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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
29% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
15% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
15% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
15% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
14% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
12% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified |
This strategy trades once per month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -10.1% | 9.6% | 37.2% |
3-Year | 1.0% | 9.5% | 26.4% |
5-Year | 0.9% | 9.5% | 22.3% |
10-Year | 2.7% | 9.8% | 16.6% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 9.2% | 9.3% | 10.3% |
10Y Annual Return | 4.8% | 7.9% | 12.2% |
Sharpe Ratio | 0.68 | 0.51 | 0.43 |
Max Drawdown | -11.3% | -29.7% | -50.97% |
Volatility (annualized) | 6.8% | 9.9% | 15.4% |
Dot Com Annual Return | 4.7% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 6.5% | -0.3% | -5.66% |
Positive Periods | 71.0% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
