Global Growth Cycle Enhanced Momentum (Link)
Fetch 17-country CLI panel from OECD SDMX (or FRED fallback). Compute diffusion = share of countries where CLI[t] > CLI[t-1]. Backtest max drawdown: -20.9%.
Data caveat: this backtest uses revised macro data
This strategy's risk regime comes from the OECD Composite Leading Indicator, which is revised every month after first publication. The backtest on this page uses today's revised values. We replayed the strategy against the data as it was originally published, back to 2006: the regime call differs in 42 of 231 months, Sharpe drops from 1.31 to 0.84, and the worst drawdown deepens from -19% to -34%. The 2008 defense holds up on first prints; the 2020 sidestep does not, and exists only in revised data. On as-published data the strategy still beats the index on Sharpe and drawdown, but by far less than this card implies. Live signals use first publications, so the as-published profile is the better guide to forward expectations.
Full comparison in the real-time data check below. This strategy is excluded from our Top Performers rankings while the data review is open.
Strategy & methodology
Fetch 17-country CLI panel from OECD SDMX (or FRED fallback); Compute diffusion = share of countries where CLI[t] > CLI[t-1]; Apply 1-month publication lag (OECD releases ~12th of next month); Regime: diffusion >= 50% → risk-on; else…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2025-11-18; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-22.
Simulated history
Stand-in funds and until when (3)
- VEU: EFA before Mar 8, 2007
- IEF: VFITX before Jul 26, 2002
- SPY: VFINX before Jan 29, 1993
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
Fetch 17-country CLI panel from OECD SDMX (or FRED fallback). Compute diffusion = share of countries where CLI[t] > CLI[t-1]. Backtest max drawdown: -20.9%. 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 6efc9c71, published 2026-10-17
Is Global Growth Cycle Enhanced Momentum (Link) still working in 2026?
Global Growth Cycle Enhanced Momentum (Link) returned 4.55% over the trailing 12 months and 33.42% over 36 months through 2026-10-22, compared with a full-backtest annualized return of 15.05%. Its full-backtest maximum drawdown was -20.95%. The full sample contains 10618 daily NAV observations from 1985-01-01. These are model results, not investor account returns or a promise. As of 2026-10-22 it is -11.02% below its high-water mark of 2026-02-25, 8 months ago, and its longest run below a previous high was 2.1 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 4.55% | Not annualized | -11.54% | 252 | 2025-10-22 to 2026-10-22 |
| Trailing 36 months | 33.42% | Not annualized | -18.76% | 754 | 2023-10-20 to 2026-10-22 |
| Full backtest | 34991.94% | 15.05% | -20.95% | 10618 | 1985-01-01 to 2026-10-22 |
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 2026-02-25, 8 months before 2026-10-22, and it is -11.02% below that level now. The longest run below a previous high in the full backtest was 2.1 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.
Real-time data check
The OECD revises every country's CLI history each month, so a backtest on today's data quietly uses information that was not available at the time. We replayed this strategy against the OECD's own publication archive (239 monthly editions, all 17 countries, back to 2006) on the same engine and costs as the card. Same strategy, two data realities:
| Card (revised) | As published | SPY buy & hold | |
|---|---|---|---|
| CAGR | 13.8% | 10.6% | 10.9% |
| Sharpe | 1.31 | 0.84 | 0.66 |
| Worst drawdown (daily) | -18.8% | -33.7% | -55.2% |
The answer differs by crisis. On as-published data the regime call differed in 42 of 231 months. The 2008 defense was genuine: real-time signals sat risk-off from September 2007 through April 2009 and the strategy gained 16% while the index fell 38%. The 2020 sidestep was not: first prints stayed risk-on and the strategy rode the crash down, which is the drawdown marked above. The 2022 bond defense was genuine in both data sets. Over the whole window as-published returns land just below SPY while keeping a better Sharpe and roughly 21 points less peak drawdown, so the edge is real but far smaller than the card implies. Live signals use first publications, so the as-published column is the better guide to what this strategy does going forward.
Method: the OECD real-time publication archive (DSD_STES_REVISIONS, monthly editions from 2006-04) for all 17 CLI countries, production diffusion computation and publication lag, production backtest engine, 10 bps costs. Sharpe ratios on monthly returns above cash, as on the card, restated 2026-10-20. Cross-checked against the St. Louis Fed ALFRED vintages wherever the two overlap. Prompted by a subscriber's independent reproduction. Generated 2026-09-03.
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 1985-01-01 to 2026-10-22 (41.8 years): 15.1% CAGR, 1.09 Sharpe, -20.9% max drawdown, 12.1% volatility.
- Type
- Tactical (TAA)
- Author
- Grzegorz Link
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1985-01-01 to 2026-10-22
- CAGR
- 15.1%
- Sharpe
- 1.09
- Max Drawdown
- -20.9%
- Volatility
- 12.1%
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 major TAA services. 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.
Global Growth Cycle Enhanced Momentum (Link): frequently asked questions
- What is Global Growth Cycle Enhanced Momentum (Link)?
- Grzegorz Link's enhanced Global Growth Cycle strategy. OECD Composite Leading Indicator (CLI) sets the risk regime; 12-month relative momentum picks the specific asset inside each regime. Risk-on: SPY vs IEFA. Risk-off: AGG vs BIL (cash). Monthly rebalance. Tracked by AllocateSmartly.
- Who created the Global Growth Cycle Enhanced Momentum (Link) strategy?
- Global Growth Cycle Enhanced Momentum (Link) was developed by Grzegorz Link. It is based on Link, G. (2024). Dual Momentum and Global Growth Cycle Enhanced. Tracked by major TAA services: 'Using the OECD Composite Leading Indicator + Momentum to Time the Market'..
- What is the historical return and maximum drawdown of Global Growth Cycle Enhanced Momentum (Link)?
- Backtested from 1985-01-01 to 2026-10-22, Global Growth Cycle Enhanced Momentum (Link) returned 15.1% CAGR with a -20.9% maximum drawdown and a Sharpe ratio of 1.09. Past performance does not guarantee future results.
- How often is Global Growth Cycle Enhanced Momentum (Link) rebalanced?
- Global Growth Cycle Enhanced Momentum (Link) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Global Growth Cycle Enhanced Momentum (Link) a tactical asset allocation strategy?
- Yes. Global Growth Cycle Enhanced Momentum (Link) 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 (1985-01-01 to 2026-10-22)
| Metric | Global Growth Cycle Enhanced Momentum (Link) |
|---|---|
| CAGR | 15.1% |
| Max Drawdown | -20.9% |
| Sharpe | 1.09 |
| Sortino | 1.94 |
| Volatility | 12.1% |
| Calmar | 0.72 |
| Total Return | 35265.2% |
| Backtest Period | 41.8 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
- 3
- Author
- Grzegorz Link
- Source
- Link, G. (2024). Dual Momentum and Global Growth Cycle Enhanced. Tracked by major TAA services: 'Using the OECD Composite Leading Indicator + Momentum to Time the Market'.
Asset Classes
- US Equity
- International Developed Equity
- US Aggregate Bonds
- T-Bills
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Global Growth Cycle Enhanced Momentum (Link) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Global Growth Cycle Enhanced Momentum (Link) in Your Portfolio
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Versions we tested and didn't ship
We ran these against this strategy and left them out. The numbers and reasons are in our rejection log.
- GGCEM with leverage on its stock legs
Every levered GGCEM lowered Sharpe, and levering the ex-US leg doubled the worst drawdown to -41.8%.
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Related research
- A subscriber caught our backtest using data from the futureA subscriber rebuilt our GGCEM backtest on as-published OECD data and it fell apart. We verified it, published the real-time comparison, and pulled the strategy from our rankings.
- Six New Strategies for AugustSix strategies, six distinct return mechanisms. The August batch arrives July 28 with a macro regime model, a two-system momentum blend, a channel breakout, a defensive trend switch, a bond timing model, and one fixed allocation. All six cleared the catalog's median Sharpe of 0.97 at launch.