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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
10% | MTUM | iShares Edge MSCI USA Momentum Factor ETF | Equity, U.S., Large Cap, Momentum | |
9% | IWN | iShares Russell 2000 Value ETF | Equity, U.S., Small Cap, Value | |
9% | IWD | iShares Russell 1000 Value ETF | Equity, U.S., Large Cap, Value | |
9% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
9% | IWM | iShares Russell 2000 ETF | Equity, U.S., Small Cap | |
8% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
7% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
7% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
6% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
6% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
6% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
5% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
5% | GLD | SPDR Gold Trust | Commodity, Gold | |
4% | BWX | SPDR Barclays International Treasury Bond | Bond, International, All-Term |
This strategy trades once per month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -19.0% | 11.9% | 54.2% |
3-Year | -1.1% | 11.6% | 27.5% |
5-Year | 3.6% | 11.4% | 24.4% |
10-Year | 6.1% | 11.3% | 15.3% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 11.3% | 9.3% | 10.3% |
10Y Annual Return | 6.3% | 7.9% | 12.2% |
Sharpe Ratio | 0.71 | 0.51 | 0.43 |
Max Drawdown | -23.6% | -29.7% | -50.97% |
Volatility (annualized) | 10.2% | 9.9% | 15.4% |
Dot Com Annual Return | 4.7% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 7.2% | -0.3% | -5.66% |
Positive Periods | 67.3% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
