Faber GTAA (5)
Gary Faber 5-asset global tactical allocation — max-Sharpe optimizer with per-asset MA trend filter and daily rebalance. MC-validated Aug 2026.
Diversification
6
Volatility Profile
12.7%
2-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
$1,324.15
As of Aug 26, 2026 UTC
Total return
Cumulative since activation
—
Today's return
Since midnight UTC
—
Tracking days
1 / 7
Historical Performance
2.0-year daily MA100 → SHY trend filter at stated weights (Yahoo Finance, 2 holdings, as of 2026-08-25). Research only — not a forecast or live track record.
Annualized Return
+26.2%
2-year backtest
Volatility
12.7%
annualized
Sharpe Ratio
1.86
excess vs T-bills
Max Drawdown
-10.7%
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
MA100 → 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 (full hybrid sweep): SPY/EFA/IEF/GLD/VNQ, MA100, 2y lookback, 25% cap, daily. Composite Sharpe 2.15, CAGR +24.1%, max DD −8.1%, block P5 Sharpe 1.41.
Bull Case
Diversified global sleeve rotation with optimizer weights may outperform static Faber equal-weight.
Bear Case
Daily rebalance increases turnover. Concentrated max-Sharpe weights can cluster in correlated assets.
Behavior During Downturns
Per-asset MA100 trend filter routes weak sleeves to SHY before optimizer reweights.
Holdings
Template asset universe with weights optimized for maximum risk-adjusted return using historical excess returns vs T-bills.