Piard Annual Seasonality
November to April: 25% Singapore (EWS) and 25% Brazil (EWZ). October to December, and March to April: 50% Germany (EWG). Backtest max drawdown: -38.8%.
Strategy & methodology
November to April: 25% Singapore (EWS) and 25% Brazil (EWZ); October to December, and March to April: 50% Germany (EWG); Anything not invested sits in Treasury bills (BIL); Set at each month-end close for the following month, traded the…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2013-08-26; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-14.
Research data and disclosures
November to April: 25% Singapore (EWS) and 25% Brazil (EWZ). October to December, and March to April: 50% Germany (EWG). Backtest max drawdown: -38.8%. 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 d0399190, published 2026-10-10
Is Piard Annual Seasonality still working in 2026?
Piard Annual Seasonality returned 8.53% over the trailing 12 months and 35.51% over 36 months through 2026-10-14, compared with a full-backtest annualized return of 11.33%. Its full-backtest maximum drawdown was -38.83%. The full sample contains 7990 daily NAV observations from 1995-02-28. These are model results, not investor account returns or a promise. As of 2026-10-14 it is -1.53% below its high-water mark of 2026-02-20, 8 months ago, and its longest run below a previous high was 2.2 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 8.53% | Not annualized | -11.42% | 252 | 2025-10-14 to 2026-10-14 |
| Trailing 36 months | 35.51% | Not annualized | -14.44% | 753 | 2023-10-13 to 2026-10-14 |
| Full backtest | 2875.60% | 11.33% | -38.83% | 7990 | 1995-02-28 to 2026-10-14 |
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 2026-02-20, 8 months before 2026-10-14, and it is -1.53% below that level now. The longest run below a previous high in the full backtest was 2.2 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.
Piard Annual Seasonality at a glance
Piard Annual Seasonality is a tactical asset allocation (TAA) strategy by Fred Piard across International Equity, Emerging Markets, Cash, rebalanced monthly. Backtested 1995-02-28 to 2026-10-14 (31.6 years): 11.3% CAGR, 0.83 Sharpe, -38.8% max drawdown, 15.8% volatility.
- Type
- Tactical (TAA)
- Author
- Fred Piard
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1995-02-28 to 2026-10-14
- CAGR
- 11.3%
- Sharpe
- 0.83
- Max Drawdown
- -38.8%
- Volatility
- 15.8%
Piard Annual Seasonality — Tactical Asset Allocation Strategy
Piard Annual Seasonality is a calendar, not a signal. Fred Piard described it in Quantitative Investing (Harriman House, 2013) as two seasonal habits of country stock markets that the old "sell in May" saying points at. Half the portfolio holds Singapore and Brazil stocks, in equal parts, from November to April. The other half holds German stocks from October to December and again in March and April. Whatever is not invested sits in Treasury bills. So it is fully invested in March, April, November and December, half invested in January, February and October, and entirely in cash from May to September: about 46% invested over a year. The book also allows long Treasuries for the idle money; this version keeps it in bills.
On BestFolio's engine, net of 10 bps a trade, it returned 11.3% a year from February 1995 to October 2026 with 14.1% volatility and a -38.8% worst fall (February to March 2020), against 11.1%, 15.0% and -55.2% for the S&P 500 over the same months. Its monthly returns correlate about 0.54 with the S&P 500, and it held up in the years the S&P 500 fell: +15% in 2001, +12% in 2002, -3% in 2008 and +9% in 2022.
Piard Annual Seasonality: frequently asked questions
- What is Piard Annual Seasonality?
- Fred Piard's seasonal calendar for country stock funds. Half the portfolio is in Singapore and Brazil stocks from November to April, the other half in German stocks from October to December and in March and April. Anything not invested sits in Treasury bills, so the portfolio is fully in cash from May to September.
- Who created the Piard Annual Seasonality strategy?
- Piard Annual Seasonality was developed by Fred Piard. It is based on Fred Piard, Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors (Harriman House, 2013).
- What is the historical return and maximum drawdown of Piard Annual Seasonality?
- Backtested from 1995-02-28 to 2026-10-14, Piard Annual Seasonality returned 11.3% CAGR with a -38.8% maximum drawdown and a Sharpe ratio of 0.83. Past performance does not guarantee future results.
- How often is Piard Annual Seasonality rebalanced?
- Piard Annual Seasonality is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Piard Annual Seasonality a tactical asset allocation strategy?
- Yes. Piard Annual Seasonality 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 (1995-02-28 to 2026-10-14)
| Metric | Piard Annual Seasonality |
|---|---|
| CAGR | 11.3% |
| Max Drawdown | -38.8% |
| Sharpe | 0.83 |
| Sortino | 1.56 |
| Volatility | 15.8% |
| Calmar | 0.29 |
| Total Return | 2876.2% |
| Backtest Period | 31.6 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
- Fred Piard
- Source
- Fred Piard, Quantitative Investing: Strategies to Exploit Stock Market Anomalies for All Investors (Harriman House, 2013)
Asset Classes
- International Equity
- Emerging Markets
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Piard Annual Seasonality alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Piard Annual Seasonality in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.