Faber High Switch Adaptations
Mebane T. Faber, All Time Highs (Cambria research whitepaper, 2020; current Cambria-hosted copy), studies a 12-month-high switch. Allocate Smartly's March 19, 2024 replication uses 12 dividend-adjusted month-end closes, 20% each to five asset classes within 5% of their high, and IEF for failed slots. Our mapping is SPY/EFA/VNQ/GLDM/PDBC, with a 252-observation trailing close high including the current session and the exact 5% boundary. A missing observation or incomplete high window fails the gate. Daily observations are not 12 month-end closes; GLDM replaces source GLD. 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, International Equity, REITs, Gold, Commodities, Treasuries, T-bills
- Backtest window: 2018-06-26 to 2026-10-09
- 1Y
- 12.9%
- 3Y
- 33.1%
- CAGR
- 9.3%
- Max DD
- -5.9%
- Sharpe
- 0.60
Methodology
- Each qualifying SPY/EFA/VNQ/GLDM/PDBC slot retains 20%; failed slots aggregate into IEF.
- 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.