HAA aims to offer retail investors a tactical asset allocation strategy that is both balanced and aggressive at the same time. HAA’s hybrid approach combines traditional dual momentum with canary momentum which results in robust crash protection with low cash-fractions. HAA effectively selects

The constant leverage myth is busted: there is no spoon natural decay. DAA’s fast protective momentum approach successfully detects lower volatility regimes with higher streak potential. Smart leverage through a clever separation of signals and trades can achieve considerable outperformance even

Defensive Asset Allocation (DAA) builds on the framework designed for Vigilant Asset Allocation (VAA) For DAA the need for crash protection is quantified using a separate “canary” universe instead of the full investment universe as with VAA DAA leads to lower out-of-market allocations and hence

Many traditional return to risk measures are not apt for intuitive interpretation The Keller ratio is expressed as an adjusted return and therefore easy to interpret The Keller ratio allows for strategy selection optimally aligned with an investor’s risk appetite In our VAA-paper we introduced a

Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952) AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified investment portfolios In a tactical application AAA exploits momentum for crash detection and

Breadth momentum extends traditional absolute momentum approaches for crash protection. Breadth momentum quantifies risk at the universe level by the number of assets with non-positive momentum relative to a breadth protection threshold. Vigilant Asset Allocation matches breadth momentum with a

In order to present results as realistic as possible in our PAA-paper, we constructed long-term end-of-month data series for popular ETF proxies, like SPY, GLD and TLT (see paper appendix on SSRN). All data series start December 1969. For the pre-inception history, the proxies are derived from

Would it not be great to have the models for Protective Asset Allocation (PAA) and Global Protective Momentum (GPM) in Excel, so you can run your own backtests without AmiBroker? And not being limited to a pre-defined universe? Actually, now you can. Based on a foundation by InvestExel, Denis

Gary Antonacci popularized dual momentum with an effective and simple approach for dynamic asset allocation: Global Equities Momentum (GEM). Using simulated ETF data series, GEM’s performance over past market conditions can be approximated. For longer investment horizons GEM’s implementation

Launched only recently, AllocateSmartly.com tracks the industry’s best tactical asset allocation strategies with thorough, up-to-date backtests. As of writing 16 (sub) strategies are tracked and benchmarked on near real-time basis. All of the tracked strategies are both quantitative and

In a new SeekingAlpha contribution (pending approval) we combine PAA’s protective multi-market breadth approach with a generalized momentum metric based on correlation hedged returns. The resulting model is called Generalized Protective Momentum (GPM). In this blogpost the correlation hedge is