200-Day SMA Trend at a glance
200-Day SMA Trend is a tactical asset allocation (TAA) strategy by Meb Faber, rebalanced monthly. Backtested 1990-12-31 to 2026-06-16 (35.5 years): 10.6% CAGR, 1.02 Sharpe, -25.0% max drawdown, 12.6% volatility.
- Type
- Tactical (TAA)
- Author
- Meb Faber
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1990-12-31 to 2026-06-16
- CAGR
- 10.6%
- Sharpe
- 1.02
- Max Drawdown
- -25.0%
- Volatility
- 12.6%
200-Day SMA Trend — Tactical Asset Allocation Strategy
A single asset held while its month-end close is above its 200-day moving average, otherwise T-bills (BIL). The simplest trend-following rule and the classic benchmark tactical strategies try to beat, kept deliberately unoptimized: no lookback tuning, no multi-asset selection.
Backtest Performance (1990-12-31 to 2026-06-16)
| Metric | 200-Day SMA Trend |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.6% |
| Maximum Drawdown | -25.0% |
| Sharpe Ratio | 1.02 |
| Sortino Ratio | 1.33 |
| Annualized Volatility | 12.6% |
| Calmar Ratio | 0.42 |
| Total Return | 3488.6% |
| Backtest Period | 35.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 6
- Author
- Meb Faber
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