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 2026-07-03 (40.3 years): 12.0% CAGR, 0.89 Sharpe, -28.6% max drawdown, 13.9% volatility.
- Type
- Tactical (TAA)
- Author
- BestFolio Research
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-07-03
- CAGR
- 12.0%
- Sharpe
- 0.89
- Max Drawdown
- -28.6%
- Volatility
- 13.9%
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 2026-07-03, Split-Lookback Momentum Pair returned 12.0% CAGR with a -28.6% maximum drawdown and a Sharpe ratio of 0.89. 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 2026-07-03)
| Metric | Split-Lookback Momentum Pair |
|---|---|
| Compound Annual Growth Rate (CAGR) | 12.0% |
| Maximum Drawdown | -28.6% |
| Sharpe Ratio | 0.89 |
| Sortino Ratio | 1.38 |
| Annualized Volatility | 13.9% |
| Calmar Ratio | 0.42 |
| Total Return | 9486.8% |
| Backtest Period | 40.3 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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