Multi-Asset Momentum
Compute 9 momentum signals for each of 13 assets. Rank, aggregate, and correlation-adjust scores. Backtest max drawdown: -14.2%.
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 2026-10-01.
Simulated history
Stand-in funds and until when (13)
- 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
- EEM: FEMKX before Apr 14, 2003
- 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: -14.2%. 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 65ab81d7, published 2026-10-01
Is Multi-Asset Momentum still working in 2026?
Multi-Asset Momentum returned 17.20% over the trailing 12 months and 48.16% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 9.10%. Its full-backtest maximum drawdown was -14.23%. The full sample contains 10341 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -2.44% below its high-water mark of 2026-06-02, 4 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.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 17.20% | Not annualized | -7.27% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 48.16% | Not annualized | -7.27% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 3333.15% | 9.10% | -14.23% | 10341 | 1986-02-28 to 2026-10-01 |
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 2026-06-02, 4 months before 2026-10-01, and it is -2.44% 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 1986-02-28 to 2026-10-01 (40.6 years): 9.1% CAGR, 1.24 Sharpe, -14.2% max drawdown, 7.4% volatility.
- Type
- Tactical (TAA)
- Author
- Zambrano & Rizzolo (Vitral Advisors)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 9.1%
- Sharpe
- 1.24
- Max Drawdown
- -14.2%
- Volatility
- 7.4%
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 1986-02-28 to 2026-10-01, Multi-Asset Momentum returned 9.1% CAGR with a -14.2% maximum drawdown and a Sharpe ratio of 1.24. 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 (1986-02-28 to 2026-10-01)
| Metric | Multi-Asset Momentum |
|---|---|
| CAGR | 9.1% |
| Max Drawdown | -14.2% |
| Sharpe | 1.24 |
| Sortino | 2.31 |
| Volatility | 7.4% |
| Calmar | 0.64 |
| Total Return | 3333.1% |
| Backtest Period | 40.6 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
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Multi-Asset Momentum alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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