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 2026-07-03 (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 2026-07-03
- 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 2026-07-03, 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 2026-07-03)
| Metric | Pragmatic Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.3% |
| Maximum Drawdown | -22.5% |
| Sharpe Ratio | 1.16 |
| Sortino Ratio | 1.72 |
| Annualized Volatility | 11.4% |
| Calmar Ratio | 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
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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