Paired Switching (Glenn)
Paired Switching (Glenn) is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-08-01. BestFolio supplies the public rule or approach, current signal and allocation, and interactive backtest views on this page. The recorded 2011-08-22 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-08-01
- History boundary
- The recorded 2011-08-22 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Calculate 3-month total return for SPY and TLT 2. If SPY return >= TLT return → 100% SPY (ties go to SPY) 3. If TLT return > SPY return → 100% TLT
- BestFolio supplies
- the public rule or approach, current signal and allocation, and interactive backtest views on this page
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- 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
- Freshness
- The latest available backtest ends 2026-08-01. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of September; scheduled 2026-09-01 at 09:30 ET. Review the published signal before placing any trade.
Based 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
Asset Universe
2 instruments this strategy can hold
Key Differentiators
Research Source
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Sep 109:30 ET (30d)
- Variants
- 1
- Risk Category
- moderate
- Regime
- Risk-On
- Signal Date
- 2026-07-31
- 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 2026-08-01 (106.0 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 2026-08-01
- 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.
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 1920-06-30 to 2026-08-01, Paired Switching (Glenn) returned 9.1% CAGR with a -62.9% maximum drawdown and a Sharpe ratio of 0.70. 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 (1920-06-30 to 2026-08-01)
| Metric | Paired Switching (Glenn) |
|---|---|
| CAGR | 9.1% |
| Max Drawdown | -62.9% |
| Sharpe | 0.70 |
| Sortino | 0.87 |
| Volatility | 9.7% |
| Calmar | 0.14 |
| Total Return | 1024228.5% |
| Backtest Period | 106.0 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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