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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
40% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
15% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
8% | MTUM | iShares Edge MSCI USA Momentum Factor ETF | Equity, U.S., Large Cap, Momentum | |
7% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
7% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
6% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
5% | GLD | SPDR Gold Trust | Commodity, Gold | |
4% | IWD | iShares Russell 1000 Value ETF | Equity, U.S., Large Cap, Value | |
4% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
4% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
4% | IWN | iShares Russell 2000 Value ETF | Equity, U.S., Small Cap, Value | |
3% | BWX | SPDR Barclays International Treasury Bond | Bond, International, All-Term | |
3% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term |
This strategy trades once per month.
ETF | Asset Class | Weight |
|---|---|---|
IWD | US Large Cap Value | 5% |
MTUM | US Large Cap Momentum | 5% |
IWN | US Small Cap Value | 5% |
DWAS* | US Small Cap Momentum | 5% |
EFA | International Equities | 10% |
EEM | Emerging Market Equities | 10% |
IEF | Intermediate-Term US Treasuries | 5% |
BWX | International Treasuries | 5% |
LQD | US Corporate Bonds | 5% |
TLT | Long-Term US Treasuries | 5% |
DBC | Commodities | 10% |
GLD | Gold | 10% |
VNQ | US Real Estate | 20% |
*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.
3. Hold all positions until the last trading day of the following month.
Support PortfolioDB by becoming a monthly patron and we will send you the trade signals for this portfolio and many others at the end of each month.
Low | Average | High | |
|---|---|---|---|
1-Year | -11.3% | 9.7% | 35.4% |
3-Year | 0.6% | 9.6% | 24.1% |
5-Year | 0.9% | 9.5% | 21.1% |
10-Year | 3.1% | 9.3% | 14.9% |
Notes:
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 9.3% | 9.3% | 10.3% |
10Y Annual Return | 3.9% | 7.9% | 12.2% |
Sharpe Ratio | 0.76 | 0.51 | 0.43 |
Max Drawdown | -12.5% | -29.7% | -50.97% |
Volatility (annualized) | 6.8% | 9.9% | 15.4% |
Dot Com Annual Return | 3.9% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 6.6% | -0.3% | -5.66% |
Positive Periods | 71.9% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
