Faber GTAA Aggressive (Top 3)
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 3 assets.
Jan 1, 2007 — present
·
$10,000 initial
·
updated Jun 13
·
Live
Performance Summary
Total P&L
+$13.3K
Annualised Return
+4.46%
Sharpe Ratio
0.68
Max Drawdown
−14.62%
Sep '08 – Oct '08
Simple Return
+133.55%
Win Rate
64.1%
Profit Factor
4.06
Volatility (Ann.)
6.73%
Period
1 Jan 2007 – Present
Initial Capital
$10K
Final Value
$23.3K
Total Return
+133.55%
Drift Tolerance
5.0%
Rebalance Frequency
Monthly
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha +3.4%Beta 0.12Outperformed 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 | +0.06% | +0.71% | +0.44% | +0.30% | -0.07% | +0.44% | +0.91% | +1.20% | +0.41% | +0.49% | +1.78% | +0.31% | +7.2% |
| 2008 | +1.66% | +1.06% | +0.24% | -0.60% | -0.33% | +0.28% | +0.40% | +0.44% | +0.75% | -11.47% | +7.37% | +6.71% | +5.4% |
| 2009 | -6.05% | -0.76% | +2.33% | -4.27% | +2.73% | -1.76% | +2.31% | +0.59% | +2.50% | +1.10% | +5.10% | -3.50% | -0.3% |
| 2010 | +0.22% | +1.34% | -0.01% | +2.75% | +0.79% | +2.01% | -1.09% | +3.00% | +1.90% | +1.34% | +0.21% | +0.88% | +14.1% |
| 2011 | -1.88% | +2.48% | +0.48% | +3.70% | -0.73% | -1.11% | +3.32% | +4.57% | -5.31% | +1.81% | +0.58% | -3.50% | +4.0% |
| 2012 | +2.56% | -0.47% | +1.63% | +1.09% | -1.50% | +1.75% | +0.83% | 0.00% | -0.63% | -0.35% | -0.06% | +1.28% | +6.2% |
| 2013 | +1.31% | +0.47% | +1.05% | +2.50% | -2.22% | -0.82% | +0.65% | -2.35% | +1.79% | +1.42% | +1.01% | +0.88% | +5.7% |
| 2014 | -1.07% | +1.94% | +0.34% | -0.22% | +0.74% | +1.43% | -1.82% | +1.81% | -2.15% | -0.32% | +0.10% | -0.30% | +0.4% |
| 2015 | +0.63% | -0.29% | +0.25% | +0.03% | +0.03% | +0.03% | +0.04% | -0.05% | +0.29% | -0.66% | -1.09% | +0.39% | -0.4% |
| 2016 | -2.38% | +1.34% | +3.26% | -1.08% | +0.97% | +5.55% | +2.22% | -1.95% | -1.05% | -3.84% | -1.56% | +0.08% | +1.2% |
| 2017 | +0.10% | +0.04% | +0.05% | +0.18% | +0.08% | -0.08% | +0.20% | +0.21% | -0.19% | -0.08% | -0.22% | -0.01% | +0.3% |
| 2018 | -0.26% | -0.12% | +0.25% | -0.24% | +0.34% | +0.04% | -0.06% | +0.35% | -0.14% | +0.14% | +1.61% | -5.41% | -3.6% |
| 2019 | -0.37% | -0.13% | +1.34% | -0.07% | +1.55% | +0.73% | -0.03% | +1.93% | -0.52% | +0.27% | -0.28% | -0.24% | +4.2% |
| 2020 | +1.62% | +1.65% | +2.17% | +2.03% | +0.45% | +1.09% | +5.47% | -1.99% | -1.24% | -1.67% | +0.65% | +2.21% | +12.9% |
| 2021 | +1.06% | +0.22% | -0.20% | +0.58% | +0.62% | +0.12% | -2.05% | +0.21% | -0.20% | -0.16% | -0.14% | +0.02% | +0.0% |
| 2022 | -0.83% | +0.24% | +3.76% | -0.42% | +0.77% | -2.68% | -0.36% | -1.02% | -3.01% | +0.45% | +1.58% | -1.21% | -2.9% |
| 2023 | +0.35% | -1.83% | +2.08% | +1.08% | -1.53% | +1.04% | +1.07% | -1.00% | -1.20% | -0.58% | +0.58% | -0.01% | -0.0% |
| 2024 | -0.52% | -0.18% | +3.14% | +0.62% | +1.10% | +0.30% | +2.73% | +1.37% | +2.41% | +0.96% | -0.60% | -0.74% | +11.0% |
| 2025 | +2.71% | +1.17% | +3.46% | +2.35% | -0.25% | +0.58% | -0.27% | +2.28% | +4.35% | +1.53% | +1.95% | +0.99% | +22.9% |
| 2026 | +4.77% | +3.87% | -4.36% | +0.27% | -0.01% | -2.26% | — | — | — | — | — | — | +2.0% |
Holdings
ETF:NYSE_ARCA:EEM$7,535
32.3%+$54 (+0.7%)
ETF:CBOE:MTUM$7,786
33.3%+$176 (+2.3%)
ETF:NYSE_ARCA:DBC$7,452
31.9%-$373 (-4.8%)
3 positions · $22,772
Insights
Insights generation not implemented yet