Faber Tactical Allocation Backtest
● CompletedDoes 10-month trend timing improve a diversified asset basket?
KEY FINDINGS
The short answer up front
Baseline findings
Defensive, but implementation-sensitive
ANNUALISED RETURN
4.43%
Annualised strategy return
SHARPE RATIO
0.65
Risk-adjusted return
MAX DRAWDOWN
−15.3%
Peak-to-trough decline
CASH EXPOSURE
$309m
As reported in source
CONFIDENCE
Moderate
Implementation-sensitive
The timing rule materially reduced drawdown versus an always-invested basket, but gave up long-run return. Confidence depends on portfolio phase-in, cash yield and benchmark construction
PERFORMANCE OVERVIEW
How the strategy performed over time
UNDER WHAT CONDITIONS DID IT WORK?
Where the strategy was strongest
NEXT RECOMMENDED STEP
Robustness validation
Overall confidence: Preliminary
This prototype backtest shows a promising historical pattern, but reliability checks have not been completed yet.
Run robustness validation before treating the result as reliable.
HOW THE BACKTEST WORKED
The rules and assumptions behind the result
Universe
5-asset basket
SPY EFA BND VNQ...
Period
2000–Present
Since 2000
Signal
10-month SMA
Close price
Allocation
20% sleeve
Per eligible
Rebalance
Monthly close
Rebalance
Costs
Illustrative
bps round-turn
Cash treatment
Illustrative
Illustrative
Capacity
$100m
Illustrative
WHAT SHOULD I DO NEXT?
Continue the research