Backtest: AGG 1 Consolidated vs SPY Buy & Hold
AGG 1 Consolidated
SPY Buy & Hold
Returns are gross of fees and taxes.
Ulysses contract
A backtest says what a strategy did on past data. The real question, once actual money is running, is whether it still behaves the way that backtest said it would. This is what the contract watches.
It is a written pre-commitment, signed before the money went in, named after Ulysses tying himself to the mast: the decision to hold is made while the sea is calm. Lagging an index, a losing year, a drawdown inside the known range are not reasons to stop, they are the price of admission. Only the four limits below can open a review, and a review is never an automatic exit.
| Measure | Opens a review |
|---|---|
| Drawdown from peak | -30% |
| 2026 so far | -15% at close |
| Losing years in a row | 3 |
| Trades, trailing 12 months | > 35 |
These limits apply to the strategy; the live figures come from AGG 3, the variant this account actually runs. This page shows a backtest only.
Yearly Returns
| Year | Strategy | SPY B&H |
|---|---|---|
| 2004 | +21.1% | +8.6% |
| 2005 | +32.6% | +4.8% |
| 2006 | +27.2% | +15.8% |
| 2007 | +21.4% | +5.1% |
| 2008 | +28.2% | -36.8% |
| 2009 | +17.1% | +26.4% |
| 2010 | +13.5% | +15.1% |
| 2011 | -10% | +1.9% |
| 2012 | +7.5% | +16% |
| 2013 | +14% | +32.3% |
| 2014 | +4.8% | +13.5% |
| 2015 | -9.2% | +1.2% |
| 2016 | -10.5% | +12% |
| 2017 | +25.8% | +21.7% |
| 2018 | -13.9% | -4.6% |
| 2019 | +9% | +31.2% |
| 2020 | +30.6% | +18.3% |
| 2021 | +9.2% | +28.7% |
| 2022 | -4.5% | -18.2% |
| 2023 | +2.7% | +26.2% |
| 2024 | +9.7% | +24.9% |
| 2025 | +63.7% | +17.7% |
| 2026 | +10.2% | +13.1% |
Recent Rebalances
How it works
Monthly rotation across 11 global asset classes, based on Meb Faber's Global Tactical Asset Allocation (GTAA, 2007). Every first trading day of the month: rank all assets by momentum, select the top N, filter out those in a downtrend or with negative momentum, and hold cash for the rest.
The 5 variants
AGG 1 through AGG 5 represent the same strategy with different concentration levels. AGG 1 holds 1 asset (100% in the top pick), AGG 5 holds 5 assets (20% each). Lower numbers are more concentrated and volatile; higher numbers are more diversified and smoother.
AGG 3 is the original Faber configuration. AGG 1 is the most aggressive — pure momentum conviction in a single asset class. AGG 5 is the most defensive — nearly half the universe gets capital, reducing single-asset risk at the cost of diluting the momentum signal.
The consolidated universe
The original Faber universe had 13 assets with a heavy bond bias (6 out of 13 were bonds). In a falling rate environment, the top 3 were often 2-3 bond funds — that's a bond portfolio, not diversification.
The consolidated version groups correlated pairs into 10 independent asset classes — US Equity (SPY/QQQ/IWM), Treasuries (IEF/TLT), and Credit (LQD/HYG) each become a single slot — and adds an 11th slot for foreign sovereign bonds (IGOV signal → IGLA UCITS) to cover USD-weak regimes that pure USD-denominated assets cannot express. The ranking universe is balanced across equities, real assets, real estate, USD fixed income, and foreign sovereign.
Best horse rule
For the 3 consolidated groups, the ranking decides "should I be in this asset class?" and the best horse rule decides "which ETF has the most momentum right now?"
In practice, QQQ gets selected over SPY about 86% of the time when US equity is in the top N. TLT dominates IEF 5:1 for treasuries. This adds a few basis points of CAGR by riding the more aggressive instrument within each correlated group.
Dual filter
Each selected asset must pass two filters before receiving capital: price above its 10-month moving average (absolute momentum), and average momentum above zero. Both filters avoid riding declining assets. During 2008, the strategy was fully in cash before Lehman collapsed.
Stress testing
Validated across 78 parameter configurations with a CV of Sharpe = 17%. No single asset can break the strategy (max impact of removing any one asset: 0.08 Sharpe). Smaller universes sometimes perform better. The strategy works at every rebalance day tested (1st-20th of the month), though the first few days are consistently better.
UCITS execution
Trades are executed using Irish-domiciled UCITS funds, mostly ETFs on the London Stock Exchange (IPRE trades on Xetra in EUR; SGLD is an ETC, not an ETF). For most non-US persons this sidesteps US estate-tax exposure on US-listed ETFs (situs rules and treaties vary by country). All funds are accumulating (no dividends to reinvest, no withholding tax friction). RWX→IPRE and IGOV→IGLA are deliberate proxies rather than like-for-like equivalents: IPRE tracks European property (RWX is global ex-US) and IGLA tracks global government bonds including US Treasuries (IGOV excludes the US).
| US Ticker | UCITS Ticker | UCITS Name |
|---|---|---|
| SPY | CSPX | iShares Core S&P 500 UCITS |
| QQQ | EQQS | Invesco Nasdaq-100 Swap UCITS |
| IWM | XRSU | Xtrackers Russell 2000 UCITS |
| EFA | EXUS | Xtrackers MSCI World ex-USA UCITS |
| EEM | EIMI | iShares Core MSCI EM UCITS |
| VNQ | XRES | Invesco S&P US Real Estate UCITS |
| RWX | IPRE | iShares European Property Yield UCITS |
| BCI | ICOM | iShares Diversified Commodity Swap UCITS |
| GLD | SGLD | Invesco Physical Gold ETC |
| IEF | CBU0 | iShares USD Treasury 7-10y UCITS |
| TLT | DTLA | iShares USD Treasury 20+y UCITS |
| TIP | IDTP | iShares USD TIPS UCITS |
| LQD | LQDA | iShares USD Corporate Bond UCITS |
| HYG | IHYA | iShares USD High Yield Corp Bond UCITS |
| IGOV | IGLA | iShares Global Government Bond UCITS |
| SHY | IBTA | iShares USD Treasury 1-3yr UCITS |
How these numbers are computed
The backtest ranks and measures on the US tickers above, which have the longest clean history; live execution buys their UCITS equivalents.
Curves and metrics are gross: no spread, commission, slippage or tax is deducted. All-in trading costs run roughly 5 to 25 bps per unit of turnover, a drag of about 0.2 to 1.0 CAGR point per year at this turnover.
Sharpe here is (CAGR − 4%) / volatility: a compounded return, minus a fixed 4% risk-free rate, per unit of volatility. Published Sharpe figures usually take the arithmetic average return and the risk-free rate of the day, so the two are not directly comparable.
Win Rate is the share of positive months, not the share of winning trades. Momentum rotation wins less often than that, and makes it up on the size of the winners.