Global Tactical Asset Allocation 13 (GTAA 13) by Meb Faber
The Global Tactical Asset Allocation 13 (GTAA 13) is a tactical momentum strategy developed by Meb Faber, co-founder of Cambria Investment Management, and presented in his research paper "A Quantitative Approach to Tactical Asset Allocation" and his book The Ivy Portfolio. The GTAA 13 version applies Faber's simple moving average timing rule across a universe of 13 asset classes — spanning global equities, bonds, commodities, real estate, and currencies — holding only those above their 10-month moving average and moving to cash for those below it.
Average Allocation
Based on historical average weights across all rebalance periods.
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -11.3% | +9.5% | +35.4% |
| 3 Year | +0.4% | +9.3% | +24.1% |
| 5 Year | +0.9% | +9.2% | +21.1% |
| 10 Year | +3.1% | +8.9% | +15.2% |
Growth of $10,000
Historical Drawdown
Percentage decline from the portfolio's peak value at each point in time.
Rolling Returns
Annualised return for each rolling period ending on that date.
Annualised return for each 1Y period ending on that date.
Investment Philosophy
Faber's GTAA approach is rooted in trend following: an asset is held when it is trending upward (trading above its long-term moving average) and replaced with cash or a safe asset when it is in a downtrend. The strategy is not trying to predict which asset class will perform best; instead, it simply avoids holding assets during sustained drawdowns. The 13-asset version maximises the breadth of this signal, providing diversified exposure to the trend-following effect across a wide range of global markets.
Who It's For
This portfolio suits investors who are comfortable with a rules-based, tactical approach and willing to hold cash during periods when multiple asset classes are in downtrends. It requires conviction in trend following as a strategy and the discipline to follow monthly signals mechanically without second-guessing them.
Pros
- Broad universe of 13 asset classes provides diversified exposure to global momentum signals
- Trend filter aims to sidestep major equity bear markets and other sustained asset class drawdowns
- Fully mechanical and systematic, removing emotional bias from asset allocation
Cons
- Trend-following can produce whipsaw losses in sideways or rapidly reversing markets
- Holding cash during bullish periods can cause significant underperformance relative to buy-and-hold
- Requires monthly monitoring and potential rebalancing across 13 asset classes
Technical Notes
The core timing signal is whether each asset class is trading above or below its 10-month (approximately 200-day) moving average, evaluated at month-end. See also GTAA 5 for a simpler five-asset version.
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