Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Trend Following Bonds by Paul Novell
Details
The Trend Following Bonds strategy was developed by Paul Novell and profiled on his website Investing for a Living.
The strategy uses Gary Antonacci’s Dual Momentum and applies it to a global bond universe of assets.
The portfolio, on average, invests 77% in bonds and 23% in cash.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
7.8%
Sharpe Ratio
0.56
10 Year Annual Return
3.7%
Volatility (annualized)
5.9%
Max Drawdown
-8.8%
Positive Periods
73.1%
Dot Com Annual Return
7.5%
Great Financial Crisis Return
8.2%
Trade Frequency
Monthly
Ulcer Performance Index
1.6
Strategy Rules
This strategy trades once per month.
- On the last trading day of the month, calculate the 6-month total return for all assets listed above.
- Select the 3 assets with the highest total return.
- Invest 1/3 of the portfolio in each of the 3 assets as long as the total return > BIL.
- If any of the top 3 assets have a total return < BIL, invest that portion of the portfolio in cash.
- Hold all positions until the last trading day of the next month.
How to Invest in the Trend Following Bonds Portfolio
M1 Finance is the recommended platform to invest in this portfolio. Find out why.
