VAA (Vigilant Asset Allocation) — Tactical Asset Allocation Strategy
Breadth-momentum strategy that invests offensively only when all four assets (US, intl, EM, bonds) show positive weighted multi-period momentum. A single negative score triggers 100% rotation into the best defensive bond. Monthly rebalancing.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | VAA (Vigilant Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 13.3% |
| Maximum Drawdown | -20.9% |
| Sharpe Ratio | 1.06 |
| Sortino Ratio | 1.27 |
| Annualized Volatility | 12.5% |
| Calmar Ratio | 0.64 |
| Total Return | 6237.0% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- aggressive
- Variants
- 3
- Author
- Wouter J. Keller & Jan Willem Keuning
Categories
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