Stocks And Bonds Rebalancing Strategy (SPY And TLT) (#33)

The strategy takes advantage of imbalances in the 60/40 stock-and-bond allocation.

The strategy was our monthly edge for August 2026.

Statistics and figures (SPY and TLT) – including commissions and slippage of 0.03% per trade:

• No. of trades: 280
• Average unleveraged gain per trade: 0.85%
• Win ratio: 65%
• Profit factor: 2.9
• Annual returns (CAGR): 10.4% (assuming no leverage)
• Exposure/time in the market: 32%
• Risk-adjusted return: 32%
• Max. drawdown: -23%