Vigilant Asset Allocation
Vigilant Asset Allocation is a very active momentum strategy. Differing from the majority of other momentum strategies we monitor, VAA places significant emphasis on the performance of assets in the most recent months. This unique approach enables VAA to swiftly adapt to market shifts, albeit at the cost of generating high portfolio turnover. This strategy trades monthly.
Strategy current allocation
| Asset | Allocation | Change |
|---|---|---|
| US Corporate Bonds (LQD) | 60% | - |
| Nasdaq 100 (QQQ) | 20% | - |
| S&P 500 (SPY) | 20% | - |
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Vigilant Asset Allocation Equity Curve
Vigilant Asset Allocation strategy statistics
| Annualized Return | 11.6% |
| Annualized Volatility | 7.6% |
| Sharpe Ratio | 0.94 |
| Maximum Drawdown | -10.5% (02/2023) |
| Ulcer Performance Index | 2.05 |
| Best Month Return | 10.3% |
| Worst Month Return | -7.8% |
| Average trades per year | 38.2 |
| Annualized Return | 11.6% |
| Annualized Volatility | 7.6% |
| Sharpe Ratio | 0.94 |
| Maximum Drawdown | -10.5% (02/2023) |
| Ulcer Performance Index | 2.05 |
| Best Month Return | 10.3% |
| Worst Month Return | -7.8% |
| Average trades per year | 38.2 |
This strategy trades once per month. The strategy assets have been divided into two distinct categories:
Risk Assets: SPY, EFA, EEM, and AGG
Safety Assets: LQD, IEF, and BIL
On the last trading day of the month the momentum score is calculated for the assets listed above. The formula for calculating the momentum score is:
Momentum Score = (12*(p0/p1)) + (4*(p0/p3)) + (2*(p0/p6)) + (p0/p12) – 19
p0 = today’s price, p1 = price at close of last month etc
In the event that all Risk Assets display a positive momentum score, allocate 100% of the portfolio's allocation to the asset possessing the highest momentum score.
If any of the risk assets exhibit a negative momentum score, allocate the entire portfolio to the defensive asset that boasts the highest score.
Hold the position until the final trading day of the following month.
Vigilant Asset Allocation returns
| retid | id | Year | January | February | March | April | May | June | July | August | September | October | November | December | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1.802 | 38 | 1973 | 2,50 | 6,90 | 0,40 | 0,60 | -0,50 | 0,60 | 0,70 | 0,70 | 3,40 | -1,40 | -3,80 | -1,10 | 9,00 |
| 1.803 | 38 | 1974 | 0,70 | 0,50 | 0,50 | 0,70 | 0,70 | 0,60 | 0,70 | 0,80 | 0,60 | 0,60 | 1,20 | -1,00 | 6,70 |
| 1.804 | 38 | 1975 | -0,50 | 5,10 | 1,20 | 4,00 | 1,70 | 3,30 | -2,90 | -0,20 | 0,50 | 0,40 | -1,00 | 0,40 | 12,40 |
| 1.805 | 38 | 1976 | 2,70 | 2,80 | 1,20 | -0,10 | -1,40 | 1,40 | 0,50 | 2,10 | 1,60 | 1,00 | 2,40 | 4,50 | 20,20 |
| 1.806 | 38 | 1977 | 0,00 | 0,10 | 1,10 | 0,60 | -0,80 | 2,20 | -0,10 | 1,40 | 1,80 | 1,80 | -0,30 | 2,70 | 11,00 |
| 1.807 | 38 | 1978 | 0,90 | 0,40 | 2,90 | 0,80 | 2,60 | -1,50 | 3,80 | 4,10 | 0,50 | 5,10 | 0,70 | 0,70 | 23,00 |
| 1.808 | 38 | 1979 | 0,70 | -0,30 | 0,80 | 1,30 | -0,80 | 2,70 | 3,10 | 5,40 | 5,00 | -0,80 | 0,90 | 5,50 | 25,90 |
| 1.809 | 38 | 1980 | 7,80 | -0,70 | 1,30 | 1,00 | 5,30 | 7,70 | -0,30 | 3,40 | 2,20 | 2,00 | 3,00 | -1,40 | 35,50 |
| 1.810 | 38 | 1981 | 1,30 | 1,10 | 1,10 | 1,80 | 1,20 | -0,80 | 1,30 | 1,30 | 1,20 | 1,20 | 0,80 | -4,50 | 7,00 |
| 1.811 | 38 | 1982 | 1,00 | 0,90 | 0,40 | 1,00 | -0,80 | 1,10 | 0,80 | 5,90 | 5,00 | 6,90 | 3,80 | 3,90 | 33,90 |
| 1.812 | 38 | 1983 | 1,30 | -0,90 | 0,60 | 7,00 | 2,30 | 2,70 | -3,40 | -0,40 | 0,00 | -1,50 | 0,60 | 2,20 | 10,70 |
| 1.813 | 38 | 1984 | 0,60 | -1,50 | 0,80 | 0,80 | 0,90 | 0,80 | 0,70 | 1,60 | -0,20 | 4,90 | 1,50 | 1,00 | 12,40 |
| 1.814 | 38 | 1985 | 1,00 | -0,90 | 0,60 | 0,20 | 7,80 | 1,10 | 1,80 | 1,70 | 2,40 | 2,60 | 3,00 | 2,50 | 26,30 |
| 1.815 | 38 | 1986 | 1,10 | 7,90 | 10,30 | 3,50 | -1,50 | 2,30 | 0,60 | 3,20 | 0,00 | 0,40 | 2,10 | 1,80 | 36,00 |
| 1.816 | 38 | 1987 | 1,40 | 5,40 | 3,50 | 1,50 | 0,10 | -0,60 | 4,30 | 0,50 | -5,40 | 0,40 | -0,20 | 1,30 | 12,40 |
| 1.817 | 38 | 1988 | 4,40 | 2,10 | 2,20 | 2,00 | -0,70 | 1,60 | -2,30 | 0,70 | 2,10 | 1,60 | 0,50 | 0,30 | 15,40 |
| 1.818 | 38 | 1989 | 0,70 | -0,50 | 2,60 | 5,90 | 2,60 | -1,00 | 0,90 | -2,30 | 2,90 | 0,60 | 1,10 | 1,70 | 16,00 |
| 1.819 | 38 | 1990 | -0,90 | 0,60 | 0,70 | 0,60 | 0,60 | 1,80 | 3,30 | -1,90 | 0,60 | 0,70 | 0,50 | 1,80 | 8,60 |
| 1.820 | 38 | 1991 | 0,90 | 2,10 | 3,90 | 0,60 | 4,00 | -3,80 | 1,10 | 3,10 | 2,00 | 1,30 | -3,10 | 5,30 | 18,50 |
| 1.821 | 38 | 1992 | 0,80 | 2,00 | -1,60 | 0,60 | 2,00 | -2,20 | 3,60 | 1,30 | 2,30 | -2,20 | 0,10 | 1,40 | 8,20 |
| 1.822 | 38 | 1993 | 2,70 | 2,40 | 1,90 | 2,50 | 1,30 | 0,20 | 3,70 | 1,30 | 0,20 | 2,00 | -1,60 | 3,50 | 22,10 |
| 1.823 | 38 | 1994 | 1,40 | -1,20 | 0,30 | 0,30 | 0,30 | 0,40 | 0,20 | 2,40 | 0,40 | 0,40 | 0,30 | 0,80 | 6,00 |
| 1.824 | 38 | 1995 | -0,10 | 3,20 | 0,60 | 2,80 | 0,50 | 3,00 | 1,50 | 0,20 | 1,20 | 0,20 | 2,30 | 1,10 | 17,60 |
| 1.825 | 38 | 1996 | -0,20 | -1,50 | 1,30 | 0,40 | 0,40 | 0,30 | -2,40 | 0,40 | 1,40 | 1,70 | 5,30 | 0,30 | 7,50 |
| 1.826 | 38 | 1997 | 0,40 | -1,20 | -2,10 | 0,30 | 0,70 | 2,20 | 3,70 | -2,70 | 0,30 | -2,00 | 0,40 | 1,00 | 0,70 |
| 1.827 | 38 | 1998 | 1,80 | 3,30 | 3,00 | 0,80 | -0,10 | 0,60 | 0,20 | 3,50 | 4,70 | -0,80 | -0,90 | 5,00 | 23,10 |
| 1.828 | 38 | 1999 | 3,90 | -3,40 | 0,40 | 0,30 | -2,00 | 0,40 | 0,40 | 0,40 | 0,40 | 0,40 | 3,20 | 7,70 | 12,30 |
| 1.829 | 38 | 2000 | -0,10 | 0,40 | -0,60 | -5,30 | 0,40 | 1,90 | -1,20 | 1,50 | -2,90 | -0,30 | 2,50 | 2,40 | -1,50 |
| 1.830 | 38 | 2001 | 0,60 | -1,50 | 0,40 | -0,40 | 0,20 | 0,10 | 3,20 | 1,20 | 0,20 | 2,50 | -2,80 | 0,10 | 3,80 |
| 1.831 | 38 | 2002 | 0,00 | 0,40 | -3,10 | 0,30 | 1,40 | 1,80 | 3,10 | 2,50 | 3,90 | -1,30 | -2,30 | -3,40 | 3,20 |
| 1.832 | 38 | 2003 | -0,80 | 1,80 | -0,60 | 2,30 | 5,20 | 1,70 | 3,40 | 1,90 | 0,80 | 6,30 | 0,60 | 5,20 | 31,30 |
| 1.833 | 38 | 2004 | 1,30 | 1,60 | 1,30 | -7,80 | 0,00 | 0,30 | -2,90 | 3,00 | 2,10 | 3,10 | 4,90 | 3,50 | 9,90 |
| 1.834 | 38 | 2005 | -2,70 | 2,70 | -2,10 | 0,10 | 1,70 | 0,70 | 3,60 | -0,50 | 3,00 | -1,30 | 0,30 | 2,30 | 8,10 |
| 1.835 | 38 | 2006 | 8,50 | -1,30 | 2,60 | 1,90 | -2,50 | 0,40 | 0,30 | 1,30 | 0,90 | 2,10 | 3,50 | 0,50 | 19,40 |
| 1.836 | 38 | 2007 | 2,40 | -0,80 | 0,00 | 2,30 | 2,40 | 0,90 | 0,30 | 2,10 | 3,90 | 7,80 | -4,30 | 0,10 | 18,10 |
| 1.837 | 38 | 2008 | 3,40 | 1,20 | 1,30 | -2,60 | 2,30 | -1,80 | 0,70 | 1,50 | -0,20 | 0,10 | -0,10 | 4,90 | 11,00 |
| 1.838 | 38 | 2009 | -1,80 | -5,40 | 3,30 | -2,90 | 5,00 | -0,80 | 5,70 | 1,90 | 4,00 | -3,00 | 4,50 | 1,30 | 11,70 |
| 1.839 | 38 | 2010 | -3,50 | 1,50 | 7,00 | 3,30 | -3,90 | 3,00 | 0,70 | -1,60 | -0,20 | 4,40 | -1,90 | 0,40 | 9,00 |
| 1.840 | 38 | 2011 | 1,30 | 1,40 | -1,60 | 2,80 | -2,10 | -2,20 | 1,10 | 4,70 | 2,20 | -1,50 | -1,80 | 1,80 | 5,90 |
| 1.841 | 38 | 2012 | 1,90 | 2,00 | 0,70 | -0,10 | 2,90 | -0,60 | 2,10 | -0,20 | 1,00 | -0,70 | -0,90 | 3,60 | 12,20 |
| 1.842 | 38 | 2013 | -1,40 | -0,60 | 1,90 | 1,30 | -4,00 | 0,00 | 0,00 | 0,00 | -0,10 | 1,10 | 0,70 | 0,10 | -1,10 |
| 1.843 | 38 | 2014 | -0,20 | 0,90 | -0,60 | 1,90 | 1,60 | 0,70 | -1,90 | 1,80 | -2,80 | -0,10 | 1,10 | 0,10 | 2,40 |
| 1.844 | 38 | 2015 | 4,30 | -2,70 | -0,30 | -0,70 | 0,00 | 0,00 | -0,10 | 0,10 | 1,60 | -0,80 | 0,00 | -1,20 | 0,00 |
| 1.845 | 38 | 2016 | -0,10 | 1,50 | -0,30 | -0,80 | -1,30 | 2,00 | 1,40 | -0,10 | 1,80 | -1,40 | 0,00 | 0,00 | 2,80 |
| 1.846 | 38 | 2017 | 0,00 | 1,60 | 1,00 | 0,00 | 2,20 | -0,20 | 2,10 | 0,90 | -0,70 | 0,90 | 0,60 | 0,60 | 9,30 |
| 1.847 | 38 | 2018 | 6,10 | -1,40 | 0,10 | 0,10 | 0,10 | 0,10 | 0,10 | -0,20 | -1,40 | -2,10 | 0,10 | 2,80 | 4,20 |
| 1.848 | 38 | 2019 | 0,50 | 2,00 | 1,90 | 1,50 | -5,50 | 1,00 | 0,20 | 3,90 | -0,90 | 0,80 | 0,20 | 2,10 | 7,60 |
| 1.849 | 38 | 2020 | -0,90 | 0,90 | 3,70 | 0,10 | 2,30 | 1,70 | 7,00 | 3,00 | -2,90 | -1,30 | -0,10 | 5,10 | 19,80 |
| 1.850 | 38 | 2021 | 1,10 | 1,40 | 0,10 | 1,40 | 1,20 | -0,10 | 1,20 | 1,40 | -4,70 | -0,10 | -2,20 | -0,70 | -0,30 |
| 1.851 | 38 | 2022 | -5,00 | 0,00 | 0,00 | 0,10 | 0,10 | 0,10 | 0,10 | -4,20 | 0,30 | 0,30 | 0,20 | -2,00 | -9,70 |
| 1.852 | 38 | 2023 | 0,30 | -5,10 | 0,30 | 0,60 | -1,90 | 0,30 | 1,20 | -4,30 |