Return Stacked Quartet at a glance
Return Stacked Quartet is a fixed-allocation portfolio by BestFolio Research, rebalanced annual. Backtested 1987-12-31 to 2026-06-13 (38.4 years): 15.9% CAGR, 1.24 Sharpe, -30.4% max drawdown, 13.5% volatility.
- Type
- Fixed Allocation
- Author
- BestFolio Research
- Rebalancing
- Annual
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-06-13
- CAGR
- 15.9%
- Sharpe
- 1.24
- Max Drawdown
- -30.4%
- Volatility
- 13.5%
Return Stacked Quartet — Fixed Allocation Portfolio
Capital-efficient four-way blend that stacks equity, bonds, gold, and managed futures into a single annual-rebalance allocation. Each leg is a return-stacked ETF (NTSX, GDE, RSST) or a long-duration Treasury sleeve (ZROZ), giving roughly 1.4x effective exposure with broad diversification across return regimes. Weights (20/20/30/30) selected to maximize Sharpe over a 1986-2026 backtest sweep using synthetic pre-inception history for the stacked ETFs.
Backtest Performance (1987-12-31 to 2026-06-13)
| Metric | Return Stacked Quartet |
|---|---|
| Compound Annual Growth Rate (CAGR) | 15.9% |
| Maximum Drawdown | -30.4% |
| Sharpe Ratio | 1.24 |
| Sortino Ratio | 2.02 |
| Annualized Volatility | 13.5% |
| Calmar Ratio | 0.52 |
| Total Return | 28976.8% |
| Backtest Period | 38.4 years |
Strategy Details
- Type
- Fixed / Strategic
- Rebalancing
- annual
- Risk Level
- moderate
- Variants
- 1
- Author
- BestFolio Research
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