Pragmatic Asset Allocation
Score 7 assets by avg(1m, 3m, 6m, 12m returns), select top 3. Equal-weight at 33.3% each. Backtest max drawdown: -21.8%.
Strategy & methodology
Score 7 assets by avg(1m, 3m, 6m, 12m returns), select top 3; Equal-weight at 33.3% each; If any selected has negative momentum → replace with BIL.
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2024-01; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (8)
- VNQ: VGSIX before Sep 29, 2004
- EEM: VEIEX before Apr 14, 2003
- TLT: VUSTX before Jul 26, 2002
- EFA: VGTSX before Aug 17, 2001
- VNQ: FRESX before Sep 29, 2004
- EFA: PRITX before Aug 17, 2001
- EEM: FEMKX before Apr 14, 2003
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Score 7 assets by avg(1m, 3m, 6m, 12m returns), select top 3. Equal-weight at 33.3% each. Backtest max drawdown: -21.8%. 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 5c3bd064, published 2026-10-01
Is Pragmatic Asset Allocation still working in 2026?
Pragmatic Asset Allocation returned 21.16% over the trailing 12 months and 82.32% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 13.16%. Its full-backtest maximum drawdown was -21.83%. The full sample contains 10340 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -1.66% below its high-water mark of 2026-06-02, 4 months ago, and its longest run below a previous high was 2.6 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 21.16% | Not annualized | -12.91% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 82.32% | Not annualized | -12.91% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 15023.54% | 13.16% | -21.83% | 10340 | 1986-02-28 to 2026-10-01 |
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 2026-06-02, 4 months before 2026-10-01, and it is -1.66% below that level now. The longest run below a previous high in the full backtest was 2.6 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.
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 2026-10-01 (40.6 years): 13.2% CAGR, 1.13 Sharpe, -21.8% max drawdown, 11.5% volatility.
- Type
- Tactical (TAA)
- Author
- Radovan Vojtko et al. (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 13.2%
- Sharpe
- 1.13
- Max Drawdown
- -21.8%
- Volatility
- 11.5%
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 2026-10-01, Pragmatic Asset Allocation returned 13.2% CAGR with a -21.8% maximum drawdown and a Sharpe ratio of 1.13. 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 2026-10-01)
| Metric | Pragmatic Asset Allocation |
|---|---|
| CAGR | 13.2% |
| Max Drawdown | -21.8% |
| Sharpe | 1.13 |
| Sortino | 1.95 |
| Volatility | 11.5% |
| Calmar | 0.60 |
| Total Return | 15023.5% |
| Backtest Period | 40.6 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
- 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.
Holding Pragmatic Asset Allocation alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Pragmatic Asset Allocation in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.