The Vigilant Asset Allocation – G4 strategy was developed by Wouter Keller and JW Keuning.
It’s based on their paper Breadth Momentum and Vigilant Asset Allocation (VAA)
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 41% to equities, 36% to bonds, and 23% to cash.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
23% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
21% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
20% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
15% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
11% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
9% | EFA | iShares MSCI EAFE ETF | Equity, Inter. Developed, Large Cap | |
1% | AGG | iShares Core U.S. Aggregate Bond ETF | Bond, U.S., All-Term |
This strategy trades once per month.
The strategy assets are broken into two categories:
On the last trading day of the month:
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Low | Average | High | |
|---|---|---|---|
1-Year | -13.1% | 18.2% | 81.7% |
3-Year | -1.7% | 17.8% | 51.7% |
5-Year | 2.5% | 17.6% | 41.4% |
10-Year | 3.9% | 18.1% | 31.0% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 16.8% | 9.3% | 10.3% |
10Y Annual Return | 4.1% | 7.9% | 12.2% |
Sharpe Ratio | 0.96 | 0.51 | 0.43 |
Max Drawdown | -16.9% | -29.7% | -50.97% |
Volatility (annualized) | 12.4% | 9.9% | 15.4% |
Dot Com Annual Return | 4.7% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 23.2% | -0.3% | -5.66% |
Positive Periods | 75.9% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
