U-Triad Strategy Overview
| CAGR | 14.2% |
|---|---|
| Maximum drawdown | -15.1% |
| MAR ratio | 0.94 |
| History | 46 years (561 months) |
U-Triad is the UCITS version of Triad, developed by Randy Harris of Dual Momentum Systems for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The three sleeves, their momentum signals, their trend tests and the drift bands are all Triad's. The full logic is on the Triad page. This page covers what is different, what to hold, and an honest look at what the changes cost.
How It Works
| Sleeve | Nominal weight | Chooses between | If its signal fails |
|---|---|---|---|
| 1. Real assets | 30% | Gold or commodities, on six-month return | Intermediate Treasuries |
| 2. U.S. large cap | 35% | S&P 500 only | Long Treasuries for the first month, then intermediate Treasuries |
| 3. Relative strength | 35% | International equities, U.S. mid cap or managed futures, on six-month return | Intermediate Treasuries |
Each winner must also pass its own eight-month trend test. Sleeves drift with the market and the whole portfolio resets to 30 / 35 / 35 only when a sleeve strays more than five points from its weight.
What Is Different From Triad
| Position | Triad | U-Triad | Why |
|---|---|---|---|
| Sleeve 3 candidates | International, mid-cap value, managed futures, long/short equity | International, U.S. mid cap, managed futures | No UCITS long/short or mid-cap value fund |
| International (sleeve 3) | VXUS 50% / DBEF 50% | VXUS UCITS 100% | No currency-hedged UCITS fund matches DBEF |
| Sleeve 2, first defensive month | Extended-duration Treasuries (EDV) | Long Treasuries (DTLA) | No UCITS fund holds Treasury STRIPS |
| Gold (sleeve 1) | SGOL | iShares Physical Gold ETC | UCITS rules do not allow a gold-only fund |
Long/short equity is left out rather than replaced. Several UCITS-available funds were tested in its place, including the Nasdaq 100, U.S. real estate, high yield bonds, U.S. mid cap and energy. None improved on the simpler three-candidate sleeve, so none was added. Replacing it with more U.S. large cap was also worse, because sleeve 2 already holds U.S. large cap.
U.S. mid cap in place of mid-cap value. There is no UCITS mid-cap value fund. U.S. mid cap is its closest UCITS stand-in. Over the full history the swap is close to neutral on return and risk-adjusted return, with a worst drawdown about two points deeper, set before 1999. Since September 1999 U.S. mid cap was slightly better than mid-cap value on both.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| Gold | iShares Physical Gold ETC | IGLN | SGLN | IE00B4ND3602 |
| Commodities | Invesco Bloomberg Commodity UCITS ETF (Acc) | CMOD | CMOP | IE00BD6FTQ80 |
| U.S. large cap (S&P 500) | iShares Core S&P 500 UCITS ETF (Acc) | CSPX | CSP1 | IE00B5BMR087 |
| International equities | Vanguard FTSE All-World ex-US UCITS ETF (Acc) | VXUA | VXUS | IE0009A5ADV9 |
| U.S. mid cap | Vanguard Russell US Mid-Cap UCITS ETF (Acc) | VRMA | VRMG | IE000650M1V4 |
| Managed futures | iMGP DBi Managed Futures Fund R USD UCITS ETF | DBMF | DBMG | LU2951555585 |
| Intermediate Treasuries | iShares $ Treasury Bond 7-10yr UCITS ETF (Acc) | CBU0 | none | IE00B3VWN518 |
| Long Treasuries | iShares $ Treasury Bond 20+yr UCITS ETF (Acc) | DTLA | none | IE00BFM6TC58 |
Performance Highlights
January 1980 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-Triad | +14.2% | -15.1% | 2.86 | 3.48 |
| Triad | +15.5% | -13.9% | 2.66 | 4.25 |
| S&P 500 | +12.0% | -51.0% | 12.72 | 0.61 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
U-Triad is the one UCITS version that gives up a meaningful amount to its parent. Together the UCITS changes cost about 1.4% a year over the full history and about 1.7% a year since July 2011, when the long/short fund's and the hedged international fund's real histories are both available. The largest part is the long/short equity fund, which Triad uses as a return engine in its third sleeve. U-Triad remains a well-diversified strategy with a shallow worst drawdown and a far smoother ride than the stock market, but investors comparing it with Triad should expect the lower figures above.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- Gold is held as an ETC. UCITS rules do not allow a fund that holds only gold, so gold is held through the iShares Physical Gold ETC, a security backed by physical gold. It is not a UCITS fund, but it is UCITS eligible and widely available to investors in the UK, Europe and elsewhere.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-Triad is for investors outside the US who want a diversified, momentum-driven alternative to a 60/40 portfolio, built from UCITS funds and a physical gold ETC, with each part of the portfolio able to step aside on its own.
Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. U-Triad is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period, including DBMF and the international, mid cap and Treasury funds. Investors should carefully consider their risk tolerance and consult with a financial advisor.
For the latest details, visit www.DualMomentumSystems.com