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 Jul 17
·
Live
Performance Summary
Total P&L
+$29.5K
Annualised Return
+7.28%
Sharpe Ratio
0.57
Max Drawdown
−25.66%
Jul '08 – Oct '08
Simple Return
+295.06%
Win Rate
55.5%
Profit Factor
2.20
Volatility (Ann.)
14.11%
Period
1 Jan 2007 – Present
Initial Capital
$10K
Final Value
$39.5K
Total Return
+295.06%
Drift Tolerance
5.0%
Rebalance Frequency
Monthly
Equity PerformanceAll Time – Present
vs INDEX:SP:GSPCAlpha +4.3%Beta 0.40Outperformed 44.44% of months
Strategy
Monthly Returns% · green = positive · red = negative
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | +3.66% | -1.49% | +0.33% | +2.38% | +1.87% | -1.90% | -4.64% | -0.55% | +1.99% | +3.35% | -1.72% | +3.63% | +6.7% |
| 2008 | +5.32% | +5.41% | -2.08% | -0.17% | +2.99% | +1.94% | -4.15% | -5.02% | -4.02% | -10.59% | +7.27% | +6.58% | +1.8% |
| 2009 | -6.25% | +0.45% | +1.52% | -4.25% | +3.04% | -3.93% | +7.95% | +1.77% | +8.30% | -4.62% | +7.06% | +1.15% | +11.4% |
| 2010 | -5.40% | +4.13% | +8.86% | +6.90% | -6.88% | -6.95% | +2.70% | -5.34% | +5.28% | +3.11% | -0.86% | +6.03% | +10.2% |
| 2011 | +1.68% | +5.30% | +1.78% | +3.16% | -2.78% | -2.31% | -1.73% | +1.29% | -5.54% | -0.37% | +1.39% | -2.04% | -0.7% |
| 2012 | +2.78% | -1.90% | -1.07% | -0.46% | +2.34% | -1.45% | +2.23% | -0.92% | -0.54% | -1.42% | +0.52% | +3.23% | +3.2% |
| 2013 | +3.39% | +0.40% | +4.15% | +0.41% | -3.05% | -1.12% | +6.49% | -3.71% | +4.72% | +3.20% | +2.45% | +2.16% | +20.7% |
| 2014 | -3.01% | +4.63% | +0.96% | -1.32% | +1.41% | +2.61% | -2.18% | +3.05% | -2.95% | +1.76% | +2.60% | +1.38% | +8.9% |
| 2015 | +5.20% | -4.16% | -0.18% | -3.46% | -0.50% | -0.63% | +0.61% | -5.69% | -2.59% | -0.66% | -1.10% | +0.40% | -12.4% |
| 2016 | -2.40% | +1.35% | +0.78% | +0.08% | -1.11% | +5.20% | +2.27% | -2.65% | +0.38% | -3.24% | -1.24% | +2.32% | +1.4% |
| 2017 | +0.52% | +2.51% | -0.57% | +0.74% | +0.10% | +0.95% | +3.95% | +1.26% | +1.68% | +2.58% | +1.77% | +0.64% | +17.3% |
| 2018 | +7.25% | -4.00% | -1.33% | +0.25% | +3.70% | -0.44% | +0.41% | +3.90% | -0.94% | -9.54% | +2.60% | -5.41% | -4.6% |
| 2019 | +0.39% | -0.59% | +1.53% | -0.25% | -2.22% | +1.59% | +0.84% | +5.18% | -2.46% | +1.18% | -1.66% | +2.21% | +5.6% |
| 2020 | -0.49% | +0.22% | +1.58% | +1.95% | +0.32% | +1.07% | +6.59% | +0.87% | -3.23% | -1.02% | +4.34% | +6.66% | +20.0% |
| 2021 | +2.82% | +5.22% | +3.08% | +3.46% | +1.90% | +1.40% | -1.31% | +0.71% | -0.97% | +5.79% | -4.77% | +7.05% | +26.5% |
| 2022 | -0.74% | +0.95% | +3.75% | -0.59% | +0.06% | -2.94% | -0.44% | -1.05% | -3.22% | +0.52% | +1.59% | -4.08% | -6.3% |
| 2023 | +6.16% | -3.76% | +1.72% | +1.30% | -2.42% | +0.11% | +2.12% | -3.98% | -2.12% | -1.02% | +0.52% | +3.19% | +1.3% |
| 2024 | -4.87% | +5.49% | +3.68% | -5.23% | +3.31% | +0.77% | +0.76% | +1.74% | +2.72% | +0.31% | +2.66% | -4.72% | +6.1% |
| 2025 | +4.99% | +0.28% | -0.50% | -0.77% | +1.75% | +1.87% | -0.81% | +3.13% | +7.94% | +2.13% | +1.60% | +2.05% | +26.0% |
| 2026 | +8.55% | +6.54% | -8.78% | +6.74% | +4.04% | -0.36% | -6.86% | — | — | — | — | — | +8.7% |
Holdings
ETF:CBOE:MTUM$13,957
35.3%+$837 (+6.4%)
ETF:NYSE_ARCA:EEM$13,672
34.6%+$3,543 (+35.0%)
ETF:NYSE_ARCA:IWM$11,824
29.9%-$200 (-1.7%)
3 positions · $39,453
Insights
Insights generation not implemented yet