GTAA (Global Tactical Asset Allocation) — Tactical Asset Allocation 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. Equal-weighted. Monthly rebalancing.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | GTAA (Global Tactical Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.4% |
| Maximum Drawdown | -16.8% |
| Sharpe Ratio | 1.01 |
| Sortino Ratio | 1.28 |
| Annualized Volatility | 7.3% |
| Calmar Ratio | 0.44 |
| Total Return | 984.3% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Meb Faber
Categories
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