Unlevered Momentum Core

Three monthly momentum models in equal parts, no leverage, one of them screening out funds that move together.

Simple blend1xMonthly rebalanceaggressivePro clone

Thesis

Combines Hybrid Asset Allocation, the Momentum-Correlation Triplet and Century Momentum at about a third each. All three trade monthly, use no leverage and rank funds by momentum. The Triplet also avoids holding funds that move together, and Century Momentum brings the longest history. Suggested by a member.

Backtest

1987-10-30 to 2026-11-13

CAGR

14.8%

Years

39.0

Max Drawdown

-12.7%

Sharpe

1.02

Sortino

1.82

UPI

3.32

Calmar

1.17

Ulcer Index

3.57%

Best Month

15.4%

Worst Month

-10.3%

Volatility

11.3%

SWR

10.95%

PWR

10.57%

Total Return

21799.0%

Longest DD (mo)

23 mo

Win Rate

66.7%

Profitable Months

66.7%

Current Allocation

IEF

PDBC

QQQ

VGK

SPY

VEA

IWM

US Treasuries 7-10 years IEF33.0%

Broad commodities PDBC19.5%+8.5%

Nasdaq-100 QQQ11.0%+11.0%

Europe VGK11.0%+11.0%

S&P 500 SPY8.5%+8.5%

Developed markets ex US VEA8.5%+8.5%

Russell 2000 IWM8.5%+8.5%