Papa Bear Portfolio (Muscular Portfolios)
Brian Livingston's Papa Bear from Muscular Portfolios, adapted from Mebane Faber's momentum rotation. Each month it ranks thirteen funds (US value and growth stocks in large and small sizes, developed and emerging stocks, real estate, commodities, gold, and four kinds of bonds) by recent momentum and holds the top three in equal parts. It has no cash rule and is always invested.
Designed by Brian Livingston, 2018. Implemented and tracked by Tactfolio.
| Feb 2007 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 9.2% | 10.9% |
| Worst drawdown | -22.3% | -55.2% |
| Sharpe ratio | 0.68 | 0.63 |
| Volatility | 14.6% | 19.6% |
| Annual return since publication (Feb 2018) | 8.6% | 14.1% |
| Jul 2001 – Sep 2026 | Strategy | SPY |
|---|---|---|
| Annual return (CAGR) | 10.8% | 9.6% |
| Worst drawdown | -22.3% | -55.2% |
| Sharpe ratio | 0.80 | 0.58 |
| Volatility | 14.1% | 18.9% |
| Annual return since publication (Feb 2018) | 8.6% | 14.1% |
The Papa Bear Portfolio is the largest of the three portfolios in Brian Livingston's 2018 book Muscular Portfolios. Once a month it ranks thirteen funds covering stocks, real estate, commodities, gold, and bonds by their average return over the past several months, and holds the top three in equal parts.
The idea#
Papa Bear applies momentum across a wide range of asset classes. Livingston adapted it from the rotation in Mebane Faber's 2013 update of his tactical allocation paper, which ranks asset classes by an average of several lookback periods. Averaging short and long periods favors trends that have lasted, rather than a single strong month.
Unlike Mama Bear, it has no cash fund and no trend filter. Its defense comes from the four bond funds in the list: when stocks and commodities fall, Treasuries and other bonds tend to rise to the top. Livingston's stated aim is to keep drawdowns below 20–25%.
How it works#
At the close of the last trading day of each month:
- Score thirteen funds by their average return over several months: US large value (VTV) and large growth (VUG), US small value (IJS) and small growth (IJT), developed-market stocks (EFA), emerging-market stocks (VWO), US real estate (VNQ), commodities (DBC), gold (IAU), long-term Treasuries (TLT), intermediate Treasuries (IEF), corporate bonds (LQD), and aggregate bonds (AGG).
- Hold the three with the highest score, a third each.
- Repeat next month, restoring equal weights.
Livingston averages the 3-, 6-, and 12-month returns. Tactfolio has no custom average of those three, so this version uses the nearest built-in score, the average of the 1-, 3-, 6-, and 12-month returns. Several funds also stand in for later-launched Vanguard ETFs in the book: IJS, IJT, EFA, DBC, TLT, IEF, and LQD for VIOV, VIOG, VEA, PDBC, EDV, VGIT, and VCLT, and AGG for the hedged international bond fund BNDX.
What the backtest shows#
Over the ETF era, from early 2007, Papa Bear returned somewhat less than the S&P 500, with a worst drawdown of about 22% against the S&P 500's 55%. It beat the S&P 500 on risk-adjusted return but trailed a plain 60/40 portfolio.
Its best years were crisis years. In 2008 it gained about 6% while the S&P 500 lost 37%, moving from commodities and gold into Treasuries as the year went on. In 2020 it gained 25%, holding Treasuries and gold through the crash and growth stocks afterward. It also lost less than the S&P 500 in 2022. In calm, rising markets it lagged, trailing the S&P 500 by 19–24 percentage points in 2019 and 2023.
Its worst drawdown ran from January 2015 to January 2016, a choppy year in which the ranking switched between bonds, real estate, and stocks and was caught out several times. It took until November 2017 to recover. Since the book came out in early 2018 it has returned close to 9% a year, the best of Livingston's three portfolios over that stretch. With simulated history the test starts in mid-2001 and returns nearly 11% a year, helped by a gain in 2002, when the S&P 500 fell 22%.
When it struggles#
- Rotating leadership. When one asset class after another rises briefly and then falls, the average-return score buys late and sells late.
- Stock and bond losses together. With no cash fund, a year like 2022 leaves few safe places for the ranking to go.
- Strong US stock markets. It holds at most three funds, often not the S&P 500's leaders.
Using it on Tactfolio#
The live strategy above runs these rules with the stand-in funds and the 1/3/6/12-month score named here, rebalancing to equal weights every month, while Livingston only trims a holding that has drifted more than 20% from its target. Copy it to compare with Faber's GTAA Aggressive 3, which adds a trend filter, or with Mama Bear.
Year by year
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 4.5% | 14.0% |
| 2025 | 23.2% | 17.7% |
| 2024 | 12.6% | 24.9% |
| 2023 | 7.4% | 26.2% |
| 2022 | -13.9% | -18.2% |
| 2021 | 21.0% | 28.7% |
| 2020 | 25.3% | 18.3% |
| 2019 | 7.4% | 31.2% |
| 2018 | -0.1% | -4.6% |
| 2017 | 12.9% | 21.7% |
| 2016 | 6.2% | 12.0% |
| 2015 | -10.3% | 1.2% |
| 2014 | 7.2% | 13.5% |
| 2013 | 24.4% | 32.3% |
| 2012 | 7.4% | 16.0% |
| 2011 | 1.1% | 1.9% |
| 2010 | 12.2% | 15.1% |
| 2009 | 12.3% | 26.4% |
| 2008 | 6.1% | -36.8% |
| 2007* | 24.6% | 2.5% |
| Year | Strategy | SPY |
|---|---|---|
| 2026* | 4.5% | 14.0% |
| 2025 | 23.2% | 17.7% |
| 2024 | 12.6% | 24.9% |
| 2023 | 7.4% | 26.2% |
| 2022 | -13.9% | -18.2% |
| 2021 | 21.0% | 28.7% |
| 2020 | 25.3% | 18.3% |
| 2019 | 7.4% | 31.2% |
| 2018 | -0.1% | -4.6% |
| 2017 | 12.9% | 21.7% |
| 2016 | 6.2% | 12.0% |
| 2015 | -10.3% | 1.2% |
| 2014 | 7.2% | 13.5% |
| 2013 | 24.4% | 32.3% |
| 2012 | 7.4% | 16.0% |
| 2011 | 1.1% | 1.9% |
| 2010 | 12.2% | 15.1% |
| 2009 | 12.3% | 26.4% |
| 2008 | 6.1% | -36.8% |
| 2007 | 26.7% | 5.1% |
| 2006 | 24.6% | 15.8% |
| 2005 | 7.7% | 4.8% |
| 2004 | 14.8% | 10.7% |
| 2003 | 33.5% | 28.2% |
| 2002 | 14.6% | -21.6% |
| 2001* | -2.9% | -4.7% |
* 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 Papa Bear
- WeightEqual
- RankTop 3 · 1/3/6/12-month unweighted momentum
- TickerVTV
- TickerVUG
- TickerIJS
- TickerIJT
- TickerEFA
- TickerVWO
- TickerVNQ
- TickerDBC
- TickerIAU
- TickerTLT
- TickerIEF
- TickerLQD
- TickerAGG
- RankTop 3 · 1/3/6/12-month unweighted momentum
- WeightEqual
Sources and caveats
- Brian Livingston, Papa Bear Portfolio (MuscularPortfolios.com)
- Brian Livingston, Muscular Portfolios: The Investing Revolution for Superior Returns with Lower Risk (BenBella, 2018)
- Livingston ranks on the average of the 3-, 6-, and 12-month returns. The builder has no custom multi-horizon average, so this version uses the nearest built-in, the average of the 1-, 3-, 6-, and 12-month returns, which adds a 1-month term.
- Longer-lived funds stand in for the book's Vanguard ETFs: IJS and IJT for VIOV and VIOG (the same S&P SmallCap 600 value and growth indexes), EFA for VEA, DBC for PDBC, TLT for EDV (extended-duration Treasuries), IEF for VGIT, LQD for VCLT (long corporates), and AGG for BNDX (hedged international bonds; AGG tracked it more closely than unhedged BWX since 2013). VTV, VUG, VWO, VNQ, and IAU are the book's own.
- 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 Papa Bear Portfolio?#
It is the most diversified momentum portfolio in Brian Livingston's Muscular Portfolios (2018). Each month it holds the three strongest of thirteen asset-class funds, ranked by an average of recent returns.
What ETFs does Papa Bear use?#
The book lists VTV, VUG, VIOV, VIOG, VEA, VWO, VNQ, PDBC, IAU, EDV, VGIT, VCLT, and BNDX. This version keeps VTV, VUG, VWO, VNQ, and IAU and uses longer-lived funds for the rest, so the test can start in 2007.
How is Papa Bear different from Mama Bear?#
Papa Bear ranks thirteen funds on a blend of 3- to 12-month returns and has no cash fund. Mama Bear ranks nine funds on five-month returns and can move to cash.
Does Papa Bear still work?#
Since 2018 it has returned close to 9% a year with a worst drawdown near 21%, within Livingston's target. It has still trailed the S&P 500 in most strong years. The live record on Tactfolio shows how it is doing now.