Three-Way Model (Davis) at a glance
Three-Way Model (Davis) is a tactical asset allocation (TAA) strategy by Ned Davis Research across US Equity, Long Treasuries, Gold, Cash, rebalanced monthly. Backtested 1987-04-30 to 2026-04-24 (39.2 years): 8.9% CAGR, 0.82 Sharpe, -30.6% max drawdown, 11.1% volatility.
- Type
- Tactical (TAA)
- Author
- Ned Davis Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-04-30 to 2026-04-24
- CAGR
- 8.9%
- Sharpe
- 0.82
- Max Drawdown
- -30.6%
- Volatility
- 11.1%
Three-Way Model (Davis) — Tactical Asset Allocation Strategy
The Davis Three-Way Model applies SMA crossover (3-month vs 10-month) to SPY, TLT, and GLD. Qualifying assets (short SMA > long SMA) are held at equal weight. If none qualify, 100% BIL.
Backtest Performance (1987-04-30 to 2026-04-24)
| Metric | Three-Way Model (Davis) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.9% |
| Maximum Drawdown | -30.6% |
| Sharpe Ratio | 0.82 |
| Sortino Ratio | 1.04 |
| Annualized Volatility | 11.1% |
| Calmar Ratio | 0.29 |
| Total Return | 2693.2% |
| Backtest Period | 39.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Ned Davis Research
- Source
- Ned Davis Research. Three-Way Model
Asset Classes
- US Equity
- Long Treasuries
- Gold
- Cash
Categories
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