Country/Region Rotation
Hold the two strongest regions, if they're trending up.
Holding now
Signal from Aug 2026 close- EWJ50%
- VEA50%
- EWJJapan50.0%
- VEAIntl Developed50.0%
Signal preview: if the month ended today
- EWJ50%
- SPY50%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.4%
YTD
+13.5%
1Y
+17.2%
3Y
+17.0%
5Y
+9.7%
10Y
+7.9%
Growth of $100
Backtest from May 3, 2004 to Sep 25, 2026 (22.3 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
+6.6%
Volatility
15.1%
Max drawdown
-30.5%
Sharpe
0.40
Sortino
0.55
Calmar
0.22
Best year
+26.7%
Worst year
-16.1%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 61% 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
Rotates among US, developed international, emerging markets and the two largest single-country/region funds (Europe, Japan) by blended momentum, holding the top two, each subject to a 10-month SMA filter.
The rules
- 1Universe: SPY, VEA, VWO, VGK, EWJ.
- 2Score = average of 1, 3, 6 and 12-month returns; hold the top 2 equally.
- 3A pick below its 10-month SMA is replaced by T-bills.
Funds used
- EWJ Japan
- SPY S&P 500
- VEA Intl Developed
- VGK Europe
- VWO Emerging Markets
Early history uses proxy funds: EEM, EFA, SHY.
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
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.