Faber GTAA Aggressive (Top 6)
rotation
momentum
trend-following
global
multi-asset
aggressive
monthly
Mebane Faber's aggressive GTAA: instead of holding all asset classes that pass a trend filter, concentrate into top 6 assets.
Jan 1, 2007 — present
·
$10,000 initial
·
updated Jun 13
·
Live
Performance Summary
Total P&L
+$25.8K
Annualised Return
+6.82%
Sharpe Ratio
0.65
Max Drawdown
−18.72%
Jan '15 – Jan '16
Simple Return
+260.74%
Win Rate
51.7%
Profit Factor
2.38
Volatility (Ann.)
11.22%
Period
1 Jan 2007 – Present
Initial Capital
$10K
Final Value
$35.8K
Total Return
+260.74%
Drift Tolerance
5.0%
Rebalance Frequency
Monthly
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha +3.6%Beta 0.35Outperformed 41.03% of months
Strategy
Monthly Returns% · green = positive · red = negative
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | +3.02% | -0.53% | +0.56% | +1.98% | +1.12% | -2.63% | -3.28% | +0.09% | +2.80% | +3.76% | -1.64% | +0.97% | +6.1% |
| 2008 | +3.57% | +3.25% | -0.93% | -0.16% | +0.83% | +0.32% | -2.82% | -2.77% | -2.77% | -5.61% | +2.39% | +2.32% | -2.8% |
| 2009 | -1.47% | -0.86% | +0.56% | -1.45% | +1.65% | -2.16% | +6.58% | +2.73% | +6.29% | -4.50% | +5.59% | +1.36% | +14.5% |
| 2010 | -4.85% | +3.39% | +8.00% | +3.27% | -5.93% | -3.74% | +0.17% | +0.81% | +3.01% | +1.65% | -0.96% | +5.39% | +9.7% |
| 2011 | +0.62% | +3.92% | +0.72% | +4.36% | -2.10% | -3.08% | -1.13% | -0.42% | -0.41% | -0.05% | +0.03% | -0.44% | +1.8% |
| 2012 | +1.57% | -0.73% | +0.11% | -0.93% | -1.37% | +1.95% | +1.88% | +0.57% | +0.33% | -0.90% | +0.57% | +3.13% | +6.3% |
| 2013 | +3.75% | +0.25% | +2.73% | +2.20% | -1.27% | -1.25% | +4.43% | -3.43% | +3.56% | +2.50% | +1.75% | +1.48% | +17.7% |
| 2014 | -3.86% | +4.20% | +0.57% | -0.33% | +1.82% | +1.73% | -3.26% | +2.29% | -4.07% | +1.90% | +1.28% | +0.67% | +2.6% |
| 2015 | +0.79% | -2.87% | -0.80% | -3.04% | -0.54% | -1.43% | +0.36% | -4.94% | -2.16% | -0.39% | -0.67% | +0.12% | -14.6% |
| 2016 | -0.87% | +0.72% | +2.23% | +0.46% | +0.07% | +3.36% | +1.70% | -1.47% | -0.02% | -2.74% | +1.36% | +2.03% | +6.9% |
| 2017 | +0.82% | +1.69% | +0.07% | +1.25% | +1.06% | +1.40% | +2.50% | 0.00% | +1.80% | +1.82% | +2.02% | +0.89% | +16.4% |
| 2018 | +5.27% | -3.92% | -0.46% | -0.14% | +1.87% | +0.76% | +0.68% | +3.06% | -0.35% | -7.34% | +1.98% | -2.68% | -1.9% |
| 2019 | +0.51% | -0.41% | +2.27% | +0.42% | -3.51% | +3.31% | +0.71% | +4.54% | -1.19% | +0.84% | -0.66% | +1.19% | +8.1% |
| 2020 | -0.68% | -2.34% | +0.06% | +0.66% | +0.50% | +1.44% | +4.53% | +0.55% | -2.35% | -1.31% | +5.55% | +4.07% | +10.8% |
| 2021 | +1.69% | +4.30% | +1.59% | +3.71% | +2.23% | +0.72% | +0.47% | +1.16% | -1.85% | +5.86% | -4.33% | +4.14% | +21.1% |
| 2022 | -3.49% | +0.84% | +2.18% | -2.42% | +0.38% | -1.82% | -0.03% | -0.93% | -2.23% | +0.20% | +1.14% | -2.54% | -8.5% |
| 2023 | +3.20% | -4.64% | +0.64% | +0.66% | -1.95% | +0.43% | +1.93% | -3.50% | -2.54% | -0.90% | +0.77% | +4.66% | -1.6% |
| 2024 | -1.17% | +4.19% | +3.57% | -4.28% | +4.08% | -0.24% | +0.77% | +1.82% | +2.81% | -0.79% | +5.21% | -5.94% | +9.8% |
| 2025 | +3.98% | -0.29% | -0.27% | -0.14% | +2.72% | +2.64% | -0.54% | +2.83% | +4.85% | +1.38% | +1.06% | +1.31% | +21.2% |
| 2026 | +6.48% | +5.32% | -3.75% | +7.16% | +1.60% | +0.40% | — | — | — | — | — | — | +18.0% |
Holdings
ETF:NYSE_ARCA:IWM$5,859
16.4%+$865 (+17.3%)
ETF:NYSE_ARCA:VBR$5,792
16.2%+$290 (+5.3%)
ETF:NYSE_ARCA:DBC$6,338
17.7%+$1,108 (+21.2%)
ETF:CBOE:MTUM$4,866
13.6%+$110 (+2.3%)
ETF:NYSE_ARCA:IWD$6,053
16.9%+$279 (+4.8%)
ETF:NYSE_ARCA:EEM$6,788
18.9%+$2,504 (+58.4%)
6 positions · $35,696
Insights
Insights generation not implemented yet