Faber's 12-Month High Switch at a glance
Faber's 12-Month High Switch is a tactical asset allocation (TAA) strategy by Meb Faber across US Equity, International Equity, REITs, Gold, rebalanced monthly. Backtested 1992-11-30 to 2026-04-24 (33.5 years): 8.3% CAGR, 1.07 Sharpe, -11.2% max drawdown, 7.7% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber
- Rebalancing
- Monthly
- Period
- 1992-11-30 to 2026-04-24
- CAGR
- 8.3%
- Sharpe
- 1.07
- Max Drawdown
- -11.2%
- Volatility
- 7.7%
Faber's 12-Month High Switch — Tactical Asset Allocation Strategy
Meb Faber's 12-Month High Switch checks whether each of 5 risky assets (SPY, EFA, VNQ, GLD, PDBC) is trading within 5% of its 12-month high. Assets that pass are held at 20% each; the remainder goes to bonds. The Dynamic Bond variant applies the same test to IEF — if IEF also fails, the defensive allocation shifts to cash (BIL) instead, protecting against simultaneous stock/bond declines.
Backtest Performance (1992-11-30 to 2026-04-24)
| Metric | Faber's 12-Month High Switch |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.3% |
| Maximum Drawdown | -11.2% |
| Sharpe Ratio | 1.07 |
| Sortino Ratio | 1.42 |
| Annualized Volatility | 7.7% |
| Calmar Ratio | 0.74 |
| Total Return | 1328.6% |
| Backtest Period | 33.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Variants
- 2
- Author
- Meb Faber
- Source
- Faber, M. (2006). A Quantitative Approach to Tactical Asset Allocation. Dynamic Bond variant by AllocateSmartly.
Asset Classes
- US Equity
- International Equity
- REITs
- Gold
- Commodities
- Treasuries
- T-Bills
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