Carlson's Defense First — Tactical Asset Allocation Strategy
Defensive-first approach ranking 4 safe-haven assets (bonds, gold, commodities, dollar) by multi-period momentum. Assets underperforming T-bills are replaced by equities. Inverts the typical offense-first TAA paradigm. Monthly rebalancing.
Backtest Performance (1987-06-30 to 2026-04-07)
| Metric | Carlson's Defense First |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.6% |
| Maximum Drawdown | -20.3% |
| Sharpe Ratio | 1.04 |
| Sortino Ratio | 1.39 |
| Annualized Volatility | 10.1% |
| Calmar Ratio | 0.52 |
| Total Return | 5177.9% |
| Backtest Period | 39.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- conservative
- Variants
- 1
- Author
- Thomas Carlson
Categories
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