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 1997-04-30 to 2026-04-24 (29.0 years): 7.9% CAGR, 0.97 Sharpe, -14.5% max drawdown, 8.2% volatility.
- Type
- Tactical (TAA)
- Author
- Keuning & Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1997-04-30 to 2026-04-24
- CAGR
- 7.9%
- Sharpe
- 0.97
- Max Drawdown
- -14.5%
- Volatility
- 8.2%
GPM (Generalized Protective Momentum) — Tactical Asset Allocation Strategy
Generalized Protective Momentum by Keuning and Keller uses correlation-adjusted momentum scores across 13 assets. Protection scales with market breadth: when fewer assets have positive scores, more capital shifts to safety (SHV). Top 3 selected for the risky portion.
Backtest Performance (1997-04-30 to 2026-04-24)
| Metric | GPM (Generalized Protective Momentum) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.9% |
| Maximum Drawdown | -14.5% |
| Sharpe Ratio | 0.97 |
| Sortino Ratio | 1.17 |
| Annualized Volatility | 8.2% |
| Calmar Ratio | 0.55 |
| Total Return | 814.7% |
| Backtest Period | 29.0 years |
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
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