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 13 (GTAA 13) 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 standard Global 13 variation.
On average, the strategy holds 30% in equities, 14% in bonds, and 56% in REITs, Commodities, Gold, and Cash.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
9.3%
Sharpe Ratio
0.76
10 Year Annual Return
3.9%
Volatility (annualized)
6.8%
Max Drawdown
-12.5%
Positive Periods
71.9%
Dot Com Annual Return
3.9%
Great Financial Crisis Return
6.6%
Trade Frequency
Monthly
Ulcer Performance Index
1.8
Strategy Rules
This strategy trades once per month.
- Divide the portfolio among the 13 assets as listed below:
*See notes below
2. On the last trading day of the month, invest in the assets that will close above their 10-month moving average.
- If the asset will not close above the 10-month moving average, invest that assets portion of the portfolio in cash.
3. Hold all positions until the last trading day of the following month.
How to Invest in the Global Tactical Asset Allocation 13 Portfolio
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Global Tactical Asset Allocation 13 Rolling Returns
Charts
Notes:
- US Small Cap Momentum was not included in this backtest. For the backtest, this portion of the portfolio was applied to MTUM.
