Global Tactical Asset Allocation (GTAA 5)

May 2007 – Sep 2026	Strategy	SPY
Annual return (CAGR)	4.8%	10.7%
Worst drawdown	-14.3%	-55.2%
Sharpe ratio	0.62	0.62
Volatility	8.1%	19.7%
Annual return since publication (Feb 2013)	5.1%	14.6%

Oct 1980 – Sep 2026	Strategy	SPY
Annual return (CAGR)	8.9%	11.9%
Worst drawdown	-14.3%	-55.2%
Sharpe ratio	1.23	0.72
Volatility	7.1%	18.0%
Annual return since publication (Feb 2013)	5.1%	14.6%

Global Tactical Asset Allocation (GTAA) is the portfolio Mebane Faber built in "A Quantitative Approach to Tactical Asset Allocation", first published in 2007 and updated in 2013. It spreads money evenly across five asset classes and applies the same trend rule to each one: hold it while it is above its 10-month average, otherwise hold Treasury bills.

The idea#

Faber's paper showed that a simple moving-average rule, applied to one asset class at a time, kept most of the long-run return while avoiding most of the deepest bear markets. Applying it to five asset classes at once adds diversification: stocks, bonds, commodities, and real estate rarely all trend down together, so the portfolio is seldom entirely in cash.

How it works#

The portfolio holds five equal slices of 20%:

US stocks (SPY)
Developed-market stocks outside the US (EFA)
10-year US Treasuries (IEF)
Commodities (GSG)
US real estate (VNQ)

At the close of the last trading day of each month, each slice is checked on its own. If its fund's price is above its 10-month average, the slice holds that fund. If it is below, the slice holds Treasury bills (BIL) until the fund recovers.

What the backtest shows#

Over the ETF era, from mid-2007, GTAA 5 lived up to its defensive promise. Its worst drawdown was about 14%, in 2008, compared with more than half for the S&P 500, and it recovered within about a year.

It paid for that with low returns. It compounded at under 5% a year and trailed both the S&P 500 and a plain 60/40 portfolio on risk-adjusted return. Commodities and real estate, two of its five slices, had a poor two decades, and the trend rule kept moving them in and out of bills. In the strong stock years of 2020, 2023, and 2024 it gained only a few percent.

With simulated history the test starts in 1980, and the picture changes: over the full period it compounded near 9% a year with the same shallow worst drawdown and a much higher risk-adjusted return. Most of its reputation comes from those earlier decades.

When it struggles#

Strong stock markets. Only a fifth of the portfolio is in US stocks.
Choppy trends. Prices that cross their average back and forth cause repeated small losses.
Weak diversifiers. When commodities or real estate trend down for years, those slices sit in bills.

Using it on Tactfolio#

The live strategy above runs the rule on daily data with a 210-session average, the closest daily equivalent to ten month-ends. Copy it to change the asset list, or compare it with the single-asset 10-month moving average timing model.

Year by year

Year	Strategy	SPY
2026*	12.8%	14.0%
2025	8.4%	17.7%
2024	5.7%	24.9%
2023	3.9%	26.2%
2022	-4.2%	-18.2%
2021	21.6%	28.7%
2020	1.8%	18.3%
2019	6.2%	31.2%
2018	-1.3%	-4.6%
2017	9.4%	21.7%
2016	1.6%	12.0%
2015	-2.3%	1.2%
2014	5.9%	13.5%
2013	6.0%	32.3%
2012	2.6%	16.0%
2011	-0.6%	1.9%
2010	6.0%	15.1%
2009	14.0%	26.4%
2008	-4.9%	-36.8%
2007*	3.8%	-3.4%

Year	Strategy	SPY
2026*	12.8%	14.0%
2025	8.4%	17.7%
2024	5.7%	24.9%
2023	3.9%	26.2%
2022	-4.2%	-18.2%
2021	21.6%	28.7%
2020	1.8%	18.3%
2019	6.2%	31.2%
2018	-1.3%	-4.6%
2017	9.4%	21.7%
2016	1.6%	12.0%
2015	-2.3%	1.2%
2014	5.9%	13.5%
2013	6.0%	32.3%
2012	2.6%	16.0%
2011	-0.6%	1.9%
2010	6.0%	15.1%
2009	14.0%	26.4%
2008	-4.9%	-36.8%
2007	9.2%	5.1%
2006	13.8%	15.8%
2005	9.6%	4.8%
2004	14.9%	10.7%
2003	20.8%	28.2%
2002	2.8%	-21.6%
2001	3.5%	-11.8%
2000	16.2%	-9.7%
1999	12.1%	20.4%
1998	6.5%	28.7%
1997	9.2%	33.5%
1996	18.8%	22.5%
1995	20.1%	38.0%
1994	1.5%	0.4%
1993	13.2%	9.7%
1992	4.8%	7.6%
1991	7.7%	30.3%
1990	1.4%	-3.2%
1989	20.5%	31.5%
1988	10.0%	16.4%
1987	12.0%	5.1%
1986	22.5%	18.6%
1985	28.9%	31.6%
1984	9.1%	6.2%
1983	13.5%	22.4%
1982	17.6%	21.6%
1981	6.8%	-4.9%
1980*	0.1%	5.7%

* Partial year.

The rules as implemented

This is the exact tree Tactfolio runs, rebalanced monthly with signals and trades at the close. Open it to inspect or copy it.

Sources and caveats

Mebane Faber, A Quantitative Approach to Tactical Asset Allocation (2007, updated 2013)

Faber compares each month-end close with the average of the last ten month-end closes; this version uses the daily 210-session average, which Faber notes is the closest daily equivalent.
ETFs stand in for the paper's total-return indexes: SPY, EFA, IEF, GSG, and VNQ for the S&P 500, MSCI EAFE, 10-year Treasuries, GSCI, and NAREIT, and BIL for 90-day Treasury bills.
Signals and trades use the close of the last trading day of each month, as in the source.

Common questions#

What is Faber's GTAA strategy?#

It is a portfolio of five asset classes at 20% each, where each one is held only while its price is above its 10-month moving average, and otherwise replaced by Treasury bills.

What ETFs does GTAA 5 use?#

SPY, EFA, IEF, GSG, and VNQ, with BIL as cash.

Is GTAA the same as the Ivy Portfolio?#

They are closely related. The Ivy Portfolio, from Faber and Richardson's book, uses a similar five asset classes and the same kind of trend rule.

Does GTAA still work?#

It still limits losses: its worst drawdown since 2007 was about 14%. But it has returned much less than a 60/40 portfolio since the ETFs launched. The live record on Tactfolio shows how it is doing now.