GPM (Generalized Protective Momentum)
Score 12 assets: average of 1/3/6/12-month returns x (1 - 12-month correlation with the equal-weight mix). Backtest max drawdown: -15.1%.
Strategy & methodology
Score 12 assets: average of 1/3/6/12-month returns x (1 - 12-month correlation with the equal-weight mix); Count n assets with a positive score; 6 or fewer: everything in protection; Otherwise protection share (12 - n) / 6, in IEF or…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2016-06; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-22.
Simulated history
Stand-in funds and until when (11)
- HYG: VWEHX before Apr 11, 2007
- VGK: EFA x1.05 before Mar 10, 2005
- VNQ: VGSIX before Sep 29, 2004
- EEM: VEIEX before Apr 14, 2003
- TLT: VUSTX before Jul 26, 2002
- LQD: PIGIX before Jul 26, 2002
- IEF: VFITX before Jul 26, 2002
- LQD: VWESX before Jul 26, 2002
- VNQ: FRESX before Sep 29, 2004
- EWJ: PRJPX before Mar 18, 1996
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Score 12 assets: average of 1/3/6/12-month returns x (1 - 12-month correlation with the equal-weight mix). Backtest max drawdown: -15.1%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 30b2debc, published 2026-10-17
Is GPM (Generalized Protective Momentum) still working in 2026?
GPM (Generalized Protective Momentum) returned 4.84% over the trailing 12 months and 32.65% over 36 months through 2026-10-22, compared with a full-backtest annualized return of 10.57%. Its full-backtest maximum drawdown was -15.13%. The full sample contains 10652 daily NAV observations from 1985-01-01. These are model results, not investor account returns or a promise. As of 2026-10-22 it is -9.80% below its high-water mark of 2026-02-27, 8 months ago, and its longest run below a previous high was 2.3 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 4.84% | Not annualized | -12.80% | 252 | 2025-10-22 to 2026-10-22 |
| Trailing 36 months | 32.65% | Not annualized | -12.80% | 754 | 2023-10-20 to 2026-10-22 |
| Full backtest | 6563.15% | 10.57% | -15.13% | 10652 | 1985-01-01 to 2026-10-22 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-02-27, 8 months before 2026-10-22, and it is -9.80% below that level now. The longest run below a previous high in the full backtest was 2.3 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
GPM (Generalized Protective Momentum) at a glance
GPM (Generalized Protective Momentum) is a tactical asset allocation (TAA) strategy by Keuning & Keller across US Equity, International Equity, Emerging Markets, REITs, rebalanced monthly. Backtested 1985-01-01 to 2026-10-22 (41.8 years): 10.6% CAGR, 0.85 Sharpe, -15.1% max drawdown, 8.4% volatility.
- Type
- Tactical (TAA)
- Author
- Keuning & Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1985-01-01 to 2026-10-22
- CAGR
- 10.6%
- Sharpe
- 0.85
- Max Drawdown
- -15.1%
- Volatility
- 8.4%
GPM (Generalized Protective Momentum) — Tactical Asset Allocation Strategy
Generalized Protective Momentum by Keuning and Keller (2016) scores 12 asset classes (US large, tech and small caps, Europe, Japan, emerging markets, real estate, commodities, gold, high-yield and corporate bonds, long Treasuries) by their average 1, 3, 6 and 12-month return times one minus their 12-month correlation with the equal-weight mix, so assets that move with everything else score lower. The number of assets scoring above zero sets the crash protection: 50% when 9 of 12 do, 100% when 6 or fewer do, in IEF or short Treasuries, whichever scores higher. The rest is split over the top 3 assets. Corrected on 2026-10-10 to the published rules: the previous version counted IEF as a 13th risky asset, always used short Treasuries and a smaller protection share.
GPM (Generalized Protective Momentum): frequently asked questions
- What is Generalized Protective Momentum?
- Correlation-adjusted momentum on 12 global asset classes. Each month it scores every asset by its average 1, 3, 6 and 12-month return times one minus its correlation with the equal-weight mix, and holds the top 3. The share in crash protection (IEF or short Treasuries, whichever scores higher) rises as fewer assets score above zero: 50% when 9 of 12 do, all of it when 6 or fewer do. Monthly rebalancing.
- Who created the GPM (Generalized Protective Momentum) strategy?
- GPM (Generalized Protective Momentum) was developed by Keuning & Keller. It is based on Keuning, J.W. & Keller, W.J. (2016). Generalized Protective Momentum (GPM).
- What is the historical return and maximum drawdown of GPM (Generalized Protective Momentum)?
- Backtested from 1985-01-01 to 2026-10-22, GPM (Generalized Protective Momentum) returned 10.6% CAGR with a -15.1% maximum drawdown and a Sharpe ratio of 0.85. Past performance does not guarantee future results.
- How often is GPM (Generalized Protective Momentum) rebalanced?
- GPM (Generalized Protective Momentum) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is GPM (Generalized Protective Momentum) a tactical asset allocation strategy?
- Yes. GPM (Generalized Protective Momentum) 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 (1985-01-01 to 2026-10-22)
| Metric | GPM (Generalized Protective Momentum) |
|---|---|
| CAGR | 10.6% |
| Max Drawdown | -15.1% |
| Sharpe | 0.85 |
| Sortino | 1.51 |
| Volatility | 8.4% |
| Calmar | 0.70 |
| Total Return | 6566.8% |
| Backtest Period | 41.8 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Keuning & Keller
- Source
- Keuning, J.W. & Keller, W.J. (2016). Generalized Protective Momentum (GPM)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- REITs
- Commodities
- Gold
- Bonds
- Cash
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding GPM (Generalized Protective Momentum) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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Related research
- Generalized Protective Momentum: how the breadth rule scales protectionHow GPM scores 12 assets, scales its crash protection with breadth, and picks between IEF and short Treasuries. Rewritten in October 2026, when BestFolio's GPM moved to Keuning and Keller's published rules, which have no all-cash cliff.
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