Split-Lookback Momentum Pair at a glance
Split-Lookback Momentum Pair is a tactical asset allocation (TAA) strategy by BestFolio Research across US Equity, International Developed, International Small Cap, Gold, rebalanced monthly. Backtested 1992-11-30 to 2026-05-20 (33.5 years): 11.2% CAGR, 0.78 Sharpe, -28.6% max drawdown, 15.0% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-11-30 to 2026-05-20
- CAGR
- 11.2%
- Sharpe
- 0.78
- Max Drawdown
- -28.6%
- Volatility
- 15.0%
Split-Lookback Momentum Pair — Tactical Asset Allocation Strategy
Split-lookback momentum pair: two independent 50% sub-portfolios using different momentum lookbacks. The long-lookback sleeve picks the single best asset by 12-month return; the short-lookback sleeve picks the single best by an averaged 1/3/6-month return. Both apply an absolute-momentum filter vs BIL, shifting to cash when the selected asset underperforms the cash benchmark.
Backtest Performance (1992-11-30 to 2026-05-20)
| Metric | Split-Lookback Momentum Pair |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.2% |
| Maximum Drawdown | -28.6% |
| Sharpe Ratio | 0.78 |
| Sortino Ratio | 1.00 |
| Annualized Volatility | 15.0% |
| Calmar Ratio | 0.39 |
| Total Return | 3375.4% |
| Backtest Period | 33.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- BestFolio Research
Asset Classes
- US Equity
- International Developed
- International Small Cap
- Gold
- TIPS
- Long Treasuries
- Cash
Categories
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