Holding now
Signal from Aug 2026 close- VTI60%
- BIL40%
- VTIUS Total Market60.0%
- BILT-Bills40.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.4%
YTD
+2.5%
1Y
+4.4%
3Y
+9.9%
5Y
+5.0%
10Y
+6.6%
Growth of $100
Backtest from May 1, 2003 to Sep 25, 2026 (23.3 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
+6.9%
Volatility
7.5%
Max drawdown
-14.5%
Sharpe
0.72
Sortino
1.00
Calmar
0.48
Best year
+18.0%
Worst year
-9.0%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 70% 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), or swap a fund for a same-asset-class alternative.
The idea
60/40 with Faber's rule on both the stock and bond sleeves. A direct test of whether trend filtering helps the most common portfolio.
The rules
- 160% US total market, 40% aggregate bonds.
- 2Each sleeve below its 10-month SMA at month-end moves to T-bills.
Funds used
- BND US Aggregate Bonds
- VTI US Total Market
Early history uses proxy funds: AGG, IEF, SHY.
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