For what it is worth, my Tactical Asset Allocation strategy has beaten the market by 6 points since I started it in early June. It kept me out of the bear market. I use the generalized protective momentum strategy.
A nice strategy for turbulent times.Keuning & Keller's Generalized Protective Momentum is similar to their Protective Asset Allocationexcept for the additional consideration of 12 month asset correlation. Returns are essentially the samebut the Generalized version has slightly less drawdown. the Ulcer Performance Index for all three oftheir versions from 1989 is 3.2 as good as any system I know of out there.Allocate Smartly https://allocatesmartly.com/keuning-kellers-generalized-prot...has some interesting observations on how well the correlation factor works with different assets. Theyevaluate 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 tooutperform in most months, because simply put, selecting asset classes exhibiting the strongestmomentum works most of the time. But in times of market stress, I would expect the greaterdiversification 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 roughpatch with any certainty, I give the edge to GPM.Keuning's post wich includs the current picks is at:https://indexswingtrader.blogspot.com/2016/06/deciphering-co...RAM
Best Of |
Favorites & Replies |
Start a New Board |
My Fool |