UIS (Universal Investment Strategy)
Compute daily returns for SPY and TLT over the last 72 trading days. Backtest max drawdown: -34.5%.
Strategy & methodology
Compute daily returns for SPY and TLT over the last 72 trading days; Test all SPY/TLT splits from 0%/100% to 100%/0% in 5% increments; For each split, calculate blended return and volatility over the lookback window; Score each split…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2014; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-02.
Simulated history
Stand-in funds and until when (2)
- TLT: VUSTX before Jul 26, 2002
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Compute daily returns for SPY and TLT over the last 72 trading days. Backtest max drawdown: -34.5%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version e65f3f2b, published 2026-10-01
Is UIS (Universal Investment Strategy) still working in 2026?
UIS (Universal Investment Strategy) returned -2.10% over the trailing 12 months and 32.33% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 7.04%. Its full-backtest maximum drawdown was -34.55%. The full sample contains 27118 daily NAV observations from 1920-08-31. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -4.67% below its high-water mark of 2025-10-28, 11 months ago, and its longest run below a previous high was 4.7 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | -2.10% | Not annualized | -8.07% | 251 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 32.33% | Not annualized | -12.08% | 753 | 2023-10-02 to 2026-10-02 |
| Full backtest | 136656.63% | 7.04% | -34.55% | 27118 | 1920-08-31 to 2026-10-02 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2025-10-28, 11 months before 2026-10-02, and it is -4.67% below that level now. The longest run below a previous high in the full backtest was 4.7 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-10-02 (106.1 years): 7.0% CAGR, 0.71 Sharpe, -34.5% max drawdown, 7.5% volatility.
- Type
- Tactical (TAA)
- Author
- Frank Grossmann
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1920-08-31 to 2026-10-02
- CAGR
- 7.0%
- Sharpe
- 0.71
- Max Drawdown
- -34.5%
- Volatility
- 7.5%
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 2026-10-02, UIS (Universal Investment Strategy) returned 7.0% CAGR with a -34.5% maximum drawdown and a Sharpe ratio of 0.71. 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 2026-10-02)
| Metric | UIS (Universal Investment Strategy) |
|---|---|
| CAGR | 7.0% |
| Max Drawdown | -34.5% |
| Sharpe | 0.71 |
| Sortino | 1.13 |
| Volatility | 7.5% |
| Calmar | 0.20 |
| Total Return | 135456.5% |
| Backtest Period | 106.1 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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.
Holding UIS (Universal Investment Strategy) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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