GTAA Aggressive (Top 3 of 13)
The three strongest of 13 asset classes, each with a trend filter.
Holding now
Signal from Aug 2026 close- DBC33%
- IWD33%
- EEM33%
- DBCCommodities33.3%
- IWDUS Large Value33.3%
- EEMEmerging Markets33.3%
Signal preview: if the month ended today
- DBC33%
- MTUM33%
- EEM33%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+1.2%
YTD
+8.9%
1Y
+15.2%
3Y
+14.1%
5Y
+7.4%
10Y
+9.6%
Growth of $100
Backtest from Nov 3, 2008 to Sep 25, 2026 (17.8 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+8.7%
Volatility
14.4%
Max drawdown
-21.2%
Sharpe
0.56
Sortino
0.77
Calmar
0.41
Best year
+27.8%
Worst year
-12.0%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 61% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), use managed futures instead of T-bills as the defensive asset, or swap a fund for a same-asset-class alternative.
The idea
From Faber's relative strength research: rank a 13-asset global universe by an average of 1, 3, 6 and 12-month returns and hold the top three. Any pick below its 10-month SMA is held as cash instead.
The rules
- 1Universe: US large value & momentum, US small value & small cap, EAFE, EM, US 10Y & 30Y Treasuries, foreign bonds, corporates, commodities, gold, REITs.
- 2Score = average of 1, 3, 6 and 12-month returns; hold the top 3 equally.
- 3A pick below its 10-month SMA is replaced by T-bills.
Funds used
- BWX Intl Treasuries
- DBC Commodities
- EEM Emerging Markets
- EFA Intl Developed (EAFE)
- GLD Gold
- IEF 7-10Y Treasuries
- IWD US Large Value
- IWM US Small Cap
- IWN US Small Value
- LQD IG Corporate Bonds
- MTUM US Momentum
- TLT 20+Y Treasuries
- VNQ US REITs
Early history uses proxy funds: SPY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025