Skip to main content
No. of Recommendations: 4
A nice strategy for turbulent times.

Keuning & Keller's Generalized Protective Momentum is similar to their Protective Asset Allocation
except for the additional consideration of 12 month asset correlation. Returns are essentially the same
but the Generalized version has slightly less drawdown. the Ulcer Performance Index for all three of
their versions from 1989 is 3.2 as good as any system I know of out there.

Allocate Smartly
has some interesting observations on how well the correlation factor works with different assets. They
evaluate the return of assets chosen over different periods in the above and conclude:
Setting the numbers aside for a moment and applying a bit of logic. I would expect PAA to
outperform in most months, because simply put, selecting asset classes exhibiting the strongest
momentum works most of the time. But in times of market stress, I would expect the greater
diversification offered by GPM to do a better job weathering the storm.
This is borne out by the numbers: in months when US stocks (SPY) fell, GPM outperformed PAA by 7.6%
annualized. Given my risk averse nature, and the fact that no one can predict the market’s next rough
patch with any certainty, I give the edge to GPM.

Keuning's post wich includs the current picks is at:

Print the post  


What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.