Defensive Asset Allocation
Two trigger assets decide how much of a 12-asset book stays at risk.
Higher overfitting risk: these models have many parameters chosen with hindsight. Expect live results to trail the backtest.
Holding now
Signal from Aug 2026 close- SHY50%
- GSG8.3%
- GLD8.3%
- QQQ8.3%
- EWJ8.3%
- SPY8.3%
- VWO8.3%
- SHY1-3Y Treasuries50.0%
- GSGCommodities (GSCI)8.3%
- GLDGold8.3%
- QQQNasdaq 1008.3%
- EWJJapan8.3%
- SPYS&P 5008.3%
- VWOEmerging Markets8.3%
Signal preview: if the month ended today
- SHY50%
- GSG8.3%
- QQQ8.3%
- EWJ8.3%
- SPY8.3%
- VWO8.3%
- VGK8.3%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.6%
YTD
+9.7%
1Y
+14.9%
3Y
+13.2%
5Y
+4.9%
10Y
+7.3%
Growth of $100
Backtest from May 3, 2004 to Sep 25, 2026 (22.3 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+7.9%
Volatility
9.4%
Max drawdown
-19.5%
Sharpe
0.69
Sortino
0.98
Calmar
0.40
Best year
+26.8%
Worst year
-11.7%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 69% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
DAA separates the crash signal from the investment universe. Emerging markets and aggregate bonds are the trigger assets, watched with the 13612W score: both positive holds the top six of twelve global assets; one negative goes 50/50; both negative goes fully defensive.
The rules
- 1Trigger assets: VWO and BND, scored by 13612W.
- 2Both positive → 100% top 6 of the G12 risky universe; one negative → 50/50; both negative → 100% defensive.
- 3Defensive: the best of SHY, IEF, LQD.
Funds used
- BND US Aggregate Bonds
- EWJ Japan
- GLD Gold
- GSG Commodities (GSCI)
- HYG High Yield Bonds
- IEF 7-10Y Treasuries
- IWM US Small Cap
- LQD IG Corporate Bonds
- QQQ Nasdaq 100
- SHY 1-3Y Treasuries
- SPY S&P 500
- TLT 20+Y Treasuries
- VGK Europe
- VNQ US REITs
- VWO Emerging Markets
Early history uses proxy funds: AGG, EEM, EFA, IYR, SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025
More crash protection
Protective Asset Allocation
Wouter Keller & JW Keuning
The bond share rises as more assets lose momentum.
Vigilant Asset Allocation (G4)
Wouter Keller & JW Keuning
Fully defensive the moment any risk asset turns down.
Bold Asset Allocation (Balanced)
Wouter Keller
Four trigger assets, a hair-trigger switch, and a trimmed defense.