Composite Momentum
TacticalPromoderateBased on research by BestFolio Research · BestFolio Research (2024). Composite Momentum
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2024About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Check SPY vs 200-day SMA: if below → DEFENSIVE: 60% IEF + 40% GLD
- 2If above → Compute 8-month return for each asset, filter out negatives
- 3If no positive-momentum assets remain → DEFENSIVE
- 4Rank remaining assets by momentum, select top 4
- 5Weight selected assets using inverse 3-month annualized volatility
Asset Universe
Pro subscribers only
8 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by BestFolio Research
BestFolio Research (2024). Composite Momentum
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 3
- Risk Category
- moderate
- Tags
- momentum, multi-asset, trend-following
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Trend Filter
- SPY 200-day SMA (risk-on/risk-off regime switch)
- Momentum Lookback
- 8 months (default; alternatives: composite, 12-minus-1)
- Absolute Momentum
- Only hold assets with positive momentum
- Selection
- Top 4 from 8-asset core universe
- Weighting
- Inverse-volatility (63-day / 3-month rolling annualized vol)
- Risk Off Allocation
- 60% IEF + 40% GLD
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
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 2026-05-20 (40.2 years): 11.5% CAGR, 1.17 Sharpe, -20.4% max drawdown, 9.6% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 11.5%
- Sharpe
- 1.17
- Max Drawdown
- -20.4%
- Volatility
- 9.6%
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).
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | Composite Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.5% |
| Maximum Drawdown | -20.4% |
| Sharpe Ratio | 1.17 |
| Sortino Ratio | 1.54 |
| Annualized Volatility | 9.6% |
| Calmar Ratio | 0.56 |
| Total Return | 7918.0% |
| Backtest Period | 40.2 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
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