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 1997-04-30 to 2026-04-24 (29.0 years): 9.0% CAGR, 1.10 Sharpe, -14.3% max drawdown, 8.1% volatility.
- Type
- Tactical (TAA)
- Author
- Zambrano & Rizzolo (Vitral Advisors)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1997-04-30 to 2026-04-24
- CAGR
- 9.0%
- Sharpe
- 1.10
- Max Drawdown
- -14.3%
- Volatility
- 8.1%
Multi-Asset Momentum — Tactical Asset Allocation Strategy
Vitral Multi-Asset Momentum aggregates nine momentum signals (3 measures × 3 lookbacks) to reduce specification risk. Measures: total return, price minus SMA, and risk-adjusted (trend efficiency ratio). Lookbacks: 3, 6, 12 months. Correlation adjustment penalizes correlated assets. Top 5 selected, equal-weighted, with breadth-based risk-off scaling.
Backtest Performance (1997-04-30 to 2026-04-24)
| Metric | Multi-Asset Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.0% |
| Maximum Drawdown | -14.3% |
| Sharpe Ratio | 1.10 |
| Sortino Ratio | 1.42 |
| Annualized Volatility | 8.1% |
| Calmar Ratio | 0.63 |
| Total Return | 1099.1% |
| Backtest Period | 29.0 years |
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
Categories
Track Multi-Asset Momentum in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.