13612W

Jul 13, 2020

This script is a 13612W momentum filter used in the Vigilant Asset Allocation (VAA) and Defensive Asset Allocation (DAA) created by Wouter J. Keller and Jan Willem Keuning.

This asset allocation strategy was uploaded to SSRN in 2017 and 2018.

13612W Calculation Method

(Profitability in Last 1 months * 12 +
Profitability in Last 3 months * 4 +
Profitability in Last 6 months * 2 +
Profitability in Last 12 months)/4


Let me briefly explain one of the VAAs, VAA-G4.
The VAA-G4 has an annualized return of 17.7%, a Sharpe ratio of 1.07% and Max Drawdown of 16.1%.
(It's too long and complicated to describe all VAA, DAA strategies. Above all, the translator performance is not good.)


VAA Global 4 Universe: SPY, EFA, EEM, AGG
Cash Universe: SHY , IEF, LQD

If 13612W of VAA Global 4 Universe is negative at least one
>> 100% of assets hold one of the highest 13612W of Cash Universe

If all 13612W of VAA Global 4 Universe are positive
>> 100% of assets hold one of the highest 13612W of VAA Global 4 Universe

Rebalancing is done every month according to this method.

Dec 31, 2020

Release Notes

December 31, 2020 Content Added

The script has been updated more legibly than before.

Include either IEFA or VEA in the VAA Global 4 Universe instead of EFA
The commission fee for both ETFs is lower than EFA.
And the difference between the two ETFs is that some countries are included differently.
View the list of countries you include and add what you want.
I chose VEA.

And include either IEMG or VWO in the VAA Global 4 Universe instead of EEM.
Likewise, the two ETFs have lower commission fees than EFA.
It's the same to include some countries differently.
I chose VWO.