VAA (Vigilant Asset Allocation)
VAA (Vigilant Asset Allocation) is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-07-31. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2017-07-14 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-07-31
- History boundary
- The recorded 2017-07-14 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Compute 13612W momentum for all offensive assets (SPY, EFA, EEM, AGG) 2. Count how many offensive assets have 13612W <= 0 3. If count >= B (default 1) → DEFENSIVE: 100% in top defensive asset (LQD, IEF, or SHY) by 13612W 4. If count <…
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- 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
- Freshness
- The latest available backtest ends 2026-07-31. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- Today (first trading day of August); scheduled 2026-08-03 at 09:30 ET. Review the published signal before placing any trade.
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 2026-07-31 (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 2026-07-31
- 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 2026-07-31, 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 2026-07-31)
| Metric | VAA (Vigilant Asset Allocation) |
|---|---|
| CAGR | 14.5% |
| Max Drawdown | -20.9% |
| Sharpe | 1.16 |
| Sortino | 1.85 |
| Volatility | 11.3% |
| Calmar | 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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