Trinity Portfolio at a glance
Trinity Portfolio is a tactical asset allocation (TAA) strategy by Mebane Faber across US Equity, International Equity, US Aggregate Bonds, Cash, rebalanced monthly. Backtested 1990-10-31 to 2026-04-24 (35.4 years): 7.4% CAGR, 1.00 Sharpe, -12.7% max drawdown, 7.4% volatility.
- Type
- Tactical (TAA)
- Author
- Mebane Faber
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1990-10-31 to 2026-04-24
- CAGR
- 7.4%
- Sharpe
- 1.00
- Max Drawdown
- -12.7%
- Volatility
- 7.4%
Trinity Portfolio — Tactical Asset Allocation Strategy
The Trinity Portfolio allocates equally (33.3% each) across VTI, VEU, and AGG. Each asset is independently filtered using a 200-day SMA — below SMA → that sleeve goes to BIL.
Backtest Performance (1990-10-31 to 2026-04-24)
| Metric | Trinity Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.4% |
| Maximum Drawdown | -12.7% |
| Sharpe Ratio | 1.00 |
| Sortino Ratio | 1.21 |
| Annualized Volatility | 7.4% |
| Calmar Ratio | 0.58 |
| Total Return | 1164.0% |
| Backtest Period | 35.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Mebane Faber
- Source
- Faber, M. A Quantitative Approach to Tactical Asset Allocation (2007)
Asset Classes
- US Equity
- International Equity
- US Aggregate Bonds
- Cash
Categories
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