Mama Bear Portfolio — Tactical Asset Allocation Strategy
Momentum rotation across 9 diversified ETFs spanning US large/small cap, international, EM, REITs, commodities, gold, and bonds. Holds the top 3 by 5-month return, equal-weighted. Natural defensive rotation. Monthly rebalancing.
Backtest Performance (1991-04-30 to 2026-04-07)
| Metric | Mama Bear Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.1% |
| Maximum Drawdown | -24.7% |
| Sharpe Ratio | 0.91 |
| Sortino Ratio | 1.18 |
| Annualized Volatility | 12.5% |
| Calmar Ratio | 0.45 |
| Total Return | 3959.8% |
| Backtest Period | 35.1 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- conservative
- Variants
- 1
- Author
- Brian Livingston
Categories
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