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 2026-07-03 (40.3 years): 9.6% CAGR, 1.31 Sharpe, -14.4% max drawdown, 7.5% volatility.
- Type
- Tactical (TAA)
- Author
- Zambrano & Rizzolo (Vitral Advisors)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-07-03
- CAGR
- 9.6%
- Sharpe
- 1.31
- Max Drawdown
- -14.4%
- 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 1986-02-28 to 2026-07-03, Multi-Asset Momentum returned 9.6% CAGR with a -14.4% maximum drawdown and a Sharpe ratio of 1.31. 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 2026-07-03)
| Metric | Multi-Asset Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.6% |
| Maximum Drawdown | -14.4% |
| Sharpe Ratio | 1.31 |
| Sortino Ratio | 2.01 |
| Annualized Volatility | 7.5% |
| Calmar Ratio | 0.66 |
| Total Return | 3885.6% |
| Backtest Period | 40.3 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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