6.34%  -11.85%
 1992  3.88%  4.72%  0.84%
 1993  11.90%  12.82%  0.92%
 1994  1.76%  2.43%  0.67%
 1995  22.75%  21.74%  -1.01%
 1996  19.31%  19.25%  -0.06%
 1997  9.96%  9.94%  -0.02%
 1998  -0.49%  7.38%  7.87%
 1999  14.16%  13.05%  -1.11%
 2000  12.73%  13.78%  1.05%
 2001  -9.74%  3.21%  12.95%
 2002  2.09%  3.39%  1.30%
 2003  25.70%  20.53%  -5.17%
 2004  17.44%  15.06%  -2.38%
 2005  11.74%  8.20%  -3.54%
 2006  12.07%  14.16%  2.09%
 2007  7.87%  9.49%  1.62%
 2008  -30.09%  -0.59%  29.50%
2009 18.74% 12.77% -5.97%
2010 14.04% 3.65% -10.39%
2011 2.81% 2.49% -0.32%
2012 11.57% 1.26% -10.31%
       
Source: Mebane T. Faber, “A Quantitative Approach to Tactical Asset Allocation”

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