Strategy - Vigilant Asset Allocation (Canadian)


A strategy that uses both dual and breadth momentum to switch between offensive and defensive assets. Breadth momentum looks at the momentum of all offensive assets - the strategy will only invest in an offensive asset if all exhibit positive momentum.

Past Performance

  • Provided protection during bear markets by switching from a poorly performing asset class to a better performing one. In the past, it limited losses from downturns by switching from equities to bonds.
  • Relatively ineffecient in bull markets compared to Couch Potato strategies due to higher transaction costs and whipsaws in asset prices.
  • Higher returns, lower drawdowns, and better risk-adjusted performance compared to Couch Potato portfolios in recent market cycles (such as 2008-present). Protection provided during downturns led to greater overall return, even with realtive underperformance in bull markets.

Source Information

Based on the paper 'Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less' by Wouter Keller and Jan Willem Keuning.

Trading Information

Moderate transaction costs. It trades relatively frequently, but only switches from one asset to another each month.

Risk Level



Name Symbol
Canadian Aggregate Bonds ZAG.TO
Intermediate Government Bonds ZFM.TO
S&P 500 Index ETF XUS.TO
S&P/TSX Capped Composite Index ETF XIC.TO
Short Government Bonds ZFS.TO
US Corporate Bonds XIG.TO

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Strategy Backtest

The information below shows how well this strategy performed in the past so that you can determine if it would be a good fit for you. The strategy backtest results are shown compared against the "Couch Potato - Balanced" benchmark strategy.



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