Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Three-Way Model by Ned Davis
Details
The Three-Way Model strategy was developed by Ned Davis of Ned Davis Research.
It uses three funds and the a simple moving average to determine when to invest and when to hold cash.
On average, the fund allocates 37% to equities, 32% to bonds, and 31% to gold and cash.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
11.5%
Sharpe Ratio
0.59
10 Year Annual Return
7.8%
Volatility (annualized)
11.9%
Max Drawdown
-24.9%
Positive Periods
66.9%
Dot Com Annual Return
6.8%
Great Financial Crisis Return
9.5%
Trade Frequency
Monthly
Ulcer Performance Index
1.2
Strategy Rules
This strategy trades once per month.
- On the last trading day of the month, calculate both the 3-month and 10-month moving average for SPY, TLT, and GLD.
- Invest in the assets where the 3-month moving average will close above the 10-month
- If one asset meets the criteria, invest 100% in that asset.
- If two, invest 50% in each.
- If three, invest equally in all three.
- If no assets meet the criteria, invest 100% in cash (BIL)
- Hold positions until the last trading day of the next month.
How to Invest in the Three-Way Model Portfolio
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