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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
22% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
21% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
19% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
5% | QQQ | Invesco QQQ | Equity, U.S., Large Cap | |
5% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
5% | IWM | iShares Russell 2000 ETF | Equity, U.S., Small Cap | |
4% | VGK | Vanguard FTSE Europe ETF | Equity, Europe, Large Cap | |
4% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
4% | EWJ | iShares MSCI Japan ETF | Equity, Japan, Large Cap | |
3% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
3% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
2% | GLD | SPDR Gold Trust | Commodity, Gold | |
2% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
1% | HYG | iShares iBoxx $ High Yield Corporate Bond ETF | Bond, U.S., Intermediate-Term |
This strategy trades once per month.
The assets are broken into two categories:
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Low | Average | High | |
|---|---|---|---|
1-Year | -15.5% | 12.5% | 53.5% |
3-Year | -0.3% | 12.7% | 30.6% |
5-Year | 2.0% | 12.8% | 26.9% |
10-Year | 2.7% | 12.9% | 24.0% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 11.8% | 9.3% | 10.3% |
10Y Annual Return | 2.8% | 7.9% | 12.2% |
Sharpe Ratio | 0.92 | 0.51 | 0.43 |
Max Drawdown | -20.6% | -29.7% | -50.97% |
Volatility (annualized) | 7.7% | 9.9% | 15.4% |
Dot Com Annual Return | 0.0% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 13.2% | -0.3% | -5.66% |
Positive Periods | 73.8% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
