What is Mama Bear Portfolio?

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.

Who created the Mama Bear Portfolio strategy?

Mama Bear Portfolio was developed by Brian Livingston. It is based on Livingston, B. Muscular Portfolios. BenBella Books (2018)..

What is the historical return and maximum drawdown of Mama Bear Portfolio?

Backtested from 1985-07-31 to 2026-07-03, Mama Bear Portfolio returned 11.1% CAGR with a -33.5% maximum drawdown and a Sharpe ratio of 0.94. Past performance does not guarantee future results.

How often is Mama Bear Portfolio rebalanced?

Mama Bear Portfolio is rebalanced monthly. BestFolio publishes the updated allocation signal each period.

Is Mama Bear Portfolio a tactical asset allocation strategy?

Yes. Mama Bear Portfolio is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.

Mama Bear Portfolio Strategy by Brian Livingston

Name: Mama Bear Portfolio, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (40.9 years): 11.1% CAGR, 0.94 Sharpe, -33.5% max drawdown, 12.2% volatility.

Type: Tactical (TAA)
Author: Brian Livingston
Rebalancing: Monthly
Risk: Conservative
Period: 1985-07-31 to 2026-07-03
CAGR: 11.1%
Sharpe: 0.94
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.

Mama Bear Portfolio: frequently asked questions

What is Mama Bear Portfolio?: 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.
Who created the Mama Bear Portfolio strategy?: Mama Bear Portfolio was developed by Brian Livingston. It is based on Livingston, B. Muscular Portfolios. BenBella Books (2018)..
What is the historical return and maximum drawdown of Mama Bear Portfolio?: Backtested from 1985-07-31 to 2026-07-03, Mama Bear Portfolio returned 11.1% CAGR with a -33.5% maximum drawdown and a Sharpe ratio of 0.94. Past performance does not guarantee future results.
How often is Mama Bear Portfolio rebalanced?: Mama Bear Portfolio is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is Mama Bear Portfolio a tactical asset allocation strategy?: Yes. Mama Bear Portfolio 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 (1985-07-31 to 2026-07-03)

Metric	Mama Bear Portfolio
Compound Annual Growth Rate (CAGR)	11.1%
Maximum Drawdown	-33.5%
Sharpe Ratio	0.94
Sortino Ratio	1.30
Annualized Volatility	12.2%
Calmar Ratio	0.33
Total Return	7365.1%
Backtest Period	40.9 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

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