Resilient Asset Allocation: Building Strategies That Survive Any Market

Most tactical strategies focus on selecting the right assets — picking the strongest momentum names or rotating between offensive and defensive holdings. The Resilient Asset Allocation (RAA) and Robust Asset Allocation (RAA_GRAY) families take a different approach. They start with a fixed portfolio structure and focus instead on when to reduce exposure. Rather than constantly chasing the best-performing assets, these strategies maintain a stable core and activate defensive mechanisms only when specific danger signals confirm that conditions have deteriorated.

This article covers three distinct implementations: RAA_K (a static five-asset portfolio with a dual macro gate), RAA_GRAY_B (a three-asset portfolio with per-asset dual confirmation), and RAA_GRAY_A (a concentrated equity rotation with the same dual confirmation framework).

RAA_K: The Keuning Resilient Allocation

Parameter	Value
Risk-On Assets	QQQ, IWN, GLD, IEF, TLT (20% each — static, no rotation)
Risk-Off Assets	IEF, TLT (50/50)
Canary Assets	VWO (emerging markets), BND (total bond market)
Protection	MACRO_CANARY (dual gate)

The Permanent Portfolio Core

RAA_K holds five assets in permanent 20% weights: QQQ (technology-heavy growth), IWN (small-cap value), GLD (gold), IEF (intermediate Treasuries), and TLT (long-term Treasuries). This is not a rotation strategy — during normal times, the portfolio simply holds all five assets and rebalances monthly to maintain the 20% targets. The assets are chosen to provide structural diversification across growth equities, value equities, real assets, and fixed income of varying duration.

The Dual Macro Gate

RAA_K's defensive mechanism activates only when both of two independent conditions are met simultaneously:

1. Unemployment condition: The current US unemployment rate must be above its level from 12 months ago. Rising unemployment signals deteriorating economic conditions that typically precede or accompany significant equity drawdowns.
2. Canary momentum condition: Either VWO (emerging market equities) or BND (total US bond market) must show negative 13612W momentum. The 13612W score — a weighted average of 1-month, 3-month, 6-month, and 12-month returns — captures trend across multiple timeframes.

The critical word is "both." Neither condition alone triggers the defensive shift. Unemployment can rise modestly during mid-cycle slowdowns without creating a bear market. Canary assets can briefly show negative momentum during corrections that quickly reverse. Only when both conditions confirm deterioration simultaneously does RAA_K move to its defensive allocation of 50% IEF and 50% TLT.

This dual-gate design is deliberately conservative about going defensive. It accepts larger initial drawdowns in exchange for avoiding false signals that would whipsaw the portfolio in and out of risk assets. The strategy is designed for investors who prefer to stay invested through moderate volatility and only step aside during genuinely dangerous macro environments.

RAA_GRAY_B: Per-Asset Dual Confirmation

Parameter	Value
Risk-On Assets	SPY (40%), EFA (20%), IEF (40%)
Risk-Off	Cash
Protection	DUAL_CONFIRMATION
Allocation	FIXED_TIERS_PER_ASSET

How Dual Confirmation Works

RAA_GRAY_B takes the concept of dual confirmation and applies it at the individual asset level rather than portfolio-wide. Each of the three assets — SPY, EFA, and IEF — is independently tested against two trend filters every month:

1. 12-month return: Is the asset's trailing 12-month return positive?
2. SMA filter: Is the asset's current price above its 12-month simple moving average?

The outcome determines how much of the asset's target weight is actually allocated:

R12 Positive	Above SMA	Allocation
Yes	Yes	Full target weight
Yes	No	Half target weight
No	Yes	Half target weight
No	No	Zero (cash)

With target weights of SPY 40%, EFA 20%, and IEF 40%, this creates a graduated response to deteriorating conditions. If SPY passes both filters, it receives its full 40%. If only one filter passes, it receives 20%. If both fail, the 40% moves to cash. Each asset is evaluated independently, so the portfolio can be fully invested in bonds while holding zero equities, or vice versa.

RAA_GRAY_A: Concentrated Equity Rotation

Parameter	Value
Risk-On Assets	SPY, EFA
Risk-Off Asset	IEF
Top-N	1
Lookback	12 months
Momentum	REL_STR_1P (12-month return)
Protection	DUAL_CONFIRMATION
Allocation	BINARY (100% in one asset)

RAA_GRAY_A is a more aggressive variant that concentrates the entire portfolio into a single holding. The 12-month return comparison determines whether SPY or EFA is the equity candidate. Dual confirmation then determines how much of that candidate to hold:

• Both R12 > 0 and price > SMA(12): 100% in the winner of SPY vs EFA
• Only one condition passes: 50% winner, 50% IEF
• Neither passes: 100% IEF

This creates a natural glide between full equity exposure and full bond exposure, with the 50/50 split serving as a transitional state during uncertain periods. The binary allocation means the strategy is always either all-in on one equity, split between equity and bonds, or fully defensive in IEF.

The Philosophy of Dual Confirmation

The RAA_GRAY strategies use two filters that capture trend from different angles. The 12-month return measures total directional movement — has the asset gained or lost over a full year? The SMA filter measures the asset's position relative to its own average — is it currently above or below its typical price level?

These two measures can diverge meaningfully. An asset can have a positive 12-month return but trade below its SMA if it has experienced a sharp recent decline after a strong first half. Conversely, an asset can have a negative 12-month return but trade above its SMA if it has been recovering after a deep trough. The half-allocation in these ambiguous cases is the strategy's acknowledgment that the signal is mixed and full conviction in either direction is unwarranted.

Investors interested in how other strategies handle this confirmation problem should explore trend following and SMA strategies, which examines the range of trend detection methods used across tactical allocation.

Comparing the Three Variants

Feature	RAA_K	RAA_GRAY_B	RAA_GRAY_A
Core Style	Static multi-asset	Fixed-weight with scaling	Concentrated rotation
Defensive Trigger	Macro + canary (both required)	Per-asset trend filters	Per-asset trend filters
Granularity	All-or-nothing	Graduated (full/half/zero)	Three states (100/50/0)
Max Positions	5 always	3 + cash	1-2
Risk Profile	Moderate	Moderate-conservative	Aggressive

Each variant suits a different investor preference. RAA_K is for those who want permanent diversification with a safety valve that activates only during genuine crises. RAA_GRAY_B suits investors who want a balanced portfolio that gradually reduces exposure as individual assets weaken. RAA_GRAY_A appeals to investors comfortable with concentration who want the highest possible returns when conditions are favorable and decisive protection when they are not.

For strategies that take the opposite approach — rotating aggressively between assets rather than holding a fixed core — see the composite dual momentum family, which uses head-to-head competitions within defined asset pairs.

The resilient allocation philosophy recognizes that the hardest problem in tactical investing is not picking winners but avoiding catastrophic losses. By requiring multiple independent confirmations before going defensive, these strategies filter out the noise of ordinary market volatility and respond only to conditions that genuinely threaten the portfolio. The result is a set of strategies that stay invested through normal turbulence and step aside only when it truly matters.