KDA As Published (Kipnis rules)
View this strategy's rules and backtest. Backtest max drawdown: -16.2%.
Strategy & methodology
Score SPY, VGK, EWJ, EEM, VNQ, RWX, IEF, TLT, DBC, GLD and the canaries VWO, BND: 12 x 1-month + 4 x 3-month + 2 x 6-month + 12-month return; Select the top 5 of the ten, keeping only those with momentum above zero; Weight the selection…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2019-01-24; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-23.
Simulated history
Stand-in funds and until when (6)
- RWX: VNQ x0.9 before Dec 19, 2006
- VGK: EFA x1.05 before Mar 10, 2005
- VNQ: VGSIX before Sep 29, 2004
- EEM: VEIEX before Apr 14, 2003
- TLT: VUSTX before Jul 26, 2002
- IEF: VFITX before Jul 26, 2002
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
View this strategy's rules and backtest. Backtest max drawdown: -16.2%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 348839c0, published 2026-10-17
Is KDA As Published (Kipnis rules) still working in 2026?
KDA As Published (Kipnis rules) returned 1.85% over the trailing 12 months and 33.07% over 36 months through 2026-10-23, compared with a full-backtest annualized return of 9.54%. Its full-backtest maximum drawdown was -16.23%. The full sample contains 6575 daily NAV observations from 2000-09-01. These are model results, not investor account returns or a promise. As of 2026-10-23 it is -9.59% below its high-water mark of 2026-02-27, 8 months ago, and its longest run below a previous high was 3.0 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 1.85% | Not annualized | -14.17% | 252 | 2025-10-23 to 2026-10-23 |
| Trailing 36 months | 33.07% | Not annualized | -14.17% | 754 | 2023-10-23 to 2026-10-23 |
| Full backtest | 982.56% | 9.54% | -16.23% | 6575 | 2000-09-01 to 2026-10-23 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-02-27, 8 months before 2026-10-23, and it is -9.59% below that level now. The longest run below a previous high in the full backtest was 3.0 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
KDA As Published (Kipnis rules) at a glance
KDA As Published (Kipnis rules) is a tactical asset allocation (TAA) strategy by Ilya Kipnis across US Equity, European Equity, Japanese Equity, Emerging Markets, rebalanced monthly. Backtested 2000-09-01 to 2026-10-23 (26.1 years): 9.5% CAGR, 0.92 Sharpe, -16.2% max drawdown, 8.8% volatility.
- Type
- Tactical (TAA)
- Author
- Ilya Kipnis
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 2000-09-01 to 2026-10-23
- CAGR
- 9.5%
- Sharpe
- 0.92
- Max Drawdown
- -16.2%
- Volatility
- 8.8%
KDA As Published (Kipnis rules) — Tactical Asset Allocation Strategy
KDA As Published runs Ilya Kipnis's Defensive Adaptive Asset Allocation with the rules and code he published in January 2019. It combines Keller and Keuning's canary idea with ReSolve's Adaptive Asset Allocation. Each month it scores ten assets (SPY, VGK, EWJ, EEM, VNQ, RWX, IEF, TLT, DBC, GLD) with 1-3-6-12 fast momentum, keeps those in the top 5 whose momentum is above zero, and weights them for minimum variance (one-month volatility, correlations blended over 1, 3, 6 and 12 months). Two canaries, emerging stocks and the aggregate bond market (VWO and BND), set how much of the portfolio takes that risk: 100% if both have positive momentum, 50% if one does, nothing if neither. The rest goes to IEF when IEF's momentum is positive, otherwise to T-bills. BestFolio's older KDA-Style Canary Momentum kept the KDA name but none of these rules; this is the version that follows Kipnis.
On BestFolio's engine, net of 10 bps a trade, from September 2000 to October 2026 it returned 9.5% a year with a Sharpe ratio of 0.92 and a -16.2% worst fall (September 2021 to May 2023). On the same dates KDA-Style Canary Momentum (Top 6) returned 5.5% a year, Sharpe 0.51, worst fall -26.2% (2008), and the S&P 500 8.4% a year, Sharpe 0.49, worst fall -55.2%. From October 2007 to March 2009 it gained 18.9% while the S&P 500 lost 55.2%; in 2022 it lost 2.3% against 18.1%.
KDA As Published (Kipnis rules): frequently asked questions
- What is KDA As Published (Kipnis rules)?
- Ilya Kipnis's Defensive Adaptive Asset Allocation as he published it in 2019: the top 5 of SPY, VGK, EWJ, EEM, VNQ, RWX, IEF, TLT, DBC and GLD by 1-3-6-12 momentum, only those above zero, weighted for minimum variance; a VWO/BND canary sets the risky share at 0%, 50% or 100%, and the rest goes to IEF if its momentum is positive, otherwise T-bills. Monthly.
- Who created the KDA As Published (Kipnis rules) strategy?
- KDA As Published (Kipnis rules) was developed by Ilya Kipnis. It is based on Ilya Kipnis's post Right Now It's KDA...Asset Allocation (QuantStrat TradeR, January 2019) and its R code.
- What is the historical return and maximum drawdown of KDA As Published (Kipnis rules)?
- Backtested from 2000-09-01 to 2026-10-23, KDA As Published (Kipnis rules) returned 9.5% CAGR with a -16.2% maximum drawdown and a Sharpe ratio of 0.92. Past performance does not guarantee future results.
- How often is KDA As Published (Kipnis rules) rebalanced?
- KDA As Published (Kipnis rules) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is KDA As Published (Kipnis rules) a tactical asset allocation strategy?
- Yes. KDA As Published (Kipnis rules) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (2000-09-01 to 2026-10-23)
| Metric | KDA As Published (Kipnis rules) |
|---|---|
| CAGR | 9.5% |
| Max Drawdown | -16.2% |
| Sharpe | 0.92 |
| Sortino | 1.56 |
| Volatility | 8.8% |
| Calmar | 0.59 |
| Total Return | 981.8% |
| Backtest Period | 26.1 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Ilya Kipnis
- Source
- Ilya Kipnis's post Right Now It's KDA...Asset Allocation (QuantStrat TradeR, January 2019) and its R code
Asset Classes
- US Equity
- European Equity
- Japanese Equity
- Emerging Markets
- US REITs
- International REITs
- Intermediate Treasuries
- Long Treasuries
- Commodities
- Gold
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding KDA As Published (Kipnis rules) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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