Vigilant Asset Allocation
Vigilant Asset Allocation (Keller & Keuning, 2017): when all four offensive tickers (SPY, EFA, EEM, AGG) show positive 13612W momentum, hold the top 1 offensive ticker. Otherwise rotate into the top 1 of the defensive universe (LQD, IEF, SHV) as safety-first protection during broad-market weakness.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Bonds, Credit, Treasuries
- Backtest window: 2007-05-30 to 2026-09-21
- 1Y
- 9.0%
- 3Y
- 43.9%
- CAGR
- 12.8%
- Max DD
- -8.4%
- Sharpe
- 0.75
Methodology
- If all 4 offensive tickers have positive 13612W momentum, hold top-1 offensive.
- Otherwise hold the top-1 defensive ticker by 1/3/6/12-month composite.
- 13612W weights 1m/3m/6m/12m returns as 12/4/2/1.
Source: Keller, W.J. Vigilant Asset Allocation (VAA)
Headline backtest performance as of 2026-09-21.