Faber 10-Month Timing (S&P 500)

The single-asset variant of Meb Faber's 2007 trend-following rule: hold SPY when its monthly close is above its 10-month simple moving average, otherwise hold short-term Treasuries.

• Type: Tactical
• Frequency: monthly
• Asset classes: US Equity, Short-term Treasuries
• Backtest window: 2002-07-26 to 2026-06-11

1Y

17.3%

3Y

51.7%

CAGR

7.8%

Max DD

-19.7%

Sharpe

0.39

Methodology

• Hold 100% SPY while SPY is above its 10-month (~200-day) SMA.
• Otherwise hold 100% SHY.

Source: Faber, M. T. (2007). A Quantitative Approach to Tactical Asset Allocation. Journal of Wealth Management — single-asset S&P 500 10-month moving average rule.

Headline backtest performance as of 2026-06-10.

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