The Russell (DMS) at a glance
The Russell (DMS) is a tactical asset allocation (TAA) strategy by Randy Harris across US Equity, US Midcap Growth, US Midcap Value, Long-Term Treasuries, rebalanced monthly. Backtested 1992-05-29 to 2026-04-24 (33.8 years): 13.9% CAGR, 0.82 Sharpe, -39.3% max drawdown, 17.6% volatility.
- Type
- Tactical (TAA)
- Author
- Randy Harris
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-05-29 to 2026-04-24
- CAGR
- 13.9%
- Sharpe
- 0.82
- Max Drawdown
- -39.3%
- Volatility
- 17.6%
The Russell (DMS) — Tactical Asset Allocation Strategy
The Russell rotates among three Russell-index ETFs — IWB (Russell 1000), IWP (Russell Midcap Growth), and IWS (Russell Midcap Value) — during risk-on periods, picking the one with the highest DMS momentum score.
Backtest Performance (1992-05-29 to 2026-04-24)
| Metric | The Russell (DMS) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.9% |
| Maximum Drawdown | -39.3% |
| Sharpe Ratio | 0.82 |
| Sortino Ratio | 0.99 |
| Annualized Volatility | 17.6% |
| Calmar Ratio | 0.35 |
| Total Return | 8007.5% |
| Backtest Period | 33.8 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Randy Harris
Asset Classes
- US Equity
- US Midcap Growth
- US Midcap Value
- Long-Term Treasuries
- Short-Term Treasuries
Categories
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