Mama Bear Portfolio (Muscular Portfolios)
Brian Livingston's Mama Bear from Muscular Portfolios. Each month it ranks nine funds by their five-month total return: US large and small stocks, developed and emerging stocks, real estate, commodities, gold, long Treasuries, and short Treasuries as cash. It holds the top three in equal parts, so it moves to cash only when cash out-ranks the risky assets.
Designed by Brian Livingston, 2018. Implemented and tracked by Tactfolio.
| Jun 2007 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 9.6% | 10.8% |
| Worst drawdown | -25.1% | -55.2% |
| Sharpe ratio | 0.74 | 0.62 |
| Volatility | 13.6% | 19.7% |
| Annual return since publication (Feb 2018) | 6.0% | 14.1% |
| Oct 2000 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 11.2% | 8.9% |
| Worst drawdown | -25.1% | -55.2% |
| Sharpe ratio | 0.87 | 0.54 |
| Volatility | 13.2% | 19.1% |
| Annual return since publication (Feb 2018) | 6.0% | 14.1% |
The Mama Bear Portfolio is the middle of the three portfolios in Brian Livingston's 2018 book Muscular Portfolios. Once a month it ranks nine funds, including a short-term Treasury fund that acts as cash, by their return over the past five months and holds the top three in equal parts.
The idea#
Livingston argues that a fixed mix of index funds, the "lazy portfolio," leaves investors fully exposed to every bear market. His muscular portfolios keep the low costs of index funds but add momentum: asset classes that have risen most over recent months tend to keep leading for a while. The rules come from CXO Advisory's Simple Asset Class ETF Momentum Strategy, which Livingston credits.
The defense is built into the ranking. Short-term Treasuries sit in the list with the stock, real estate, commodity, and bond funds. When most risky assets are falling, cash climbs the ranking and takes one or more of the three slots, with no separate market-timing signal.
How it works#
At the close of the last trading day of each month:
- Compute the total return over the past five months (105 trading days) for nine funds: US large caps (IWB), US small caps (IJR), developed-market stocks (EFA), emerging-market stocks (VWO), US real estate (VNQ), commodities (DBC), gold (IAU), long-term Treasuries (TLT), and short-term Treasuries as cash (SHV).
- Hold the three with the highest return, a third each.
- Repeat next month, restoring equal weights.
Livingston names Vanguard funds for several of these. IWB, IJR, EFA, DBC, and TLT stand in for VONE, VIOO, VEA, PDBC, and VGLT, which launched later.
What the backtest shows#
Over the ETF era, from mid-2007, Mama Bear returned a little less than the S&P 500 with less than half its worst drawdown. On risk-adjusted return it beat the S&P 500 but slightly trailed a 60/40 portfolio. In 2008 it gained about 8% while the S&P 500 lost 37%: commodities and gold led the ranking early in the year, and Treasuries, gold, and cash took over from the autumn.
It then lagged in strong stock markets. In 2019, 2020, 2023, and 2024 it trailed the S&P 500 by 18–27 percentage points, and in 2015 it lost 12% while stocks were roughly flat. In 2020 it held stocks into the February crash, then moved to Treasuries, gold, and cash and missed most of the rebound. Its worst drawdown, about 25%, ran from August 2018 to March 2020 and was recovered in January 2021.
Since the book came out in early 2018 it has returned about 6% a year and trailed the S&P 500 in six of the eight full years. With simulated history the test starts in late 2000 and looks better, near 11% a year, helped by a gain in 2002, when the S&P 500 fell 22%.
When it struggles#
- Sharp reversals. A five-month signal checked once a month is slow to react to a crash that unfolds in weeks, as in early 2020.
- Narrow bull markets. When large US stocks lead year after year, it often holds other assets.
- Whipsaws. When leadership keeps changing, it can buy an asset near the end of its run.
Using it on Tactfolio#
The live strategy above runs these rules with the stand-in funds named here, and it rebalances to equal weights every month, while Livingston only trims a holding that has drifted more than 20% from its target. Copy it to try the book's own Vanguard tickers or a different lookback, or compare it with Papa Bear and Baby Bear.
Year by year
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 16.6% | 14.0% |
| 2025 | 21.8% | 17.7% |
| 2024 | 6.5% | 24.9% |
| 2023 | -0.5% | 26.2% |
| 2022 | -12.1% | -18.2% |
| 2021 | 26.1% | 28.7% |
| 2020 | 0.1% | 18.3% |
| 2019 | 8.7% | 31.2% |
| 2018 | -4.9% | -4.6% |
| 2017 | 13.9% | 21.7% |
| 2016 | 11.3% | 12.0% |
| 2015 | -12.3% | 1.2% |
| 2014 | 10.2% | 13.5% |
| 2013 | 22.7% | 32.3% |
| 2012 | 3.2% | 16.0% |
| 2011 | 11.4% | 1.9% |
| 2010 | 11.9% | 15.1% |
| 2009 | 37.5% | 26.4% |
| 2008 | 8.1% | -36.8% |
| 2007* | 17.1% | -2.4% |
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 16.6% | 14.0% |
| 2025 | 21.8% | 17.7% |
| 2024 | 6.5% | 24.9% |
| 2023 | -0.5% | 26.2% |
| 2022 | -12.1% | -18.2% |
| 2021 | 26.1% | 28.7% |
| 2020 | 0.1% | 18.3% |
| 2019 | 8.7% | 31.2% |
| 2018 | -4.9% | -4.6% |
| 2017 | 13.9% | 21.7% |
| 2016 | 11.3% | 12.0% |
| 2015 | -12.3% | 1.2% |
| 2014 | 10.2% | 13.5% |
| 2013 | 22.7% | 32.3% |
| 2012 | 3.2% | 16.0% |
| 2011 | 11.4% | 1.9% |
| 2010 | 11.9% | 15.1% |
| 2009 | 37.5% | 26.4% |
| 2008 | 8.1% | -36.8% |
| 2007 | 29.4% | 5.1% |
| 2006 | 13.9% | 15.8% |
| 2005 | 12.8% | 4.8% |
| 2004 | 15.5% | 10.7% |
| 2003 | 41.1% | 28.2% |
| 2002 | 13.8% | -21.6% |
| 2001 | -5.8% | -11.8% |
| 2000* | 7.4% | -2.0% |
* Partial year.
The rules as implemented
This is the exact tree Tactfolio runs, rebalanced monthly with signals and trades at the close. Open it to inspect or copy it.
- StrategyLivingston Mama Bear
- WeightEqual
- RankTop 3 · 105d cumulative return
- TickerIWB
- TickerIJR
- TickerEFA
- TickerVWO
- TickerVNQ
- TickerDBC
- TickerIAU
- TickerTLT
- TickerSHV
- RankTop 3 · 105d cumulative return
- WeightEqual
Sources and caveats
- Brian Livingston, Mama Bear Portfolio (MuscularPortfolios.com)
- Brian Livingston, Muscular Portfolios: The Investing Revolution for Superior Returns with Lower Risk (BenBella, 2018)
- Longer-lived funds on the same or nearest index stand in for the book's Vanguard ETFs: IWB for VONE (Russell 1000), IJR for VIOO (S&P SmallCap 600), EFA for VEA (developed markets), DBC for PDBC (the same commodity strategy), and TLT for VGLT (long Treasuries). VWO, VNQ, IAU, and SHV are the book's own.
- Five months is 105 trading sessions, as on the Muscular Portfolios site. The site ranks on the close of the day before trading; here the ranking and the trade share the month-end close.
- Livingston says a holding need not be trimmed back to an equal share unless it drifts more than 20% from its target; this version restores equal weights every month.
- Signals and trades use the close of the last trading day of each month, as in the source.
Common questions#
What is the Mama Bear Portfolio?#
It is a momentum portfolio from Brian Livingston's book Muscular Portfolios (2018). Each month it holds the three strongest of nine funds by five-month return, with a cash fund in the ranking so it can step aside from falling markets.
What ETFs does Mama Bear use?#
The book lists VONE, VIOO, VEA, VWO, VNQ, PDBC, IAU, VGLT, and SHV. This version uses IWB, IJR, EFA, DBC, and TLT for the five that launched later, to test further back.
How is Mama Bear different from Papa Bear?#
Mama Bear ranks nine funds on five-month returns and can hold cash. Papa Bear ranks thirteen funds on an average of longer returns and has no cash fund, so it is always invested in stocks, bonds, or commodities.
Does Mama Bear still work?#
Since 2018 it has made money, about 6% a year, but trailed the S&P 500 and the simpler Baby Bear. It still kept its worst loss near a quarter of the portfolio. The live record on Tactfolio shows how it is doing now.