Momentum-Correlation Triplet
Momentum-Correlation Triplet is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-08-18. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2024 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
- 2026-08-18
- History boundary
- The recorded 2024 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Score 14 assets by avg(3m, 6m, 12m returns), filter by absolute momentum vs BIL 2. Take top 5, enumerate all C(5,3)=10 combinations of 3 3. Select the combination with lowest average pairwise correlation 4. Equal-weight the 3 selected…
- 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 2026-08-18. 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.
Momentum-Correlation Triplet at a glance
Momentum-Correlation Triplet is a tactical asset allocation (TAA) strategy by BestFolio Research across US Equity, Nasdaq, REITs, International Equity, rebalanced monthly. Backtested 1987-10-30 to 2026-08-18 (38.7 years): 14.4% CAGR, 1.22 Sharpe, -17.5% max drawdown, 12.4% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-10-30 to 2026-08-18
- CAGR
- 14.4%
- Sharpe
- 1.22
- Max Drawdown
- -17.5%
- Volatility
- 12.4%
Momentum-Correlation Triplet — Tactical Asset Allocation Strategy
Momentum-Correlation Triplet combines dual momentum with minimum-correlation portfolio construction. It scores 14 assets by composite momentum (avg 3/6/12-month), filters by absolute momentum vs BIL, takes top 5, then selects the 3 with lowest average pairwise correlation (exhaustive search over all C(5,3)=10 combinations).
Momentum-Correlation Triplet: frequently asked questions
- What is Momentum-Correlation Triplet?
- Minimum-correlation momentum strategy. Picks 5 momentum leaders from a 14-asset global universe (composite 1/3/6/12-month score), then selects the 3 with lowest pairwise correlation over a 252-day window. Equal-weighted with absolute-momentum cash filter, monthly rebalance.
- Who created the Momentum-Correlation Triplet strategy?
- Momentum-Correlation Triplet was developed by BestFolio Research.
- What is the historical return and maximum drawdown of Momentum-Correlation Triplet?
- Backtested from 1987-10-30 to 2026-08-18, Momentum-Correlation Triplet returned 14.4% CAGR with a -17.5% maximum drawdown and a Sharpe ratio of 1.22. Past performance does not guarantee future results.
- How often is Momentum-Correlation Triplet rebalanced?
- Momentum-Correlation Triplet is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Momentum-Correlation Triplet a tactical asset allocation strategy?
- Yes. Momentum-Correlation Triplet 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 (1987-10-30 to 2026-08-18)
| Metric | Momentum-Correlation Triplet |
|---|---|
| CAGR | 14.4% |
| Max Drawdown | -17.5% |
| Sharpe | 1.22 |
| Sortino | 1.94 |
| Volatility | 12.4% |
| Calmar | 0.82 |
| Total Return | 18212.4% |
| Backtest Period | 38.7 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- BestFolio Research
Asset Classes
- US Equity
- Nasdaq
- REITs
- International Equity
- Emerging Markets
- Bonds
- TIPS
- Commodities
- Gold
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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