KDA (Kipnis Defensive Adaptive) at a glance
KDA (Kipnis Defensive Adaptive) is a tactical asset allocation (TAA) strategy by David Varadi / Ilya Kipnis across US Equity, International Equity, Emerging Markets, Bonds, rebalanced monthly. Backtested 1986-02-28 to 2026-06-08 (40.3 years): 7.3% CAGR, 0.98 Sharpe, -25.1% max drawdown, 7.5% volatility.
- Type
- Tactical (TAA)
- Author
- David Varadi / Ilya Kipnis
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-06-08
- CAGR
- 7.3%
- Sharpe
- 0.98
- Max Drawdown
- -25.1%
- Volatility
- 7.5%
KDA (Kipnis Defensive Adaptive) — Tactical Asset Allocation Strategy
Kipnis Defensive Adaptive uses a canary universe of SHY and IEF (bond momentum) to toggle between offensive (top 6 of 8 assets by 13612W) and defensive (equal-weight SHY + IEF). Supports optional TBSZ stacking.
Backtest Performance (1986-02-28 to 2026-06-08)
| Metric | KDA (Kipnis Defensive Adaptive) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.3% |
| Maximum Drawdown | -25.1% |
| Sharpe Ratio | 0.98 |
| Sortino Ratio | 1.49 |
| Annualized Volatility | 7.5% |
| Calmar Ratio | 0.29 |
| Total Return | 1634.0% |
| Backtest Period | 40.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 3
- Author
- David Varadi / Ilya Kipnis
- Source
- Varadi, D. & Kipnis, I. Defensive Adaptive Asset Allocation (KDA)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- Bonds
- TIPS
- Commodities
- Gold
- Short-Term Treasuries
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