Five-Asset Momentum Rotation
Universe: VTI (US stocks), AGG (bonds), VNQ (REITs), DBC (commodities), GLD (gold). Backtest max drawdown: -32.0%.
Strategy & methodology
Universe: VTI (US stocks), AGG (bonds), VNQ (REITs), DBC (commodities), GLD (gold); At each month-end, score every ETF by the average of its trailing 1, 3, 6, 9 and 12-month returns; Hold the top 3 equal-weight (1/3 each) for the…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2026-08-04; 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)
- VNQ: VGSIX before Sep 29, 2004
- AGG: VBMFX before Sep 26, 2003
- VTI: VTSMX before May 31, 2001
- VNQ: FRESX before Sep 29, 2004
- VTI: VFINX before May 31, 2001
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
Universe: VTI (US stocks), AGG (bonds), VNQ (REITs), DBC (commodities), GLD (gold). Backtest max drawdown: -32.0%. 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 ab073a6d, published 2026-10-01
Is Five-Asset Momentum Rotation still working in 2026?
Five-Asset Momentum Rotation returned 20.04% over the trailing 12 months and 74.93% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 11.94%. Its full-backtest maximum drawdown was -32.04%. The full sample contains 13462 daily NAV observations from 1974-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -4.98% below its high-water mark of 2026-05-12, 5 months ago, and its longest run below a previous high was 1.9 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 20.04% | Not annualized | -10.73% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 74.93% | Not annualized | -10.73% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 37534.98% | 11.94% | -32.04% | 13462 | 1974-02-28 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 2026-05-12, 5 months before 2026-10-01, and it is -4.98% below that level now. The longest run below a previous high in the full backtest was 1.9 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.
Five-Asset Momentum Rotation at a glance
Five-Asset Momentum Rotation is a tactical asset allocation (TAA) strategy by Paper to Profit (Stuart) across US Equity, Bonds, REITs, Commodities, rebalanced monthly. Backtested 1974-02-28 to 2026-10-01 (52.6 years): 11.9% CAGR, 1.13 Sharpe, -32.0% max drawdown, 9.3% volatility.
- Type
- Tactical (TAA)
- Author
- Paper to Profit (Stuart)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1974-02-28 to 2026-10-01
- CAGR
- 11.9%
- Sharpe
- 1.13
- Max Drawdown
- -32.0%
- Volatility
- 9.3%
Five-Asset Momentum Rotation — Tactical Asset Allocation Strategy
Five-Asset Momentum Rotation is the 'Quick 5 ETF Rotational Strategy' published by the Paper to Profit newsletter (2026), built on the momentum framework of Macijauskas & Maditinos, 'Looking for Synergy with Momentum in Main Asset Classes' (European Research Studies, 2014). Five asset-class ETFs (VTI stocks, AGG bonds, VNQ REITs, DBC commodities, GLD gold) are ranked at each month-end by the average of their trailing 1, 3, 6, 9 and 12-month returns; the top 3 are held equal-weight for the following month. There is no cash gate: rotating into bonds and gold is the only defense.
Engine validation (net of 10 bps per switch, monthly convention): on the real-ETF era from 2007 the rotation compounded at 10.4% with a 0.95 Sharpe (rf=0) and a -25.8% monthly max drawdown, versus 11.1% and -50.8% for buy-and-hold VTI. On the proxy-extended 1973+ window (NAREIT, GSCI, gold fixing and 10-year Treasury chains) it compounded at 13.9% with a 1.29 Sharpe, and 2008 is the worst episode in the whole half-century.
Five-Asset Momentum Rotation: frequently asked questions
- What is Five-Asset Momentum Rotation?
- Monthly rotation across five asset-class ETFs (VTI, AGG, VNQ, DBC, GLD): rank by the average of 1, 3, 6, 9 and 12-month returns and hold the top 3 equal-weighted. No cash gate; rotation into bonds and gold is the defense. Published by the Paper to Profit newsletter (2026) on the Macijauskas & Maditinos (2014) momentum framework.
- Who created the Five-Asset Momentum Rotation strategy?
- Five-Asset Momentum Rotation was developed by Paper to Profit (Stuart). It is based on Paper to Profit (2026), on Macijauskas & Maditinos (2014), European Research Studies 17(3).
- What is the historical return and maximum drawdown of Five-Asset Momentum Rotation?
- Backtested from 1974-02-28 to 2026-10-01, Five-Asset Momentum Rotation returned 11.9% CAGR with a -32.0% maximum drawdown and a Sharpe ratio of 1.13. Past performance does not guarantee future results.
- How often is Five-Asset Momentum Rotation rebalanced?
- Five-Asset Momentum Rotation is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Five-Asset Momentum Rotation a tactical asset allocation strategy?
- Yes. Five-Asset Momentum Rotation 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 (1974-02-28 to 2026-10-01)
| Metric | Five-Asset Momentum Rotation |
|---|---|
| CAGR | 11.9% |
| Max Drawdown | -32.0% |
| Sharpe | 1.13 |
| Sortino | 2.03 |
| Volatility | 9.3% |
| Calmar | 0.37 |
| Total Return | 37535.0% |
| Backtest Period | 52.6 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
- Paper to Profit (Stuart)
- Source
- Paper to Profit (2026), on Macijauskas & Maditinos (2014), European Research Studies 17(3)
Asset Classes
- US Equity
- Bonds
- REITs
- Commodities
- Gold
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Five-Asset Momentum Rotation alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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