Faber ETF Trend Adaptations
Hold QQQ above its 200-observation SMA, otherwise BIL. Mebane T. Faber's A Quantitative Approach to Tactical Asset Allocation (2006 working paper; Journal of Wealth Management, 2007; 2013 update) uses monthly closes and a 10-month SMA. Our ETF, daily-row SMA and BIL mapping are native adaptations; 200 daily observations do not equal 10 month-end observations. Equality selects BIL. Native total-return ETF history, monthly scheduling and next-session signal lag apply; available history bounds the backtest. Taxes and trading costs use the normal request settings (zero in the gallery). No synthetic pre-inception history or source-backtest parity is claimed. Source research does not validate this adaptation or future returns.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, T-bills
- Backtest window: 2018-06-26 to 2026-10-09
- 1Y
- 6.3%
- 3Y
- 118.2%
- CAGR
- 28.2%
- Max DD
- -20.6%
- Sharpe
- 1.15
Methodology
- Hold 100% QQQ above its 200-row SMA; otherwise 100% BIL.
- Native total-return ETF history, monthly scheduling and next-session signal lag apply; available history bounds the backtest. Taxes and trading costs use the normal request settings (zero in the gallery). No synthetic pre-inception history or source-backtest parity is claimed. Source research does not validate this adaptation or future returns.
Headline backtest performance as of 2026-10-08.