What is LT Gain (DMS)?

Single-asset momentum strategy comparing US large cap vs T-bills by composite 1/3/6-month score. Smart Leverage activates 2x/3x after 15% drawdowns. Risk-off uses Treasury Duration Limiter for bond selection. Monthly rebalancing.

Who created the LT Gain (DMS) strategy?

LT Gain (DMS) was developed by Randy Harris.

What is the historical return and maximum drawdown of LT Gain (DMS)?

Backtested from 1986-02-28 to 2026-07-03, LT Gain (DMS) returned 15.0% CAGR with a -33.1% maximum drawdown and a Sharpe ratio of 0.93. Past performance does not guarantee future results.

How often is LT Gain (DMS) rebalanced?

LT Gain (DMS) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.

Is LT Gain (DMS) a tactical asset allocation strategy?

Yes. LT Gain (DMS) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

LT Gain (DMS) Strategy by Randy Harris

Name: LT Gain (DMS), Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 1986-02-28 to 2026-07-03 (40.3 years): 15.0% CAGR, 0.93 Sharpe, -33.1% max drawdown, 19.6% volatility.

Type: Tactical (TAA)
Author: Randy Harris
Rebalancing: Monthly
Risk: Moderate
Period: 1986-02-28 to 2026-07-03
CAGR: 15.0%
Sharpe: 0.93
Max Drawdown: -33.1%
Volatility: 19.6%

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.

LT Gain (DMS): frequently asked questions

What is LT Gain (DMS)?: Single-asset momentum strategy comparing US large cap vs T-bills by composite 1/3/6-month score. Smart Leverage activates 2x/3x after 15% drawdowns. Risk-off uses Treasury Duration Limiter for bond selection. Monthly rebalancing.
Who created the LT Gain (DMS) strategy?: LT Gain (DMS) was developed by Randy Harris.
What is the historical return and maximum drawdown of LT Gain (DMS)?: Backtested from 1986-02-28 to 2026-07-03, LT Gain (DMS) returned 15.0% CAGR with a -33.1% maximum drawdown and a Sharpe ratio of 0.93. Past performance does not guarantee future results.
How often is LT Gain (DMS) rebalanced?: LT Gain (DMS) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is LT Gain (DMS) a tactical asset allocation strategy?: Yes. LT Gain (DMS) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

Backtest Performance (1986-02-28 to 2026-07-03)

Metric	LT Gain (DMS)
Compound Annual Growth Rate (CAGR)	15.0%
Maximum Drawdown	-33.1%
Sharpe Ratio	0.93
Sortino Ratio	1.33
Annualized Volatility	19.6%
Calmar Ratio	0.45
Total Return	28172.8%
Backtest Period	40.3 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

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