Research & Methodology
Research Library
Every strategy in BestFolio is traceable to its original academic source. This library documents 63 tactical allocation strategies, our backtesting methodology, ETF proxy chains, and portfolio construction approach.
Contents
Our Approach
BestFolio aggregates published, peer-reviewed tactical allocation research. Every strategy implemented on the platform is traceable to its original source — whether an SSRN working paper, a published book, or a well-documented practitioner blog post.
The BestFolio research team implements each strategy faithfully from its original specification, then validates it through rigorous backtesting with extended historical data. We do not claim to have invented these strategies. Our contribution is in the aggregation, faithful implementation, continuous validation, and practical portfolio construction on top of the original research.
Where we have developed custom strategies (marked with the🔧Custom badge), these are clearly identified as BestFolio originals and are inspired by combinations of published methodologies.
Strategy Research Sources
All 63 strategies organized by research lineage, from oldest to newest within each family.
Keller & Keuning Family
A family of momentum-based tactical allocation strategies developed by Wouter J. Keller and collaborators, published as working papers on SSRN. They share a common framework: a canary/breadth signal for regime detection, combined with the 13612W weighted momentum score for asset ranking.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| HAA (Hybrid Asset Allocation) | Wouter Keller | 📄Academic Paper | 2022 | Momentum-based allocation with protective canary universe (TIP, BIL, IEF). Uses 13612 momentum score to toggle between offensive top-4 assets and defensive bonds. |
| VAA (Vigilant Asset Allocation) | Wouter J. Keller & Jan Willem Keuning | 📄Academic Paper | 2017 | Breadth-momentum strategy: invests offensively only when ALL offensive assets show positive 13612W momentum, otherwise switches entirely to defense. |
| DAA (Defensive Asset Allocation) | Wouter J. Keller & Jan Willem Keuning | 📄Academic Paper | 2018 | Broad momentum strategy with dual canary crash protection (VWO, BND) and three-tier allocation: full offensive, mixed, or full defensive based on canary signals. |
| BAA (Bold Asset Allocation) | Wouter J. Keller | 📄Academic Paper | 2022 | Canary-based tactical allocation using 13612W breadth momentum for regime detection and SMA(12) relative momentum for asset ranking within offensive and defensive universes. |
| PAA (Protective Asset Allocation) | Wouter J. Keller & Jan Willem Keuning | 📄Academic Paper | 2016 | Breadth-based crash protection: the fraction of assets with positive SMA momentum determines the bond allocation, with the remainder in top momentum-ranked risky assets. |
| EAA (Elastic Asset Allocation) | Keller & Butler | 📄Academic Paper | 2014 | Score-weighted momentum with elastic cash fraction. Asset scores combine return, inverse correlation, and inverse volatility. Cash exposure scales with the fraction of negative-momentum assets. |
| FAA (Flexible Asset Allocation) | Wouter Keller & Hugo van Putten | 📄Academic Paper | 2012 | Multi-factor ranking combining momentum, volatility, and correlation. Assets are selected by composite rank, with an absolute momentum filter replacing losers with cash. |
| LAA (Lethargic Asset Allocation) | Wouter Keller | 📄Academic Paper | 2019 | Low-turnover strategy: 25% each in QQQ, IWD, GLD, IEF. Risk-off swaps QQQ for SHY only when BOTH unemployment rises above its 12-month MA AND S&P 500 is below its 10-month SMA. |
| RAA (Resilient Asset Allocation) | Wouter Keller | 📄Academic Paper | 2021 | Growth-Trend Timing rules: unemployment trend overrides canary signals. Risk-on holds QQQ/IWN/GLD/IEF/TLT; risk-off shifts to IEF/TLT. Uses FRED UNRATE data for macro regime detection. |
| GPM (Generalized Protective Momentum) | Keuning & Keller | 📄Academic Paper | 2016 | Correlation-adjusted momentum with breadth-based crash protection. Selects top 3 assets by z-score (return adjusted for pairwise correlation), with safety allocation scaling with market breadth. |
Antonacci / Dual Momentum
Strategies based on Gary Antonacci's foundational work on combining absolute momentum (trend-following) with relative momentum (cross-sectional) to achieve strong risk-adjusted returns.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| GEM (Global Equities Momentum) | Gary Antonacci | 📖Book | 2014 | The canonical dual momentum strategy: absolute momentum filters SPY against T-bills, then relative momentum chooses between US (SPY) and international (VEU) equities. 100% single-asset allocation. |
| ADM (Accelerating Dual Momentum) | EngineeredPortfolio | 🌐Blog | 2018 | Accelerated variant using the average of 1, 3, and 6-month returns instead of simple 12-month lookback. Compares SPY vs SCZ, with TLT/TIP as safe havens. |
| CDM (Composite Dual Momentum) | Gary Antonacci | 📖Book | 2014 | Four independent 25% modules (Equities, Credit, Real Estate, Stress), each applying dual momentum with absolute momentum filter against BIL. |
| Diversified Dual Momentum | Corey Hoffstein (Newfound Research) | 🌐Blog | 2016 | Four independent 25% pods applying dual momentum: US vs Intl Equity, US vs Intl Bonds, Real Assets, Alternatives. Each pod's winner must beat BIL or defaults to cash. |
Faber / Cambria
Trend-following strategies from Meb Faber, co-founder of Cambria Investment Management. These strategies use simple moving average filters across diversified asset classes.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| GTAA (Global Tactical Asset Allocation) | Meb Faber | 📄Academic Paper | 2006 | Trend-following across multiple asset classes using 200-day SMA filter. GTAA-5 holds 5 assets at equal weight; GTAA-AGG variant ranks 13 assets by composite momentum and selects top 3. |
| Ivy Portfolio | Meb Faber & Eric Richardson | 📖Book | 2009 | Equal-weight 5-asset portfolio (VTI/VEU/VNQ/AGG/DBC) with 200-day SMA trend filter. Assets below their SMA are replaced by cash. Monthly rebalance. |
| Trinity Portfolio | Meb Faber | 🌐Blog | 2013 | Three-asset trend-following portfolio (US equity, intl equity, bonds) with 200-day SMA filter. Essentially a simplified 3-asset Ivy Portfolio variant. |
DMS / Quartile Research
Strategies from Randy Harris and the Decision Moose System (DMS) community. These feature a distinctive scoring system (0.25/0.25/0.50 weighted momentum), Treasury Duration Limiter for risk-off positioning, and Smart Leverage overlays.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| The Russell (DMS) | Randy Harris | 🌐Blog | 2020 | Single-asset momentum rotation across Russell indices (IWB/IWP/IWS) with Treasury Duration Limiter: if TLT fast score is negative, use short bonds (VGSH) instead of long bonds. |
| DMS Triad / Triad+ / Triad++ | Randy Harris | 🌐Blog | 2020 | Four-sleeve strategy using 7-month SMA distance metric. S1: US Large Cap, S2: Mid/Intl, S3: Commodities, S4: Bonds. Triad+/++ variants add Smart Leverage (SSO/UPRO) after 15% drawdown. |
| Global Navigator+ (DMS) | Randy Harris | 🌐Blog | 2020 | Single-asset monthly strategy with Smart Leverage. Rotates between IWB, VXUS, TLT, and VGSH based on DMS scoring. Smart Leverage activates SSO after 15% drawdown for up to 12 months. |
| LT Gain+ / LT Gain++ | Randy Harris | 🌐Blog | 2020 | Single-asset strategy focused on IWB with Smart Leverage. LT Gain+ uses SSO (2x), LT Gain++ uses UPRO (3x) when triggered by 15% drawdown recovery. |
| GPMv (DMS variant) | Randy Harris (based on TrendXplorer's GPM) | 🌐Blog | 2021 | DMS variant of Generalized Protective Momentum. Different universe (11 risky + 3 safe), Randy's n_positive+1 tweak for quicker equity re-entry, and BIL override for safe assets. |
| Bamboo / Bamboo+ / Bamboo++ | Randy Harris | 🌐Blog | 2021 | Static 4-ETF allocation (IWB 40%, BND 20%, DBMF 20%, SGOL 20%) designed as a better 60/40. Bamboo+/++ add Smart Leverage on the IWB portion using SSO or UPRO. |
Carter
Strategies from David Alan Carter, published as investment books. These focus on simple, rules-based rotation using momentum lookbacks and SMA trend filters.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| The 12% Solution | David Alan Carter | 📖Book | 2017 | Monthly rotation: 60% in best-momentum equity (SPY/QQQ/IWM/MDY or SHY as cash), 40% in best-momentum bond (TLT/JNK). Uses 3-month lookback for ranking. |
| Cash Trigger | David Alan Carter | 📖Book | 2019 | SPY 200-day SMA trend filter. Risk-on: 100% SPY. Risk-off: pick the bond ETF with the best 3-month return from TLT, JNK, MUB, SHY. |
| White Knuckle | David Alan Carter | 📖Book | 2021 | Leveraged risk parity core (50% in inverse-vol weighted SPXL/TQQQ/TMF) plus momentum rotation hedge (50% in best 3-month candidate from EUO, IVOL, UUP, and others). |
Schwoerer
Signal-based strategies from Martin Schwoerer, published on Substack and financial blogs. These use unconventional leading indicators (credit spreads, Bitcoin, Baltic Dry shipping, semiconductors) as equity market regime signals.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| Risk Parity Momentum (RPM) | Martin Schwoerer | 🌐Blog | 2020 | Trend filter (200d SMA) plus inverse-volatility weighting across QQQ, GLD, TLT. Assets below their SMA are excluded; remaining are allocated by risk parity. |
| HYG Signal | Martin Schwoerer | 🌐Blog | 2020 | Credit momentum strategy: when HYG (High Yield) trades above its 100-day EMA, hold equities (SPY); otherwise move to safety. High-yield bond strength signals risk appetite. |
| Unemployment Data Signal | Martin Schwoerer (based on Philosophical Economics) | 🌐Blog | 2016 | Dual-regime strategy using FRED unemployment trend plus SPY price trend. Stay invested when unemployment is sinking; sell when unemployment rises AND SPY is below its 10-month SMA. |
| Bitcoin Signal | Martin Schwoerer | 🌐Blog | 2021 | Bitcoin as a global liquidity barometer: when BTC-USD trades above its 200-day SMA, hold equities (SPY); otherwise move to cash. Monthly signal from daily data. |
| Baltic Dry Signal | Martin Schwoerer | 🌐Blog | 2021 | BDRY ETF (dry bulk shipping) as a leading indicator for SSO (2x S&P). Buy when BDRY exceeds its moving average and SPY is above its Bollinger mid-band. |
| Holy Grail Dual Momentum | Toma Hentea (via Martin Schwoerer) | 🌐Blog | 2019 | Classic dual momentum rotation across stocks, bonds, real estate, and gold. Invest 100% in the best-performing asset with positive 12-month momentum; otherwise 100% SHV. |
| EM Mean Reversion | Martin Schwoerer (based on Meb Faber) | 🌐Blog | 2018 | Annual contrarian strategy: buy EM country ETFs that have been down for 2+ consecutive years. Full position for 3+ years down, half for 2 years down. |
| Benign Neglect (5% Canary) | Martin Schwoerer | 🌐Blog | 2020 | Sell when SPY drops 5% from its 52-week high and then closes below its 200-day SMA for 2 consecutive days. Enforces 4-month quiet period. Re-enter when SPY is 3% above 200d SMA. |
| RP Gold + Small Cap Value | Martin Schwoerer | 🌐Blog | 2021 | Risk parity (inverse-volatility) allocation across Gold (GLD), Small Cap Value (VIOV), and Intermediate Treasuries (IEF). Optional 200-day SMA trend filter. |
| Semis Signal | Martin Schwoerer | 🌐Blog | 2022 | Semiconductor momentum signal: SOXX above its 200-day SMA indicates risk-on (hold equities). Optional golden cross confirmation (50d > 200d SMA). Semis lead the business cycle. |
Risk Parity & Alternative
Classic and modern portfolio construction approaches that prioritize risk balance, diversification, and unconventional asset class combinations rather than pure momentum signals.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| Permanent Portfolio | Harry Browne | 📖Book | 1987 | Classic 25/25/25/25 allocation to stocks, long bonds, gold, and cash. Designed to perform in any economic regime. Optional tactical variant applies 200-day SMA filter. |
| Tactical Permanent Portfolio | Adam Butler (ReSolve Asset Management) | 🌐Blog | 2015 | Permanent Portfolio with a 12-month momentum overlay. Each 25% slice shifts to cash if its asset shows negative trailing 12-month returns. |
| Minimum Correlation Portfolio | David Varadi (CSS Analytics) | 🌐Blog | 2012 | Selects the 4 least-correlated assets from a 7-asset universe using rolling 63-day correlations, then applies a 200-day SMA trend filter. Minimizes portfolio correlation exposure. |
| Adaptive Asset Allocation | ReSolve Asset Management | 📄Academic Paper | 2012 | Monthly momentum + minimum-variance: ranks 10 assets by 6-month return, selects top 5, weights by inverse 20-day volatility. Combines momentum selection with risk-aware sizing. |
| Robust Asset Allocation | Wes Gray (Alpha Architect) | 🌐Blog | 2014 | Momentum-based allocation across 5 risky asset classes. Assets with negative 12-month returns are replaced by the best-performing safe asset. Equal weight across 5 slots. |
| RPEA (RNAProf's Excellent Adventure) | RNAProf (Reddit) | 🌐Blog | 2022 | Leveraged All-Weather portfolio with per-asset SMA timing. 9 holdings across US equity (UPRO/MIDU/TQQQ), international (EURL/EDC), gold (UGL), and utilities (UTSL). Three defense modes. |
Signal-Based
Strategies that use specific economic or market signals (credit spreads, yield curves, composite momentum scores) to toggle between equity and bond allocations.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| Growth-Trend Timing | Philosophical Economics | 🌐Blog | 2016 | Dual-signal regime strategy using HYG/IEF ratio (growth proxy) and SPY 200-day SMA. Both bullish = 100% SPY; one bullish = 50/50; neither = 100% TLT. |
| SPY-COMP | Paul Novell (Investing for a Living) | 🌐Blog | 2015 | Composite momentum on SPY (average of 1m/3m/6m/12m returns) combined with 10-month SMA filter. Three regimes: full equity, half equity/half bonds, or full bonds. |
| Paired Switching | Glenn (Quantpedia) | 📄Academic Paper | 2010 | Simple monthly rotation: hold whichever of SPY or TLT has the higher 3-month total return. 100% single-asset allocation. |
| Gold Cross-Asset Momentum | Cyril Dujava (Quantpedia) | 📄Academic Paper | 2018 | Go long gold only when BOTH gold and intermediate bonds show positive 12-month momentum. Otherwise 100% cash. Cross-asset confirmation reduces false signals. |
| Three-Way Model (Davis) | Ned Davis Research | 📄Academic Paper | 2005 | SMA crossover trend filter on SPY/TLT/GLD. Include each asset if its 3-month SMA exceeds its 10-month SMA; equal-weight qualifying assets. Cash if none qualify. |
Livingston / Muscular Portfolios
Momentum rotation portfolios from Brian Livingston's book, designed for simplicity and natural defensive rotation through asset class diversification.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| Mama Bear Portfolio | Brian Livingston | 📖Book | 2018 | Momentum rotation across 9 diversified ETFs, holding the top 3 by 5-month return, equal-weighted. Bonds and gold rotate into the top ranks during downturns, providing natural defense. |
| Papa Bear Portfolio | Brian Livingston | 📖Book | 2018 | Broader 13-ETF universe with momentum score = average of 3, 6, and 12-month returns. Hold top 3 equal-weighted. The wider universe provides more diversification than Mama Bear. |
Leveraged Strategies
Strategies that employ leveraged ETFs (2x, 3x) with risk management overlays. These aim for higher returns but require disciplined trend-following signals to manage the amplified downside.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| TQQQ/UPRO Trend SMA | BestFolio (custom) | 🔧Custom | 2024 | SPY 200d SMA trend filter combined with QQQ/SPY relative strength. Three regimes: QQQ-winning (TQQQ/UPRO + managed futures), SPY-winning (return-stacked), defense (diversified safe assets). |
| Buy the Dip | BestFolio (custom) | 🔧Custom | 2024 | Daily RSI/SMA hysteresis on QQQ. Four regimes: Oversold (100% TQQQ), Overheated (100% SQQQ), Momentum (TQQQ + managed futures + safe), Fallback (full safe portfolio). |
| Defense First | Thomas Carlson | 📄Academic Paper | 2025 | Multi-asset model ranking 4 defensive assets (TLT/GLD/PDBC/UUP) by composite momentum. Rank-weighted allocation (40/30/20/10%). Assets underperforming BIL are redirected to SPY. |
| Optimum3.5 | BestFolio (inspired by Todd Tresidder) | 🔧Custom | 2024 | Enhanced minimum correlation momentum: rank 14 global assets by composite momentum, keep top 5 beating BIL, then select the 3 with lowest pairwise correlation. Equal-weight. |
Kelly Signal Strategies
Quarterly value-averaging strategies from Jason Kelly's "The Neverending Bull Market." Instead of rebalancing to fixed weights, these grow a signal line at a fixed quarterly rate and rebalance to track it.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| 3% Signal (3Sig) | Jason Kelly | 📖Book | 2012 | Quarterly value-averaging with IJR/BND. Signal line grows 3% per quarter. Rebalance stock/bond split to track the signal. "30 Down" crash rule skips sell signals after 30%+ drops. |
| 6% Signal (6Sig) | Jason Kelly | 📖Book | 2012 | Leveraged variant using MVV (2x MidCap). Signal line grows 6% per quarter. More aggressive growth target with higher volatility through leveraged ETF. |
| 9% Signal (9Sig) | Jason Kelly | 📖Book | 2012 | Most aggressive variant using TQQQ (3x Nasdaq). Signal line grows 9% per quarter. Highest return potential but requires significant risk tolerance. |
Other Notable Strategies
Additional strategies from diverse sources including Quantpedia researchers, financial practitioners, and investment publications.
| Strategy | Author | Source | Year | Description |
|---|---|---|---|---|
| ACA Dynamic Bond | Dick Stoken | 📖Book | 2013 | Three equal-weight opposing pairs (SPY/IEF, GLD/TLT, VNQ/IEF) with daily Donchian channel breakout signals. Asymmetric lookbacks create bullish bias for equities and defensive bias for gold. |
| AWQM (All-Weather Quad Momentum) | Todd Tresidder (FinancialMentor) | 🌐Blog | 2018 | Quad Momentum: two time horizons (short-term and long-term) times two momentum types (absolute and relative). Each sub-portfolio picks the single best asset from a 6-asset universe. |
| KDA (Kipnis Defensive Adaptive) | David Varadi / Ilya Kipnis | 📄Academic Paper | 2019 | Defensive adaptive allocation using canary assets (SHY, IEF) to toggle between top-N offensive momentum picks and a defensive bond portfolio. Uses 13612W scoring. |
| CAA (Classical Asset Allocation) | BestFolio (traditional) | 🔧Custom | 2024 | Traditional multi-asset allocation (40/20/20/10/10 across SPY/VEA/BND/GLD/DBC). Offensive variant is buy-and-hold; Defensive uses 10-month SMA timing on each asset. |
| TrendYCMacro | Keller & Keuning / Vojtko | 🌐Blog | 2019 | Dual-signal macro strategy combining yield curve steepening (IEF vs SHY returns as proxy) and equity trend (SPY 10-month SMA). Three-tier allocation based on signal agreement. |
| Pragmatic Asset Allocation | Radovan Vojtko (Quantpedia) | 📄Academic Paper | 2019 | Ranks 7 assets by composite momentum (average of 1m/3m/6m/12m returns), selects top 3 with positive momentum equal-weighted. Negative-momentum slots default to BIL. |
| UIS (Universal Investment Strategy) | Logical Invest | 🌐Blog | 2014 | Optimizes SPY/TLT allocation by maximizing a modified Sharpe ratio (Return / Volatility^2.5) over a 72-day lookback. Tests all splits from 0% to 100% in 5% steps. |
Backtesting Methodology
Data Sources
Price data is sourced from Yahoo Finance via the yfinance Python library. Historical coverage is extended through proxy chains (mutual funds, market indices, and synthetic leverage construction) to provide 20-40 year backtests for strategies that use ETFs launched after 2000.
Monthly Rebalancing
Strategies are evaluated at month-end using closing prices on the last business day of the month. Trades are assumed to execute at the next month's opening price. Some strategies (Kelly signals) rebalance quarterly; Buy the Dip rebalances daily.
Signal Date Semantics
Signals are dated end-of-month. A February 28 signal is computed with complete February data and determines what you hold during March. A March 31 signal uses partial March data and serves as a preview for April. This prevents look-ahead bias.
Transaction Costs
Backtests assume zero explicit transaction costs for liquid US ETFs (bid-ask spreads are typically 1-3 basis points for the ETFs used). Leveraged ETF backtests include estimated annual costs (expense ratios + borrowing costs) deducted daily from returns.
Benchmark Comparison
All strategies are benchmarked against SPY (S&P 500 total return) and a 60/40 portfolio (60% SPY, 40% AGG). Metrics include CAGR, maximum drawdown, Sharpe ratio, Sortino ratio, and Calmar ratio computed over the full backtest period.
Walk-Forward Validation
Where applicable, strategies are validated using walk-forward analysis: the strategy is trained on historical data and evaluated on subsequent out-of-sample periods. This helps identify overfitting and confirms that published results are reproducible.
ETF Proxy Chains
Most ETFs used in tactical allocation strategies were launched after 2000, limiting backtests to 20-25 years. We extend coverage by stitching together ordered chains of data sources — from the actual ETF (newest) back through older ETFs, mutual funds, and market indices (oldest).
How Proxy Chains Work
The backtest price builder walks each chain from newest to oldest. It uses real ETF data when available, then falls back to the next source for earlier dates. Returns are stitched at the overlap point, ensuring continuity. Six source types are supported:
- Real — actual ETF data from Yahoo Finance
- Proxy ETF — an older ETF or mutual fund tracking the same or similar index
- Proxy Index — a market index (price-only; dividend yield adjustments are applied where needed)
- Synthetic Leverage — daily returns constructed as factor × underlying return − daily cost
- Composite — blended returns from multiple tickers (used for return-stacked ETFs)
- Static — local CSV data for deep history (e.g., London gold fixing from 1968)
Representative Proxy Chains
| Ticker | Chain (newest → oldest) | Notes |
|---|---|---|
| SPY | SPY (1993) ← VFINX (1980) | S&P 500 mutual fund |
| QQQ | QQQ (1999) ← ^NDX + 0.6% div yield (1985) | Nasdaq 100 price index with dividend adjustment |
| IWM | IWM (2000) ← ^RUT + 1.2% div yield (1987) | Russell 2000 price index with dividend adjustment |
| VWO | VWO (2005) ← EEM (2003) ← FEMKX (1990) | Mutual fund chain extending EM history 15 years |
| VEA | VEA (2007) ← EFA (2001) ← VGTSX (1996) ← PRTIX (1989) | 4-link chain for developed international markets |
| GLD | GLD (2004) ← GC=F (2000) ← LBMA gold fixing (1968) | Gold history extended to 1968 via London fixing |
| TLT | TLT (2002) ← VUSTX (1986) | Vanguard Long-Term Treasury Fund |
| BIL | BIL (2007) ← ^IRX converted to NAV (1970) | T-bill yield converted to synthetic daily NAV |
| TQQQ | TQQQ (2010) ← Synthetic 3x QQQ (annual cost 0.95%) | Leveraged returns constructed from daily QQQ returns |
| KMLM | KMLM (2020) ← RYMFX x1.2 (2007) ← AQR TSMOM x0.9 (1985) | Managed futures history back to 1985 |
| RSST | RSST (2023) ← Composite: SPY(100%) + KMLM(100%) | Return-stacked composite synthesis |
The full fallback table contains 98+ ETF entries with multiple fallback sources per ticker.
UCITS Alternatives Research
European investors face PRIIPs/KID restrictions that prevent direct purchase of US-listed ETFs. BestFolio maps every US ETF in the platform to its closest UCITS-compliant equivalent.
Mapping Methodology
For each US ETF, we identify the UCITS-compliant fund that tracks the same or most similar index, prioritizing the same provider when available. Mappings include the UCITS ticker (primary listing on London or Xetra), ISIN for universal identification, and detailed notes on any tracking differences.
Confidence Levels
exact Same index, same or very similar provider, UCITS wrapper (e.g., SPY → CSPX)
close Same or very similar index, different provider or slight scope difference (e.g., VTI → VUSA)
approximate Similar asset class and exposure but different index methodology (e.g., IWM → IUSN World Small Cap)
none No reasonable UCITS equivalent exists (e.g., RSST, SQQQ)
Key Limitations for European Investors
- 3x leveraged ETFs: No UCITS equivalents exist for TQQQ, UPRO, SPXL, TMF, or other 3x products. The best available is typically a 2x UCITS fund (e.g., TQQQ → LQQ at 2x Nasdaq-100). Position sizing adjustments are recommended.
- Return-stacked ETFs: Products like RSST, RSBT, CTAP, and MATE have no UCITS equivalents. European investors would need to replicate the exposure manually using margin or futures.
- Managed futures: WisdomTree Managed Futures UCITS ETF (WTMF, IE00BL25JN58) serves as the primary proxy for DBMF, CTA, and KMLM, though strategy implementations differ.
- US sector ETFs: Most US-sector-specific funds map to world-sector UCITS equivalents (e.g., XLU → XDWU World Utilities), introducing geographic dilution.
Portfolio Construction
Weighting Schemes
Strategies within BestFolio blends can be weighted by equal weight, inverse volatility (risk parity), or user-defined custom weights. Within individual strategies, assets are weighted according to the original specification (equal weight, inverse volatility, momentum-ranked, or score-based).
Execution Rollup
When multiple strategies in a blend recommend the same ETF, BestFolio aggregates positions before execution. Minimum position size thresholds (configurable, default 1% of portfolio) prevent dust positions. Sub-threshold allocations are redistributed proportionally.
Rebalancing
Monthly rebalancing is the default for most strategies, executed on the last business day of each month. Quarterly strategies (Kelly signals) rebalance in March, June, September, and December. The platform tracks signal changes and highlights when rebalancing is needed.
Smart Leverage
The SmartLeverage engine amplifies total exposure while staying at 100% notional. It maps each 1x position to available 2x/3x ETFs, preferring lower leverage factors to minimize volatility decay. Freed capital goes to a cash asset.
TBSZ Stacking
For Hungarian investors using TBSZ (long-term tax-advantaged) accounts, select strategies support return-stacking mode. This overlays managed futures exposure on top of base allocations to improve risk-adjusted returns within the account structure.
Blend Correlation
Strategy blending exploits low inter-strategy correlations. A blend of 6-8 uncorrelated TAA strategies typically achieves lower maximum drawdown and smoother equity curve than any individual strategy, while maintaining comparable CAGR.
Further Reading
Key Books
Dual Momentum Investing
Gary Antonacci (2014)
The foundational text on combining absolute and relative momentum. Basis for GEM, CDM, and numerous derivatives.
The Ivy Portfolio
Meb Faber & Eric Richardson (2009)
Endowment-style asset allocation with trend-following overlay. Basis for Ivy, Trinity, and GTAA strategies.
Global Asset Allocation
Meb Faber (2015)
Survey of dozens of asset allocation approaches from permanent portfolio to risk parity. Excellent reference for strategy comparison.
The Neverending Bull Market
Jason Kelly (2012)
Quarterly value-averaging system with the 3%, 6%, and 9% signal strategies. The 30 Down crash rule is a notable innovation.
The 12% Solution
David Alan Carter (2017)
Simple monthly rotation system with equity/bond sleeves. Also covers Cash Trigger and White Knuckle variants.
Muscular Portfolios
Brian Livingston (2018)
Mama Bear and Papa Bear momentum rotation portfolios. Emphasizes natural defensive rotation through diversification.
Survival of the Fittest for Investors
Dick Stoken (2013)
Active Combined Asset strategy using Donchian channel breakouts with asymmetric lookbacks across opposing asset pairs.
Advances in Financial Machine Learning
Marcos Lopez de Prado (2018)
The definitive text on ML for finance. Covers combinatorial purged cross-validation, meta-labeling, and walk-forward methodology.
Academic Databases & Research Platforms
SSRN
Primary source for Keller, Keuning, and Kipnis papers. Search for "tactical asset allocation" or "momentum."
Quantpedia
Encyclopedia of quantitative trading strategies with backtested results. Source for Pragmatic AA, Gold Cross-Asset, and Paired Switching.
Alpha Architect
Wes Gray's research blog. Source for Robust Asset Allocation and extensive factor research.
Tools & Libraries Referenced
| Tool | Type | Relevance |
|---|---|---|
| skfolio | Portfolio Optimization | HRP, risk parity, walk-forward CV, covariance estimators. Potential replacement for custom optimization code. |
| empyrical | Risk Metrics | Standardized Sharpe, Sortino, max drawdown, Calmar calculations. Used for metric validation. |
| pyfolio | Portfolio Analytics | Tear sheet patterns: rolling returns, drawdown charts, monthly heatmaps. UI/UX reference. |
| yfinance | Data Source | Primary price data provider. All backtests use Yahoo Finance adjusted close prices. |
| FRED API | Macro Data | Federal Reserve Economic Data. Provides unemployment rate (UNRATE) for LAA, RAA, and Schwoerer Unemployment strategies. |