GPMv (DMS) at a glance
GPMv (DMS) is a tactical asset allocation (TAA) strategy by Randy Harris (DMS variant of Keller & Keuning's GPM) across US Equity, Tech, Mid-Cap, Pacific, rebalanced monthly. Backtested 1987-12-31 to 2026-07-03 (38.5 years): 10.2% CAGR, 1.26 Sharpe, -14.4% max drawdown, 8.6% volatility.
- Type
- Tactical (TAA)
- Author
- Randy Harris (DMS variant of Keller & Keuning's GPM)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1987-12-31 to 2026-07-03
- CAGR
- 10.2%
- Sharpe
- 1.26
- Max Drawdown
- -14.4%
- Volatility
- 8.6%
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.
GPMv (DMS): frequently asked questions
- What is GPMv (DMS)?
- Randy Harris's variant of Generalized Protective Momentum (GPM), the breadth-and-correlation crash-protection strategy created by Wouter Keller and Jan Willem Keuning. Correlation-based selection across 11 risky assets with a modified re-entry formula for quicker equity exposure after drawdowns; top 3 by score, with the safety fraction scaling to market breadth. Monthly rebalancing.
- Who created the GPMv (DMS) strategy?
- GPMv (DMS) was developed by Randy Harris (DMS variant of Keller & Keuning's GPM). It is based on Keuning, J.W. & Keller, W.J. (2016). Generalized Protective Momentum (GPM).
- What is the historical return and maximum drawdown of GPMv (DMS)?
- Backtested from 1987-12-31 to 2026-07-03, GPMv (DMS) returned 10.2% CAGR with a -14.4% maximum drawdown and a Sharpe ratio of 1.26. Past performance does not guarantee future results.
- How often is GPMv (DMS) rebalanced?
- GPMv (DMS) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is GPMv (DMS) a tactical asset allocation strategy?
- Yes. GPMv (DMS) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1987-12-31 to 2026-07-03)
| Metric | GPMv (DMS) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.2% |
| Maximum Drawdown | -14.4% |
| Sharpe Ratio | 1.26 |
| Sortino Ratio | 1.88 |
| Annualized Volatility | 8.6% |
| Calmar Ratio | 0.71 |
| Total Return | 4158.9% |
| Backtest Period | 38.5 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Randy Harris (DMS variant of Keller & Keuning'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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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