VAA (Vigilant Asset Allocation)
TacticalProaggressiveBased on research by Wouter J. Keller & Jan Willem Keuning · Keller, W.J. & Keuning, J.W. (2017). Breadth Momentum and Vigilant Asset Allocation (VAA)
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Launched Jul 14, 2017About this 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.
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
- 1Compute 13612W momentum for all offensive assets (SPY, EFA, EEM, AGG)
- 2Count how many offensive assets have 13612W <= 0
- 3If count >= B (default 1) → DEFENSIVE: 100% in top defensive asset (LQD, IEF, or SHY) by 13612W
- 4If count < B → OFFENSIVE: 100% in top T offensive asset(s) by 13612W, equal weight
- 5Leveraged variants substitute all ETFs using the leverage mapping table
Asset Universe
Pro subscribers only
7 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Wouter J. Keller & Jan Willem Keuning
Keller, W.J. & Keuning, J.W. (2017). Breadth Momentum and Vigilant Asset Allocation (VAA)
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 3
- Risk Category
- aggressive
- Tags
- momentum, multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 4 offensive + 3 defensive assets
- Scoring Method
- 13612W momentum (12×1m + 4×3m + 2×6m + 1×12m returns)
- Concentration
- Top 1 asset by default (configurable top_offensive parameter)
- Breadth Trigger
- B=1: any single offensive asset with momentum <= 0 triggers defense
- Leverage Options
- 1x (standard), 2x, or 3x (leveraged ETF substitution)
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
Investment Universe
VAA (Vigilant Asset Allocation) at a glance
VAA (Vigilant Asset Allocation) is a tactical asset allocation (TAA) strategy by Wouter J. Keller & Jan Willem Keuning across US Equity, International Equity, Emerging Markets, US Aggregate Bonds, rebalanced monthly. Backtested 1978-08-31 to 2026-05-20 (47.7 years): 14.4% CAGR, 1.26 Sharpe, -20.9% max drawdown, 11.1% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller & Jan Willem Keuning
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1978-08-31 to 2026-05-20
- CAGR
- 14.4%
- Sharpe
- 1.26
- Max Drawdown
- -20.9%
- Volatility
- 11.1%
VAA (Vigilant Asset Allocation) — Tactical Asset Allocation Strategy
Vigilant Asset Allocation (VAA) is a breadth-momentum tactical strategy by Keller & Keuning. It monitors the 13612W weighted momentum of all offensive assets as a breadth indicator. When every offensive asset has positive momentum, the portfolio goes fully offensive into the top-ranked asset(s). If even one offensive asset turns negative (breadth parameter B=1), the entire portfolio switches to the best-performing defensive asset. This binary risk-on/risk-off mechanism makes VAA one of the most aggressive crash-protection strategies in the Keller family.
Backtest Performance (1978-08-31 to 2026-05-20)
| Metric | VAA (Vigilant Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 14.4% |
| Maximum Drawdown | -20.9% |
| Sharpe Ratio | 1.26 |
| Sortino Ratio | 1.49 |
| Annualized Volatility | 11.1% |
| Calmar Ratio | 0.69 |
| Total Return | 61431.6% |
| Backtest Period | 47.7 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- aggressive
- Variants
- 3
- Author
- Wouter J. Keller & Jan Willem Keuning
- Source
- Keller, W.J. & Keuning, J.W. (2017). Breadth Momentum and Vigilant Asset Allocation (VAA)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- US Aggregate Bonds
- Corporate Bonds
- Treasuries
Categories
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