LT Gain (DMS) at a glance
LT Gain (DMS) is a tactical asset allocation (TAA) strategy by Randy Harris across US Equity, Long-Term Treasuries, Short-Term Treasuries, rebalanced monthly. Backtested 1992-11-30 to 2026-04-24 (33.3 years): 16.1% CAGR, 0.85 Sharpe, -32.8% max drawdown, 19.8% volatility.
- Type
- Tactical (TAA)
- Author
- Randy Harris
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-11-30 to 2026-04-24
- CAGR
- 16.1%
- Sharpe
- 0.85
- Max Drawdown
- -32.8%
- Volatility
- 19.8%
LT Gain (DMS) — Tactical Asset Allocation Strategy
LT Gain is a US equity momentum strategy from Randy Harris's DMS. It rotates between US equities (IWB) and treasuries only. The LT Gain+ variant uses SSO (2x) and LT Gain++ uses UPRO (3x) for Smart Leverage after >15% drawdowns.
Backtest Performance (1992-11-30 to 2026-04-24)
| Metric | LT Gain (DMS) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 16.1% |
| Maximum Drawdown | -32.8% |
| Sharpe Ratio | 0.85 |
| Sortino Ratio | 1.04 |
| Annualized Volatility | 19.8% |
| Calmar Ratio | 0.49 |
| Total Return | 14569.0% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Randy Harris
Asset Classes
- US Equity
- Long-Term Treasuries
- Short-Term Treasuries
Categories
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