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GTAA – FOCUS 3

This model is inspired by Mebane Faber’s extension of his basic Global Tactical Asset Allocation Model.

In the February 2013 update to his original paper, Mebane introduces 8 additional asset classes to the basic model for a total of 13.

Also in this paper, Mebane introduces alternative weightings and cash management strategies, one of which is to combine the use of both momentum and moving averages to determine the models final holdings.

View Complete Strategy Description and a complete list of asset classes
  • Assets are ranked by a combined score of their trailing total returns over multiple time periods and the top three assets are selected.
  • Assets are included only if they are above their long term moving average
  • Reflects the results of Portfolio Cafe’s extensive testing

From: $208.25 / month

Clear selection






Model Inception Date:12/31/2006Data as of 01/31/2017 
ModelBenchmark (SPY)Vanguard 60/40
Total Return:239.6%97.8%85.8%
Compound Annual Growth (CAGR):12.9%7.0%6.3%
Sharpe Ratio:0.790.330.39
MAR Ratio:0.930.120.17
Correlation to benchmark:0.29
0.30
Volatility:13.9%20.8%12.1%
Maximum Drawdown:-13.8%-55.2%
-36.0%
Winning Period %:61.2%
Best Monthly Period:9.62%
Worst Monthly Period:-6.25%

Exchange Traded FundSymbol
SPDR Barcap Global Ex-U.S. Bond (6-7yr)BWX
PowerShares DB Commodity IndexDBC
iShares Barclays 7-10 Yr Treasury (7-8yr)IEF
iShares MSCI Emerging MarketsEEM
iShares MSCI EAFEEFA
SPDR Gold SharesGLD
iShares Russell 1000 ValueIWD
iShares Russell 1000 GrowthIWF
iShares Russell 2000 ValueIWN
iShares Russell 2000 GrowthIWO
iShares iBoxx Invest Grade Bond (7-8yr)LQD
iShares FTSE NAREIT Residential IndexREZ
iShares Barclays Long-Term Treasury (15-18yr)TLT
Barclays Low Duration Treasury (2-yr)SHY

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