Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Paired Switching by Lewis Glenn
Details
The Paired Switching strategy was developed by Lewis Glenn, a founding partner and Chief Scientific Officer of the private investment and wealth management firm Creative Solutions Associates LLC.
The strategy is outlined in his paper: Simple and Effective Market Timing with Tactical Asset Allocation.
On average, the strategy holds 55% in equities and 45% in bonds.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
10.9%
Sharpe Ratio
0.52
10 Year Annual Return
7.4%
Volatility (annualized)
13.0%
Max Drawdown
-30.8%
Positive Periods
63.1%
Dot Com Annual Return
-4.4%
Great Financial Crisis Return
10.6%
Trade Frequency
Monthly
Ulcer Performance Index
0.9
Strategy Rules
This strategy trades once per month.
- On the last trading day of the month, calculate the 3-month return of the two assets above (SPY & TLT).
- Invest 100% of the portfolio in the asset with the highest 3-month return.
- Hold the position until the final trading day of the following month.
How to Invest in the Paired Switching Portfolio
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