Monthly Faber Crossover
On the last trading day of the month, SPY closes above its 10-month simple moving average after having been below it the previous month. This is Meb Faber's classic tactical asset allocation signal from his 2007 paper — one of the most academically vetted long-term trend-following triggers. The forward base rates are exceptional: 91% positive at 12 months with an average return of +12.2% since 1993.
Rule
Last trading day of month. Previous month-end close < SMA(10) of monthly closes. Current month-end close > SMA(10) of monthly closes.23 occurrencesData: 1993-02-02 → 2026-04-17Cooldown: 20 trading daysLast trigger: 2025-05-30
Forward Returns
| Horizon | % Positive | Avg Return | Median | Best | Worst | N |
|---|---|---|---|---|---|---|
| 1w | 65% | +0.59% | +1.01% | +4.94% | -4.30% | 23 |
| 1m | 70% | +0.42% | +1.36% | +7.31% | -11.41% | 23 |
| 3m | 78% | +3.35% | +1.87% | +15.28% | -15.59% | 23 |
| 6m | 87% | +7.54% | +7.34% | +22.41% | -25.14% | 23 |
| 9m | 87% | +10.42% | +10.67% | +28.02% | -21.94% | 23 |
| 12m | 91% | +12.22% | +12.46% | +38.03% | -24.28% | 22 |
SPY with Trigger Markers
Signal trigger · log scale
Historical Occurrences
| Date | SPY | 1w | 1m | 3m | 6m | 9m | 12m |
|---|---|---|---|---|---|---|---|
| 2025-05-30 | $589.39 | +1.65% | +4.79% | +9.44% | +15.95% | +15.43% | — |
| 2023-11-30 | $456.40 | +0.40% | +3.56% | +12.25% | +15.64% | +20.96% | +32.26% |
| 2023-01-31 | $406.48 | +2.14% | -2.13% | +1.07% | +10.74% | +2.88% | +20.35% |
| 2022-11-30 | $407.68 | -3.56% | -6.19% | -0.86% | +4.96% | +10.67% | +12.61% |
| 2022-03-31 | $451.64 | -0.64% | -8.23% | -15.59% | -20.91% | -15.32% | -9.01% |
| 2020-05-29 | $304.32 | +4.94% | +0.05% | +14.46% | +19.17% | +28.02% | +38.03% |
| 2019-06-28 | $293.00 | +1.30% | +2.63% | +0.82% | +10.19% | -10.70% | +3.91% |
| 2019-02-28 | $278.68 | -1.32% | +1.36% | +0.13% | +3.66% | +12.70% | +6.31% |
| 2018-11-30 | $275.65 | -4.20% | -11.41% | +0.61% | +2.65% | +6.67% | +12.30% |
| 2016-03-31 | $205.52 | -0.76% | +0.39% | +0.55% | +5.41% | +9.19% | +14.97% |
| 2015-10-30 | $207.93 | +1.01% | +1.32% | -8.55% | -0.85% | +3.66% | +2.22% |
| 2012-01-31 | $131.32 | +2.64% | +4.88% | +7.17% | +4.87% | +7.64% | +15.17% |
| 2010-09-30 | $114.13 | +1.54% | +3.82% | +10.16% | +16.17% | +15.63% | +1.68% |
| 2010-07-30 | $110.27 | +1.92% | -4.50% | +7.37% | +15.82% | +23.72% | +17.28% |
| 2009-06-30 | $91.95 | -4.30% | +7.31% | +15.28% | +22.41% | +27.24% | +12.26% |
| 2005-05-31 | $119.48 | +0.54% | +0.29% | +1.85% | +5.65% | +8.28% | +6.72% |
| 2004-10-29 | $113.20 | +3.60% | +4.14% | +4.38% | +2.83% | +9.23% | +5.83% |
| 2003-04-30 | $91.91 | +1.61% | +5.48% | +7.89% | +14.29% | +23.47% | +21.67% |
| 2002-03-28 | $114.52 | -1.60% | -6.69% | -13.18% | -25.14% | -21.94% | -24.28% |
| 1999-10-29 | $137.00 | +0.64% | +1.66% | +1.87% | +7.34% | +5.07% | +1.66% |
| 1998-10-30 | $110.00 | +3.75% | +6.94% | +14.66% | +21.25% | +20.40% | +23.24% |
| 1995-01-31 | $47.09 | +2.57% | +3.33% | +9.49% | +19.07% | +24.38% | +35.23% |
| 1994-08-31 | $47.67 | -0.36% | -3.13% | -4.34% | +2.33% | +12.33% | +18.36% |
Forward returns are computed from SPY closing prices. Cells showing “—” indicate the horizon has not yet elapsed for that trigger.