Global Growth Cycle Enhanced Momentum (Link)
Global Growth Cycle Enhanced Momentum (Link) is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-09-04. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2025-11-18 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-09-04
- History boundary
- The recorded 2025-11-18 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Fetch 17-country CLI panel from OECD SDMX (or FRED fallback) 2. Compute diffusion = share of countries where CLI[t] > CLI[t-1] 3. Apply 1-month publication lag (OECD releases ~12th of next month) 4. Regime: diffusion >= 50% → risk-on…
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- 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
- Freshness
- The latest available backtest ends 2026-09-04. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of October; scheduled 2026-10-01 at 09:30 ET. Review the published signal before placing any trade.
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 1.24 to 0.79, 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.
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 | 1.24 | 0.79 | 0.62 |
| 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. 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 1986-02-28 to 2026-09-04 (40.5 years): 13.9% CAGR, 1.33 Sharpe, -20.9% max drawdown, 10.6% volatility.
- Type
- Tactical (TAA)
- Author
- Grzegorz Link
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-09-04
- CAGR
- 13.9%
- Sharpe
- 1.33
- Max Drawdown
- -20.9%
- Volatility
- 10.6%
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 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 1986-02-28 to 2026-09-04, Global Growth Cycle Enhanced Momentum (Link) returned 13.9% CAGR with a -20.9% maximum drawdown and a Sharpe ratio of 1.33. 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 (1986-02-28 to 2026-09-04)
| Metric | Global Growth Cycle Enhanced Momentum (Link) |
|---|---|
| CAGR | 13.9% |
| Max Drawdown | -20.9% |
| Sharpe | 1.33 |
| Sortino | 2.52 |
| Volatility | 10.6% |
| Calmar | 0.66 |
| Total Return | 19055.2% |
| Backtest Period | 40.5 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 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.
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