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 2026-07-03 (98.3 years): 16.2% CAGR, 0.92 Sharpe, -46.7% max drawdown, 7.3% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1928-03-30 to 2026-07-03
- CAGR
- 16.2%
- Sharpe
- 0.92
- Max Drawdown
- -46.7%
- Volatility
- 7.3%
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 2026-07-03, Century Momentum returned 16.2% CAGR with a -46.7% maximum drawdown and a Sharpe ratio of 0.92. 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 2026-07-03)
| Metric | Century Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 16.2% |
| Maximum Drawdown | -46.7% |
| Sharpe Ratio | 0.92 |
| Sortino Ratio | 1.17 |
| Annualized Volatility | 7.3% |
| Calmar Ratio | 0.35 |
| Total Return | 264171910.8% |
| 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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