Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Vigilant Asset Allocation - G12
Details
The Vigilant Asset Allocation – G12 strategy was developed by Wouter Keller and JW Keuning.
It’s based on their paper Breadth Momentum and Vigilant Asset Allocation (VAA)
This is a less aggressive strategy than the Vigilant Asset Allocation – G4 and uses the T5B4 selection criteria outlined in the paper.
Like some of the other strategies developed by Keller and Keuning, it uses a “breadth momentum” test to determine how much of the portfolio should be invested in risk vs. safe assets.
The strategy, on average, allocates 26% to equities, 43% to bonds, and 31% to cash, REITs, gold, and commodities.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
11.8%
Sharpe Ratio
0.92
10 Year Annual Return
2.8%
Volatility (annualized)
7.7%
Max Drawdown
-20.6%
Positive Periods
73.8%
Dot Com Annual Return
0.0%
Great Financial Crisis Return
13.2%
Trade Frequency
Monthly
Ulcer Performance Index
2.2
Strategy Rules
This strategy trades once per month.
The assets are broken into two categories:
- Risk Assets: SPY, IWM, QQQ, VGK, EWJ, EEM, VNQ, DBC, GLD, TLT, LQD, and HYG
- Safe Assets: IEF LQD, and BIL
- On the last trading day of the month, calculate the Momentum Score for each of the assets above.
- Momentum Score = (12*(p0/p1)) + (4*(p0/p3)) + (2*(p0/p6)) + (p0/p12) – 19
- p0 = today’s price, p1 = price at close of last month, etc…
- Determine your allocation to cash by finding the number of risk assets with a negative momentum score (n).
- If n >=4, 100% of the portfolio is invested in the Safe Asset with the highest momentum score
- If n=3, invest 75% of the portfolio in the Safe Asset with the highest momentum score. Invest 25% of the portfolio evenly in the 5 Risk Assets with the highest momentum score (1/5 per asset)
- If n=2, invest 50% of the portfolio in the Safe Asset with the highest momentum score. Invest 50% of the portfolio evenly in the 5 Risk Assets with the highest momentum score (1/5 per asset)
- If n=1, 25% of the portfolio in the Safe Asset with the highest momentum score. Invest 75% of the portfolio evenly in the 5 Risk Assets with the highest momentum score (1/5 per asset)
- If n=0, invest 100% of the portfolio evenly in the 5 Risk Assets with the highest momentum score (1/5 per asset)
- Hold all positions until the last trading day of the next month.
How to Invest in the Vigilant Asset Allocation - G12 Portfolio
Support PortfolioDB by becoming a monthly patron and we will send you the trade signals for this portfolio and many others at the end of each month.
