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 2026-07-03, 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.

Momentum-Correlation Triplet Strategy by BestFolio Research

Name: Momentum-Correlation Triplet, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (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 2026-07-03
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 2026-07-03, 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 2026-07-03)

Metric	Momentum-Correlation Triplet
Compound Annual Growth Rate (CAGR)	14.4%
Maximum Drawdown	-17.5%
Sharpe Ratio	1.22
Sortino Ratio	1.94
Annualized Volatility	12.4%
Calmar Ratio	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

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