Defensive Asset Allocation
VWO and BND momentum set the mix each month: two positive signals hold six offensive assets, one splits equally between offense and defense, and none holds one defensive asset.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Bonds, Credit, Commodities, Gold, REITs
- Backtest window: 2007-05-30 to 2026-11-10
- 1Y
- 9.8%
- 3Y
- 42.4%
- CAGR
- 11.9%
- Max DD
- -10.8%
- Sharpe
- 1.13
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 2026-11-10.