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 2026-11-10
- 1Y
- 11.8%
- 3Y
- 59.1%
- CAGR
- 14.6%
- Max DD
- -13.7%
- Sharpe
- 1.01
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 2026-11-10.