Faber 10-Month SMA Timing (GTAA): does it still work? Replicated through 2026
We re-ran it on S&P 500, Gold, Commodities from 2010-10-29 to 2026-11-10 (16.0 years, before costs): +5.8% a year, Sharpe 0.71, worst drawdown -16.3%. The benchmark, Equal-weight of 3 markets, did +8.4% a year (Sharpe 0.74, worst drawdown -29.4%).
Verdict: About the same risk-adjusted return as its benchmark. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- Foreign stocks, bonds and REITs are missing: only 3 of the 5 classes remain, so the portfolio is more concentrated and more volatile.
- GLD and DBC are ETFs, not the indices used in the paper, and the sample is shorter.
Where it comes from
The most-downloaded tactical allocation paper and the basis of the 'timing' wave in ETF investing.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
Across five asset classes (US stocks, foreign stocks, bonds, REITs, commodities) equally weighted: at each month-end hold the class if its price is above its 10-month simple moving average, otherwise hold cash/T-bills.
How we replicate it
What we changed
Three of the five asset classes exist here: SPY, GLD (as a real-asset proxy) and DBC. Each gets a 1/3 slot of equity and is held only while its month-end close is above the average of its last 10 month-end closes, otherwise the slot stays in cash.
The exact rule we run
On the last trading day of each month, for each of SPY, GLD and DBC: if the month-end close is above the average of the last 10 month-end closes, that market is ON for the next month, else OFF. Each market has a fixed 1/3 slot; OFF slots stay in cash.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-10-29, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: Equal-weight of 3 markets, same period. Equal slots in S&P 500, Gold, Commodities, rebalanced daily; a market without data yet stays in cash.
Drawdown from the previous peak
Key numbers
Sample: 2010-10-29 to 2026-11-10, 16.0 years, 4032 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -3.4% | -4.6% |
| Last year | +11.8% | +15.9% |
| Last 5 years | +54.8% | +91.8% |
| Whole period (cumulative) | +148.5% | +264.1% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +9.9% | +14.0% | -4.1% |
| 2025 | +22.7% | +28.8% | -6.1% |
| 2024 | +16.3% | +17.9% | -1.6% |
| 2023 | +2.7% | +10.7% | -8.0% |
| 2022 | -4.2% | +0.2% | -4.4% |
| 2021 | +17.2% | +21.1% | -4.0% |
| 2020 | +7.1% | +12.5% | -5.4% |
| 2019 | +9.4% | +20.6% | -11.3% |
| 2018 | -1.2% | -5.6% | +4.4% |
| 2017 | +7.3% | +13.3% | -6.0% |
| 2016 | +3.0% | +13.7% | -10.7% |
| 2015 | -3.2% | -12.6% | +9.4% |
| 2014 | -0.9% | -6.8% | +5.9% |
| 2013 | +8.9% | -3.8% | +12.7% |
| 2012 | -4.9% | +9.0% | -13.9% |
| 2011 | +1.1% | +3.9% | -2.8% |
| 2010* | +7.0% | +7.0% | 0.0% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| S&P 500 SPY | 33.3% |
| Commodities DBC | 33.3% |
| Cash (0%) | 33.3% |
Last change of position: 2026-06-30. Drawdown from its peak today: -5.1%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -5.4% | -21.5% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -2.1% | -4.2% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 75 position changes over 16.0 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
Uses 3 of the paper's 5 asset classes, ETFs instead of indices and a shorter sample, so results will differ from the paper.
Related
Other famous strategies
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Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500 · Gold · Commodities
Historical, hypothetical results before costs, taxes and fees. Not investment advice.