UIS (Universal Investment Strategy) — Tactical Asset Allocation Strategy
Dynamically optimizes the stocks/bonds split by maximizing a modified Sharpe ratio (Return / Vol^2.5) over a 72-day lookback. Tests every 5% allocation increment between SPY and TLT to find the optimal mix. Monthly rebalancing.
Backtest Performance (1986-11-28 to 2026-04-07)
| Metric | UIS (Universal Investment Strategy) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.4% |
| Maximum Drawdown | -33.3% |
| Sharpe Ratio | 0.92 |
| Sortino Ratio | 1.11 |
| Annualized Volatility | 11.5% |
| Calmar Ratio | 0.31 |
| Total Return | 4883.2% |
| Backtest Period | 39.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Logical Invest
Categories
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