Composite Momentum — Tactical Asset Allocation Strategy
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.
Backtest Performance (1992-11-30 to 2026-04-06)
| Metric | Composite Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 12.6% |
| Maximum Drawdown | -20.4% |
| Sharpe Ratio | 1.19 |
| Sortino Ratio | 1.61 |
| Annualized Volatility | 10.5% |
| Calmar Ratio | 0.62 |
| Total Return | 5239.3% |
| Backtest Period | 33.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- BestFolio Research
Categories
Track Composite Momentum in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.