Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Core

Trend following

Based on Faber, 2007

CorePartly inHypotheticalNext rebalance Dec 1, 2026

At the Nov 3, 2026 close Trend following is partly in and holds SPY 20%, GSG 20%, VNQ 20% and 1 more, with 20% in cash. Hypothetical back-test since 2010: +4.2% a year against AOR’s +7.6%, deepest fall −13.7%.

IQ · Nov 3, 2026

Scorecard window, Jan 15, 2010 to Nov 3, 2026

Paper recordNot startedStarts Nov 4, 2026

Back-test, a year+4.2%vs AOR +7.6%

Max drawdown−13.7%vs AOR −22.2%

Sharpe0.39vs AOR 0.62

Turnover190%a year

Funds5held now

Growth of $10,000

Jan 2010 to Nov 3, 2026 · after costs

Nov 3, 2026Back-testStrategy$19,881+98.8%AOR$34,281+242.8%

$10,000$34.3k$19.9k

Jan 2010May 2013Sep 2016Feb 2020Jun 2023Nov 2026

StrategyAORBack-testPaper record

Drawdown

Fall from the last high

Strategy worst −13.7%AOR worst −22.2%

−20%−10%0%

Jan 2010May 2013Sep 2016Feb 2020Jun 2023Nov 2026

Rolling 12-month return

+13.0%+8.2%

0%+10%+20%

Nov 2024Jul 2025Mar 2026Nov 2026

Rolling 12-month Sharpe

1.790.82

0.01.02.0

Nov 2024Jul 2025Mar 2026Nov 2026

Holdings now

Nov 3, 2026 close

SPYSPDR S&P 500 ETF Trust20.1%GSGiShares GSCI Commodity-Indexed Trust Fund20.1%CashCash and T-bills20.0%VNQVanguard Real Estate ETF20.0%EFAiShares MSCI EAFE ETF19.9%

Signals

Hold each of five asset classes while it trades above its 10-month average, else hold cash.

4 in · 1 out

Nearest to flipping

FundVs averageRankDistance to flipState

EFA0.0%0.0% to flipIn

IEF−1.0%+1.1% to flipOut

VNQ+1.4%−1.4% to flipIn

SPY+3.0%−2.9% to flipIn

GSG+8.9%−8.2% to flipIn

FundVs averageRankDistance to flipState

SPY+3.0%−2.9% to flipIn

EFA0.0%0.0% to flipIn

IEF−1.0%+1.1% to flipOut

VNQ+1.4%−1.4% to flipIn

GSG+8.9%−8.2% to flipIn

Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Date	Action	Fund	Price	Weight	Reason	Record
Oct 30, 2026	In	VNQ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Sep 30, 2026	Out	VNQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 29, 2026	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2026	In	VNQ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Apr 30, 2026	In	SPY	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Mar 31, 2026	Out	VNQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Mar 31, 2026	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Aug 29, 2025	In	VNQ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Jun 30, 2025	In	GSG	at close	20.0%	Rule added it. Next close, after costs.	Back-test
May 30, 2025	In	SPY	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Apr 30, 2025	Out	GSG	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Mar 31, 2025	Out	VNQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Mar 31, 2025	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Feb 28, 2025	In	IEF	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Jan 31, 2025	In	EFA	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Dec 31, 2024	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Dec 31, 2024	In	GSG	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Nov 29, 2024	Out	EFA	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Aug 30, 2024	Out	GSG	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 31, 2024	In	VNQ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
May 31, 2024	In	IEF	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Apr 30, 2024	Out	VNQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2024	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jan 31, 2024	In	GSG	at close	20.0%	Rule added it. Next close, after costs.	Back-test

No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3

Dec 2025	Jan 2026	Feb 2026	Mar 2026	Apr 2026	May 2026	Jun 2026	Jul 2026	Aug 2026	Sep 2026	Oct 2026	Nov 2026
−0.2	3.9	2.7	0.4	2.6	−0.1	−1.7	3.4	1.7	−1.0	0.6	−0.8

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year	AOR
2026*	3.9	2.7	0.4	2.6	−0.1	−1.7	3.4	1.7	−1.0	0.6	−0.8		12.0	6.5
2025	1.5	1.1	−1.0	−0.6	1.0	1.9	0.6	1.7	1.8	0.6	0.9	−0.2	9.5	15.7
2024	−0.8	2.1	2.8	−3.5	2.0	1.1	2.4	2.0	1.1	−2.5	2.3	−2.4	6.4	11.4
2023	2.0	−3.3	1.2	1.1	−0.8	2.1	1.4	−1.7	−0.7	−1.2	−0.3	2.5	2.1	15.8
2022	−1.7	0.7	1.5	−2.1	0.9	−1.4	0.0	−0.4	−1.3	0.8	0.3	−1.5	−4.2	−15.7
2021	0.6	3.8	2.0	4.8	1.5	1.6	1.8	0.7	−1.8	4.7	−3.6	4.1	21.6	11.2
2020	−1.8	−4.3	2.7	0.1	0.1	0.3	1.4	1.7	−1.1	−1.5	5.1	3.3	5.6	11.2
2019	−0.1	0.3	1.7	1.0	−3.4	0.6	0.0	0.6	1.0	1.4	0.6	1.2	4.8	19.8
2018	2.0	−2.8	−0.2	1.4	0.5	1.3	0.2	1.1	0.0	−3.1	1.1	−3.0	−1.6	−6.3
2017	0.6	1.1	−0.6	0.6	1.0	0.1	1.0	0.3	0.6	1.6	1.5	1.3	9.5	15.8
2016	−1.6	0.3	2.1	−0.6	0.8	1.5	−0.4	−1.1	0.0	−2.7	0.5	1.3	0.0	6.7
2015	1.6	−0.1	−0.1	−0.4	0.2	−1.1	0.7	−2.8	−1.1	−0.1	−0.8	−0.1	−4.1	−1.9
2014	−1.7	3.5	−0.3	1.5	1.5	1.3	−1.9	1.6	−2.5	2.5	1.2	0.4	7.0	7.6
2013	2.3	−0.9	1.5	2.0	−2.3	−1.2	2.3	−2.0	1.3	1.3	−0.4	0.8	4.7	16.5
2012	1.3	0.2	0.3	0.5	−6.3	0.8	0.9	0.5	0.3	−1.2	0.8	1.6	−0.5	10.4
2011	2.1	2.9	−0.1	3.7	−1.8	−2.7	0.0	−3.5	−0.5	−0.3	0.0	0.2	−0.1	1.1
2010	−4.4	2.3	4.7	1.8	−6.9	−2.1	2.0	−2.2	2.1	2.5	−1.3	5.0	2.7	8.8
2009	−0.8	−0.1	0.7	−0.5	−0.4	−1.1	3.4	3.8	2.3	−1.1	4.0	1.3	11.8	n/a
2008	0.5	2.7	0.2	1.2	0.9	0.2	−2.4	−1.1	−0.9	−6.6	1.1	1.0	−3.4	n/a
2007						−2.3	0.4	0.1	3.8	2.6	−0.7	0.4	4.2	n/a

Scorecard

vs AOR · back-test Jan 15, 2010 to Nov 3, 2026 · after costs

+4.2% a year vs AOR +7.6%.Max drawdown −13.7% vs −22.2%.

Return

MeasureStrategyAOREdge

Total return+101%+244%AOR

Annualised+4.2%+7.6%AOR

Risk

MeasureStrategyAOREdge

Volatility7.4%10.1%Strategy

Max drawdown−13.7%−22.2%Strategy

Upside capture53.5%100.0%AOR

Downside capture66.8%100.0%Strategy

Beta0.491.00Lower

Risk-adjusted

MeasureStrategyAOREdge

Sharpe ratio0.390.62AOR

Sortino ratio0.530.89AOR

Calmar ratio0.310.34AOR (slight)

Alpha, a year−0.2%n/aNot significant

Costs and taxes

MeasureStrategyAOREdge

Turnover, a year190%n/a

Cost drag, a year−0.04%n/a

Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.5% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.

t = −0.17Alpha of −0.2% a year is not significant, on back-test data.

190%turnover a year. Costs take 0.0 points.

MethodSource, rules, funds and limitsOpen ↓

SourceFaber, M. (2007). A Quantitative Approach to Tactical Asset Allocation. Journal of Wealth Management 9(4), 69-79. ↗

VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies

Exact rules

Hold each of five asset classes while it trades above its 10-month average, else hold cash.
A rule reads the close of the last trading day of the month and trades at the next close.
The universe is 5 funds; the benchmark is iShares Core 60/40 Balanced Allocation ETF (AOR).
It is checked at each month end.

What we cannot measure

Faber's index series (S&P 500, MSCI EAFE, GSCI, NAREIT, 10-year Treasury) are replaced by the ETFs above, which start later and carry fees.
Taxes and short-term gains on each switch.

Fund list · 5 funds

SPY EFA IEF VNQ GSG

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ETFIQ Strategy Lab, Trend following, data as of Nov 3, 2026. https://etfiq.com/models/strategies/trend-following/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

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