What is Pragmatic Asset Allocation?

Ranks 7 diversified ETFs by composite momentum (average of 1/3/6/12-month returns). Top 3 with positive momentum are held equal-weighted; negative-momentum slots rotate to cash. Straightforward multi-asset momentum. Monthly rebalancing.

Who created the Pragmatic Asset Allocation strategy?

Pragmatic Asset Allocation was developed by Radovan Vojtko et al. (Quantpedia). It is based on Vojtko, R. Pragmatic Asset Allocation. Quantpedia.

What is the historical return and maximum drawdown of Pragmatic Asset Allocation?

Backtested from 1986-02-28 to 2026-07-23, Pragmatic Asset Allocation returned 13.3% CAGR with a -22.5% maximum drawdown and a Sharpe ratio of 1.16. Past performance does not guarantee future results.

How often is Pragmatic Asset Allocation rebalanced?

Pragmatic Asset Allocation is rebalanced monthly. BestFolio publishes the updated allocation signal each period.

Is Pragmatic Asset Allocation a tactical asset allocation strategy?

Yes. Pragmatic Asset Allocation is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

Pragmatic Asset Allocation

Name: Pragmatic Asset Allocation, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Pragmatic Asset Allocation is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-07-23. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2024-01 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: 2026-07-23
History boundary: The recorded 2024-01 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
Rule / approach: 1. Score 7 assets by avg(1m, 3m, 6m, 12m returns), select top 3 2. Equal-weight at 33.3% each 3. If any selected has negative momentum → replace with BIL
BestFolio supplies: the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
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 2026-07-23. A run timestamp is not exposed here, so no stronger freshness claim is made.
Next expected action: First trading day of August; scheduled 2026-08-03 at 09:30 ET. Review the published signal before placing any trade.

Pragmatic Asset Allocation at a glance

Pragmatic Asset Allocation is a tactical asset allocation (TAA) strategy by Radovan Vojtko et al. (Quantpedia) across US Equity, International Equity, Emerging Markets, REITs, rebalanced monthly. Backtested 1986-02-28 to 2026-07-23 (40.3 years): 13.3% CAGR, 1.16 Sharpe, -22.5% max drawdown, 11.4% volatility.

Type: Tactical (TAA)
Author: Radovan Vojtko et al. (Quantpedia)
Rebalancing: Monthly
Risk: Moderate
Period: 1986-02-28 to 2026-07-23
CAGR: 13.3%
Sharpe: 1.16
Max Drawdown: -22.5%
Volatility: 11.4%

Pragmatic Asset Allocation — Tactical Asset Allocation Strategy

Pragmatic Asset Allocation by Radovan Vojtko of Quantpedia. Ranks 7 assets by composite momentum (avg 1/3/6/12-month returns), selects top 3 at equal weight, applies absolute momentum filter (negative momentum → BIL).

Pragmatic Asset Allocation: frequently asked questions

What is Pragmatic Asset Allocation?: Ranks 7 diversified ETFs by composite momentum (average of 1/3/6/12-month returns). Top 3 with positive momentum are held equal-weighted; negative-momentum slots rotate to cash. Straightforward multi-asset momentum. Monthly rebalancing.
Who created the Pragmatic Asset Allocation strategy?: Pragmatic Asset Allocation was developed by Radovan Vojtko et al. (Quantpedia). It is based on Vojtko, R. Pragmatic Asset Allocation. Quantpedia.
What is the historical return and maximum drawdown of Pragmatic Asset Allocation?: Backtested from 1986-02-28 to 2026-07-23, Pragmatic Asset Allocation returned 13.3% CAGR with a -22.5% maximum drawdown and a Sharpe ratio of 1.16. Past performance does not guarantee future results.
How often is Pragmatic Asset Allocation rebalanced?: Pragmatic Asset Allocation is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is Pragmatic Asset Allocation a tactical asset allocation strategy?: Yes. Pragmatic Asset Allocation 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 (1986-02-28 to 2026-07-23)

Metric	Pragmatic Asset Allocation
CAGR	13.3%
Max Drawdown	-22.5%
Sharpe	1.16
Sortino	1.72
Volatility	11.4%
Calmar	0.59
Total Return	15299.1%
Backtest Period	40.3 years

Strategy Details

Type: Tactical (TAA)
Rebalancing: monthly
Risk Level: moderate
Variants: 1
Author: Radovan Vojtko et al. (Quantpedia)
Source: Vojtko, R. Pragmatic Asset Allocation. Quantpedia

Asset Classes

US Equity
International Equity
Emerging Markets
REITs
Gold
Commodities
Long Treasuries
Cash

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