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 2026-08-17. 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
- 2026-08-17
- 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 2026-08-17. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of September; scheduled 2026-09-01 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 (2018 onward, the span where real publication archives exist): the regime call differs in 19% of months, Sharpe drops from 1.19 to 0.82, the worst drawdown deepens from -11% to -34%, and the 2020 crash sidestep exists only in revised data. 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 actual publication archive (ALFRED real-time vintages, all 17 countries, first archive mid-2018) on the same engine and costs as the card. Same strategy, two data realities:
| Card (revised) | As published | SPY buy & hold | |
|---|---|---|---|
| CAGR | 12.4% | 13.4% | 15.2% |
| Sharpe | 1.19 | 0.82 | 0.83 |
| Worst drawdown (daily) | -11.4% | -33.7% | -33.7% |
The return survives, the risk story does not: on as-published data the regime call differed in 18 of 96 months, the strategy held equities straight through the 2020 crash, and its risk-adjusted profile matched plain SPY. The 2022 bond defense was genuine in both data sets. Live signals use first publications, so the as-published column is the better guide to what this strategy does going forward. History before 2018 cannot be checked this way because no publication archive exists.
Method: ALFRED real-time vintages for all 17 OECD CLI countries, production diffusion computation and publication lag, production backtest engine, 10 bps costs. Prompted by a subscriber's independent reproduction. Generated 2026-08-12.
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 2026-08-17 (40.3 years): 14.1% CAGR, 1.35 Sharpe, -20.9% max drawdown, 10.7% volatility.
- Type
- Tactical (TAA)
- Author
- Grzegorz Link
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-08-17
- CAGR
- 14.1%
- Sharpe
- 1.35
- Max Drawdown
- -20.9%
- Volatility
- 10.7%
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 2026-08-17, Global Growth Cycle Enhanced Momentum (Link) returned 14.1% CAGR with a -20.9% maximum drawdown and a Sharpe ratio of 1.35. 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 2026-08-17)
| Metric | Global Growth Cycle Enhanced Momentum (Link) |
|---|---|
| CAGR | 14.1% |
| Max Drawdown | -20.9% |
| Sharpe | 1.35 |
| Sortino | 1.85 |
| Volatility | 10.7% |
| Calmar | 0.67 |
| Total Return | 20236.7% |
| Backtest Period | 40.3 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.
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