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 2026-07-03 (47.8 years): 14.5% CAGR, 1.16 Sharpe, -20.9% max drawdown, 11.3% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller & Jan Willem Keuning
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1978-08-31 to 2026-07-03
- CAGR
- 14.5%
- Sharpe
- 1.16
- Max Drawdown
- -20.9%
- Volatility
- 11.3%
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.
VAA (Vigilant Asset Allocation): frequently asked questions
- What is Vigilant Asset Allocation?
- 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.
- Who created the VAA (Vigilant Asset Allocation) strategy?
- VAA (Vigilant Asset Allocation) was developed by Wouter J. Keller & Jan Willem Keuning. It is based on Keller, W.J. & Keuning, J.W. (2017). Breadth Momentum and Vigilant Asset Allocation (VAA).
- What is the historical return and maximum drawdown of VAA (Vigilant Asset Allocation)?
- Backtested from 1978-08-31 to 2026-07-03, VAA (Vigilant Asset Allocation) returned 14.5% CAGR with a -20.9% maximum drawdown and a Sharpe ratio of 1.16. Past performance does not guarantee future results.
- How often is VAA (Vigilant Asset Allocation) rebalanced?
- VAA (Vigilant Asset Allocation) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is VAA (Vigilant Asset Allocation) a tactical asset allocation strategy?
- Yes. VAA (Vigilant Asset Allocation) 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 (1978-08-31 to 2026-07-03)
| Metric | VAA (Vigilant Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 14.5% |
| Maximum Drawdown | -20.9% |
| Sharpe Ratio | 1.16 |
| Sortino Ratio | 1.85 |
| Annualized Volatility | 11.3% |
| Calmar Ratio | 0.69 |
| Total Return | 64999.6% |
| Backtest Period | 47.8 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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Related strategies
- HAA (Hybrid Asset Allocation) by Wouter KellerSharpe 1.49
- DAA (Defensive Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.32
- PAA (Protective Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.29
- GPMv (DMS) by Randy Harris (DMS variant of Keller & Keuning's GPM)Sharpe 1.26
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