Composite Momentum
Composite Momentum is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-08-19. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2024 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
- 2026-08-19
- History boundary
- The recorded 2024 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Check SPY vs 200-day SMA: if below → DEFENSIVE: 60% IEF + 40% GLD 2. If above → Compute 8-month return for each asset, filter out negatives 3. If no positive-momentum assets remain → DEFENSIVE 4. Rank remaining assets by momentum…
- 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 2026-08-19. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of September; scheduled 2026-09-01 at 09:30 ET. Review the published signal before placing any trade.
Composite Momentum at a glance
Composite Momentum is a tactical asset allocation (TAA) strategy by BestFolio Research across US Equity, International Equity, Bonds, REITs, rebalanced monthly. Backtested 1986-02-28 to 2026-08-19 (40.3 years): 11.3% CAGR, 1.21 Sharpe, -20.4% max drawdown, 9.7% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-08-19
- CAGR
- 11.3%
- Sharpe
- 1.21
- Max Drawdown
- -20.4%
- Volatility
- 9.7%
Composite Momentum — Tactical Asset Allocation Strategy
Composite Momentum is a BestFolio original that synthesizes ideas from PAA, VAA, Dual Momentum, and EAA into a single system.
First, a macro trend filter checks whether SPY is above its 200-day SMA. If below, the portfolio shifts to 60% IEF + 40% GLD. When the trend is up, the strategy selects the top 4 assets (from an 8-asset universe) ranked by 8-month return, filtered by absolute momentum (negative returns excluded). Selected assets are weighted using inverse-volatility (3-month rolling).
Composite Momentum: frequently asked questions
- What is Composite Momentum?
- Trend-filtered multi-asset momentum rotation. Uses SPY 200-day SMA for regime detection, 8-month return for asset selection, absolute momentum filter, and inverse-volatility weighting. Risk-off: IEF/GLD. Cherry-picks ideas from PAA, VAA, Dual Momentum, and EAA.
- Who created the Composite Momentum strategy?
- Composite Momentum was developed by BestFolio Research. It is based on BestFolio Research (2024). Composite Momentum.
- What is the historical return and maximum drawdown of Composite Momentum?
- Backtested from 1986-02-28 to 2026-08-19, Composite Momentum returned 11.3% CAGR with a -20.4% maximum drawdown and a Sharpe ratio of 1.21. Past performance does not guarantee future results.
- How often is Composite Momentum rebalanced?
- Composite Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Composite Momentum a tactical asset allocation strategy?
- Yes. Composite 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 (1986-02-28 to 2026-08-19)
| Metric | Composite Momentum |
|---|---|
| CAGR | 11.3% |
| Max Drawdown | -20.4% |
| Sharpe | 1.21 |
| Sortino | 2.12 |
| Volatility | 9.7% |
| Calmar | 0.56 |
| Total Return | 7528.5% |
| Backtest Period | 40.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- BestFolio Research
- Source
- BestFolio Research (2024). Composite Momentum
Asset Classes
- US Equity
- International Equity
- Bonds
- REITs
- Gold
- Commodities
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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