Century Momentum
Each month-end, compute the momentum sleeve's 10-month SMA. Backtest max drawdown: -46.7%.
Strategy & methodology
Each month-end, compute the momentum sleeve's 10-month SMA; If the momentum close is above its 10-month SMA, hold the momentum sleeve (SPMO); Otherwise hold 10-year Treasuries (IEF); Single switch per signal; about 1.4 switches per year…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2026; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (3)
- SPMO: MTUM before Jan 2, 2018
- SPMO: PDP before Jan 2, 2018
- IEF: VFITX before Jul 26, 2002
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Each month-end, compute the momentum sleeve's 10-month SMA. Backtest max drawdown: -46.7%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are 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. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version fa231006, published 2026-10-01
Is Century Momentum still working in 2026?
Century Momentum returned 6.77% over the trailing 12 months and 124.95% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 16.50%. Its full-backtest maximum drawdown was -46.66%. The full sample contains 25376 daily NAV observations from 1928-03-30. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -5.06% below its high-water mark of 2026-06-22, 3 months ago, and its longest run below a previous high was 6.1 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 6.77% | Not annualized | -15.64% | 252 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 124.95% | Not annualized | -15.64% | 754 | 2023-10-02 to 2026-10-02 |
| Full backtest | 341376299.65% | 16.50% | -46.66% | 25376 | 1928-03-30 to 2026-10-02 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-06-22, 3 months before 2026-10-02, and it is -5.06% below that level now. The longest run below a previous high in the full backtest was 6.1 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-10-01 (98.5 years): 16.5% CAGR, 0.94 Sharpe, -46.7% max drawdown, 8.6% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1928-03-30 to 2026-10-01
- CAGR
- 16.5%
- Sharpe
- 0.94
- Max Drawdown
- -46.7%
- Volatility
- 8.6%
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 2026-10-01, 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 2026-10-01)
| Metric | Century Momentum |
|---|---|
| CAGR | 16.5% |
| Max Drawdown | -46.7% |
| Sharpe | 0.94 |
| Sortino | 1.53 |
| Volatility | 8.6% |
| Calmar | 0.35 |
| Total Return | 337700315.5% |
| Backtest Period | 98.5 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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.
Holding Century Momentum alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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