U-LAA - Lethargic Asset Allocation Overview
| CAGR | 10.3% |
|---|---|
| Maximum drawdown | -18.8% |
| MAR ratio | 0.55 |
| History | 46 years (561 months) |
U-LAA - Lethargic Asset Allocation is a UCITS version of Wouter Keller's LAA, for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The rules are unchanged: U.S. large cap value, gold and intermediate Treasuries held permanently at 25% each, plus a 25% sleeve that holds the Nasdaq 100 unless both the U.S. unemployment trend and the S&P 500 trend turn negative, when it moves to short Treasuries. The full logic is on the LAA - Lethargic Asset Allocation page. Because only the funds that hold each position change, the backtest is identical to the original's, month for month.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| Nasdaq 100 | iShares Nasdaq 100 UCITS ETF (Acc) | CNDX | CNX1 | IE00B53SZB19 |
| U.S. large cap value | SPDR MSCI USA Value UCITS ETF (Acc) | USVL | UVAL | IE00BSPLC520 |
| Gold | iShares Physical Gold ETC | IGLN | SGLN | IE00B4ND3602 |
| Intermediate Treasuries | iShares $ Treasury Bond 7-10yr UCITS ETF (Acc) | CBU0 | none | IE00B3VWN518 |
| Short Treasuries (1-3 year) | iShares $ Treasury Bond 1-3yr UCITS ETF (Acc) | IBTA | none | IE00BYXPSP02 |
How Closely the Funds Match
- Same or near-identical index. For most positions the UCITS fund tracks the same index, or the same index family, as the US fund it replaces.
- U.S. large cap value is held through an MSCI USA value-weighted fund, a different construction from the Russell 1000 Value index the US fund tracks, so expect some difference in the months it is held.
Performance Highlights
January 1980 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-LAA - Lethargic Asset Allocation | +10.3% | -18.8% | 5.24 | 1.16 |
| LAA - Lethargic Asset Allocation | +10.3% | -18.8% | 5.24 | 1.16 |
| S&P 500 | +12.0% | -51.0% | 12.72 | 0.61 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- Gold is held as an ETC. UCITS rules do not allow a fund that holds only gold, so gold is held through the iShares Physical Gold ETC, a security backed by physical gold. It is not a UCITS fund, but it is UCITS eligible and widely available to investors in the UK, Europe and elsewhere.
- The signals are U.S. data. LAA's switch reads the U.S. unemployment rate and the S&P 500's trend, both of which apply unchanged to a UCITS portfolio.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-LAA - Lethargic Asset Allocation is for investors outside the US who want a mostly buy-and-hold portfolio that trades rarely, often less than once a year, built from UCITS funds and a physical gold ETC.
Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. U-LAA - Lethargic Asset Allocation is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Investors should carefully consider their risk tolerance and consult with a financial advisor.
For the latest details, visit www.DualMomentumSystems.com