Paired Switching (Glenn)
TacticalFreemoderateRobustness 0.92Based on research by Glenn (Quantpedia) · Glenn. Paired Switching. Quantpedia.
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched Aug 22, 2011About 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. The logic is that stocks and long-term bonds tend to be negatively correlated, so switching between them based on recent momentum captures the dominant macro trend.
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
Key Differentiators
Research Source
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jul 109:30 ET (13d)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Aggressive
- Signal Date
- 2026-06-30
- 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
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 1920-06-30 to 2026-06-18 (105.9 years): 9.1% CAGR, 0.70 Sharpe, -62.9% max drawdown, 9.7% volatility.
- Type
- Tactical (TAA)
- Author
- Glenn (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1920-06-30 to 2026-06-18
- CAGR
- 9.1%
- Sharpe
- 0.70
- Max Drawdown
- -62.9%
- Volatility
- 9.7%
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. The logic is that stocks and long-term bonds tend to be negatively correlated, so switching between them based on recent momentum captures the dominant macro trend.
Backtest Performance (1920-06-30 to 2026-06-18)
| Metric | Paired Switching (Glenn) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.1% |
| Maximum Drawdown | -62.9% |
| Sharpe Ratio | 0.70 |
| Sortino Ratio | 0.87 |
| Annualized Volatility | 9.7% |
| Calmar Ratio | 0.15 |
| Total Return | 1037146.7% |
| Backtest Period | 105.9 years |
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
Track Paired Switching (Glenn) 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
- Dual Momentum's 2022 Problem: Why Canary Models Worked When GEM Didn't2022 was the cleanest A/B test the tactical asset allocation community is ever going to get. Classic dual momentum strategies (GEM, ADM, CDM) lost between 10 and 24 percent. Three Keller canary-family strategies (BAA-G4, BAA-G12, HAA) closed the year with positive returns. Same tactical framework, completely different design choices, and a lesson about which defensive asset actually defends when the "safe haven" bond is the thing falling.
- Strategy Spotlight: Paired Switching — A Simple Momentum Strategy That Has Beaten the Market for 40 YearsPaired Switching is a relative momentum strategy that rotates between just two assets — typically stocks (SPY) and long-term bonds (TLT) — based on recent performance. With a remarkable 10.7% CAGR over nearly 40 years of backtesting, this ETF rotation strategy proves that tactical asset allocation does not need to be complicated to be effective.