Defensive Asset Allocation
Defensive Asset Allocation G12 (Keller & Keuning, 2018): two canary assets (VWO, BND) gate a three-tier offensive/defensive split. When both canaries have positive 13612W momentum, hold the top 6 of a 12-asset offensive universe by SMA(12). When exactly one canary is positive, hold 50% of the same top-6 offensive ranked sleeve and 50% top-1 defensive of SHY/IEF/LQD by SMA(12). When neither canary is positive, hold the top 1 of SHY/IEF/LQD by SMA(12).
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Bonds, Credit, Commodities, Gold, REITs
- Backtest window: 2007-05-30 to 2026-06-12
- 1Y
- 24.1%
- 3Y
- 38.5%
- CAGR
- 6.8%
- Max DD
- -10.8%
- Sharpe
- 0.33
Methodology
- Check 13612W momentum on canary assets VWO and BND.
- If both are positive, hold the top 6 offensive assets by SMA(12).
- If exactly one is positive, hold 50% top-6 offensive (SMA(12)) and 50% top-1 defensive of SHY/IEF/LQD (SMA(12)).
- If neither is positive, hold the top 1 of SHY/IEF/LQD by SMA(12).
Source: Keller, W.J. Defensive Asset Allocation (DAA)
Headline backtest performance as of 2026-06-12.