Trinity-style
Half static global allocation, half trend and momentum.
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- VTI15%
- VEA15%
- DBC13%
- BND10%
- VNQ10%
- IWD8.3%
- EEM8.3%
- VWO5.0%
- TIP5.0%
- GLD5.0%
- BIL5.0%
- VTIUS Total Market15.0%
- VEAIntl Developed15.0%
- DBCCommodities13.3%
- BNDUS Aggregate Bonds10.0%
- VNQUS REITs10.0%
- IWDUS Large Value8.3%
- EEMEmerging Markets8.3%
- VWOEmerging Markets5.0%
- TIPTIPS5.0%
- GLDGold5.0%
- BILT-Bills5.0%
Signal preview: if the month ended today
- VTI15%
- VEA15%
- DBC13%
- BND10%
- BIL10%
- MTUM8.3%
- EEM8.3%
- VWO5.0%
- TIP5.0%
- VNQ5.0%
- GLD5.0%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.6%
YTD
+9.1%
1Y
+12.8%
3Y
+14.2%
5Y
+7.2%
10Y
+8.3%
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
+8.2%
Volatility
10.2%
Max drawdown
-15.5%
Sharpe
0.70
Sortino
0.98
Calmar
0.53
Best year
+21.3%
Worst year
-9.6%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 65% 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
In the spirit of Cambria's Trinity Portfolio: roughly half in a static global allocation, half in trend-following and momentum sleeves. The exact Cambria weights are proprietary; this is an illustrative template.
The rules
- 150% static global mix: 20% US stocks, 20% international, 10% EM, 20% aggregate bonds, 10% TIPS, 10% REITs, 10% gold.
- 225% GTAA 5 (timed Ivy).
- 325% GTAA Aggressive.
Funds used
- BND US Aggregate Bonds
- BWX Intl Treasuries
- DBC Commodities
- EEM Emerging Markets
- EFA Intl Developed (EAFE)
- 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
- TIP TIPS
- TLT 20+Y Treasuries
- VEA Intl Developed
- VNQ US REITs
- VTI US Total Market
- VWO Emerging Markets
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