Paired Switching (Glenn)
Calculate 3-month total return for SPY and TLT. Current signal: Risk-On. Backtest max drawdown: -62.9%.
Current allocation
Paired Switching (SPY/TLT)
- Holding period
- Data cutoff
- Next review
Based on research by Glenn (Quantpedia) · Glenn. Paired Switching. Quantpedia.Published Aug 22, 2011momentumBestFolio's independent implementation, not affiliated with or endorsed by the original author.
About this Strategy
Paired Switching is a simple binary rotation strategy attributed to Glenn (Quantpedia). Each month, the strategy compares the 3-month total return of two assets (default: SPY and TLT) and allocates 100% to whichever has performed better. The entire portfolio is always in a single asset, with ties going to SPY. This makes the monthly decision easy to inspect, but there is no cash fallback: even when both returns are negative, the strategy owns the stronger of the two. Long-term bonds can lose alongside stocks during inflation and rising-rate shocks. Momentum can also reverse after a switch, so repeated trades can add costs without preventing a drawdown. Follow the same published rule through the evaluation window rather than switching methods after a losing month.
Strategy Rules
- 1Calculate 3-month total return for SPY and TLT
- 2If SPY return >= TLT return → 100% SPY (ties go to SPY)
- 3If TLT return > SPY return → 100% TLT
Asset Universe
2 instruments this strategy can hold
Key Differentiators
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Nov 209:30 New York (US open) (today)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Risk-On
- Signal Date
- 2026-10-30
- Tags
- momentum
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio switch each month
- Universe Size
- 2 assets (SPY + TLT)
- Momentum Lookback
- 3 months (total return)
- Selection
- 100% in the asset with higher 3-month return
- Weighting
- All-or-nothing (100% single asset)
- Data Source
- Institutional-grade market data (4 months minimum history)
Asset Classes
Strategy & methodology
Calculate 3-month total return for SPY and TLT; If SPY return >= TLT return → 100% SPY (ties go to SPY); If TLT return > SPY return → 100% TLT.
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2011-08-22; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-30. Latest signal 2026-10-30.
Simulated history
Stand-in funds and until when (2)
- TLT: VUSTX before Jul 26, 2002
- 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
Calculate 3-month total return for SPY and TLT. Current signal: Risk-On. Backtest max drawdown: -62.9%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach, current signal and allocation, and interactive backtest views on this page. 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.
- Customer action
- Place any required trades in your own brokerage at the next open on Nov 2, 2026. 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
- Freshness
- Signal data cutoff Oct 30, 2026 close.
- Next expected action
- Next review Dec 1, 2026 at the open (09:30 New York). Review the published signal before placing any trade.
Published result: Engine drift-until-flip-v1, data version 91788f6c, published 2026-11-02
Is Paired Switching (Glenn) still working in 2026?
Paired Switching (Glenn) returned 1.37% over the trailing 12 months and 36.52% over 36 months through 2026-10-30, compared with a full-backtest annualized return of 9.44%. Its full-backtest maximum drawdown was -62.88%. The full sample contains 26728 daily NAV observations from 1920-06-01. These are model results, not investor account returns or a promise. As of 2026-10-30 it is -3.00% below its high-water mark of 2026-10-06, 24 days ago, and its longest run below a previous high was 6.3 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 1.37% | Not annualized | -6.77% | 252 | 2025-10-30 to 2026-10-30 |
| Trailing 36 months | 36.52% | Not annualized | -12.09% | 754 | 2023-10-30 to 2026-10-30 |
| Full backtest | 1481880.49% | 9.44% | -62.88% | 26728 | 1920-06-01 to 2026-10-30 |
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 2026-10-06, 24 days before 2026-10-30, and it is -3.00% below that level now. The longest run below a previous high in the full backtest was 6.3 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.
Paired Switching (Glenn) at a glance
Paired Switching (Glenn) is a tactical asset allocation (TAA) strategy by Glenn (Quantpedia) across US Equity, Long-Term Treasuries, rebalanced monthly. Backtested 1920-06-01 to 2026-10-30 (106.4 years): 9.4% CAGR, 0.48 Sharpe, -62.9% max drawdown, 14.5% volatility.
- Type
- Tactical (TAA)
- Author
- Glenn (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1920-06-01 to 2026-10-30
- CAGR
- 9.4%
- Sharpe
- 0.48
- Max Drawdown
- -62.9%
- Volatility
- 14.5%
Paired Switching (Glenn) — Tactical Asset Allocation Strategy
Paired Switching is a simple binary rotation strategy attributed to Glenn (Quantpedia). Each month, the strategy compares the 3-month total return of two assets (default: SPY and TLT) and allocates 100% to whichever has performed better. The entire portfolio is always in a single asset, with ties going to SPY. This makes the monthly decision easy to inspect, but there is no cash fallback: even when both returns are negative, the strategy owns the stronger of the two. Long-term bonds can lose alongside stocks during inflation and rising-rate shocks. Momentum can also reverse after a switch, so repeated trades can add costs without preventing a drawdown. Follow the same published rule through the evaluation window rather than switching methods after a losing month.
Paired Switching (Glenn): frequently asked questions
- What is Paired Switching (Glenn)?
- Simple monthly rotation between stocks (SPY) and bonds (TLT). Holds whichever asset has the higher 3-month total return. 100% single-asset allocation at all times. Minimal complexity, maximum conviction. Monthly rebalancing.
- Who created the Paired Switching (Glenn) strategy?
- Paired Switching (Glenn) was developed by Glenn (Quantpedia). It is based on Glenn. Paired Switching. Quantpedia..
- What is the historical return and maximum drawdown of Paired Switching (Glenn)?
- Backtested from 1920-06-01 to 2026-10-30, Paired Switching (Glenn) returned 9.4% CAGR with a -62.9% maximum drawdown and a Sharpe ratio of 0.48. Past performance does not guarantee future results.
- How often is Paired Switching (Glenn) rebalanced?
- Paired Switching (Glenn) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Paired Switching (Glenn) a tactical asset allocation strategy?
- Yes. Paired Switching (Glenn) 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 (1920-06-01 to 2026-10-30)
| Metric | Paired Switching (Glenn) |
|---|---|
| CAGR | 9.4% |
| Max Drawdown | -62.9% |
| Sharpe | 0.48 |
| Sortino | 0.73 |
| Volatility | 14.5% |
| Calmar | 0.15 |
| Total Return | 1481840.7% |
| Backtest Period | 106.4 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
- 1
- Author
- Glenn (Quantpedia)
- Source
- Glenn. Paired Switching. Quantpedia.
Asset Classes
- US Equity
- Long-Term Treasuries
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Paired Switching (Glenn) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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