GTAA 5
Five-asset trend portfolio that holds only sleeves above their 200-day trend filter.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, REITs, Treasuries, Commodities, Cash
- Backtest window: 2007-07-26 to 2026-08-06
- 1Y
- 17.5%
- 3Y
- 24.8%
- CAGR
- 5.3%
- Max DD
- -9.0%
- Sharpe
- 0.24
Methodology
- Allocate 20% each to SPY, EFA, VNQ, IEF, and DBC.
- If an asset is below its 200-day SMA, move that sleeve to BIL.
Source: Faber, M. (2006). A Quantitative Approach to Tactical Asset Allocation
Headline backtest performance as of 2026-08-06.