Classic tactical asset allocation strategies
Well-known rules from published research, built on Tactfolio from the authors' own papers and tested on daily ETF prices. Each one is live: open it, inspect every rule, or copy it and change it.
Hybrid Asset Allocation (HAA)
Wouter Keller and JW Keuning, 2023
Keller and Keuning’s HAA uses a TIP canary to step aside from inflation shocks. Rules, ETF backtest since 2008, simulated history since 1970, and a live version.
10.2% a year · worst drawdown -16% · Sharpe 0.93 since 2008
HAA Simple: Hybrid Asset Allocation with one asset
Wouter Keller and JW Keuning, 2023
The single-asset HAA: hold the S&P 500 while TIP and SPY momentum are positive, otherwise bonds or bills. Rules, backtest, yearly returns, and a live version.
11.7% a year · worst drawdown -20% · Sharpe 0.98 since 2008
Bold Asset Allocation (BAA)
Wouter Keller, 2022
Wouter Keller’s BAA pairs a fast canary with slow momentum picks and a rule for rising rates. Rules, ETF backtest, yearly returns, and a live version to copy.
9.0% a year · worst drawdown -13% · Sharpe 0.91 since 2008
Vigilant Asset Allocation (VAA)
Wouter Keller and JW Keuning, 2017
Keller and Keuning’s VAA-G4 uses breadth momentum to hold one of four assets or move to bonds. Rules, ETF backtest, yearly returns, and a live version to copy.
11.5% a year · worst drawdown -19% · Sharpe 0.85 since 2004
Defensive Asset Allocation (DAA)
Wouter Keller and JW Keuning, 2018
Keller and Keuning’s DAA watches two canary assets to decide how defensive to be. Rules, ETF backtest, year-by-year returns, and a live version to copy.
8.5% a year · worst drawdown -19% · Sharpe 0.82 since 2008
Protective Asset Allocation (PAA)
Wouter Keller and JW Keuning, 2016
Keller and Keuning’s PAA moves into Treasuries step by step as market breadth weakens. Rules, ETF backtest, year-by-year returns, and a live version to copy.
6.9% a year · worst drawdown -14% · Sharpe 0.81 since 2008
Adaptive Asset Allocation (AAA)
Adam Butler, Michael Philbrick, Rodrigo Gordillo, and David Varadi, 2012
Butler, Philbrick, Gordillo, and Varadi’s AAA: top five of ten asset classes by momentum, weighted by volatility. Rules, ETF backtest, and a live version to copy.
10.1% a year · worst drawdown -22% · Sharpe 0.93 since 2007
Faber’s 10-month moving average timing model
Mebane Faber, 2007
Mebane Faber’s trend rule: hold the S&P 500 above its 10-month average, Treasury bills below. Rules, backtest since 2007, yearly returns, and a live version.
9.2% a year · worst drawdown -25% · Sharpe 0.77 since 2007
How we choose which classics to list
We implement a strategy from its source and test it on real ETF prices. We list it only if, over its full ETF history, it beat both the S&P 500 and a 60/40 stock and bond mix on risk-adjusted return, fell less than the 60/40 in its worst drawdown, returned at least 6% a year, and kept a reasonable risk-adjusted return after its paper was published.
Several famous strategies did not make the cut. Faber's five-asset GTAA, Antonacci's Global Equities Momentum and Composite Dual Momentum, Vigilant Asset Allocation G12, and Bold Asset Allocation G4 all trailed a plain 60/40 on these measures over the ETF era. They are still worth studying, but we don't present them as strategies to follow.