GTAA-13 Aggressive

AggressiveMomentum

updateRebalanced: N/AAuthor: Meb Faber

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CAGR

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18.8%

Compound Annual Growth Rate

Max Drawdown

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-18.6%

Worst peak-to-trough decline

Sharpe Ratio

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1.15

Risk-adjusted return metric

Win Rate

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66%

Percentage of positive months

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Allocation Locked

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Strategy Methodology

Global Tactical Asset Allocation (GTAA) - 13 Aggressive is a momentum-based strategy that selects the top performers from a diverse universe of 13 asset classes.

check_circleDiverse Universe: Monitors 13 global asset classes including US, Foreign, & Emerging Stocks, Bonds, Real Estate, and Commodities.
check_circleTop Momentum: Every month, it ranks all 13 assets by their 10-month moving average.
check_circleSelection & Safety: It invests in the Top 3 assets (Aggressive 3), but ONLY if they are trading above their 200-day moving average. Otherwise, it sits in cash.

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Academic Backing

Based on the research paper "A Quantitative Approach to Tactical Asset Allocation" by Meb Faber. This "Aggressive" variant typically selects a concentrated portfolio of the top 3 momentum leaders to maximize returns while using trend-following filters to reduce drawdown.

Parameters

Trend Filter

10-Month SMA

Top Assets Selected

Top 3 (Aggressive)

Rebalance Frequency

Monthly

Asset Universe Size

13 ETFs

Monthly Rebalancing Process

4-Step Execution

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Analyze Universe

Review prices of all 13 global asset classes.

Monthly

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Check Trend

Filter out assets trading below their 200-day Moving Average.

Safety Filter

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Rank & Select

Rank remaining assets by performance. Pick top 3.

Selection

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Execute

Invest 33% in each of the Top 3. Hold Cash for unused slots.

Trading

STEP 1

The Universe

The strategy starts by observing 13 diverse global asset classes.

SPY (S&P 500)

EFA (EAFE)

IWM (Small Cap)

EEM (Emerging)

IYR (Real Estate)

DBC (Commodities)

GLD (Gold)

TLT (20y Bond)

+ 5 Others

Why this mix?

By casting a wide net across the global investment landscape, GTAA ensures that you always have exposure to something that is working, whether it's stocks during a bull market, commodities during inflation, or bonds during deflation.

STEP 2 & 3

Filter & Rank

We apply a rigorous two-step filter to ensure we only own the best assets.

The Trend Filter (Safety)

Is the price > 200-day Moving Average (SMA)?

Price > SMAELIGIBLE

Price < SMAIGNORE (CASH)

The Momentum Rank (Profit)

Rank the eligible assets by trailing returns.

1Top PerformerBUY 33%

22nd BestBUY 33%

33rd BestBUY 33%

44th BestIGNORE

Recent Monthly Returns

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2026	+7.00%	+0.00%	-	-	-	-	-	-	-	-	-	-	+7.00%
2025	+3.15%	+0.25%	+0.55%	+2.61%	+3.73%	+3.22%	-0.19%	+3.30%	+5.25%	+2.15%	+0.57%	+2.63%	+30.71%
2024	-0.15%	+2.92%	+3.80%	-2.50%	+4.14%	-0.56%	+5.48%	+3.39%	+2.33%	-0.89%	+1.45%	-4.45%	+15.48%