The Trend Following Bonds strategy was developed by Paul Novell and profiled on his website Investing for a Living.
The strategy uses Gary Antonacci’s Dual Momentum and applies it to a global bond universe of assets.
The portfolio, on average, invests 77% in bonds and 23% in cash.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
23% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
15% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S. Long-Term | |
12% | HYG | iShares iBoxx $ High Yield Corporate Bond ETF | Bond, U.S., Intermediate-Term | |
12% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
11% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
10% | EMB | iShares J.P. Morgan USD Emerging Markets Bond ETF | Bond, Emerging Markets, All-Term | |
7% | TIP | iShares TIPS Bond ETF | Bond, U.S., All-Term | |
5% | BNDX | Vanguard Total International Bond ETF | Bond, International, All-Term | |
5% | BWX | SPDR Barclays International Treasury Bond | Bond, International, All-Term |
This strategy trades once per month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -6.0% | 8.1% | 41.6% |
3-Year | 0.4% | 8.1% | 21.2% |
5-Year | 2.0% | 8.2% | 20.5% |
10-Year | 3.1% | 8.4% | 14.1% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 7.8% | 9.3% | 10.3% |
10Y Annual Return | 3.7% | 7.9% | 12.2% |
Sharpe Ratio | 0.56 | 0.51 | 0.43 |
Max Drawdown | -8.8% | -29.7% | -50.97% |
Volatility (annualized) | 5.9% | 9.9% | 15.4% |
Dot Com Annual Return | 7.5% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 8.2% | -0.3% | -5.66% |
Positive Periods | 73.1% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
