Vigilant Asset Allocation - G12
Vigilant Asset Allocation G12 is a quantitative tactical strategy developed by Wouter Keller and Jan Willem Keuning, published in their 2017 paper Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less. The G12 is the more conservative variant of the VAA framework, operating across a universe of twelve risky assets spanning global equities, real estate, commodities, gold, and bonds, alongside a set of safe-haven defensive assets.
Average Allocation
Based on historical average weights across all rebalance periods.
Performance Snapshot
Rolling Returns
| Period | Low | Average | High |
|---|---|---|---|
| 1 Year | -15.5% | +12.0% | +53.5% |
| 3 Year | -5.4% | +11.9% | +30.6% |
| 5 Year | -0.8% | +12.1% | +26.9% |
| 10 Year | +2.7% | +12.2% | +24.0% |
Growth of $10,000
Historical Drawdown
Percentage decline from the portfolio's peak value at each point in time.
Rolling Returns
Annualised return for each rolling period ending on that date.
Annualised return for each 1Y period ending on that date.
Where the Vigilant Asset Allocation G4 Aggressive concentrates its bet by holding a single top-ranked asset, the G12 spreads exposure across up to five assets (the T5B4 configuration), and uses breadth momentum across all twelve risky assets to determine how much of the portfolio should shift to defensive holdings. When four or more of the twelve risky assets show negative momentum, the portfolio moves entirely to safety assets.
Investment Philosophy
VAA replaces the traditional asset-level trend-following crash protection used in strategies like dual momentum with a breadth momentum approach measured at the universe level. Rather than asking whether any single asset is trending, it asks how many assets in the risky universe are trending badly. This breadth signal is more responsive to deteriorating market conditions across multiple markets simultaneously, and was designed to reduce severe drawdowns while still capturing strong gains in trending bull markets.
Who It's For
The G12 suits quantitatively oriented investors who want broad tactical exposure across global markets but prefer a more diversified position than the concentrated G4 Aggressive variant. It requires comfort with a rules-based monthly process, moderate-to-high turnover, and extended periods of holding largely defensive assets.
Pros
- Breadth-based crash protection responds to broad market weakness rather than relying on any single asset signal
- Twelve-asset risky universe and five-asset holding structure diversify both the signal and the portfolio
- Fully rules-based system removes discretionary judgment from allocation decisions
Cons
- Monthly rebalancing with up to seventeen assets (twelve risky plus defensive options) requires consistent attention and execution
- Can remain heavily defensive for extended periods during choppy or sideways markets, dragging long-run returns
- Concentrated momentum-driven selection means the portfolio can still be significantly exposed to a single market segment when conditions look favorable
Technical Notes
The G12 uses the T5B4 configuration from the original VAA paper: it selects the top 5 risky assets by momentum score when fewer than 4 of the 12 risky assets have non-positive momentum. When 4 or more have negative momentum, the full portfolio rotates into whichever defensive safe-haven asset has the highest current momentum score. Momentum is scored using a weighted formula across 1-, 3-, 6-, and 12-month lookback periods.
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