Global Tactical Asset Allocation, Automated With Python and IBKR [Concretum Group] (opens in new tab)

Meb Faber published A Quantitative Approach to Tactical Asset Allocation in 2007. It became one of the most influential investment research papers of the past two decades. The rules are simple: five asset classes, one trend signal per asset, monthly rebalancing. The original backtest ran from 1972 to 2005 and produced a Sharpe ratio of 0.81, a CAGR of 11.7%, and a maximum drawdown of 9.5%. We wanted to know if it still works. So we ran it on the next 20 years of data, 2006 through March 2025,...