Skip to main content
No. of Recommendations: 4
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.
Print the post Back To Top
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 https://allocatesmartly.com/keuning-kellers-generalized-prot...
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:
https://indexswingtrader.blogspot.com/2016/06/deciphering-co...

RAM
Print the post Back To Top