VAA (Vigilant Asset Allocation)
Compute 13612W momentum for all offensive assets (SPY, EFA, EEM, AGG). Count how many offensive assets have 13612W of at most 0. Backtest max drawdown: -20.9%.
Strategy & methodology
Compute 13612W momentum for all offensive assets (SPY, EFA, EEM, AGG); Count how many offensive assets have 13612W <= 0; If count >= B (default 1) → DEFENSIVE: 100% in top defensive asset (LQD, IEF, or SHY) by 13612W; If count < B →…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2017-07-14; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-09-30.
Simulated history
Stand-in funds and until when (10)
- AGG: VBMFX before Sep 26, 2003
- EEM: VEIEX before Apr 14, 2003
- SHY: VFISX before Jul 26, 2002
- LQD: PIGIX before Jul 26, 2002
- IEF: VFITX before Jul 26, 2002
- EFA: VGTSX before Aug 17, 2001
- LQD: VWESX before Jul 26, 2002
- EFA: PRITX before Aug 17, 2001
- EEM: FEMKX before Apr 14, 2003
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Compute 13612W momentum for all offensive assets (SPY, EFA, EEM, AGG). Count how many offensive assets have 13612W of at most 0. Backtest max drawdown: -20.9%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version bf9014f7, published 2026-10-01
Is VAA (Vigilant Asset Allocation) still working in 2026?
VAA (Vigilant Asset Allocation) returned 7.84% over the trailing 12 months and 23.36% over 36 months through 2026-09-30, compared with a full-backtest annualized return of 16.11%. Its full-backtest maximum drawdown was -20.87%. The full sample contains 12210 daily NAV observations from 1978-08-31. These are model results, not investor account returns or a promise. As of 2026-09-30 it is -10.52% below its high-water mark of 2026-06-22, 3 months ago, and its longest run below a previous high was 4.9 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 7.84% | Not annualized | -14.24% | 252 | 2025-09-30 to 2026-09-30 |
| Trailing 36 months | 23.36% | Not annualized | -14.24% | 753 | 2023-09-29 to 2026-09-30 |
| Full backtest | 131658.52% | 16.11% | -20.87% | 12210 | 1978-08-31 to 2026-09-30 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-06-22, 3 months before 2026-09-30, and it is -10.52% below that level now. The longest run below a previous high in the full backtest was 4.9 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-09-30 (48.1 years): 16.1% CAGR, 1.24 Sharpe, -20.9% max drawdown, 11.4% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller & Jan Willem Keuning
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1978-08-31 to 2026-09-30
- CAGR
- 16.1%
- Sharpe
- 1.24
- Max Drawdown
- -20.9%
- Volatility
- 11.4%
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 2026-09-30, VAA (Vigilant Asset Allocation) returned 16.1% CAGR with a -20.9% maximum drawdown and a Sharpe ratio of 1.24. 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 2026-09-30)
| Metric | VAA (Vigilant Asset Allocation) |
|---|---|
| CAGR | 16.1% |
| Max Drawdown | -20.9% |
| Sharpe | 1.24 |
| Sortino | 2.76 |
| Volatility | 11.4% |
| Calmar | 0.77 |
| Total Return | 131658.5% |
| Backtest Period | 48.1 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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.
Holding VAA (Vigilant Asset Allocation) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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