Objective
Port + verify Faber GTAA 5 vs AS metrics.
Notes: GTAA5 replicated 2015+: corr 0.987 CAGRΔ +0.54%. Findings: faber-gtaa-ivy-scale-batch.md
Approach
Reuses existing report research/findings/faber-gtaa-ivy-scale-batch.md — tables/metrics preserved verbatim via source_report pointer. Body below summarizes grounded evidence from that report and adjacent artifacts.
Files / code / data changed
- No commit SHA confidently associated with
t82in sampled log [reconstructed — uncertain]. - Source report:
research/findings/faber-gtaa-ivy-scale-batch.md - Task-history entry:
research/findings/task-history.json#t82
Results
Key table from source report (preserved):
| id | status | monthly corr | overlap CAGRΔ | notes |
|---|---|---|---|---|
| gtaa-5 | replicated | 0.987 | +0.54% | 20%×5 + 10m SMA → cash |
| gtaa-13 | replicated | 0.991 | +0.75% | AS 12-sleeve end-note weights |
| ivy | replicated | 0.999 | +0.20% | same sleeves; annual rebalance |
Conclusions and metrics are in research/findings/faber-gtaa-ivy-scale-batch.md; see detail page for preserved tables/metrics.
Conclusions
GTAA5 replicated 2015+: corr 0.987 CAGRΔ +0.54%. Findings: faber-gtaa-ivy-scale-batch.md
Problems / follow-ups
- See source report or PR discussion for follow-ups. No unsupported follow-ups fabricated.
Links
- Task-history:
research/findings/task-history.jsonidt82 - Findings:
research/findings/faber-gtaa-ivy-scale-batch.md