RP3 Trend-Tilted Core
Weight SPY / TLT / GLD by inverse trailing volatility (risk parity). Scale each asset's own trend signal to [-1, +1]. Backtest max drawdown: -12.4%.
Strategy & methodology
Weight SPY / TLT / GLD by inverse trailing volatility (risk parity); Scale each asset's own trend signal to [-1, +1]; Tilt each by weight × (0.5 + 0.5 × trend): uptrend full, neutral half, downtrend zero; Park the de-tilted remainder in…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2026-06; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-09-25.
Research data and disclosures
Weight SPY / TLT / GLD by inverse trailing volatility (risk parity). Scale each asset's own trend signal to [-1, +1]. Backtest max drawdown: -12.4%. 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 daily-reset-v1, data version f78c8099, published 2026-09-25
Is RP3 Trend-Tilted Core still working in 2026?
RP3 Trend-Tilted Core returned 9.13% over the trailing 12 months and 56.29% over 36 months through 2026-09-25, compared with a full-backtest annualized return of 8.33%. Its full-backtest maximum drawdown was -12.39%. The full sample contains 13701 daily NAV observations from 1973-03-30. These are model results, not investor account returns or a promise. As of 2026-09-25 it is -2.09% below its high-water mark of 2026-08-25, 31 days ago, and its longest run below a previous high was 2.0 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 9.13% | Not annualized | -6.23% | 252 | 2025-09-25 to 2026-09-25 |
| Trailing 36 months | 56.29% | Not annualized | -6.23% | 754 | 2023-09-25 to 2026-09-25 |
| Full backtest | 7114.66% | 8.33% | -12.39% | 13701 | 1973-03-30 to 2026-09-25 |
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 2026-08-25, 31 days before 2026-09-25, and it is -2.09% below that level now. The longest run below a previous high in the full backtest was 2.0 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.
RP3 Trend-Tilted Core at a glance
RP3 Trend-Tilted Core is a tactical asset allocation (TAA) strategy by Beyond Passive (adapted) across US Equity, Long Treasuries, Gold, Cash, rebalanced monthly. Backtested 1973-03-30 to 2026-09-25 (53.5 years): 8.3% CAGR, 1.17 Sharpe, -12.4% max drawdown, 5.1% volatility.
- Type
- Tactical (TAA)
- Author
- Beyond Passive (adapted)
- Rebalancing
- Monthly
- Risk
- Conservative
- Period
- 1973-03-30 to 2026-09-25
- CAGR
- 8.3%
- Sharpe
- 1.17
- Max Drawdown
- -12.4%
- Volatility
- 5.1%
RP3 Trend-Tilted Core — Tactical Asset Allocation Strategy
RP3 Trend-Tilted Core keeps a three-asset inverse-volatility risk-parity core (US equity SPY, long Treasuries TLT, gold GLD) and tilts each asset independently by its own trend: an uptrend holds the full risk-parity weight, a neutral trend holds half, and a downtrend drops to cash. It is a long-only, retail substitute for a futures trend-following program, because tilting each asset independently sidesteps the asset-specific drawdowns (such as a decade-long bond bear) that a single market-wide on/off gate misses.
What drives the edge: over proxy history to 1972, the per-asset tilt lifts the core from Sharpe ~0.95 / -37% max drawdown to Sharpe ~1.5 / about -12%, and the result is robust to the exact trend signal used (it is not an over-fit to one definition). Honest caveat: that edge is concentrated in trending, divergent regimes (the 1970s-80s stagflation and bond bear); in the calm modern ETF era the tilt does not beat a static vol-targeted core on Sharpe and instead trades return for shallower drawdowns. Hold it as long-history all-weather / regime insurance, not a modern-era return booster.
RP3 Trend-Tilted Core: frequently asked questions
- What is RP3 Trend-Tilted Core?
- Three-asset inverse-vol risk-parity core (SPY / TLT / GLD), each asset independently tilted by its own trend: uptrend full weight, neutral half, downtrend to cash. A long-only retail substitute for a futures trend program. Built as long-history all-weather / regime insurance: the per-asset tilt roughly thirds the drawdown versus a static core over 1972+, with the edge concentrated in trending, divergent regimes rather than the calm modern era. Monthly rebalance.
- Who created the RP3 Trend-Tilted Core strategy?
- RP3 Trend-Tilted Core was developed by Beyond Passive (adapted). It is based on Beyond Passive, Trend Following (4/4): the poor man's trend program (2026)..
- What is the historical return and maximum drawdown of RP3 Trend-Tilted Core?
- Backtested from 1973-03-30 to 2026-09-25, RP3 Trend-Tilted Core returned 8.3% CAGR with a -12.4% maximum drawdown and a Sharpe ratio of 1.17. Past performance does not guarantee future results.
- How often is RP3 Trend-Tilted Core rebalanced?
- RP3 Trend-Tilted Core is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is RP3 Trend-Tilted Core a tactical asset allocation strategy?
- Yes. RP3 Trend-Tilted Core 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 (1973-03-30 to 2026-09-25)
| Metric | RP3 Trend-Tilted Core |
|---|---|
| CAGR | 8.3% |
| Max Drawdown | -12.4% |
| Sharpe | 1.17 |
| Sortino | 2.41 |
| Volatility | 5.1% |
| Calmar | 0.67 |
| Total Return | 7120.8% |
| Backtest Period | 53.5 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
- conservative
- Variants
- 2
- Author
- Beyond Passive (adapted)
- Source
- Beyond Passive, Trend Following (4/4): the poor man's trend program (2026).
Asset Classes
- US Equity
- Long Treasuries
- Gold
- Cash
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding RP3 Trend-Tilted Core alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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