Momentum Turning Points at a glance
Momentum Turning Points is a tactical asset allocation (TAA) strategy by Goulding, Harvey & Mazzoleni across US Equity, International Equity, Treasuries, International Bonds, rebalanced monthly. Backtested 1992-11-30 to 2026-04-24 (33.5 years): 4.7% CAGR, 0.96 Sharpe, -10.8% max drawdown, 5.0% volatility.
- Type
- Tactical (TAA)
- Author
- Goulding, Harvey & Mazzoleni
- Rebalancing
- Monthly
- Period
- 1992-11-30 to 2026-04-24
- CAGR
- 4.7%
- Sharpe
- 0.96
- Max Drawdown
- -10.8%
- Volatility
- 5.0%
Momentum Turning Points — Tactical Asset Allocation Strategy
Momentum Turning Points (Goulding, Harvey & Mazzoleni, 2023) addresses the speed dilemma in trend-following by classifying each asset into one of four states based on agreement between slow (12-month) and fast (2-month) trend signals: Bull (both positive), Correction (slow positive, fast negative), Bear (both negative), and Rebound (slow negative, fast positive). The MED strategy equally weights both signals: only Bull states receive allocation (1/6 each), all others go to cash.
Backtest Performance (1992-11-30 to 2026-04-24)
| Metric | Momentum Turning Points |
|---|---|
| Compound Annual Growth Rate (CAGR) | 4.7% |
| Maximum Drawdown | -10.8% |
| Sharpe Ratio | 0.96 |
| Sortino Ratio | 1.15 |
| Annualized Volatility | 5.0% |
| Calmar Ratio | 0.44 |
| Total Return | 368.2% |
| Backtest Period | 33.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Variants
- 1
- Author
- Goulding, Harvey & Mazzoleni
- Source
- Goulding, C.L., Harvey, C.R. & Mazzoleni, M. (2023). Momentum Turning Points. J. Financial Economics 149(3).
Asset Classes
- US Equity
- International Equity
- Treasuries
- International Bonds
- Commodities
- Gold
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