Global Growth Cycle Enhanced Momentum (Link) at a glance
Global Growth Cycle Enhanced Momentum (Link) is a tactical asset allocation (TAA) strategy by Grzegorz Link across US Equity, International Developed Equity, US Aggregate Bonds, T-Bills, rebalanced monthly. Backtested 1990-10-31 to 2026-04-23 (35.4 years): 10.7% CAGR, 0.93 Sharpe, -33.7% max drawdown, 11.6% volatility.
- Type
- Tactical (TAA)
- Author
- Grzegorz Link
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1990-10-31 to 2026-04-23
- CAGR
- 10.7%
- Sharpe
- 0.93
- Max Drawdown
- -33.7%
- Volatility
- 11.6%
Global Growth Cycle Enhanced Momentum (Link) — Tactical Asset Allocation Strategy
Global Growth Cycle Enhanced Momentum (GGCEM) is Grzegorz Link's enhanced variant of the Global Growth Cycle strategy, tracked by AllocateSmartly. It combines a macro regime filter (OECD Composite Leading Indicator) with 12-month relative momentum inside each regime.
During expansionary periods (OECD CLI rising), the strategy allocates 100% to the stronger of SPY (US equities) and IEFA (international developed equities) based on 12-month total return. During contractionary periods (OECD CLI falling), the strategy rotates to the stronger of AGG (US aggregate bonds) and BIL (1-3 month T-bills, cash proxy) — a dynamic bond vs cash gate that protects against rising-rate environments where long bonds sell off alongside equities.
Backtest Performance (1990-10-31 to 2026-04-23)
| Metric | Global Growth Cycle Enhanced Momentum (Link) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.7% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.93 |
| Sortino Ratio | 1.04 |
| Annualized Volatility | 11.6% |
| Calmar Ratio | 0.32 |
| Total Return | 3542.1% |
| Backtest Period | 35.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- Grzegorz Link
- Source
- Link, G. (2024). Dual Momentum and Global Growth Cycle Enhanced. Tracked on AllocateSmartly: 'Using the OECD Composite Leading Indicator + Momentum to Time the Market'.
Asset Classes
- US Equity
- International Developed Equity
- US Aggregate Bonds
- T-Bills
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