GPMv (DMS) at a glance
GPMv (DMS) is a tactical asset allocation (TAA) strategy by Randy Harris (based on TrendXplorer's GPM) across US Equity, Tech, Mid-Cap, Pacific, rebalanced monthly. Backtested 1997-04-30 to 2026-04-24 (29.0 years): 10.9% CAGR, 1.02 Sharpe, -15.2% max drawdown, 10.7% volatility.
- Type
- Tactical (TAA)
- Author
- Randy Harris (based on TrendXplorer's GPM)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1997-04-30 to 2026-04-24
- CAGR
- 10.9%
- Sharpe
- 1.02
- Max Drawdown
- -15.2%
- Volatility
- 10.7%
GPMv (DMS) — Tactical Asset Allocation Strategy
GPMv is Randy Harris's DMS adaptation of GPM by Keuning & Keller. It uses correlation-adjusted momentum z-scores across 11 risky and 3 safe assets. The key GPMv modification is n_positive_v = n_positive + 1, allowing quicker re-entry into risky assets after sell-offs. The safety fraction scales linearly with market breadth.
Backtest Performance (1997-04-30 to 2026-04-24)
| Metric | GPMv (DMS) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.9% |
| Maximum Drawdown | -15.2% |
| Sharpe Ratio | 1.02 |
| Sortino Ratio | 1.26 |
| Annualized Volatility | 10.7% |
| Calmar Ratio | 0.72 |
| Total Return | 1929.5% |
| Backtest Period | 29.0 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Randy Harris (based on TrendXplorer's GPM)
- Source
- Keuning, J.W. & Keller, W.J. (2016). Generalized Protective Momentum (GPM)
Asset Classes
- US Equity
- Tech
- Mid-Cap
- Pacific
- Europe
- Gold
- Commodities
- REITs
- High Yield Bonds
- Corporate Bonds
- Long-Term Treasuries
- Short-Term Treasuries
Categories
Track GPMv (DMS) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.