Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Global Tactical Asset Allocation - Agg. 6 by Meb Faber
Details
The Global Tactical Asset Allocation strategy was developed by Meb Faber and detailed in his paper A Quantitative Approach to Asset Allocation.
The paper covers multiple variations and this is a backtest of the Aggressive 6 variation.
On average, the strategy holds 52% in equities, 22% in bonds, and 26% in REITS, Commodities, Gold, and Cash.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
11.3%
Sharpe Ratio
0.71
10 Year Annual Return
6.3%
Volatility (annualized)
10.2%
Max Drawdown
-23.6%
Positive Periods
67.3%
Dot Com Annual Return
4.7%
Great Financial Crisis Return
7.2%
Trade Frequency
Monthly
Ulcer Performance Index
1.4
Strategy Rules
This strategy trades once per month.
- On the last trading day of the month, calculate the 1, 3, 6, and 12-month returns for all of the asset classes above and take the average of the four time periods
- Invest the portfolio equally in the 6 assets with the highest average performance.
- If any of the top 6 assets will close below their 10-month moving average, invest that portion of the portfolio in cash.
- Hold all positions until the final trading day of the next month. Rebalance the portfolio regardless of whether there are any position changes.
How to Invest in the Global Tactical Asset Allocation - Agg. 6 Portfolio
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