PAA (Protective Asset Allocation) — Tactical Asset Allocation Strategy
Breadth-based crash protection across 12 risky assets. The fraction with positive SMA momentum determines the bond buffer -- more negative assets means more IEF protection. Remaining capital goes to top momentum picks. Monthly rebalancing.
Backtest Performance (1997-04-30 to 2026-04-07)
| Metric | PAA (Protective Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.3% |
| Maximum Drawdown | -22.1% |
| Sharpe Ratio | 0.99 |
| Sortino Ratio | 1.32 |
| Annualized Volatility | 9.3% |
| Calmar Ratio | 0.42 |
| Total Return | 1193.7% |
| Backtest Period | 28.9 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Wouter J. Keller & Jan Willem Keuning
Categories
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