Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Generalized Protective Momentum
Details
The Generalized Protective Momentum strategy is another tactical asset allocation strategy developed by JW Keuning and Wouter Keller.
This strategy was profiled on SeekingAlpha and Keuning’s blog TrendXplorer and expands on their Protective Asset Allocation strategy.
On average, the portfolio holds 21% in equities, 37% in bonds, and 42% in cash, gold, commodities, and REITs.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
12.0%
Sharpe Ratio
0.91
10 Year Annual Return
4.7%
Volatility (annualized)
8.1%
Max Drawdown
-9.9%
Positive Periods
72.2%
Dot Com Annual Return
8.9%
Great Financial Crisis Return
12.6%
Trade Frequency
Monthly
Ulcer Performance Index
3.0
Strategy Rules
This strategy trades once per month.
It is broken into two asset categories:
Risk: SPY, QQQ, IWM, VGK, EWJ, EEM, VNQ, DBC, GLD, HYG, and LQD
Safety: BIL, IEF
- On the last trading day of the month, calculate ri, ci, and ri*(1-ci) for each of the assets.
- ri = average return of the asset over 1, 3, 6 and 12 months
- ci = the 12-month correlation between the asset and the equal weighted “risk” assets
- Determine the number of of assets where ri*(1-ci) > 0. (n =# of assets > 0)
- If n<=6, then the entire portfolio is invested in the safety asset with the highest ri*(1-ci) value.
- If n>6, the % of the portfolio invested in the safety asset is (12-n)/6.
- If 100% is not invested in the safety asset, select the 3 risk assets with the highest ri*(1-ci) value and allocate the remaining portion of the portfolio to those assets equally (i.e. 1/3 to each).
- Hold all positions until the last trading day of the following month.
How to Invest in the Generalized Protective Momentum Portfolio
M1 Finance is the recommended platform to invest in this portfolio. Find out why.
