Papa Bear Portfolio
For each of the 13 ETFs, compute 3-month, 6-month, and 12-month total returns. Backtest max drawdown: -24.3%.
Strategy & methodology
For each of the 13 ETFs, compute 3-month, 6-month, and 12-month total returns; Calculate composite momentum score = average of the three return periods; Select the top 3, allocate 33.33% to each; Universe: VTV, VUG, VIOV, VIOG, VEA, VWO…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2018; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-02.
Simulated history
Stand-in funds and until when (13)
- PDBC: DBC before Nov 7, 2014
- BNDX: BWX before Jun 4, 2013
- VIOV: IJR x0.95 before Sep 9, 2010
- VIOG: IJR x1.1 before Sep 9, 2010
- VGIT: IEF before Nov 23, 2009
- VCLT: LQD x1.2 before Nov 23, 2009
- EDV: TLT x1.5 before Dec 13, 2007
- VEA: EFA before Jul 26, 2007
- VWO: EEM before Mar 10, 2005
- VNQ: VGSIX before Sep 29, 2004
- VUG: VIGRX before Jan 30, 2004
- VTV: IWD before Jan 30, 2004
- VNQ: FRESX before Sep 29, 2004
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
For each of the 13 ETFs, compute 3-month, 6-month, and 12-month total returns. Backtest max drawdown: -24.3%. 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 0d4e5427, published 2026-10-01
Is Papa Bear Portfolio still working in 2026?
Papa Bear Portfolio returned 6.71% over the trailing 12 months and 47.41% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 11.39%. Its full-backtest maximum drawdown was -24.30%. The full sample contains 8321 daily NAV observations from 1993-11-30. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -10.29% below its high-water mark of 2026-02-27, 7 months ago, and its longest run below a previous high was 2.9 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 6.71% | Not annualized | -12.36% | 252 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 47.41% | Not annualized | -12.36% | 754 | 2023-10-02 to 2026-10-02 |
| Full backtest | 3358.05% | 11.39% | -24.30% | 8321 | 1993-11-30 to 2026-10-02 |
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, 7 months before 2026-10-02, and it is -10.29% below that level now. The longest run below a previous high in the full backtest was 2.9 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.
Papa Bear Portfolio at a glance
Papa Bear Portfolio is a tactical asset allocation (TAA) strategy by Brian Livingston across US Equity (Value), US Equity (Growth), US Small Cap, International Equity, rebalanced monthly. Backtested 1993-11-30 to 2026-10-02 (32.8 years): 11.4% CAGR, 0.93 Sharpe, -24.3% max drawdown, 14.3% volatility.
- Type
- Tactical (TAA)
- Author
- Brian Livingston
- Rebalancing
- Monthly
- Risk
- Conservative
- Period
- 1993-11-30 to 2026-10-02
- CAGR
- 11.4%
- Sharpe
- 0.93
- Max Drawdown
- -24.3%
- Volatility
- 14.3%
Papa Bear Portfolio — Tactical Asset Allocation Strategy
The Papa Bear Portfolio is the more sophisticated of Brian Livingston's two 'Muscular Portfolios'. It uses a broader 13-ETF universe and a composite momentum score that averages 3-month, 6-month, and 12-month total returns. The top 3 are held in equal weight (33.33% each). The multi-period scoring smooths out noise compared to Mama Bear's single-period lookback.
Papa Bear Portfolio: frequently asked questions
- What is Papa Bear Portfolio?
- Momentum rotation across 13 diversified ETFs spanning equities, REITs, commodities, and bonds. Holds the top 3 by average 3/6/12-month return, equal-weighted. Broader universe than Mama Bear for more diversification. Monthly rebalancing.
- Who created the Papa Bear Portfolio strategy?
- Papa 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 Papa Bear Portfolio?
- Backtested from 1993-11-30 to 2026-10-02, Papa Bear Portfolio returned 11.4% CAGR with a -24.3% maximum drawdown and a Sharpe ratio of 0.93. Past performance does not guarantee future results.
- How often is Papa Bear Portfolio rebalanced?
- Papa Bear Portfolio is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Papa Bear Portfolio a tactical asset allocation strategy?
- Yes. Papa 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 (1993-11-30 to 2026-10-02)
| Metric | Papa Bear Portfolio |
|---|---|
| CAGR | 11.4% |
| Max Drawdown | -24.3% |
| Sharpe | 0.93 |
| Sortino | 1.59 |
| Volatility | 14.3% |
| Calmar | 0.47 |
| Total Return | 3356.7% |
| Backtest Period | 32.8 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
- conservative
- Variants
- 1
- Author
- Brian Livingston
- Source
- Livingston, B. Muscular Portfolios. BenBella Books (2018).
Asset Classes
- US Equity (Value)
- US Equity (Growth)
- US Small Cap
- International Equity
- Emerging Markets
- REITs
- Commodities
- Gold
- Treasuries
- Corporate Bonds
- International Bonds
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Papa Bear Portfolio alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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