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 2026-07-03, Papa Bear Portfolio returned 11.3% CAGR with a -24.2% 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.

Papa Bear Portfolio Strategy by Brian Livingston

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

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 2026-07-03 (32.6 years): 11.3% CAGR, 0.93 Sharpe, -24.2% max drawdown, 14.4% volatility.

Type: Tactical (TAA)
Author: Brian Livingston
Rebalancing: Monthly
Risk: Conservative
Period: 1993-11-30 to 2026-07-03
CAGR: 11.3%
Sharpe: 0.93
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.

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 2026-07-03, Papa Bear Portfolio returned 11.3% CAGR with a -24.2% 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 2026-07-03)

Metric	Papa Bear Portfolio
Compound Annual Growth Rate (CAGR)	11.3%
Maximum Drawdown	-24.2%
Sharpe Ratio	0.93
Sortino Ratio	1.55
Annualized Volatility	14.4%
Calmar Ratio	0.47
Total Return	3214.2%
Backtest Period	32.6 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

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