Who created the 200-Day SMA Trend strategy?

200-Day SMA Trend was developed by Meb Faber.

What is the historical return and maximum drawdown of 200-Day SMA Trend?

Backtested from 1990-12-31 to 2026-07-03, 200-Day SMA Trend returned 10.6% CAGR with a -25.0% maximum drawdown and a Sharpe ratio of 1.01. Past performance does not guarantee future results.

How often is 200-Day SMA Trend rebalanced?

200-Day SMA Trend is rebalanced monthly. BestFolio publishes the updated allocation signal each period.

Is 200-Day SMA Trend a tactical asset allocation strategy?

Yes. 200-Day SMA Trend is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

200-Day SMA Trend Strategy by Meb Faber

Name: 200-Day SMA Trend, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (35.5 years): 10.6% CAGR, 1.01 Sharpe, -25.0% max drawdown, 12.6% volatility.

Type: Tactical (TAA)
Author: Meb Faber
Rebalancing: Monthly
Risk: Moderate
Period: 1990-12-31 to 2026-07-03
CAGR: 10.6%
Sharpe: 1.01
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.

200-Day SMA Trend: frequently asked questions

What is 200-Day SMA Trend?: 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.
Who created the 200-Day SMA Trend strategy?: 200-Day SMA Trend was developed by Meb Faber.
What is the historical return and maximum drawdown of 200-Day SMA Trend?: Backtested from 1990-12-31 to 2026-07-03, 200-Day SMA Trend returned 10.6% CAGR with a -25.0% maximum drawdown and a Sharpe ratio of 1.01. Past performance does not guarantee future results.
How often is 200-Day SMA Trend rebalanced?: 200-Day SMA Trend is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is 200-Day SMA Trend a tactical asset allocation strategy?: Yes. 200-Day SMA Trend 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 (1990-12-31 to 2026-07-03)

Metric	200-Day SMA Trend
Compound Annual Growth Rate (CAGR)	10.6%
Maximum Drawdown	-25.0%
Sharpe Ratio	1.01
Sortino Ratio	1.33
Annualized Volatility	12.6%
Calmar Ratio	0.42
Total Return	3475.8%
Backtest Period	35.5 years

Strategy Details

Type: Tactical (TAA)
Rebalancing: monthly
Risk Level: moderate
Variants: 6
Author: Meb Faber

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