Momentum-Correlation Triplet
Score 14 assets by avg(3m, 6m, 12m returns), filter by absolute momentum vs BIL. Backtest max drawdown: -17.7%.
Strategy & methodology
Score 14 assets by avg(3m, 6m, 12m returns), filter by absolute momentum vs BIL; Take the top 5 and test every possible group of 3 (10 groups when all 5 qualify); Hold the group that moves least alike (lowest average pairwise…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2024; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (14)
- SCZ: EFA x1.1 before Dec 12, 2007
- BWX: RPIBX before Oct 11, 2007
- RWX: VNQ x0.9 before Dec 19, 2006
- VGK: EFA x1.05 before Mar 10, 2005
- VNQ: VGSIX before Sep 29, 2004
- TIP: VIPSX before Dec 5, 2003
- EEM: VEIEX before Apr 14, 2003
- TLT: VUSTX before Jul 26, 2002
- IEF: VFITX before Jul 26, 2002
- TIP: PRTNX before Dec 5, 2003
- VNQ: FRESX before Sep 29, 2004
- EWJ: PRJPX before Mar 18, 1996
- EEM: FEMKX before Apr 14, 2003
- SPY: VFINX before Jan 29, 1993
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
Score 14 assets by avg(3m, 6m, 12m returns), filter by absolute momentum vs BIL. Backtest max drawdown: -17.7%. 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 134a5319, published 2026-10-01
Is Momentum-Correlation Triplet still working in 2026?
Momentum-Correlation Triplet returned 25.24% over the trailing 12 months and 87.21% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 14.77%. Its full-backtest maximum drawdown was -17.66%. The full sample contains 9906 daily NAV observations from 1987-10-30. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -0.82% below its high-water mark of 2026-09-11, 20 days ago, and its longest run below a previous high was 2.0 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 25.24% | Not annualized | -13.00% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 87.21% | Not annualized | -13.00% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 21211.27% | 14.77% | -17.66% | 9906 | 1987-10-30 to 2026-10-01 |
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 2026-09-11, 20 days before 2026-10-01, and it is -0.82% below that level now. The longest run below a previous high in the full backtest was 2.0 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.
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 2026-10-01 (38.9 years): 14.8% CAGR, 1.25 Sharpe, -17.7% max drawdown, 12.3% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-10-30 to 2026-10-01
- CAGR
- 14.8%
- Sharpe
- 1.25
- Max Drawdown
- -17.7%
- Volatility
- 12.3%
Momentum-Correlation Triplet — Tactical Asset Allocation Strategy
Momentum-Correlation Triplet combines dual momentum (owning the strongest assets, and only those beating cash) with diversification. Each month it scores 14 assets by the average of their 3, 6 and 12-month returns, drops any that fail to beat cash (BIL) and keeps the top 5. It then holds the 3 of those 5 that move least alike (lowest average pairwise correlation over the past 252 trading days), testing every possible 3-asset combination (10 when all 5 qualify).
Momentum-Correlation Triplet: frequently asked questions
- What is Momentum-Correlation Triplet?
- Momentum strategy that spreads its bets. Picks 5 momentum leaders from a 14-asset global universe (composite score: the unweighted average of the 3, 6 and 12-month returns), then holds the 3 of them that move least alike (lowest pairwise correlation over a 252-day window). Equal-weighted; an asset that fails to beat cash (BIL) is skipped and its slot goes to cash. 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 2026-10-01, Momentum-Correlation Triplet returned 14.8% CAGR with a -17.7% maximum drawdown and a Sharpe ratio of 1.25. 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 2026-10-01)
| Metric | Momentum-Correlation Triplet |
|---|---|
| CAGR | 14.8% |
| Max Drawdown | -17.7% |
| Sharpe | 1.25 |
| Sortino | 2.27 |
| Volatility | 12.3% |
| Calmar | 0.84 |
| Total Return | 21211.3% |
| Backtest Period | 38.9 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
- 3
- 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.
Holding Momentum-Correlation Triplet alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Momentum-Correlation Triplet in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.
Related research
- Can a European hold our flagship? Yes, if you keep the US signalsEuropean twins trailed by 0.74 points a year with US signals. Recomputing from European quotes widened the gap to 4.8 points.
- How stable is a good Sharpe ratio? Across 173 backtests, the steadiest strategies changed with the decadeA Sharpe ratio says how large a strategy's risk-adjusted return was, not how consistently it was earned. We ran the Sharpe Stability Ratio across 173 published backtests. It resolves ties the Robustness score cannot, it does not reward inactivity, and it belongs to the window rather than the strategy: the steadiest strategies of the 2000s were the least steady of the 2010s.
- Overfitting: what it is, why it kills tactical strategies, and why ours survivedA reader called our flagship an overfitting masterpiece. So we ran the tests that could convict it: 700 parameter configurations, a deliberate cherry-pick, 60 random universes, and a post-publication study of 63 strategies. Our published settings ranked 2nd of 700, the pre-2019 ranking predicted nothing about what followed, and the decay evidence leans one way without proving it.