TrendYCMacro at a glance
TrendYCMacro is a tactical asset allocation (TAA) strategy by Keller & Keuning / Vojtko across US Equity, Long-Term Treasuries, Intermediate Treasuries, Short-Term Treasuries, rebalanced monthly. Backtested 1992-11-30 to 2026-04-24 (33.3 years): 9.7% CAGR, 0.81 Sharpe, -27.9% max drawdown, 12.4% volatility.
- Type
- Tactical (TAA)
- Author
- Keller & Keuning / Vojtko
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-11-30 to 2026-04-24
- CAGR
- 9.7%
- Sharpe
- 0.81
- Max Drawdown
- -27.9%
- Volatility
- 12.4%
TrendYCMacro — Tactical Asset Allocation Strategy
TrendYCMacro combines two independent signals: equity trend (SPY vs 10-month SMA) and yield curve proxy (IEF 12m return vs SHY 12m return). Both on → 100% offensive; one on → 50/50; neither → 100% defensive.
Backtest Performance (1992-11-30 to 2026-04-24)
| Metric | TrendYCMacro |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.7% |
| Maximum Drawdown | -27.9% |
| Sharpe Ratio | 0.81 |
| Sortino Ratio | 1.03 |
| Annualized Volatility | 12.4% |
| Calmar Ratio | 0.35 |
| Total Return | 2066.6% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Keller & Keuning / Vojtko
- Source
- Keller & Keuning / Vojtko. TrendYCMacro
Asset Classes
- US Equity
- Long-Term Treasuries
- Intermediate Treasuries
- Short-Term Treasuries
Categories
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