QTAA Sector Rotation
Faber relative-strength sector rotation ('Relative Strength Strategies for Investing'): rank the 11 US sector SPDRs (XLK/XLF/XLE/XLV/XLI/XLY/XLP/XLU/XLB/XLRE/XLC) by average 1/3/6/12-month total return each month and hold the top 3 equal-weighted. Each held sector must also clear a trend filter (positive trailing momentum, the ranked-primitive proxy for Faber's 200-day / 10-month SMA rule) or its share rotates to T-bills (BIL).
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity Sectors, Cash
- Backtest window: 2018-06-19 to 2026-08-06
- 1Y
- 15.0%
- 3Y
- 54.2%
- CAGR
- 12.7%
- Max DD
- -22.6%
- Sharpe
- 0.55
Methodology
- Average 1-, 3-, 6-, and 12-month total return across the 11 US sector SPDRs each month.
- Hold the top 3 sectors equal-weighted.
- Each held sector must clear the trend filter (positive trailing momentum); otherwise its share holds BIL.
Source: Faber, M. T. (2010). Relative Strength Strategies for Investing. SSRN.
Headline backtest performance as of 2026-08-06.