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.
- 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.
Based on the paper 'Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less' by Wouter Keller and Jan Willem Keuning.
Moderate transaction costs. It trades relatively frequently, but only switches from one asset to another each month.
|Canadian Aggregate Bonds||ZAG.TO|
|Intermediate Government Bonds||ZFM.TO|
|MSCI EAFE Index||XEF.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|
Interested in receiving notifications when this strategy makes trades?
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.