UIS (Universal Investment Strategy)
TacticalPromoderateBased on research by Frank Grossmann · Frank Grossmann (2014). Modified Sharpe ratio optimization for SPY/TLT allocation.
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2014About this Strategy
Dynamically optimizes the stocks/bonds split by maximizing a modified Sharpe ratio (Return / Vol^2.5) over a 72-day lookback.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Compute daily returns for SPY and TLT over the last 72 trading days
- 2Test all SPY/TLT splits from 0%/100% to 100%/0% in 5% increments
- 3For each split, calculate blended return and volatility over the lookback window
- 4Score each split using modified Sharpe = Return / Volatility^2.5
- 5Select the split with the highest modified Sharpe ratio
Key Differentiators
Research Source
Based on research by Frank Grossmann
Frank Grossmann (2014). Modified Sharpe ratio optimization for SPY/TLT allocation.
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 1
- Risk Category
- moderate
- Tags
- momentum
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 2 assets (SPY + TLT)
- Lookback Window
- 72 trading days
- Optimization
- Modified Sharpe ratio (Return / Vol^2.5)
- Allocation Granularity
- 5% steps (0% to 100%)
- Data Source
- Institutional-grade market data (6 months minimum history)
Asset Classes
UIS (Universal Investment Strategy) at a glance
UIS (Universal Investment Strategy) is a tactical asset allocation (TAA) strategy by Frank Grossmann across US Equity, Long-Term Treasuries, rebalanced monthly. Backtested 1920-08-31 to 2026-05-20 (105.7 years): 6.8% CAGR, 0.88 Sharpe, -34.6% max drawdown, 7.7% volatility.
- Type
- Tactical (TAA)
- Author
- Frank Grossmann
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1920-08-31 to 2026-05-20
- CAGR
- 6.8%
- Sharpe
- 0.88
- Max Drawdown
- -34.6%
- Volatility
- 7.7%
UIS (Universal Investment Strategy) — Tactical Asset Allocation Strategy
The Universal Investment Strategy (UIS), originally proposed by Frank Grossmann, dynamically optimizes the allocation between SPY (US equities) and TLT (long-term treasuries) by maximizing a modified Sharpe ratio over a 72-day lookback window.
The modified Sharpe ratio uses Return / Volatility^2.5 instead of the standard Return / Volatility, which penalizes volatility more aggressively and produces smoother allocations. The strategy tests all allocation splits from 0% to 100% in 5% increments (21 combinations) and selects the split with the highest modified Sharpe ratio.
Backtest Performance (1920-08-31 to 2026-05-20)
| Metric | UIS (Universal Investment Strategy) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 6.8% |
| Maximum Drawdown | -34.6% |
| Sharpe Ratio | 0.88 |
| Sortino Ratio | 0.91 |
| Annualized Volatility | 7.7% |
| Calmar Ratio | 0.20 |
| Total Return | 104446.9% |
| Backtest Period | 105.7 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Frank Grossmann
- Source
- Frank Grossmann (2014). Modified Sharpe ratio optimization for SPY/TLT allocation.
Asset Classes
- US Equity
- Long-Term Treasuries
Categories
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