GGCEM As Published (first-release OECD data)
At each month-end, take the OECD leading-indicator release current on that day. Backtest max drawdown: -33.7%.
Strategy & methodology
At each month-end, take the OECD leading-indicator release current on that day; Compute diffusion = share of the 17 countries whose CLI rose month-over-month, on that release; Read the latest month that release covers, with the same…
- 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 2026-10-23.
Simulated history
Stand-in funds and until when (1)
- VEU: EFA before Mar 8, 2007
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
At each month-end, take the OECD leading-indicator release current on that day. Backtest max drawdown: -33.7%. 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 e710e1a1, published 2026-10-17
Is GGCEM As Published (first-release OECD data) still working in 2026?
GGCEM As Published (first-release OECD data) returned 17.14% over the trailing 12 months and 70.32% over 36 months through 2026-10-23, compared with a full-backtest annualized return of 10.05%. Its full-backtest maximum drawdown was -33.70%. The full sample contains 5155 daily NAV observations from 2006-04-28. These are model results, not investor account returns or a promise. As of 2026-10-23 it is -3.81% below its high-water mark of 2026-06-22, 4 months ago, and its longest run below a previous high was 3.1 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 17.14% | Not annualized | -11.42% | 252 | 2025-10-23 to 2026-10-23 |
| Trailing 36 months | 70.32% | Not annualized | -18.76% | 754 | 2023-10-23 to 2026-10-23 |
| Full backtest | 611.65% | 10.05% | -33.70% | 5155 | 2006-04-28 to 2026-10-23 |
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 2026-06-22, 4 months before 2026-10-23, and it is -3.81% below that level now. The longest run below a previous high in the full backtest was 3.1 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.
GGCEM As Published (first-release OECD data) at a glance
GGCEM As Published (first-release OECD data) is a tactical asset allocation (TAA) strategy by Grzegorz Link across US Equity, International Developed Equity, US Bonds, T-Bills, rebalanced monthly. Backtested 2006-04-28 to 2026-10-23 (20.5 years): 10.1% CAGR, 0.79 Sharpe, -33.7% max drawdown, 13.9% volatility.
- Type
- Tactical (TAA)
- Author
- Grzegorz Link
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 2006-04-28 to 2026-10-23
- CAGR
- 10.1%
- Sharpe
- 0.79
- Max Drawdown
- -33.7%
- Volatility
- 13.9%
GGCEM As Published (first-release OECD data) — Tactical Asset Allocation Strategy
GGCEM As Published is Grzegorz Link's Global Growth Cycle Enhanced Momentum with one change: each month it reads the OECD Composite Leading Indicator the way the OECD release current at that month-end printed it. The standard GGCEM backtest reads today's revised OECD history, numbers nobody could see at the time, and its past signals change whenever the OECD revises. This version's past signals are the ones the published data gave, and they do not change afterwards. The rules are otherwise identical: when at least half of the 17 countries have a rising indicator it holds the stronger of US and international stocks on 12-month return, otherwise the stronger of bonds and T-bills.
On BestFolio's engine, net of 10 bps a trade, from the end of April 2006 to October 2026 the Link Original version returned 10.1% a year with a Sharpe ratio of 0.79 and a -33.7% worst fall (19 February to 23 March 2020). On the same dates the standard GGCEM, on revised data, shows 13.6% a year, a Sharpe ratio of 1.29 and a -18.8% worst fall. The S&P 500 returned 11.1% a year with a Sharpe ratio of 0.67 and a -55.2% worst fall. The two versions held something different in 52 of 246 months (21%).
GGCEM As Published (first-release OECD data): frequently asked questions
- What is GGCEM As Published (first-release OECD data)?
- Grzegorz Link's Global Growth Cycle Enhanced Momentum with one change: the OECD CLI Diffusion Index is read from the OECD release that was current at each rebalance, not from today's revised history, so the signals are the ones the data published at the time gave. Risk-on (diffusion at or above 50%): SPY or IEFA by 12-month return. Risk-off: AGG or BIL. Monthly. History starts in April 2006, the first OECD release with all 17 countries.
- Who created the GGCEM As Published (first-release OECD data) strategy?
- GGCEM As Published (first-release OECD data) was developed by Grzegorz Link. It is based on Link, G. (2024). Dual Momentum and Global Growth Cycle Enhanced; run here on the OECD leading indicator as first published..
- What is the historical return and maximum drawdown of GGCEM As Published (first-release OECD data)?
- Backtested from 2006-04-28 to 2026-10-23, GGCEM As Published (first-release OECD data) returned 10.1% CAGR with a -33.7% maximum drawdown and a Sharpe ratio of 0.79. Past performance does not guarantee future results.
- How often is GGCEM As Published (first-release OECD data) rebalanced?
- GGCEM As Published (first-release OECD data) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is GGCEM As Published (first-release OECD data) a tactical asset allocation strategy?
- Yes. GGCEM As Published (first-release OECD data) 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 (2006-04-28 to 2026-10-23)
| Metric | GGCEM As Published (first-release OECD data) |
|---|---|
| CAGR | 10.1% |
| Max Drawdown | -33.7% |
| Sharpe | 0.79 |
| Sortino | 1.32 |
| Volatility | 13.9% |
| Calmar | 0.30 |
| Total Return | 619.1% |
| Backtest Period | 20.5 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
- 2
- Author
- Grzegorz Link
- Source
- Link, G. (2024). Dual Momentum and Global Growth Cycle Enhanced; run here on the OECD leading indicator as first published.
Asset Classes
- US Equity
- International Developed Equity
- US Bonds
- T-Bills
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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