GTAA (Global Tactical Asset Allocation)
GTAA-5: Equal-weight 5 assets (SPY, EFA, VNQ, IEF, DBC) at 20% each. Backtest max drawdown: -15.4%.
Strategy & methodology
GTAA-5: Equal-weight 5 assets (SPY, EFA, VNQ, IEF, DBC) at 20% each; For each asset: if price > 200-day SMA → hold; else → that 20% goes to cash (BIL); GTAA-AGG variant: rank 13-asset universe by average 1/3/6/12-month returns, pick top…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2006; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (6)
- VNQ: VGSIX before Sep 29, 2004
- IEF: VFITX before Jul 26, 2002
- EFA: VGTSX before Aug 17, 2001
- VNQ: FRESX before Sep 29, 2004
- EFA: PRITX before Aug 17, 2001
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
GTAA-5: Equal-weight 5 assets (SPY, EFA, VNQ, IEF, DBC) at 20% each. Backtest max drawdown: -15.4%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 920e391f, published 2026-10-01
Is GTAA (Global Tactical Asset Allocation) still working in 2026?
GTAA (Global Tactical Asset Allocation) returned 11.69% over the trailing 12 months and 29.86% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 7.44%. Its full-backtest maximum drawdown was -15.43%. The full sample contains 10252 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -2.14% below its high-water mark of 2026-09-03, 28 days ago, and its longest run below a previous high was 2.8 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 11.69% | Not annualized | -3.08% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 29.86% | Not annualized | -8.76% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 1738.20% | 7.44% | -15.43% | 10252 | 1986-02-28 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-09-03, 28 days before 2026-10-01, and it is -2.14% below that level now. The longest run below a previous high in the full backtest was 2.8 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-10-01 (40.6 years): 7.4% CAGR, 1.13 Sharpe, -15.4% max drawdown, 7.0% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 7.4%
- Sharpe
- 1.13
- Max Drawdown
- -15.4%
- 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.
GTAA (Global Tactical Asset Allocation): frequently asked questions
- What is Global Tactical Asset Allocation?
- 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.
- Who created the GTAA (Global Tactical Asset Allocation) strategy?
- GTAA (Global Tactical Asset Allocation) was developed by Meb Faber. It is based on Faber, M. (2006). A Quantitative Approach to Tactical Asset Allocation.
- What is the historical return and maximum drawdown of GTAA (Global Tactical Asset Allocation)?
- Backtested from 1986-02-28 to 2026-10-01, GTAA (Global Tactical Asset Allocation) returned 7.4% CAGR with a -15.4% maximum drawdown and a Sharpe ratio of 1.13. Past performance does not guarantee future results.
- How often is GTAA (Global Tactical Asset Allocation) rebalanced?
- GTAA (Global Tactical Asset Allocation) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is GTAA (Global Tactical Asset Allocation) a tactical asset allocation strategy?
- Yes. GTAA (Global Tactical Asset Allocation) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-10-01)
| Metric | GTAA (Global Tactical Asset Allocation) |
|---|---|
| CAGR | 7.4% |
| Max Drawdown | -15.4% |
| Sharpe | 1.13 |
| Sortino | 1.90 |
| Volatility | 7.0% |
| Calmar | 0.48 |
| Total Return | 1738.2% |
| Backtest Period | 40.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding GTAA (Global Tactical Asset Allocation) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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