Vigilant Asset Allocation (G4)
Fully defensive the moment any risk asset turns down.
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- SHY100%
- SHY1-3Y Treasuries100.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
-0.5%
YTD
+5.3%
1Y
+9.4%
3Y
+6.8%
5Y
+1.5%
10Y
+4.9%
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
+10.2%
Volatility
13.5%
Max drawdown
-22.1%
Sharpe
0.67
Sortino
0.97
Calmar
0.46
Best year
+36.1%
Worst year
-12.9%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 66% 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
VAA uses the fast 13612W momentum score. If all four offensive assets are positive it holds the single strongest; if even one turns negative it switches entirely to the best of three defensive bond funds.
The rules
- 1Score = 12×r1 + 4×r3 + 2×r6 + 1×r12.
- 2Offensive: SPY, EFA, EEM, AGG. Defensive: LQD, IEF, SHY.
- 3All offensive scores positive → 100% best offensive; otherwise 100% best defensive.
Funds used
- AGG US Aggregate Bonds
- EEM Emerging Markets
- EFA Intl Developed (EAFE)
- IEF 7-10Y Treasuries
- LQD IG Corporate Bonds
- SHY 1-3Y Treasuries
- SPY S&P 500
Early history uses proxy funds: 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.
Defensive Asset Allocation
Wouter Keller & JW Keuning
Two trigger assets decide how much of a 12-asset book stays at risk.
Bold Asset Allocation (Balanced)
Wouter Keller
Four trigger assets, a hair-trigger switch, and a trimmed defense.