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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
75% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
10% | QQQ | Invesco QQQ | Equity, U.S., Large Cap | |
8% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
4% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
2% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
1% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap |
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:
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Low | Average | High | |
|---|---|---|---|
1-Year | -17.2% | 13.5% | 75.6% |
3-Year | -3.9% | 13.3% | 32.9% |
5-Year | -1.9% | 13.4% | 27.8% |
10-Year | 2.9% | 13.8% | 21.2% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 12.6% | 9.3% | 10.3% |
10Y Annual Return | 3.2% | 7.9% | 12.2% |
Sharpe Ratio | 0.78 | 0.51 | 0.43 |
Max Drawdown | -22.5% | -29.7% | -50.97% |
Volatility (annualized) | 11.5% | 9.9% | 15.4% |
Dot Com Annual Return | 11.9% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 10.7% | -0.3% | -5.66% |
Positive Periods | 64.2% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
