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 2026-07-03, GTAA (Global Tactical Asset Allocation) returned 7.5% CAGR with a -16.8% maximum drawdown and a Sharpe ratio of 1.18. 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.

GTAA (Global Tactical Asset Allocation) Strategy by Meb Faber

Name: GTAA (Global Tactical Asset Allocation), Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (40.3 years): 7.5% CAGR, 1.18 Sharpe, -16.8% max drawdown, 7.0% volatility.

Type: Tactical (TAA)
Author: Meb Faber
Rebalancing: Monthly
Risk: Moderate
Period: 1986-02-28 to 2026-07-03
CAGR: 7.5%
Sharpe: 1.18
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.

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 2026-07-03, GTAA (Global Tactical Asset Allocation) returned 7.5% CAGR with a -16.8% maximum drawdown and a Sharpe ratio of 1.18. 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 2026-07-03)

Metric	GTAA (Global Tactical Asset Allocation)
Compound Annual Growth Rate (CAGR)	7.5%
Maximum Drawdown	-16.8%
Sharpe Ratio	1.18
Sortino Ratio	1.59
Annualized Volatility	7.0%
Calmar Ratio	0.45
Total Return	1778.4%
Backtest Period	40.3 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

Track GTAA (Global Tactical Asset Allocation) in Your Portfolio

Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.

Create free account View Pricing

Related strategies

Related research

BestFolio vs AllocateSmartly: An Honest Comparison
Honest comparison of BestFolio and AllocateSmartly: strategy coverage, walk-forward methodology, signal pipeline, blending, UCITS, pricing, and what each platform genuinely does better. Updated 2026-04-27 after factcheck feedback.