GTAA (Global Tactical Asset Allocation)
TacticalPromoderateBased on research by Meb Faber · Faber, M. (2006). A Quantitative Approach to Tactical Asset Allocation
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2006About this Strategy
Trend-following across five major asset classes (US stocks, intl stocks, REITs, bonds, commodities). Each asset held only when above its 10-month SMA; below-trend slices move to cash.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1GTAA-5: Equal-weight 5 assets (SPY, EFA, VNQ, IEF, DBC) at 20% each
- 2For each asset: if price > 200-day SMA → hold; else → that 20% goes to cash (BIL)
- 3GTAA-AGG variant: rank 13-asset universe by average 1/3/6/12-month returns, pick top N
- 4Apply same 200-day SMA filter to selected assets; failed assets go to cash
Asset Universe
Pro subscribers only
5 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Meb Faber
Faber, M. (2006). A Quantitative Approach to Tactical Asset Allocation
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 2
- Risk Category
- moderate
- Tags
- momentum, multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 5 assets (GTAA-5 default) or 13 assets (GTAA-AGG variant)
- Trend Filter
- 200-day simple moving average (daily prices)
- Ranking Method
- Average of 1, 3, 6, and 12-month returns (used when top_n < universe size)
- Concentration
- Equal weight across selected assets (20% each for GTAA-5)
- Cash Mechanism
- Assets below 200-day SMA → allocation moved to BIL
- Data Source
- Institutional-grade market data (13 months minimum history + 200 trading days for SMA)
Asset Classes
GTAA (Global Tactical Asset Allocation) at a glance
GTAA (Global Tactical Asset Allocation) is a tactical asset allocation (TAA) strategy by Meb Faber across US Equity, International Equity, REITs, US Treasuries, rebalanced monthly. Backtested 1986-02-28 to 2026-05-20 (40.2 years): 7.6% CAGR, 1.08 Sharpe, -16.8% max drawdown, 7.0% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 7.6%
- Sharpe
- 1.08
- Max Drawdown
- -16.8%
- Volatility
- 7.0%
GTAA (Global Tactical Asset Allocation) — Tactical Asset Allocation Strategy
Global Tactical Asset Allocation (GTAA) by Meb Faber is a trend-following strategy that applies a simple moving average filter across multiple asset classes. In its base form (GTAA-5), five asset classes are held at equal weight (20% each), but any asset trading below its 200-day SMA has its allocation moved to cash (BIL). The AGG3 variant expands to a 13-asset universe, ranks assets by average multi-period momentum (1/3/6/12-month returns), selects the top 3, and then applies the same SMA trend filter.
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | GTAA (Global Tactical Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.6% |
| Maximum Drawdown | -16.8% |
| Sharpe Ratio | 1.08 |
| Sortino Ratio | 1.35 |
| Annualized Volatility | 7.0% |
| Calmar Ratio | 0.45 |
| Total Return | 1820.6% |
| Backtest Period | 40.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Meb Faber
- Source
- Faber, M. (2006). A Quantitative Approach to Tactical Asset Allocation
Asset Classes
- US Equity
- International Equity
- REITs
- US Treasuries
- Commodities
Categories
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