DAA (Defensive Asset Allocation) — Tactical Asset Allocation Strategy
Dual-canary crash protection with three-tier allocation. VWO and BND momentum controls a 0/50/100% bond fraction; offense selects top 6 of 12 global assets by weighted multi-period momentum. Monthly rebalancing.
Backtest Performance (1997-04-30 to 2026-04-07)
| Metric | DAA (Defensive Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.8% |
| Maximum Drawdown | -19.6% |
| Sharpe Ratio | 1.02 |
| Sortino Ratio | 1.32 |
| Annualized Volatility | 10.6% |
| Calmar Ratio | 0.55 |
| Total Return | 1860.3% |
| Backtest Period | 28.9 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Wouter J. Keller & Jan Willem Keuning
Categories
Track DAA (Defensive Asset Allocation) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.