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 5 (GTAA 5) 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 Global 5 variation.
On average, the strategy holds 29% in equities, 15% in bonds, and 56% in REITs, Commodities, Gold, and Cash.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
9.2%
Sharpe Ratio
0.68
10 Year Annual Return
4.8%
Volatility (annualized)
6.8%
Max Drawdown
-11.3%
Positive Periods
71.0%
Dot Com Annual Return
4.7%
Great Financial Crisis Return
6.5%
Trade Frequency
Monthly
Ulcer Performance Index
1.7
Strategy Rules
This strategy trades once per month.
- Divide the portfolio equally among the 5 assets:
- Intermediate-Term US Treasury Bonds (IEF)
- S&P 500 (SPY)
- REITs (VNQ)
- International Equities (EFA)
- Commodities (DBC)
- On the last trading day of the month, invest in the assets that will close above their 10-month moving average.
- If it will close below the 10-month moving average, invest that portion in cash.
- Hold all positions until the last trading day of the next month.
How to Invest in the Global Tactical Asset Allocation 5 (GTAA 5) Portfolio
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