Classical Asset Allocation (CAA) at a glance
Classical Asset Allocation (CAA) is a tactical asset allocation (TAA) strategy by Traditional / BestFolio across US Equity, International Developed, US Aggregate Bonds, Gold, rebalanced monthly. Backtested 1992-09-30 to 2026-04-24 (33.6 years): 8.2% CAGR, 0.74 Sharpe, -39.5% max drawdown, 11.6% volatility.
- Type
- Tactical (TAA)
- Author
- Traditional / BestFolio
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-09-30 to 2026-04-24
- CAGR
- 8.2%
- Sharpe
- 0.74
- Max Drawdown
- -39.5%
- Volatility
- 11.6%
Classical Asset Allocation (CAA) — Tactical Asset Allocation Strategy
Classical Asset Allocation with two variants: Offensive (buy-and-hold at fixed weights) and Defensive (10-month SMA timing filter per asset — below SMA → redirect to SHY).
Backtest Performance (1992-09-30 to 2026-04-24)
| Metric | Classical Asset Allocation (CAA) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.2% |
| Maximum Drawdown | -39.5% |
| Sharpe Ratio | 0.74 |
| Sortino Ratio | 0.92 |
| Annualized Volatility | 11.6% |
| Calmar Ratio | 0.21 |
| Total Return | 1315.3% |
| Backtest Period | 33.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Traditional / BestFolio
Asset Classes
- US Equity
- International Developed
- US Aggregate Bonds
- Gold
- Commodities
- Cash
Categories
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