Global Tactical — 13 Assets (GTAA13)
Developed by Meb Faber · Trend Following · Med Risk
The thirteen-asset variant of Meb Faber's Global Tactical Asset Allocation framework expands the foundational Ivy Portfolio concept from five core asset classes to a much broader opportunity set. Published alongside the original five-asset strategy in Faber's 2007 SSRN paper (#962461), GTAA13 adds a critical second dimension to the trend-following approach: active momentum-based selection from the expanded universe rather than simply holding all qualifying assets at equal weight.
Where the Ivy Portfolio asks a single question per asset — is it above or below its moving average? — GTAA13 asks two: is it in an uptrend, and how does its momentum compare to every other asset in the universe? This dual screening narrows the portfolio to the six strongest trending assets from a thirteen-member universe that spans US large and small caps, international developed and emerging market equities, real estate, commodities, gold, and multiple segments of the fixed income market including government bonds, investment-grade corporates, high-yield credit, international bonds, and inflation-protected securities.
The broader universe addresses a limitation of the five-asset Ivy Portfolio: its fixed allocation to five predetermined asset classes means the portfolio cannot adapt to environments where opportunity is concentrated in specific market segments. During the 2010s, for example, US large-cap stocks dramatically outperformed commodities and international equities — but the Ivy Portfolio's equal-weight structure forced continuous twenty-percent allocations to these lagging categories. GTAA13's momentum ranking allows the portfolio to concentrate in whatever six assets are leading, regardless of which broad categories they represent.
The multi-period momentum scoring — averaging one, three, six, and twelve-month returns into a single composite — provides a more robust ranking signal than any single lookback period. Short-term returns capture immediate market direction, while longer-term returns confirm that the trend has persistence. This blended approach reduces the probability of chasing short-lived spikes while still responding to genuine shifts in asset class leadership.
How It Works
Multi-Period Momentum Scoring
Each month, all thirteen assets are scored using a composite that averages their trailing one-month, three-month, six-month, and twelve-month total returns. This multi-period approach captures momentum across different time horizons simultaneously. An asset that shows strong returns across all four periods receives a higher composite score than one showing strength in only one or two timeframes, producing rankings that favor assets with broad-based, persistent trends rather than short-lived price spikes.
The equal weighting across the four return periods means no single timeframe dominates the signal. A strong one-month return alone cannot override weak three, six, and twelve-month returns — the composite naturally favors assets where momentum has been building and sustaining over multiple horizons. This self-confirming property reduces false signals relative to single-period momentum screens.
Trend Filter and Selection
Before being eligible for selection, each asset must pass a trend filter: its current price must be above its ten-month simple moving average. Assets trading below their moving average are excluded from the ranking regardless of how strong their composite momentum score may be. This filter prevents the portfolio from holding assets in established downtrends — even if a declining asset happens to have a strong recent rebound that temporarily boosts its composite score.
From the remaining qualified assets, the top six by composite momentum score are selected and weighted equally. The six-position selection provides meaningful diversification while remaining concentrated enough to benefit from the momentum signal. If fewer than six assets pass the trend filter during periods of widespread market weakness, the unfilled slots move to cash, automatically increasing the portfolio's defensive allocation proportionally to the breadth of the decline.
The Expanded Universe
The thirteen-asset universe spans US large caps (SPY), US small caps (IWM), international developed stocks (EFA), emerging markets (EEM), real estate (VNQ), commodities (DBC), gold (GLD), intermediate Treasuries (IEF), long-term Treasuries (TLT), investment-grade bonds (LQD), high-yield bonds (HYG), international bonds (BWX), and inflation-protected securities (TIP).
This breadth ensures the strategy has access to assets that perform well across diverse macroeconomic environments. During equity bull markets, multiple equity segments and high-yield credit tend to populate the top six. During deflationary scares, government bonds and gold rise in the rankings. During inflationary periods, commodities, TIPS, and gold gain momentum. The strategy does not predict which environment will prevail — it simply holds whatever is working best at any given time.
Explore Global Tactical — 13 Assets (GTAA13)
See the full backtest across 18 years of market data, or run your own what-if scenarios by adjusting all research parameters.