Protective Asset Allocation
Each month, hold up to 6 of 12 assets above their 13-month moving averages. As fewer assets qualify, shift more to IEF; hold only IEF when fewer than 6 qualify.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Bonds, Credit, Commodities, Gold, REITs
- Backtest window: 2002-07-30 to 2026-11-10
- 1Y
- 14.3%
- 3Y
- 49.6%
- CAGR
- 12.6%
- Max DD
- -8.7%
- Sharpe
- 1.09
Methodology
- On each month-end, score every ticker in the 12-asset risky universe by SMA(12) momentum (price / 13-month SMA).
- Hold the top 6 risky tickers whose momentum is positive, equal-weighted.
- Compute BF = max(0, (12 - n) / (12 - 6)) where n is the count of risky tickers with positive momentum, and allocate BF of the sleeve to IEF.
- When fewer than 6 risky tickers qualify, BF saturates at 1.0 and the sleeve rotates fully into IEF.
Source: Keller, W.J. Protective Asset Allocation (PAA)
Headline backtest performance as of 2026-11-10.