Mama Bear Portfolio
TacticalProconservativeBased on research by Brian Livingston · Livingston, B. Muscular Portfolios. BenBella Books (2018).
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched 2018About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Rank all 9 ETFs (VONE, VIOO, VEA, VWO, VNQ, PDBC, IAU, VGLT, SHV) by 5-month total return
- 2Select the top 3 ETFs by return
- 3Allocate 33.33% to each of the 3 selected ETFs
Asset Universe
Pro subscribers only
9 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Brian Livingston
Livingston, B. Muscular Portfolios. BenBella Books (2018).
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 1
- Risk Category
- conservative
- Tags
- momentum, multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 9 ETFs
- Momentum Lookback
- 5 months (total return)
- Selection
- Top 3 by momentum
- Weighting
- Equal weight (33.33% each)
- Defensive Mechanism
- Natural rotation into bonds/gold (no explicit cash trigger)
- Data Source
- Institutional-grade market data (6 months minimum history)
Asset Classes
Mama Bear Portfolio at a glance
Mama Bear Portfolio is a tactical asset allocation (TAA) strategy by Brian Livingston across US Equity, US Small Cap, International Equity, Emerging Markets, rebalanced monthly. Backtested 1985-07-31 to 2026-05-20 (40.8 years): 11.2% CAGR, 0.92 Sharpe, -33.5% max drawdown, 12.2% volatility.
- Type
- Tactical (TAA)
- Author
- Brian Livingston
- Rebalancing
- Monthly
- Risk
- Conservative
- Period
- 1985-07-31 to 2026-05-20
- CAGR
- 11.2%
- Sharpe
- 0.92
- Max Drawdown
- -33.5%
- Volatility
- 12.2%
Mama Bear Portfolio — Tactical Asset Allocation Strategy
The Mama Bear Portfolio is one of two 'Muscular Portfolios' designed by Brian Livingston. It uses a 9-ETF universe and straightforward 5-month momentum to select the top 3 holdings in equal weight (33.33% each). There is no explicit defensive trigger — instead, the universe includes defensive assets (long-term treasuries, short-term treasuries, gold) that naturally rotate into the top 3 during market downturns.
Backtest Performance (1985-07-31 to 2026-05-20)
| Metric | Mama Bear Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.2% |
| Maximum Drawdown | -33.5% |
| Sharpe Ratio | 0.92 |
| Sortino Ratio | 1.11 |
| Annualized Volatility | 12.2% |
| Calmar Ratio | 0.33 |
| Total Return | 7489.9% |
| Backtest Period | 40.8 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- conservative
- Variants
- 1
- Author
- Brian Livingston
- Source
- Livingston, B. Muscular Portfolios. BenBella Books (2018).
Asset Classes
- US Equity
- US Small Cap
- International Equity
- Emerging Markets
- REITs
- Commodities
- Gold
- Long-Term Treasuries
- Short-Term Treasuries
Categories
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