Minimum Correlation Portfolio at a glance
Minimum Correlation Portfolio is a tactical asset allocation (TAA) strategy by David Varadi (CSS Analytics) across US Equity, International Equity, Emerging Markets, Long Treasuries, rebalanced monthly. Backtested 1991-11-29 to 2026-04-24 (34.5 years): 7.8% CAGR, 1.07 Sharpe, -21.3% max drawdown, 7.3% volatility.
- Type
- Tactical (TAA)
- Author
- David Varadi (CSS Analytics)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1991-11-29 to 2026-04-24
- CAGR
- 7.8%
- Sharpe
- 1.07
- Max Drawdown
- -21.3%
- Volatility
- 7.3%
Minimum Correlation Portfolio — Tactical Asset Allocation Strategy
The Minimum Correlation Portfolio by David Varadi selects the 4 least correlated assets from a 7-asset universe (63-day rolling correlation), equally weighted. A 200-day SMA trend filter replaces any below-trend asset with BIL.
Backtest Performance (1991-11-29 to 2026-04-24)
| Metric | Minimum Correlation Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.8% |
| Maximum Drawdown | -21.3% |
| Sharpe Ratio | 1.07 |
| Sortino Ratio | 1.41 |
| Annualized Volatility | 7.3% |
| Calmar Ratio | 0.37 |
| Total Return | 1242.8% |
| Backtest Period | 34.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- David Varadi (CSS Analytics)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- Long Treasuries
- Gold
- REITs
- Commodities
- Cash
Categories
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