The Kipnis Defensive Adaptive Asset Allocation strategy was developed by Ilya Kipnis and detailed on his website QuantStrat TradeR.
It’s a strategy that takes parts from different tactical asset allocation strategies and blends them together.
This one in particular uses aspects of:
On average, the portfolio holds 29% in equities, 35% in bonds, and 36% in cash, real estate, commodities, and gold.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
29% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
14% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
11% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
9% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
6% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
6% | RWO | SPDR DJ Wilshire Global Real Estate ETF | Real Estate, Global | |
6% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
6% | VGK | Vanguard FTSE Europe ETF | Equity, Europe, Large Cap | |
5% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
5% | GLD | SPDR Gold Trust | Commodity, Gold | |
3% | EWJ | iShares MSCI Japan ETF | Equity, Japan, Large Cap |
This strategy trades once per month.
There are three asset groups used in this strategy:
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Low | Average | High | |
|---|---|---|---|
1-Year | -8.8% | 11.3% | 42.2% |
3-Year | 0.8% | 11.4% | 20.8% |
5-Year | 2.1% | 11.5% | 19.7% |
10-Year | 3.7% | 12.0% | 16.6% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 11.0% | 9.3% | 10.3% |
10Y Annual Return | 4.0% | 7.9% | 12.2% |
Sharpe Ratio | 0.97 | 0.51 | 0.43 |
Max Drawdown | -9.6% | -29.7% | -50.97% |
Volatility (annualized) | 8.4% | 9.9% | 15.4% |
Dot Com Annual Return | 11.4% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 12.4% | -0.3% | -5.66% |
Positive Periods | 70.6% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
