Holy Grail Dual Momentum
At each month-end, compute the 3-month total return of the ten funds, of VBMFX and of T-bills. Backtest max drawdown: -18.7%.
Strategy & methodology
At each month-end, compute the 3-month total return of the ten funds, of VBMFX and of T-bills; If VBMFX returned less than T-bills, hold 100% cash, BIL (Toma Hentea's original: 100% TLT); Otherwise hold the four funds with the highest…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2020-01-31; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-23.
Simulated history
Stand-in funds and until when (1)
- VWO: EEM before Mar 10, 2005
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
At each month-end, compute the 3-month total return of the ten funds, of VBMFX and of T-bills. Backtest max drawdown: -18.7%. 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 2043eade, published 2026-10-17
Is Holy Grail Dual Momentum still working in 2026?
Holy Grail Dual Momentum returned -4.81% over the trailing 12 months and 19.86% over 36 months through 2026-10-23, compared with a full-backtest annualized return of 11.65%. Its full-backtest maximum drawdown was -18.71%. The full sample contains 5449 daily NAV observations from 2005-02-28. These are model results, not investor account returns or a promise. As of 2026-10-23 it is -7.63% below its high-water mark of 2025-12-26, 10 months ago, and its longest run below a previous high was 1.5 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | -4.81% | Not annualized | -12.26% | 252 | 2025-10-23 to 2026-10-23 |
| Trailing 36 months | 19.86% | Not annualized | -12.26% | 754 | 2023-10-23 to 2026-10-23 |
| Full backtest | 986.54% | 11.65% | -18.71% | 5449 | 2005-02-28 to 2026-10-23 |
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 2025-12-26, 10 months before 2026-10-23, and it is -7.63% below that level now. The longest run below a previous high in the full backtest was 1.5 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.
Holy Grail Dual Momentum at a glance
Holy Grail Dual Momentum is a tactical asset allocation (TAA) strategy by Toma Hentea (via Martin Schwoerer) across US Equity, International Equity, Emerging Markets, REITs, rebalanced monthly. Backtested 2005-02-28 to 2026-10-23 (21.6 years): 11.7% CAGR, 1.00 Sharpe, -18.7% max drawdown, 11.2% volatility.
- Type
- Tactical (TAA)
- Author
- Toma Hentea (via Martin Schwoerer)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 2005-02-28 to 2026-10-23
- CAGR
- 11.7%
- Sharpe
- 1.00
- Max Drawdown
- -18.7%
- Volatility
- 11.2%
Holy Grail Dual Momentum — Tactical Asset Allocation Strategy
Toma Hentea published this global funds dual momentum strategy on Seeking Alpha in January 2020, and Martin Schwoerer later nicknamed it the Holy Grail. At each month-end the ten funds are ranked by total return over the last three calendar months and the four best are held at 25% each. One fund works as the risk switch: when the Vanguard Total Bond Market fund returns less than 3-month Treasury bills over the same three months, the whole portfolio moves to a safe asset instead. Funds are not filtered one by one, so a top-four fund with a negative return is still held.
It comes in two versions. Holy Grail, the default, is Martin Schwoerer's version, the one the name comes from and the one his readers follow: VWO for emerging markets, and cash (T-bills, BIL) when risk is off, as he has run it since 2023. Holy Grail, Toma Hentea's Original (TLT) keeps the rules as Hentea published them: the Fidelity Emerging Markets fund (FEMKX) in place of VWO, and long-term Treasuries (TLT) when risk is off. The switch, the ranking and the 25% weights are the same.
Holy Grail Dual Momentum: frequently asked questions
- What is Holy Grail Dual Momentum?
- Martin Schwoerer's version of Toma Hentea's dual momentum across ten global funds (US, international, emerging and Chinese stocks, real estate, gold, long Treasuries, corporate bonds). Each month-end it holds the four funds with the best 3-month return, 25% each. When the total bond market fund's 3-month return trails 3-month T-bills, it holds 100% cash (T-bills) instead. A second variant keeps Toma Hentea's original rules, which hold long Treasuries (TLT) when risk is off.
- Who created the Holy Grail Dual Momentum strategy?
- Holy Grail Dual Momentum was developed by Toma Hentea (via Martin Schwoerer). It is based on Toma Hentea, "Retirement Portfolio With Many Sector And Global Funds", Seeking Alpha, 2020 (the original rules); Martin Schwoerer, "What I'm Investing In", ETF Algos for Me and You, 2023 (the default version).
- What is the historical return and maximum drawdown of Holy Grail Dual Momentum?
- Backtested from 2005-02-28 to 2026-10-23, Holy Grail Dual Momentum returned 11.7% CAGR with a -18.7% maximum drawdown and a Sharpe ratio of 1.00. Past performance does not guarantee future results.
- How often is Holy Grail Dual Momentum rebalanced?
- Holy Grail Dual Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Holy Grail Dual Momentum a tactical asset allocation strategy?
- Yes. Holy Grail Dual Momentum 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 (2005-02-28 to 2026-10-23)
| Metric | Holy Grail Dual Momentum |
|---|---|
| CAGR | 11.7% |
| Max Drawdown | -18.7% |
| Sharpe | 1.00 |
| Sortino | 1.93 |
| Volatility | 11.2% |
| Calmar | 0.62 |
| Total Return | 985.8% |
| Backtest Period | 21.6 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
- 2
- Author
- Toma Hentea (via Martin Schwoerer)
- Source
- Toma Hentea, "Retirement Portfolio With Many Sector And Global Funds", Seeking Alpha, 2020 (the original rules); Martin Schwoerer, "What I'm Investing In", ETF Algos for Me and You, 2023 (the default version)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- REITs
- Gold
- Long-Term Treasuries
- Corporate Bonds
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Holy Grail Dual Momentum alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
Track Holy Grail Dual Momentum in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.