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 2026-07-03, The Russell (DMS) returned 13.0% CAGR with a -39.3% 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.

The Russell (DMS) Strategy by Randy Harris

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

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 2026-07-03 (40.8 years): 13.0% CAGR, 1.03 Sharpe, -39.3% max drawdown, 17.2% volatility.

Type: Tactical (TAA)
Author: Randy Harris
Rebalancing: Monthly
Risk: Moderate
Period: 1985-08-30 to 2026-07-03
CAGR: 13.0%
Sharpe: 1.03
Max Drawdown: -39.3%
Volatility: 17.2%

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 2026-07-03, The Russell (DMS) returned 13.0% CAGR with a -39.3% 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 2026-07-03)

Metric	The Russell (DMS)
Compound Annual Growth Rate (CAGR)	13.0%
Maximum Drawdown	-39.3%
Sharpe Ratio	1.03
Sortino Ratio	1.37
Annualized Volatility	17.2%
Calmar Ratio	0.33
Total Return	14679.9%
Backtest Period	40.8 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

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