Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Quint Switching Filtered
Details
The Quint Switching Filtered strategy is based on the paper by Lewis A. Glenn titled Simple and Effective Market Timing with Tactical Asset Allocation Part 2 – Choices.
The paper expands on the Pair Switching model he presents in an earlier version. This version expands his model from two ETFs to five.
That’s why the portfolio is called “Quint.” Quint = Quintuple.
A sixth ETF is added as a defensive filter which will be covered more in the Strategy Rules.
Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
12.6%
Sharpe Ratio
0.78
10 Year Annual Return
3.2%
Volatility (annualized)
11.5%
Max Drawdown
-22.5%
Positive Periods
64.2%
Dot Com Annual Return
11.9%
Great Financial Crisis Return
10.7%
Trade Frequency
Monthly
Ulcer Performance Index
1.8
Strategy Rules
The strategy is broken down into two categories: risk assets and defensive assets.
Intermediate-Term US Treasuries is the only defensive asset. The other five are all considered risk assets.
On the last trading day of the month:
- Calculate the 3-month total return of the five risk assets.
- If the 3-month total return of any of the risk assets is negative, allocate the entire portfolio to the defensive intermediate-term treasuries.
- If the 3-month total return of all the risk assets are positive, invest 100% of the portfolio in the asset with the highest 3-month return
- Hold the position until the last trading day of the following month.
How to Invest in the Quint Switching Filtered Portfolio
M1 Finance is the recommended platform to invest in this portfolio. Find out why.
