Sector Rotation (Faber QTAA-Sectors) at a glance
Sector Rotation (Faber QTAA-Sectors) is a tactical asset allocation (TAA) strategy by Meb Faber, rebalanced monthly. Backtested 1986-02-28 to 2026-05-19 (40.6 years): 11.3% CAGR, 0.82 Sharpe, -35.7% max drawdown, 14.3% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-19
- CAGR
- 11.3%
- Sharpe
- 0.82
- Max Drawdown
- -35.7%
- Volatility
- 14.3%
Sector Rotation (Faber QTAA-Sectors) — Tactical Asset Allocation Strategy
Monthly sector rotation across 8 US SPDR sector ETFs. Ranks each sector by 1/3/6/12-month average momentum and holds the top N (default 3). Optional 10-month SMA absolute filter routes failed sectors to cash. Deep-history backfill via Fama-French sector portfolios.
Backtest Performance (1986-02-28 to 2026-05-19)
| Metric | Sector Rotation (Faber QTAA-Sectors) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.3% |
| Maximum Drawdown | -35.7% |
| Sharpe Ratio | 0.82 |
| Sortino Ratio | 1.03 |
| Annualized Volatility | 14.3% |
| Calmar Ratio | 0.32 |
| Total Return | 7480.7% |
| Backtest Period | 40.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- Meb Faber
Categories
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