Bamboo (DMS) at a glance
Bamboo (DMS) is a fixed-allocation portfolio by Randy Harris across US Equity, US Bonds, Managed Futures, Gold, rebalanced monthly. Backtested 1987-02-27 to 2026-04-24 (39.4 years): 9.5% CAGR, 1.08 Sharpe, -23.0% max drawdown, 8.8% volatility.
- Type
- Fixed Allocation
- Author
- Randy Harris
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-02-27 to 2026-04-24
- CAGR
- 9.5%
- Sharpe
- 1.08
- Max Drawdown
- -23.0%
- Volatility
- 8.8%
Bamboo (DMS) — Fixed Allocation Portfolio
The Bamboo portfolio is a static 4-ETF allocation designed by Randy Harris (Dual Momentum Systems) as a modern alternative to the classic 60/40 portfolio. It combines US large-cap equities, total bond market, managed futures, and physical gold.
The Bamboo+ and Bamboo++ variants add a Smart Leverage overlay on the equity portion. When IWB experiences a drawdown exceeding 15% from its month-end peak, the equity sleeve is replaced with SSO (2x) or UPRO (3x) for up to 12 months, capturing the recovery.
Backtest Performance (1987-02-27 to 2026-04-24)
| Metric | Bamboo (DMS) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.5% |
| Maximum Drawdown | -23.0% |
| Sharpe Ratio | 1.08 |
| Sortino Ratio | 1.39 |
| Annualized Volatility | 8.8% |
| Calmar Ratio | 0.41 |
| Total Return | 3464.4% |
| Backtest Period | 39.4 years |
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- Randy Harris
Asset Classes
- US Equity
- US Bonds
- Managed Futures
- Gold
Categories
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