Moose-Style Index Rotation
All-in on the single strongest of seven global funds.
Approximation only. Decision Moose's actual signals use proprietary rules, weekly/daily checks and stop-losses, so its published results will differ.
Published versions of this model differ in the details. This implementation is still being checked against the original paper, so treat its numbers as provisional.
Holding now
Signal from Aug 2026 close- EEM100%
- EEMEmerging Markets100.0%
Trailing returns
Through Sep 29, 2026 · 3Y+ annualised1M
-0.2%
YTD
-5.2%
1Y
+5.7%
3Y
+27.3%
5Y
+10.4%
10Y
+10.8%
Growth of $100
Backtest from Sep 1, 2005 to Sep 29, 2026 (21.0 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
+8.2%
Volatility
22.0%
Max drawdown
-49.0%
Sharpe
0.40
Sortino
0.56
Calmar
0.17
Best year
+63.7%
Worst year
-21.7%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 53% of months positive
Performance by macro backdrop
Each month of the backtest is classified by four stress flags: yield curve inverted, credit spreads stressed, labor market weakening, volatility elevated. None is Calm, one is Caution, two or more is Stress. Returns are compounded over those months and annualised; the S&P 500 column covers the same months as this backtest.
| Backdrop | Months | Strategy | S&P 500 | Months up | Worst month |
|---|---|---|---|---|---|
| Calm | 145 | +5.9% | +14.1% | 49% | -11.0% |
| Caution | 77 | +12.4% | +12.5% | 60% | -11.1% |
| Stress | 29 | +6.1% | -5.7% | 52% | -21.3% |
Descriptive only: months are classified with data that was not all published in real time. Sources: FRED (T10Y3M, BAA10Y, SAHMREALTIME, VIXCLS).
Worst drawdowns
Peak to trough, and how long it took to get back to the old high. Month-end values, so depths read slightly shallower than the daily maximum.
| Depth | Peak → trough | Fall | Recovery | S&P 500 same window |
|---|---|---|---|---|
-45.0% | Dec 2008 → Apr 2012 | 3.3 yr | 8.7 yr | +65.8% |
-29.9% | Dec 2021 → Oct 2023 | 22 mo | 15 mo | -9.5% |
-22.4% | Feb 2026 → Sep 2026 | 7 mo | Still below | +12.3% |
-18.5% | Feb 2008 → Oct 2008 | 8 mo | 1 mo | -26.5% |
-9.0% | Oct 2007 → Dec 2007 | 2 mo | 2 mo | -5.0% |
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), or swap a fund for a same-asset-class alternative.
The idea
An open approximation of Decision Moose's Global Index Moose, published since 1992: rank US large and small caps, developed and emerging markets, long zero-coupon Treasuries, gold and short Treasuries by intermediate-term momentum and hold only the leader. Short Treasuries in the universe act as the cash option. The original's exact formula, Fed and market filters, and daily Donchian stops are proprietary and not replicated here.
The rules
- 1Universe: SPY, IWM, EFA, EEM, EDV, GLD, SHY.
- 2Score = average of 6 and 9-month returns.
- 3Hold 100% in the top-ranked fund; re-checked monthly.
Funds used
- EDV Long Zero-Coupon Treasuries
- EEM Emerging Markets
- EFA Intl Developed (EAFE)
- GLD Gold
- IWM US Small Cap
- SHY 1-3Y Treasuries
- SPY S&P 500
Early history uses proxy funds: SHY, TLT.
Recent allocations
Percent of the portfolio in each fund, decided at each month-end and held the following month
| Fund | Sep '25 | Oct '25 | Nov '25 | Dec '25 | Jan '26 | Feb '26 | Mar '26 | Apr '26 | May '26 | Jun '26 | Jul '26 | Aug '26 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GLD Gold | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | · | · | · | · |
| EEM Emerging Markets | · | · | · | · | · | · | · | · | 100 | 100 | · | 100 |
| IWM US Small Cap | · | · | · | · | · | · | · | · | · | · | 100 | · |
Changes
- Aug 2026Bought EEM 100% · Sold IWM (100%)
- Jul 2026Bought IWM 100% · Sold EEM (100%)
- May 2026Bought EEM 100% · Sold GLD (100%)
More relative momentum
GTAA Aggressive (Top 3 of 13)
Mebane Faber
The three strongest of 13 asset classes, each with a trend filter.
Global Equities Momentum
Gary Antonacci
US or international stocks when stocks beat T-bills; else bonds.
Accelerating Dual Momentum
EngineeredPortfolio
Faster dual momentum on 1, 3 and 6-month returns.