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 Jul 16
·
Live
Performance Summary
Total P&L
+$30.3K
Annualised Return
+7.40%
Sharpe Ratio
0.68
Max Drawdown
−19.47%
Nov '21 – Oct '23
Simple Return
+303.16%
Win Rate
54.2%
Profit Factor
2.56
Volatility (Ann.)
11.45%
Period
1 Jan 2007 – Present
Initial Capital
$10K
Final Value
$40.3K
Total Return
+303.16%
Drift Tolerance
5.0%
Rebalance Frequency
Monthly
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha +4.2%Beta 0.36Outperformed 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 | +2.85% | -0.64% | +0.55% | +2.14% | +1.09% | -2.36% | -3.11% | +0.49% | +3.31% | +3.88% | -1.53% | +1.17% | +7.8% |
| 2008 | +2.10% | +3.15% | -0.95% | -0.32% | +0.63% | +0.34% | -1.83% | -2.15% | -4.28% | -6.34% | +4.00% | +3.73% | -2.5% |
| 2009 | -2.59% | -0.70% | +1.06% | -2.08% | +1.54% | -2.99% | +7.07% | +2.88% | +6.68% | -4.24% | +5.71% | +1.69% | +14.1% |
| 2010 | -4.69% | +3.38% | +7.98% | +3.26% | -5.95% | -3.75% | +0.75% | +1.06% | +3.15% | +1.78% | +0.49% | +5.84% | +13.1% |
| 2011 | +0.43% | +4.41% | +0.30% | +4.59% | -1.75% | -2.61% | -1.75% | +2.23% | -0.97% | +0.28% | +0.15% | -0.30% | +4.9% |
| 2012 | +1.68% | -0.57% | +0.26% | -0.76% | -1.02% | +1.92% | +1.89% | +0.59% | +0.52% | -0.92% | +0.75% | +3.18% | +7.7% |
| 2013 | +4.12% | +0.25% | +2.76% | +2.36% | -1.09% | -1.27% | +4.45% | -3.46% | +3.76% | +2.53% | +1.74% | +1.49% | +18.8% |
| 2014 | -3.81% | +4.37% | +0.58% | -0.18% | +1.82% | +1.89% | -3.11% | +2.64% | -4.01% | +2.24% | +1.72% | +0.84% | +4.7% |
| 2015 | +1.01% | -2.38% | -0.18% | -2.91% | -0.26% | -1.47% | +0.32% | -5.18% | -2.30% | -0.40% | -0.69% | -0.38% | -14.0% |
| 2016 | -1.13% | +0.74% | +2.31% | +0.14% | +0.04% | +2.94% | +1.59% | -1.00% | -0.06% | -2.48% | +2.03% | +2.12% | +7.3% |
| 2017 | +1.28% | +1.72% | +0.09% | +1.25% | +1.10% | +1.38% | +2.54% | +0.02% | +1.77% | +1.84% | +2.00% | +0.92% | +17.1% |
| 2018 | +5.31% | -3.95% | -0.47% | -0.19% | +1.80% | +0.78% | +0.46% | +2.92% | -0.35% | -7.31% | +1.99% | -2.76% | -2.3% |
| 2019 | +0.52% | -0.64% | +2.36% | +0.40% | -2.38% | +3.05% | +0.53% | +4.84% | -1.22% | +0.83% | -0.66% | +0.76% | +8.5% |
| 2020 | -0.20% | -2.52% | -0.22% | +0.62% | +0.46% | +1.42% | +4.53% | +0.54% | -2.37% | -1.33% | +5.62% | +4.92% | +11.6% |
| 2021 | +1.98% | +4.18% | +1.72% | +3.44% | +2.08% | +0.62% | +0.23% | +1.38% | -2.31% | +5.84% | -4.11% | +3.64% | +19.9% |
| 2022 | -4.25% | +0.46% | +1.98% | -2.45% | +0.38% | -1.83% | -0.03% | -0.93% | -2.24% | +0.21% | +1.14% | -3.63% | -10.8% |
| 2023 | +3.16% | -4.15% | +0.31% | +0.66% | -1.99% | +0.47% | +1.95% | -2.81% | -2.76% | -0.92% | +0.77% | +4.08% | -1.6% |
| 2024 | -1.17% | +4.22% | +3.61% | -4.29% | +4.08% | -0.22% | +0.71% | +1.84% | +2.78% | -0.83% | +5.29% | -5.97% | +9.8% |
| 2025 | +4.30% | -0.29% | -0.42% | -0.22% | +2.81% | +2.92% | -0.54% | +3.01% | +5.20% | +1.42% | +0.98% | +1.37% | +22.4% |
| 2026 | +6.39% | +5.28% | -4.03% | +6.94% | +3.36% | +1.01% | -2.30% | — | — | — | — | — | +17.3% |
Holdings
ETF:CBOE:MTUM$7,191
17.8%+$632 (+9.6%)
ETF:NYSE_ARCA:EEM$7,475
18.5%+$2,591 (+53.1%)
ETF:NYSE_ARCA:EFA$6,802
16.9%+$103 (+1.5%)
ETF:NYSE_ARCA:IWD$6,924
17.2%+$457 (+7.1%)
ETF:NYSE_ARCA:IWM$6,803
16.9%+$1,060 (+18.5%)
ETF:NYSE_ARCA:VBR$5,093
12.6%+$274 (+5.7%)
6 positions · $40,288
Insights
Insights generation not implemented yet