Sector Rotation
Mebane T. Faber, Relative Strength Strategies for Investing (Cambria, April 2010), ranks ten historical sectors, equal-weights the winners and tests a five-window 1/3/6/9/12-month mean. The 2013 timing-paper FAQ also describes a four-window 1/3/6/12-month mean. This native adaptation ranks XLE/XLK/XLU/XLV/XLP/XLY/XLI/XLRE by the mean of 21/63/126/252-row returns and holds the top three equally, even when every score is negative. Eight ETFs, four daily-row windows and no SMA or positive-return gate are explicit choices; BIL is used only when no score is available. 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 Sectors
- Backtest window: 2007-05-30 to 2026-10-09
- 1Y
- 24.6%
- 3Y
- 51.3%
- CAGR
- 12.7%
- Max DD
- -15.6%
- Sharpe
- 0.61
Methodology
- Rank the eight ETFs by mean 21/63/126/252-row returns; hold the top three equally without a sign or trend gate.
- 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.
Source: Faber, M. T. (2010). Relative Strength Strategies for Investing. Cambria research paper.
Headline backtest performance as of 2026-10-08.