Quint Switching Filtered (Lewis Glenn’s QSF)

Jul 2003 – Sep 2026	Strategy	SPY
Annual return (CAGR)	7.1%	11.2%
Worst drawdown	-33.9%	-55.2%
Sharpe ratio	0.65	0.67
Volatility	11.7%	18.5%
Annual return since publication (Mar 2018)	0.1%	14.9%

Apr 1986 – Sep 2026	Strategy	SPY
Annual return (CAGR)	10.8%	11.3%
Worst drawdown	-33.9%	-55.2%
Sharpe ratio	0.93	0.67
Volatility	11.8%	18.4%
Annual return since publication (Mar 2018)	0.1%	14.9%

Quint Switching Filtered (QSF) is a momentum rotation from Lewis A. Glenn's 2018 SSRN paper Simple and Effective Market Timing with Tactical Asset Allocation Part 2: Choices. Each month it holds the single strongest of five markets by 3-month return, but only if all five are up over those three months; otherwise it holds 7–10 year Treasuries.

The idea#

Glenn extended his earlier work on switching between two assets to a menu of five: US stocks, the Nasdaq 100, developed and emerging markets, and long Treasuries. Short-term momentum picks the leader. The filter is the unusual part. It treats any weakness among the five, including in long Treasuries, as a warning and moves the whole portfolio to intermediate Treasuries until every market is rising again.

The filter is strict, so the strategy spends most months in Treasuries and holds a risky asset only when markets are broadly strong. Allocate Smartly found that weak long-Treasury momentum did tend to precede weaker stock returns, which supports including TLT in the filter.

How it works#

At the close of the last trading day of each month:

Measure the 3-month (63-session) total return of SPY, QQQ, EFA, EEM, and TLT.
If all five are positive, hold 100% of the one with the highest return.
If any is zero or negative, hold 100% 7–10 year Treasuries (IEF).

What the backtest shows#

The ETF-era test starts in mid-2003, when EEM has three months of history, and returns about 7% a year, against 11% for the S&P 500 and 8% for a 60/40 stock and bond mix. Its worst drawdown, about a third, was smaller than the S&P 500's but slightly deeper than the 60/40's, and its risk-adjusted return trailed the 60/40.

The first years, inside Glenn's own test period, were strong: it gained 22% in 2004, 23% in 2005, and 18% in 2008 while the S&P 500 lost 37%. The later record is weak. Its worst drawdown began in September 2020 and reached its low in October 2023, about a third below the peak, and it has not recovered. It lost 15% in 2022, when Treasuries fell along with stocks, and 2% in 2013 while stocks gained 32%.

Since the paper appeared in early 2018 it has returned close to nothing.

With simulated history the test starts in 1986 and returns about 11% a year, level with the S&P 500 at a much better risk-adjusted return. It gained 40% or more in 1991 and 1995 and made money in 2000, 2001, and 2002 while stocks fell. Before 1994 all non-US stocks stand in for emerging markets.

When it struggles#

Rising rates. Its fallback is IEF with no way out of it, so a long bond bear market hurts it more than most strategies.
Timing luck. One check a month on a 3-month signal makes results sensitive to the trading day chosen.
Concentration. When risk is on, it holds a single fund, which can be as volatile as emerging markets.

Using it on Tactfolio#

The live strategy above runs Glenn's rules exactly on the funds from his paper. Copy it to try BIL or a stronger-of-IEF-and-BIL fallback, or compare it with the two-asset Paired Switching and the breadth rule of Vigilant Asset Allocation.

Year by year

Year	Strategy	SPY
2026*	-9.1%	14.0%
2025	18.1%	17.7%
2024	6.9%	24.9%
2023	-1.8%	26.2%
2022	-15.2%	-18.2%
2021	-2.7%	28.7%
2020	3.4%	18.3%
2019	0.8%	31.2%
2018	12.1%	-4.6%
2017	20.0%	21.7%
2016	-3.6%	12.0%
2015	0.1%	1.2%
2014	14.4%	13.5%
2013	-2.1%	32.3%
2012	7.4%	16.0%
2011	8.7%	1.9%
2010	2.2%	15.1%
2009	5.5%	26.4%
2008	17.9%	-36.8%
2007	17.3%	5.1%
2006	15.0%	15.8%
2005	23.2%	4.8%
2004	22.4%	10.7%
2003*	15.0%	11.7%

Year	Strategy	SPY
2026*	-9.1%	14.0%
2025	18.1%	17.7%
2024	6.9%	24.9%
2023	-1.8%	26.2%
2022	-15.2%	-18.2%
2021	-2.7%	28.7%
2020	3.4%	18.3%
2019	0.8%	31.2%
2018	12.1%	-4.6%
2017	20.0%	21.7%
2016	-3.6%	12.0%
2015	0.1%	1.2%
2014	14.4%	13.5%
2013	-2.1%	32.3%
2012	7.4%	16.0%
2011	8.7%	1.9%
2010	2.2%	15.1%
2009	5.5%	26.4%
2008	17.9%	-36.8%
2007	17.3%	5.1%
2006	15.0%	15.8%
2005	23.2%	4.8%
2004	22.4%	10.7%
2003	40.0%	28.2%
2002	15.0%	-21.6%
2001	6.5%	-11.8%
2000	15.4%	-9.7%
1999	-1.7%	20.4%
1998	36.5%	28.7%
1997	37.5%	33.5%
1996	9.4%	22.5%
1995	42.7%	38.0%
1994	-4.0%	0.4%
1993	21.7%	9.7%
1992	13.4%	7.6%
1991	40.1%	30.3%
1990	-8.6%	-3.2%
1989	24.9%	31.5%
1988	19.2%	16.4%
1987	17.2%	5.1%
1986*	-11.5%	6.8%

* Partial year.

The rules as implemented

This is the exact tree Tactfolio runs, rebalanced monthly with signals and trades at the close. Open it to inspect or copy it.

Sources and caveats

Lewis A. Glenn, Simple and Effective Market Timing with Tactical Asset Allocation Part 2: Choices (2018)

Uses the source's funds (SPY, QQQ, EFA, EEM, TLT, and IEF) and its 3-month total return, measured over 63 sessions.
Signals and trades use the close of the last trading day of each month, as in the source.

Common questions#

What is Quint Switching Filtered?#

It is Lewis Glenn's 2018 strategy that holds the best of SPY, QQQ, EFA, EEM, and TLT by 3-month return, but only when all five have positive 3-month returns; otherwise it holds IEF.

What is the difference between Quint Switching and Quint Switching Filtered?#

Unfiltered Quint Switching always holds the strongest of the five. The filtered version adds the requirement that all five be positive, which puts it in Treasuries most of the time.

Why is TLT in the filter?#

TLT counts as one of the five risk assets. A falling long Treasury fund has often come before weaker stock returns, so its weakness alone sends the strategy to IEF.

Does Quint Switching Filtered still work?#

Since publication in 2018 it has barely made money, and its Treasury fallback lost value when rates rose in 2022. The live record on Tactfolio shows how it is doing now.