Split-Lookback Momentum Pair
Long-lookback 50%: top 1 by 12-month return (must beat BIL). Backtest max drawdown: -28.8%.
Strategy & methodology
Long-lookback 50%: top 1 by 12-month return (must beat BIL); Short-lookback 50%: top 1 by avg 1/3/6-month returns (must beat BIL); Either sub-portfolio shifts to cash if selected asset fails absolute momentum.
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2024; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-02.
Simulated history
Stand-in funds and until when (7)
- SCZ: EFA x1.1 before Dec 12, 2007
- TIP: VIPSX before Dec 5, 2003
- TLT: VUSTX before Jul 26, 2002
- EFA: VGTSX before Aug 17, 2001
- TIP: PRTNX before Dec 5, 2003
- EFA: PRITX before Aug 17, 2001
- SPY: VFINX before Jan 29, 1993
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
Long-lookback 50%: top 1 by 12-month return (must beat BIL). Backtest max drawdown: -28.8%. 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 d562089f, published 2026-10-01
Is Split-Lookback Momentum Pair still working in 2026?
Split-Lookback Momentum Pair returned 12.16% over the trailing 12 months and 99.23% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 11.91%. Its full-backtest maximum drawdown was -28.78%. The full sample contains 10341 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -19.76% below its high-water mark of 2026-01-29, 8 months ago, and its longest run below a previous high was 5.5 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 12.16% | Not annualized | -21.25% | 252 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 99.23% | Not annualized | -21.25% | 754 | 2023-10-02 to 2026-10-02 |
| Full backtest | 9546.04% | 11.91% | -28.78% | 10341 | 1986-02-28 to 2026-10-02 |
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 2026-01-29, 8 months before 2026-10-02, and it is -19.76% below that level now. The longest run below a previous high in the full backtest was 5.5 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.
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 1986-02-28 to 2026-10-02 (40.6 years): 11.9% CAGR, 0.87 Sharpe, -28.8% max drawdown, 14.0% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-02
- CAGR
- 11.9%
- Sharpe
- 0.87
- Max Drawdown
- -28.8%
- Volatility
- 14.0%
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.
Split-Lookback Momentum Pair: frequently asked questions
- What is Split-Lookback Momentum Pair?
- Two independent 50% sub-portfolios using different momentum lookbacks: one based on 12-month momentum, one on short-term (1/3/6-month average). Each picks a single winner from 6 assets spanning equities, gold, TIPS, and cash. Monthly rebalance.
- Who created the Split-Lookback Momentum Pair strategy?
- Split-Lookback Momentum Pair was developed by BestFolio Research.
- What is the historical return and maximum drawdown of Split-Lookback Momentum Pair?
- Backtested from 1986-02-28 to 2026-10-02, Split-Lookback Momentum Pair returned 11.9% CAGR with a -28.8% maximum drawdown and a Sharpe ratio of 0.87. Past performance does not guarantee future results.
- How often is Split-Lookback Momentum Pair rebalanced?
- Split-Lookback Momentum Pair is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Split-Lookback Momentum Pair a tactical asset allocation strategy?
- Yes. Split-Lookback Momentum Pair 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 (1986-02-28 to 2026-10-02)
| Metric | Split-Lookback Momentum Pair |
|---|---|
| CAGR | 11.9% |
| Max Drawdown | -28.8% |
| Sharpe | 0.87 |
| Sortino | 1.48 |
| Volatility | 14.0% |
| Calmar | 0.41 |
| Total Return | 9458.2% |
| Backtest Period | 40.6 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
- 1
- Author
- BestFolio Research
Asset Classes
- US Equity
- International Developed
- International Small Cap
- Gold
- TIPS
- Long Treasuries
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Split-Lookback Momentum Pair alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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