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 2026-06-18 (47.8 years): 14.6% CAGR, 1.17 Sharpe, -20.9% max drawdown, 11.2% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller & Jan Willem Keuning
- Rebalancing
- Monthly
- Risk
- Aggressive
- Period
- 1978-08-31 to 2026-06-18
- CAGR
- 14.6%
- Sharpe
- 1.17
- Max Drawdown
- -20.9%
- Volatility
- 11.2%
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 2026-06-18)
| Metric | VAA (Vigilant Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 14.6% |
| Maximum Drawdown | -20.9% |
| Sharpe Ratio | 1.17 |
| Sortino Ratio | 1.85 |
| Annualized Volatility | 11.2% |
| Calmar Ratio | 0.70 |
| Total Return | 67226.5% |
| 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
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