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Absolute Trend-Following AA

monthly rebalance Latest month-end signal: 2026-07-31
1Y Return
17.5%
vs 60/40
+2.9%
1Y Max DD
-6.0%
CAGR
6.3%
Sharpe
0.87

Current Allocation

SHY 14%
SPY 14%
IDEV 14%
IEMG 14%
AGG 14%
VNQ 14%
PDBC 14%
Category Security Ticker Weight vs prev month-end
Bond iShares Core US Agg Bond AGG 14.3% 0.0%p
Cash Cash (SHY/T-bills) Cash 14.3% +14.3%p
Equity iShares Core MSCI Intl Developed IDEV 14.3% 0.0%p
Equity iShares Core MSCI Emerging Mkts IEMG 14.3% 0.0%p
Equity SPDR S&P 500 SPY 14.3% 0.0%p
Real Asset Invesco Optimum Yield Commodity PDBC 14.3% 0.0%p
Real Asset Vanguard Real Estate VNQ 14.3% 0.0%p
Real Asset SPDR Gold Shares GLD 0.0% -14.3%p

Weight change vs previous month-end rebalance (2026-05-31).

Performance vs 60/40

Trend-Following performance chart

Drawdown

Trend-Following drawdown chart

Allocation History

Trend-Following allocation history

Latest month-end signals

Signals are evaluated once a month at month-end; they do not update intraday.

Asset Security PriceSMA10MSignalSignal Date
SPY SPDR S&P 500 745.76701.58RISK-ON2026-07-31
IDEV iShares Core MSCI Intl Developed 88.6184.88RISK-ON2026-07-31
IEMG iShares Core MSCI Emerging Mkts 80.6374.03RISK-ON2026-07-31
AGG iShares Core US Agg Bond 98.598.32RISK-ON2026-07-31
VNQ Vanguard Real Estate 96.8291.66RISK-ON2026-07-31
GLD SPDR Gold Shares 370.6409.11CASH2026-07-31
PDBC Invesco Optimum Yield Commodity 15.7815.41RISK-ON2026-07-31

Strategy Details

Mebane Faber's GTAA (Global Tactical Asset Allocation) strategy from his 2007 Journal of Wealth Management paper. The core idea is simple: hold a diversified basket of asset classes, but only when each asset is in an uptrend. When an asset falls below its long-term moving average, that sleeve moves to cash. This avoids riding bear markets in any single asset class while capturing broad upside across equities, bonds, real estate, and commodities.

Asset Universe

Risk Assets
SPY (US equity), IDEV (Int'l developed), IEMG (Emerging markets), AGG (US bonds), VNQ (REITs), GLD (Gold), PDBC (Commodities)
Cash
SHY (US short-term Treasuries)

Scoring Formula

Trend Signal = Price vs. 10-Month Simple Moving Average (SMA)

Decision Rules

  1. Equal-weight 7 asset classes at 1/7 (~14.3%) each
  2. Each month: if asset price > 10-month SMA → hold the asset
  3. If asset price ≤ 10-month SMA → move that sleeve to cash (SHY)
  4. Rebalance all sleeves simultaneously at month-end
Rebalancing: Monthly, end of month

Source

Mebane Faber, 'A Quantitative Approach to Tactical Asset Allocation', Journal of Wealth Management, 2007 — Paper

Caveats

  • IDEV data starts 2017-03-23, limiting backtest history.
  • IEMG data starts 2012-10-24, limiting backtest history.
  • PDBC data starts 2014-11-07, limiting backtest history.

Data: Alpha Vantage (prices), FRED (unemployment). Transaction cost: 5bps/trade. Backtest: 2017-03-31 to 2026-07-01. Generated: 2026-07-02 09:30:54.

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