Global Tactical — Aggressive Top 6 (GTAA-AGG6)
Developed by Meb Faber · Trend Following · Med-High Risk
The Aggressive Top 6 variant occupies the middle ground in Meb Faber's GTAA family — more concentrated than the broad thirteen-asset strategy but more diversified than the aggressive top-three version. Published as part of Faber's comprehensive GTAA research (SSRN #962461), GTAA-AGG6 selects six assets from the same twelve-position universe used by the top-three variant, applying multi-period momentum scoring with a ten-month moving average trend filter.
The six-position selection provides what many practitioners consider the optimal balance between momentum concentration and portfolio stability. With each position receiving roughly sixteen percent of capital, the portfolio is concentrated enough to benefit meaningfully from the momentum signal while diversified enough to absorb a ranking error in any single position without catastrophic impact. Academic research on momentum portfolio construction has consistently shown that portfolios holding between four and eight positions capture the majority of the momentum premium while maintaining adequate diversification — making six a theoretically well-supported choice.
The twelve-asset universe spans US equities, style factors (momentum, small-cap value), international developed and emerging markets, and six fixed income segments including government bonds, corporates, high yield, emerging market debt, and international bonds. This rich universe ensures the strategy can always find six assets with positive trends across diverse market environments. During equity bull markets, the portfolio tends to hold multiple equity segments alongside high-yield credit. During defensive regimes, government bonds, investment-grade corporates, and other fixed income instruments populate the rankings. The strategy does not force a particular asset class composition — it holds whatever six assets exhibit the strongest risk-adjusted momentum.
How It Works
Multi-Period Momentum and Trend Filter
Each month, all twelve universe members are scored using a composite that averages their one-month, three-month, six-month, and twelve-month total returns. This multi-frequency approach ensures rankings reflect both recent price action and longer-term trend persistence. Assets must also trade above their ten-month simple moving average to qualify, filtering out positions in established downtrends regardless of their composite momentum score.
The combination of momentum ranking with trend eligibility creates a dual filter that addresses different types of risk. The momentum ranking identifies what is working best right now. The trend filter prevents the portfolio from holding assets where the overall trajectory is negative, even if short-term returns have been strong. Together they produce a portfolio of assets that are both leading in relative terms and healthy in absolute terms.
Six-Position Equal Weighting
The top six qualifying assets receive equal allocation. This uniform sizing ensures no single momentum winner dominates the portfolio's risk contribution, maintaining diversification across whatever asset classes are currently trending strongest. During periods of clear equity leadership, four or five of the six positions may be equity-related, but the equal weighting prevents any single equity holding from exceeding sixteen percent of the portfolio.
When fewer than six assets pass the trend filter — typically during broad market selloffs affecting multiple asset classes simultaneously — unfilled slots move to cash. This graduated defensive mechanism means the portfolio's cash allocation scales naturally with the severity of market weakness, providing automatic risk reduction without requiring a separate defensive trigger or switching rule.
Positioning in the GTAA Family
GTAA-AGG6 delivers higher returns than the conservative Ivy Portfolio during trending markets, thanks to its momentum-based selection from a broader universe, while experiencing lower volatility than the three-position aggressive variant due to its wider diversification. This middle-ground positioning makes it appealing to investors who want more than passive trend filtering but are not comfortable with the concentrated bets that the top-three approach requires.
The moderate turnover — higher than the Ivy Portfolio but lower than binary momentum strategies — makes the strategy practical for most account types. Position changes typically involve replacing one or two of the six holdings each month as momentum rankings shift, rather than the wholesale portfolio rotations characteristic of more aggressive tactical approaches.
Explore Global Tactical — Aggressive Top 6 (GTAA-AGG6)
See the full backtest across 18 years of market data, or run your own what-if scenarios by adjusting all research parameters.