Kipnis Defensive Adaptive
Kipnis Defensive Adaptive: if SHY and IEF both have positive 13612W momentum, hold the top 6 of SPY/VEA/VWO/BND/LQD/TIP/DBC/GLD by 13612W. If either canary is negative, hold a 50/50 defensive mix of SHY and IEF.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Bonds, TIPS, Commodities, Gold, Short-term Treasuries
- Backtest window: 2002-07-30 to 2026-11-10
- 1Y
- 8.0%
- 3Y
- 43.6%
- CAGR
- 11.9%
- Max DD
- -6.2%
- Sharpe
- 1.36
Methodology
- Check SHY and IEF as 13612W canaries.
- If both are positive, hold the top 6 offensive assets equal-weighted.
- If either canary is negative, hold 50% SHY and 50% IEF.
Source: Varadi, D. & Kipnis, I. Defensive Adaptive Asset Allocation (KDA)
Headline backtest performance as of 2026-11-10.