Mama Bear and Papa Bear: Multi-Asset Momentum Portfolios
Brian Livingston's "Muscular Portfolios" book introduced a framework for individual investors who want systematic, rules-based investing without the complexity of optimization or the anxiety of market timing. The Mama Bear and Papa Bear strategies — along with Mark Virag's Meb Faber-inspired variant (MBB) — share a common philosophy: rank a diversified set of assets by momentum, hold the top performers, and rebalance monthly. No defensive filters, no macro overlays, no complex math. Just momentum selection applied to a broad universe.
What distinguishes these strategies from one another is their specific universe construction, momentum scoring method, and the number of assets held. These seemingly minor differences produce meaningfully different risk-return profiles.
Mama Bear
| Parameter | Value |
|---|---|
| Universe | SPY, VNQ, IWM, DBC, EFA, EEM, GLD, TLT, SHV (9 assets) |
| Top-N | 3 |
| Lookback | 5 months |
| Momentum Method | REL_STR_1P (5-month return) |
| Protection | NONE (always invested) |
| Allocation | Equal weight (~33% each) |
How Mama Bear Works
Each month, the engine ranks all nine assets by their trailing 5-month return (R5M). The three highest-ranked assets receive equal weight. The strategy is always fully invested — there is no defensive filter, no absolute momentum check, and no mechanism to move to cash. If equities are falling and bonds and gold are rising, the momentum ranking will naturally rotate into TLT, GLD, and SHV. This provides implicit defense through universe design rather than an explicit defensive rule.
The 5-month lookback is notably shorter than the 12-month lookback used by most momentum strategies. Livingston chose this period based on research showing that shorter lookbacks capture turning points more quickly, at the cost of slightly more turnover. For a strategy that is always invested, faster signals are particularly valuable because the strategy cannot move to cash — it needs to rotate into defensive assets quickly when conditions deteriorate.
Universe Design as Defense
Mama Bear's nine-asset universe is constructed so that during any market environment, at least some assets should be performing well. The inclusion of TLT (long-term Treasuries), GLD (gold), and SHV (ultra-short Treasuries) ensures that during equity bear markets, the momentum ranking naturally selects these defensive assets. In 2008, for example, TLT returned +33% and GLD returned +5% while equities collapsed. The momentum ranking would have rotated into these assets without any defensive rule — the universe itself provides the protection.
Papa Bear
| Parameter | Value |
|---|---|
| Universe | IWF, IWO, IWN, IWD, EFA, EEM, DBC, GLD, LQD, TLT (10 assets) |
| Top-N | 3 |
| Lookback | 12 months |
| Momentum Method | PAPA_3612 = average(R3, R6, R12) |
| Protection | NONE (always invested) |
| Allocation | Equal weight (~33% each) |
The PAPA_3612 Scoring Method
Papa Bear uses a composite momentum score: the average of 3-month, 6-month, and 12-month returns. This multi-period approach smooths out the noise inherent in any single lookback period. A stock that had one exceptional month six months ago will show up in R6 but might not rank well on R3 or R12. By averaging across three timeframes, the score rewards assets with persistent, broad-based momentum rather than those that benefited from a single spike.
The Style-Focused Equity Universe
Papa Bear's most distinctive feature is its US equity construction. Rather than using SPY for broad US exposure, it uses four style-specific ETFs: IWF (Russell 1000 Growth), IWO (Russell 2000 Growth), IWN (Russell 2000 Value), and IWD (Russell 1000 Value). These four ETFs decompose the US market along two axes — size (large vs small) and style (growth vs value) — allowing the momentum ranking to express preferences for specific market regimes.
When growth is leading, IWF and IWO will rank highest. During value rotations, IWN and IWD will dominate. This granularity allows Papa Bear to capture style momentum that a broad SPY allocation would miss entirely. The trade-off is that holding 4 of 10 assets as US style ETFs creates significant home bias when US equities are leading.
MBB: The Virag Variant
| Parameter | Value |
|---|---|
| Universe | SPY, EFA, EEM, VNQ, IEF, GLD, DBC (7 assets) |
| Risk-Off Asset | SHY (short-term Treasuries) |
| Top-N | 4 |
| Lookback | 12 months |
| Momentum Method | REL_STR_1P (12-month return) |
| Protection | ABSOLUTE (R12 vs T-bill rate) |
| Allocation | Equal weight (25% per asset cap) |
How MBB Differs
MBB (developed by Mark Virag, a NAAIM Wagner Award winner) adds what Mama Bear and Papa Bear deliberately omit: an absolute momentum filter. Assets are ranked by their 12-month return, and the top candidates are selected in equal weight with a 25% per-asset cap. But before an asset enters the portfolio, its 12-month return must exceed the current T-bill rate. If it does not, that asset's allocation goes to SHY instead.
This single addition fundamentally changes the strategy's character. Mama Bear and Papa Bear are always fully invested — they rely on the universe to provide defensive assets. MBB can explicitly move to short-term Treasuries when multiple asset classes are underperforming cash, providing a true cash-equivalent position during broad-based bear markets.
Comparing the Three Strategies
| Feature | Mama Bear | Papa Bear | MBB |
|---|---|---|---|
| Assets | 9 | 10 | 7 |
| Held | 3 | 3 | Up to 4 |
| Momentum | R5M | (R3+R6+R12)/3 | R12M |
| Defense | None (implicit via universe) | None (implicit via universe) | Absolute (SHY replacement) |
| Developer | Brian Livingston | Brian Livingston | Mark Virag |
These three strategies represent a spectrum of approaches to the same core problem. Mama Bear offers the fastest signal (5-month lookback) but no explicit defense. Papa Bear adds style granularity and multi-period scoring but remains always invested. MBB sacrifices some universe breadth for the safety net of an absolute momentum filter.
For investors interested in how these simple momentum approaches compare to strategies that add defensive overlays, see dual momentum for the canonical two-asset implementation, or composite dual momentum for a paired-module approach that applies momentum within structured asset categories.
The enduring appeal of the Muscular Portfolios approach is its transparency. There are no black boxes, no optimization, and no parameters to tune. An investor can verify the momentum ranking in a spreadsheet, confirm the trade, and move on. For those who value simplicity and consistency above all else, these strategies deliver exactly that.