Trinity Portfolio
33.3% each to VTI, VEU, AGG. Per asset: if above 200-day SMA then hold; if below then BIL. Backtest max drawdown: -14.6%.
Strategy & methodology
33.3% each to VTI, VEU, AGG; Per asset: if above 200-day SMA → hold; if below → BIL.
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2015-11-04; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (4)
- VEU: EFA before Mar 8, 2007
- AGG: VBMFX before Sep 26, 2003
- VTI: VTSMX before May 31, 2001
- VTI: VFINX before May 31, 2001
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
33.3% each to VTI, VEU, AGG. Per asset: if above 200-day SMA then hold; if below then BIL. Backtest max drawdown: -14.6%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 1b4c2067, published 2026-10-01
Is Trinity Portfolio still working in 2026?
Trinity Portfolio returned 7.47% over the trailing 12 months and 39.18% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 7.69%. Its full-backtest maximum drawdown was -14.57%. The full sample contains 10252 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -1.79% below its high-water mark of 2026-08-13, 2 months ago, and its longest run below a previous high was 1.9 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 7.47% | Not annualized | -7.23% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 39.18% | Not annualized | -7.23% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 1925.03% | 7.69% | -14.57% | 10252 | 1986-02-28 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-08-13, 2 months before 2026-10-01, and it is -1.79% below that level now. The longest run below a previous high in the full backtest was 1.9 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 1986-02-28 to 2026-10-01 (40.6 years): 7.7% CAGR, 1.05 Sharpe, -14.6% max drawdown, 7.4% volatility.
- Type
- Tactical (TAA)
- Author
- Mebane Faber
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 7.7%
- Sharpe
- 1.05
- Max Drawdown
- -14.6%
- 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.
Trinity Portfolio: frequently asked questions
- What is Trinity Portfolio?
- Three-asset trend-following portfolio covering US equity, international equity, and bonds, each filtered by a 200-day SMA. Below-trend assets shift to cash. Simple and effective with just three holdings. Monthly rebalancing.
- Who created the Trinity Portfolio strategy?
- Trinity Portfolio was developed by Mebane Faber. It is based on Faber, M. A Quantitative Approach to Tactical Asset Allocation (2007).
- What is the historical return and maximum drawdown of Trinity Portfolio?
- Backtested from 1986-02-28 to 2026-10-01, Trinity Portfolio returned 7.7% CAGR with a -14.6% maximum drawdown and a Sharpe ratio of 1.05. Past performance does not guarantee future results.
- How often is Trinity Portfolio rebalanced?
- Trinity Portfolio is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Trinity Portfolio a tactical asset allocation strategy?
- Yes. Trinity Portfolio 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 2026-10-01)
| Metric | Trinity Portfolio |
|---|---|
| CAGR | 7.7% |
| Max Drawdown | -14.6% |
| Sharpe | 1.05 |
| Sortino | 1.69 |
| Volatility | 7.4% |
| Calmar | 0.53 |
| Total Return | 1925.0% |
| Backtest Period | 40.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Trinity Portfolio alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Trinity Portfolio in Your Portfolio
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