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 1991-11-29 to 2026-04-24 (34.5 years): 13.4% CAGR, 1.11 Sharpe, -20.1% max drawdown, 12.0% volatility.
- Type
- Tactical (TAA)
- Author
- Radovan Vojtko et al. (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1991-11-29 to 2026-04-24
- CAGR
- 13.4%
- Sharpe
- 1.11
- Max Drawdown
- -20.1%
- Volatility
- 12.0%
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).
Backtest Performance (1991-11-29 to 2026-04-24)
| Metric | Pragmatic Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.4% |
| Maximum Drawdown | -20.1% |
| Sharpe Ratio | 1.11 |
| Sortino Ratio | 1.44 |
| Annualized Volatility | 12.0% |
| Calmar Ratio | 0.67 |
| Total Return | 7600.9% |
| Backtest Period | 34.5 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
Categories
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