Papa 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 13 diversified ETFs spanning equities, REITs, commodities, and bonds. Holds the top 3 by average 3/6/12-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
- 1For each of the 13 ETFs, compute 3-month, 6-month, and 12-month total returns
- 2Calculate composite momentum score = average of the three return periods
- 3Select the top 3, allocate 33.33% to each
- 4Universe: VTV, VUG, VIOV, VIOG, VEA, VWO, VNQ, PDBC, IAU, EDV, VGIT, VCLT, BNDX
Asset Universe
Pro subscribers only
13 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
- 13 ETFs
- Scoring Method
- Average of 3-month, 6-month, and 12-month total returns
- Selection
- Top 3 by composite momentum score
- Weighting
- Equal weight (33.33% each)
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
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 2026-05-20 (32.5 years): 11.5% CAGR, 0.83 Sharpe, -24.2% max drawdown, 14.4% volatility.
- Type
- Tactical (TAA)
- Author
- Brian Livingston
- Rebalancing
- Monthly
- Risk
- Conservative
- Period
- 1993-11-30 to 2026-05-20
- CAGR
- 11.5%
- Sharpe
- 0.83
- Max Drawdown
- -24.2%
- Volatility
- 14.4%
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.
Backtest Performance (1993-11-30 to 2026-05-20)
| Metric | Papa Bear Portfolio |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.5% |
| Maximum Drawdown | -24.2% |
| Sharpe Ratio | 0.83 |
| Sortino Ratio | 1.10 |
| Annualized Volatility | 14.4% |
| Calmar Ratio | 0.48 |
| Total Return | 3347.2% |
| Backtest Period | 32.5 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 (Value)
- US Equity (Growth)
- US Small Cap
- International Equity
- Emerging Markets
- REITs
- Commodities
- Gold
- Treasuries
- Corporate Bonds
- International Bonds
Categories
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