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.
This strategy trades once per month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -25.9% | 12.1% | 70.3% |
3-Year | -4.8% | 11.7% | 34% |
5-Year | 0.9% | 11.8% | 27.5% |
10-Year | 3.2% | 12.14% | 18.6% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 10.9% | 9.3% | 10.3% |
10Y Annual Return | 7.4% | 7.9% | 12.2% |
Sharpe Ratio | 0.52 | 0.51 | 0.43 |
Max Drawdown | -30.8% | -29.7% | -50.97% |
Volatility (annualized) | 13.0% | 9.9% | 15.4% |
Dot Com Annual Return | -4.4% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 10.6% | -0.3% | -5.66% |
Positive Periods | 63.1% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
