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Trend filter (Faber 10-month)

◆ Insurance only

Index timing — holds SPY or T-bills

Meb Faber's timing model for long-term investors: own the S&P 500 while it is in an uptrend, step aside into cash when it isn't. One decision a month, no stock picking.

View 6-month backtest → View 1-year backtest →

New backtests are run by the owner.

How it works

An illustration of the rules on made-up prices, not real data.

Long-run result — 1994–2026, SPY with T-bill cash

Annual return

9.6%

SPY 10.9%

Worst drawdown

-24.6%

SPY -55.2%

Cut the worst drawdown by more than half, but gave up ~1.3%/yr and whipsawed in 2022.

Growth of $100,000 vs the same amount in SPY, 1994–2026

From the latest backtest run (to 2026-10-19): 9.5%/yr vs SPY 10.8%/yr; worst drop -24.6% vs -55.2%. Log scale, so equal percentage moves look the same size. Hover for values.

Rules

  1. At each month-end, compare SPY's close with its 10-month average (≈ 200-day MA)
  2. Above the average → hold SPY (buy at the next open if in cash)
  3. Below the average → sell and hold cash until it closes back above at a month-end

Assessment

  • + Built for a months-to-years horizon — typically a handful of trades a year
  • + Aims to sidestep the deep part of bear markets (2008, 2022) with similar long-run returns
  • + Decades of published out-of-sample evidence across asset classes
  • − Lags the index in choppy markets — whipsaws sell low and buy back higher
  • − Month-end checks only, so a fast crash inside a month is taken in full
  • − Will usually trail SPY in strong, uninterrupted bull markets
Last 6-month backtest: 07 Oct 2026 — SPY 15.8% Last 1-year backtest: 07 Oct 2026 — SPY 17.7%