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.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
26% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
23% | BIL | SPDR Blmbg Barclays 1-3 Month T-Bill ETF | Bond, U.S., Ultra Short-Term | |
7% | GLD | SPDR Gold Trust | Commodity, Gold | |
6% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Diversified | |
6% | EWJ | iShares MSCI Japan ETF | Equity, Japan, Large Cap | |
6% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
6% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
5% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
4% | LQD | iShares iBoxx $ Investment Grade Corporate Bond ETF | Bond, U.S., All-Term | |
4% | QQQ | Invesco QQQ | Equity, U.S., Large Cap | |
3% | VGK | Vanguard FTSE Europe ETF | Equity, Europe, Large Cap | |
2% | IWM | iShares Russell 2000 ETF | Equity, U.S., Small Cap | |
1% | HYG | iShares iBoxx $ High Yield Corporate Bond ETF | Bond, U.S., Intermediate-Term | |
1% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap |
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
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Low | Average | High | |
|---|---|---|---|
1-Year | -8.4% | 12.4% | 68.6% |
3-Year | 1.0% | 12.5% | 36.0% |
5-Year | 1.6% | 12.7% | 25.5% |
10-Year | 4.3% | 12.8% | 23.5% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 12.0% | 9.3% | 10.3% |
10Y Annual Return | 4.7% | 7.9% | 12.2% |
Sharpe Ratio | 0.91 | 0.51 | 0.43 |
Max Drawdown | -9.9% | -29.7% | -50.97% |
Volatility (annualized) | 8.1% | 9.9% | 15.4% |
Dot Com Annual Return | 8.9% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 12.6% | -0.3% | -5.66% |
Positive Periods | 72.2% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
