Holy Grail Dual Momentum (Schwoerer) at a glance
Holy Grail Dual Momentum (Schwoerer) is a tactical asset allocation (TAA) strategy by Toma Hentea (via Martin Schwoerer) across US Equity, International Equity, REITs, Gold, rebalanced monthly. Backtested 1990-10-31 to 2026-04-24 (35.6 years): 9.6% CAGR, 0.65 Sharpe, -33.5% max drawdown, 16.1% volatility.
- Type
- Tactical (TAA)
- Author
- Toma Hentea (via Martin Schwoerer)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1990-10-31 to 2026-04-24
- CAGR
- 9.6%
- Sharpe
- 0.65
- Max Drawdown
- -33.5%
- Volatility
- 16.1%
Holy Grail Dual Momentum (Schwoerer) — Tactical Asset Allocation Strategy
The Holy Grail Dual Momentum strategy by Toma Hentea is a classic dual momentum implementation. Each month, the asset with the highest 12-month return from a diversified universe is selected, provided it has positive absolute momentum. If nothing qualifies, the portfolio goes to SHV.
Backtest Performance (1990-10-31 to 2026-04-24)
| Metric | Holy Grail Dual Momentum (Schwoerer) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.6% |
| Maximum Drawdown | -33.5% |
| Sharpe Ratio | 0.65 |
| Sortino Ratio | 0.82 |
| Annualized Volatility | 16.1% |
| Calmar Ratio | 0.29 |
| Total Return | 2549.2% |
| Backtest Period | 35.6 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Toma Hentea (via Martin Schwoerer)
Asset Classes
- US Equity
- International Equity
- REITs
- Gold
- US Bonds
- International Bonds
- Short-Term Treasuries
Categories
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