Model Blend
⅓ GTAA Aggressive, ⅓ GEM, ⅓ Adaptive Asset Allocation.
Holding now
Signal from Aug 2026 close- VEU33%
- DBC21%
- SPY14%
- IWD11%
- EEM11%
- VGK10.0%
- VEUIntl ex-US33.3%
- DBCCommodities20.6%
- SPYS&P 50013.9%
- IWDUS Large Value11.1%
- EEMEmerging Markets11.1%
- VGKEurope10.0%
Signal preview: if the month ended today
- VEU33%
- DBC21%
- SPY17%
- MTUM11%
- EEM11%
- VGK6.5%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.4%
YTD
+12.3%
1Y
+18.2%
3Y
+17.7%
5Y
+8.5%
10Y
+9.4%
Growth of $100
Backtest from Nov 3, 2008 to Sep 25, 2026 (17.8 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+8.8%
Volatility
11.4%
Max drawdown
-17.2%
Sharpe
0.68
Sortino
0.94
Calmar
0.51
Best year
+23.7%
Worst year
-13.4%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 63% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), use managed futures instead of T-bills as the defensive asset, or swap a fund for a same-asset-class alternative.
The idea
Three different engines — trend-filtered rotation, dual momentum and minimum-variance momentum — held side by side. Customise the mix in the blend builder.
The rules
- 1⅓ GTAA Aggressive, ⅓ Global Equities Momentum, ⅓ Adaptive Asset Allocation.
- 2Positions are combined monthly.
Funds used
- BIL T-Bills
- BND US Aggregate Bonds
- BWX Intl Treasuries
- DBC Commodities
- EEM Emerging Markets
- EFA Intl Developed (EAFE)
- EWJ Japan
- GLD Gold
- IEF 7-10Y Treasuries
- IWD US Large Value
- IWM US Small Cap
- IWN US Small Value
- LQD IG Corporate Bonds
- MTUM US Momentum
- RWX Intl REITs
- SPY S&P 500
- TLT 20+Y Treasuries
- VEU Intl ex-US
- VGK Europe
- VNQ US REITs
Early history uses proxy funds: SPY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025