The Russell (DMS)
If IWB score is at least BIL then RISK-ON: pick best of IWB, IWP, IWS by DMS score. Backtest max drawdown: -33.1%.
Strategy & methodology
If IWB score >= BIL → RISK-ON: pick best of IWB, IWP, IWS by DMS score; If IWB score < BIL → RISK-OFF: TLT if fast score positive, else VGSH (sticky).
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2021; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (5)
- TLT: VUSTX before Jul 26, 2002
- SHY: VFISX before Jul 26, 2002
- IWP: IJH x1.1 before Aug 1, 2001
- IWS: IJH x0.95 before Jul 24, 2001
- IWB: SPY before May 19, 2000
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
If IWB score is at least BIL then RISK-ON: pick best of IWB, IWP, IWS by DMS score. Backtest max drawdown: -33.1%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version e864b425, published 2026-10-01
Is The Russell (DMS) still working in 2026?
The Russell (DMS) returned 1.96% over the trailing 12 months and 21.84% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 13.14%. Its full-backtest maximum drawdown was -33.09%. The full sample contains 10356 daily NAV observations from 1985-08-30. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -10.70% below its high-water mark of 2025-02-18, 1.6 years ago, and its longest run below a previous high was 2.9 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 1.96% | Not annualized | -7.54% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 21.84% | Not annualized | -17.69% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 15848.10% | 13.14% | -33.09% | 10356 | 1985-08-30 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2025-02-18, 1.6 years before 2026-10-01, and it is -10.70% below that level now. The longest run below a previous high in the full backtest was 2.9 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 1985-08-30 to 2026-10-01 (41.1 years): 13.1% CAGR, 1.03 Sharpe, -33.1% max drawdown, 14.5% volatility.
- Type
- Tactical (TAA)
- Author
- Randy Harris
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1985-08-30 to 2026-10-01
- CAGR
- 13.1%
- Sharpe
- 1.03
- Max Drawdown
- -33.1%
- Volatility
- 14.5%
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.
The Russell (DMS): frequently asked questions
- What is The Russell (DMS)?
- Russell-style momentum rotation comparing large/mid/small cap equities by composite 1/3/6-month score vs T-bills. Risk-off uses a Treasury Duration Limiter that dynamically selects long or short bonds based on TLT momentum. Monthly rebalancing.
- Who created the The Russell (DMS) strategy?
- The Russell (DMS) was developed by Randy Harris.
- What is the historical return and maximum drawdown of The Russell (DMS)?
- Backtested from 1985-08-30 to 2026-10-01, The Russell (DMS) returned 13.1% CAGR with a -33.1% maximum drawdown and a Sharpe ratio of 1.03. Past performance does not guarantee future results.
- How often is The Russell (DMS) rebalanced?
- The Russell (DMS) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is The Russell (DMS) a tactical asset allocation strategy?
- Yes. The Russell (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 (1985-08-30 to 2026-10-01)
| Metric | The Russell (DMS) |
|---|---|
| CAGR | 13.1% |
| Max Drawdown | -33.1% |
| Sharpe | 1.03 |
| Sortino | 1.72 |
| Volatility | 14.5% |
| Calmar | 0.40 |
| Total Return | 15848.1% |
| Backtest Period | 41.1 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding The Russell (DMS) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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