Faber GTAA (10)
Expanded 10-asset Faber tactical universe with max-Sharpe optimization and MA trend exits. MC-validated Aug 2026.
Diversification
18
Volatility Profile
10.9%
2.25-year backtest
Horizon
3+ years
House Account Track Record
Forward performance on a separate virtual $1,000 research account since 8/26/2026. This is not your connected exchange account.
Returns appear after 7 daily snapshots (1 of 7 so far).
Account value
$1,034.55
As of Aug 26, 2026 UTC
Total return
Cumulative since activation
—
Today's return
Since midnight UTC
—
Tracking days
1 / 7
Historical Performance
2.3-year daily MA150 → SHY trend filter at stated weights (Yahoo Finance, 6 holdings, as of 2026-08-25). Research only — not a forecast or live track record.
Annualized Return
+22.5%
2.25-year backtest
Volatility
10.9%
annualized
Sharpe Ratio
1.92
excess vs T-bills
Max Drawdown
-7.3%
backtested
Trading Logic
End-of-day signals only — no day trading. See full trading logic documentation.
Rebalance Schedule
Daily (business days)
Drift > 5%
Min Holding
0 days
Before discretionary sells
Trend Filter
MA150 → SHY
Buy when MA stack aligned; exit to cash when broken
Risk Alerts
Defensive regime
VIX spike, DD halt — any business day
AI Rationale
Champion: 10-asset universe, MA150, 2.25y lookback, 40% cap, daily. Composite Sharpe 2.05, CAGR +25%, max DD −9.3%, block P5 Sharpe 1.27.
Bull Case
Broader sleeve set (small cap, EM, credit) adds diversification versus 5-asset GTAA.
Bear Case
More assets increase rebalance complexity and data dependency.
Behavior During Downturns
MA150 per-sleeve exits reduce exposure before optimizer re-optimizes survivors.
Holdings
Template asset universe with weights optimized for maximum risk-adjusted return using historical excess returns vs T-bills.