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 2026-07-03 (105.8 years): 6.8% CAGR, 0.69 Sharpe, -34.6% max drawdown, 7.7% volatility.
- Type
- Tactical (TAA)
- Author
- Frank Grossmann
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1920-08-31 to 2026-07-03
- CAGR
- 6.8%
- Sharpe
- 0.69
- 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.
UIS (Universal Investment Strategy): frequently asked questions
- What is Universal Investment 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.
- Who created the UIS (Universal Investment Strategy) strategy?
- UIS (Universal Investment Strategy) was developed by Frank Grossmann. It is based on Frank Grossmann (2014). Modified Sharpe ratio optimization for SPY/TLT allocation..
- What is the historical return and maximum drawdown of UIS (Universal Investment Strategy)?
- Backtested from 1920-08-31 to 2026-07-03, UIS (Universal Investment Strategy) returned 6.8% CAGR with a -34.6% maximum drawdown and a Sharpe ratio of 0.69. Past performance does not guarantee future results.
- How often is UIS (Universal Investment Strategy) rebalanced?
- UIS (Universal Investment Strategy) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is UIS (Universal Investment Strategy) a tactical asset allocation strategy?
- Yes. UIS (Universal Investment Strategy) 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 (1920-08-31 to 2026-07-03)
| Metric | UIS (Universal Investment Strategy) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 6.8% |
| Maximum Drawdown | -34.6% |
| Sharpe Ratio | 0.69 |
| Sortino Ratio | 0.86 |
| Annualized Volatility | 7.7% |
| Calmar Ratio | 0.20 |
| Total Return | 105488.4% |
| Backtest Period | 105.8 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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