Co-founder and CIO, Cambria Investment Management

Meb Faber

Author of A Quantitative Approach to Tactical Asset Allocation (Journal of Wealth Management, 2007), one of the most downloaded papers on SSRN. It holds an asset only while its month-end price is above its 10-month average.

What they argue

A 10-month average filter gives equity-like returns with far smaller drawdowns across asset classes.
His 10-year revisit found the rule shone in 2008-09, then trailed stocks in six of the next eight years.

Sources

Swedroe on Faber's rule, 10 years later (ETF.com)CXO Advisory review of the 2013 update

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

The Ivy Portfolio (with Eric Richardson) (2009)
Global Asset Allocation (2015)

The full reading list

Faber 10-month SMA

Rule and full record

Trend following · month-end

Check once a month. Hold the asset while its month-end price is above its 10-month average; otherwise sit in Treasury bills.

Calls right30%12,508 closed calls on 377 stocks.

Beat buy and hold (Sharpe)122 of 375On raw return: 93 of 375.

In right now195 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

APPOUT EOSEOUT ATHIN DASHOUT PYPLIN SRU.UNOUT PEYOUT AP.UNOUT BTEIN MUIN BSXOUT VETIN All 377 stocks →