Century Momentum
Century Momentum is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-07-25. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2026 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-07-25
- History boundary
- The recorded 2026 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Each month-end, compute the momentum sleeve's 10-month SMA 2. If the momentum close is above its 10-month SMA, hold the momentum sleeve (SPMO) 3. Otherwise hold 10-year Treasuries (IEF) 4. Single switch per signal; about 1.4 switches…
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled
- Freshness
- The latest available backtest ends 2026-07-25. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of August; scheduled 2026-08-03 at 09:30 ET. Review the published signal before placing any trade.
Century Momentum at a glance
Century Momentum is a tactical asset allocation (TAA) strategy by BestFolio Research across US Equity (Momentum), Bonds, rebalanced monthly. Backtested 1928-03-30 to 2026-07-25 (98.3 years): 16.5% CAGR, 0.94 Sharpe, -46.7% max drawdown, 8.5% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1928-03-30 to 2026-07-25
- CAGR
- 16.5%
- Sharpe
- 0.94
- Max Drawdown
- -46.7%
- Volatility
- 8.5%
Century Momentum — Tactical Asset Allocation Strategy
Century Momentum is a BestFolio original that pairs two classic pieces: the cross-sectional momentum factor (Jegadeesh & Titman, 1993) and Meb Faber's 10-month SMA absolute trend filter (QTAA, 2007). Each month-end it holds the momentum sleeve (SPMO) while its close is above its 10-month moving average, and rotates to 10-year Treasuries (IEF) otherwise. The Fama-French top-decile momentum portfolio carries the backtest to 1927.
Honest caveats: the pre-2013 history is an academic decile portfolio with no trading costs and heavy internal turnover, and SPMO tracks the momentum factor rather than the decile, so live results match the character of the deep history, not its level.
Century Momentum: frequently asked questions
- What is Century Momentum?
- Top-decile US momentum with a 10-month SMA trend filter. Holds the momentum sleeve (SPMO) while it trades above its 10-month moving average, and 10-year Treasuries (IEF) otherwise. The Fama-French momentum portfolio extends the backtest to 1927.
- Who created the Century Momentum strategy?
- Century Momentum was developed by BestFolio Research. It is based on BestFolio original. Momentum factor: Jegadeesh & Titman (1993); deep history from the Fama-French top-decile momentum portfolio (Ken French data library). Trend filter: Faber, A Quantitative Approach to Tactical Asset Allocation (2007)..
- What is the historical return and maximum drawdown of Century Momentum?
- Backtested from 1928-03-30 to 2026-07-25, Century Momentum returned 16.5% CAGR with a -46.7% maximum drawdown and a Sharpe ratio of 0.94. Past performance does not guarantee future results.
- How often is Century Momentum rebalanced?
- Century Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Century Momentum a tactical asset allocation strategy?
- Yes. Century Momentum is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1928-03-30 to 2026-07-25)
| Metric | Century Momentum |
|---|---|
| CAGR | 16.5% |
| Max Drawdown | -46.7% |
| Sharpe | 0.94 |
| Sortino | 1.20 |
| Volatility | 8.5% |
| Calmar | 0.35 |
| Total Return | 340497779.2% |
| Backtest Period | 98.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- aggressive
- Variants
- 2
- Author
- BestFolio Research
- Source
- BestFolio original. Momentum factor: Jegadeesh & Titman (1993); deep history from the Fama-French top-decile momentum portfolio (Ken French data library). Trend filter: Faber, A Quantitative Approach to Tactical Asset Allocation (2007).
Asset Classes
- US Equity (Momentum)
- Bonds
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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