SPY-COMP at a glance
SPY-COMP is a tactical asset allocation (TAA) strategy by Paul Novell (Investing for a Living) across US Equity, Intermediate Treasuries, rebalanced monthly. Backtested 1992-11-30 to 2026-04-24 (33.3 years): 11.4% CAGR, 0.88 Sharpe, -24.2% max drawdown, 13.2% volatility.
- Type
- Tactical (TAA)
- Author
- Paul Novell (Investing for a Living)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-11-30 to 2026-04-24
- CAGR
- 11.4%
- Sharpe
- 0.88
- Max Drawdown
- -24.2%
- Volatility
- 13.2%
SPY-COMP — Tactical Asset Allocation Strategy
SPY-COMP by Paul Novell computes a composite momentum score for SPY (average of 1/3/6/12-month returns) combined with a 10-month SMA filter. Three regimes: score positive + above SMA → 100% SPY; score positive + below SMA → 50/50 SPY/IEF; score negative → 100% IEF.
Backtest Performance (1992-11-30 to 2026-04-24)
| Metric | SPY-COMP |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.4% |
| Maximum Drawdown | -24.2% |
| Sharpe Ratio | 0.88 |
| Sortino Ratio | 1.14 |
| Annualized Volatility | 13.2% |
| Calmar Ratio | 0.47 |
| Total Return | 3536.6% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Paul Novell (Investing for a Living)
Asset Classes
- US Equity
- Intermediate Treasuries
Categories
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