U-GTAA Agg3 Overview
| CAGR | 12.4% |
|---|---|
| Maximum drawdown | -20.1% |
| MAR ratio | 0.62 |
| History | 46 years (561 months) |
U-GTAA Agg3 is a UCITS version of GTAA Agg3, the concentrated three-slot version of Meb Faber's Global Tactical Asset Allocation, for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The rules are the original's: rank the asset classes each month by the plain average of their 1, 3, 6 and 12-month returns, buy the top three at a third of the portfolio each, and send any pick that sits below its 10-month moving average to cash. The portfolio is rebuilt fresh every month.
The One Change: International Government Bonds
GTAA Agg3 ranks thirteen asset classes. One of them, international government bonds held unhedged (BWX in the US version), has no UCITS fund that holds the same exposure, so U-GTAA Agg3 leaves it out and ranks the remaining twelve. Nothing else changes.
That one change matters less than it might sound. Over the full record GTAA Agg3 held international government bonds in 37 of 561 months, most recently in May 2025, and only those months, plus the slots that would otherwise have been filled differently, change. Leaving the asset out happened to help slightly over this history, but that is a feature of this particular stretch of markets, not a reason to expect it to help going forward.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| U.S. large cap value | SPDR MSCI USA Value UCITS ETF (Acc) | USVL | UVAL | IE00BSPLC520 |
| U.S. momentum | iShares Edge MSCI USA Momentum Factor UCITS ETF (Acc) | IUMO | IUMF | IE00BD1F4N50 |
| U.S. small cap (Russell 2000) | SPDR Russell 2000 US Small Cap UCITS ETF (Acc) | R2US | R2SC | IE00BJ38QD84 |
| U.S. small cap value | SPDR MSCI USA Small Cap Value Weighted UCITS ETF (Acc) | USSC | none | IE00BSPLC413 |
| Developed markets ex US | Xtrackers MSCI World ex USA UCITS ETF 1C | EXUS | XMWX | IE0006WW1TQ4 |
| Emerging markets | iShares MSCI EM UCITS ETF (Acc) | IEMA | SEMA | IE00B4L5YC18 |
| U.S. real estate | iShares US Property Yield UCITS ETF (Dist) | IDUP | IUSP | IE00B1FZSF77 |
| Commodities | Invesco Bloomberg Commodity UCITS ETF (Acc) | CMOD | CMOP | IE00BD6FTQ80 |
| Gold | iShares Physical Gold ETC | IGLN | SGLN | IE00B4ND3602 |
| Investment grade bonds | iShares $ Corp Bond UCITS ETF (Acc) | LQDA | none | IE00BYXYYJ35 |
| Long Treasuries | iShares $ Treasury Bond 20+yr UCITS ETF (Acc) | DTLA | none | IE00BFM6TC58 |
| Intermediate Treasuries | iShares $ Treasury Bond 7-10yr UCITS ETF (Acc) | CBU0 | none | IE00B3VWN518 |
| Short Treasuries (T-bills) | iShares $ Treasury Bond 0-1yr UCITS ETF (Acc) | IB01 | none | IE00BGSF1X88 |
How Closely the Funds Match
- Same or near-identical index. For most positions the UCITS fund tracks the same index, or the same index family, as the US fund it replaces.
- U.S. large cap value is held through an MSCI USA value-weighted fund, a different construction from the Russell 1000 Value index the US fund tracks, so expect some difference in the months it is held.
- U.S. momentum is held through the MSCI USA Momentum fund in place of the S&P 500 Momentum fund; both select large caps by recent strength but use different rules, so they will not move identically.
- U.S. small cap value is held through a value-weighted small cap fund in place of the CRSP small cap value index, the loosest of the equity matches.
- Developed markets ex US is held through an MSCI World ex USA fund, which holds large and mid caps only and leaves out South Korea; the US fund also holds small caps and Korea. The UCITS fund launched in 2024.
- U.S. real estate is the loosest match: the UCITS fund screens U.S. REITs for dividend yield and only comes in a distributing share class.
- Commodities are held through a Bloomberg Commodity index fund in place of the US fund's optimum-yield index, so returns will differ somewhat.
- Cash is held as a US T-bill fund in US dollars.
Performance Highlights
January 1980 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-GTAA Agg3 | +12.4% | -20.1% | 6.35 | 1.29 |
| GTAA Agg3 | +12.0% | -20.1% | 6.42 | 1.21 |
| S&P 500 | +12.0% | -51.0% | 12.72 | 0.61 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- Gold is held as an ETC. UCITS rules do not allow a fund that holds only gold, so gold is held through the iShares Physical Gold ETC, a security backed by physical gold. It is not a UCITS fund, but it is UCITS eligible and widely available to investors in the UK, Europe and elsewhere.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-GTAA Agg3 is for investors outside the US who want a broad, rules-based global trend strategy that concentrates in the three strongest asset classes, built from UCITS funds and a physical gold ETC.
Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. U-GTAA Agg3 is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Investors should carefully consider their risk tolerance and consult with a financial advisor.
For the latest details, visit www.DualMomentumSystems.com