Multi-Asset Momentum

Name: Multi-Asset Momentum, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

Compute 9 momentum signals for each of 13 assets. Rank, aggregate, and correlation-adjust scores. Backtest max drawdown: -15.2%.

Strategy & methodology

Compute 9 momentum signals for each of 13 assets; Rank, aggregate, and correlation-adjust scores; Exclude assets with >50% negative signals; Top 5 by adjusted score, equal weight 20%; Risk-off fraction scales with breadth of negative…

Strategy type:: Tactical asset allocation
Rebalance frequency:: Monthly
Original publication:: 2022-09-08; results after that are out-of-sample for the original research. All results are backtest simulations.
Data through:: Backtest data through 2026-10-22.

Simulated history

Stand-in funds and until when (12)

HYG: VWEHX before Apr 11, 2007
DBA: DBC before Jan 5, 2007
VGK: EFA x1.05 before Mar 10, 2005
VNQ: VGSIX before Sep 29, 2004
EEM: VEIEX before Apr 14, 2003
TLT: VUSTX before Jul 26, 2002
LQD: PIGIX before Jul 26, 2002
IEF: VFITX before Jul 26, 2002
LQD: VWESX before Jul 26, 2002
VNQ: FRESX before Sep 29, 2004
EWJ: PRJPX before Mar 18, 1996
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 9 momentum signals for each of 13 assets. Rank, aggregate, and correlation-adjust scores. Backtest max drawdown: -15.2%. 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 45b76078, published 2026-10-17

Is Multi-Asset Momentum still working in 2026?

Multi-Asset Momentum returned 15.20% over the trailing 12 months and 47.70% over 36 months through 2026-10-22, compared with a full-backtest annualized return of 9.86%. Its full-backtest maximum drawdown was -15.23%. The full sample contains 10652 daily NAV observations from 1985-01-01. These are model results, not investor account returns or a promise. As of 2026-10-22 it is -2.69% below its high-water mark of 2026-06-02, 5 months ago, and its longest run below a previous high was 2.9 years. Recent returns do not establish that the strategy will keep working.

Multi-Asset Momentum Standard, USD model NAV. Trailing returns are cumulative; CAGR is annualized. All drawdowns use daily closes.
Period	Return	CAGR	Max drawdown	Observations	Dates
Trailing 12 months	15.20%	Not annualized	-7.27%	252	2025-10-22 to 2026-10-22
Trailing 36 months	47.70%	Not annualized	-7.27%	754	2023-10-20 to 2026-10-22
Full backtest	4989.25%	9.86%	-15.23%	10652	1985-01-01 to 2026-10-22

Last verified Oct 22, 2026

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 2026-06-02, 5 months before 2026-10-22, and it is -2.69% below that level now. The longest run below a previous high in the full backtest was 2.9 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.

Multi-Asset Momentum at a glance

Multi-Asset Momentum is a tactical asset allocation (TAA) strategy by Zambrano & Rizzolo (Vitral Advisors) across US Equity, Tech, Small-Cap, International, rebalanced monthly. Backtested 1985-01-01 to 2026-10-22 (41.8 years): 9.9% CAGR, 0.88 Sharpe, -15.2% max drawdown, 7.5% volatility.

Type: Tactical (TAA)
Author: Zambrano & Rizzolo (Vitral Advisors)
Rebalancing: Monthly
Risk: Moderate
Period: 1985-01-01 to 2026-10-22
CAGR: 9.9%
Sharpe: 0.88
Max Drawdown: -15.2%
Volatility: 7.5%

Multi-Asset Momentum — Tactical Asset Allocation Strategy

Vitral Multi-Asset Momentum aggregates nine momentum signals (3 measures × 3 lookbacks: total return, price minus SMA, and risk-adjusted trend efficiency, over 3/6/12 months) to reduce specification risk, then holds the top 5 equal-weight with a breadth-based risk-off cash scaling.

What drives the edge: the protective cash scaling and the multi-signal aggregation together roughly halve the drawdown versus a naive single-momentum top-5 (about -30% to -15%) and lift Sharpe from ~1.0 to ~1.4. A correlation adjustment (score / (1 + rho)) further decorrelates the held book, but in our own backtests it does not, on its own, measurably improve risk-adjusted return; it is a diversification refinement, not the source of the edge.

Multi-Asset Momentum: frequently asked questions

What is Multi-Asset Momentum?: Long-only multi-asset momentum from Zambrano & Rizzolo (SSRN #4199648). Aggregates 9 signals (3 momentum measures × 3 lookbacks) to reduce specification risk. Correlation-adjusted scoring penalizes correlated assets. Top 5 equal-weight from 13-asset universe with absolute momentum filter and protective cash fraction. Monthly rebalance.
Who created the Multi-Asset Momentum strategy?: Multi-Asset Momentum was developed by Zambrano & Rizzolo (Vitral Advisors). It is based on Zambrano, E.A. & Rizzolo, C. (2022). Long-only multi-asset momentum. Vitral Advisors..
What is the historical return and maximum drawdown of Multi-Asset Momentum?: Backtested from 1985-01-01 to 2026-10-22, Multi-Asset Momentum returned 9.9% CAGR with a -15.2% maximum drawdown and a Sharpe ratio of 0.88. Past performance does not guarantee future results.
How often is Multi-Asset Momentum rebalanced?: Multi-Asset Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is Multi-Asset Momentum a tactical asset allocation strategy?: Yes. Multi-Asset Momentum 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 (1985-01-01 to 2026-10-22)

Metric	Multi-Asset Momentum
CAGR	9.9%
Max Drawdown	-15.2%
Sharpe	0.88
Sortino	1.53
Volatility	7.5%
Calmar	0.65
Total Return	4999.6%
Backtest Period	41.8 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: 3
Author: Zambrano & Rizzolo (Vitral Advisors)
Source: Zambrano, E.A. & Rizzolo, C. (2022). Long-only multi-asset momentum. Vitral Advisors.

Asset Classes

US Equity
Tech
Small-Cap
International
Emerging Markets
REITs
Commodities
Gold
Bonds
Cash

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Versions we tested and didn't ship

We ran these against this strategy and left them out. The numbers and reasons are in our rejection log.

Multi-Asset Momentum with SmartStack or 1.5x SmartLeverage
SmartStack and 1.5x both added 1 to 2 points a year, but lowered Sharpe and deepened the worst drop from -14.8% to as much as -21.5%.

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