Generalized Protective Momentum

This strategy selects asset classes using a system that combines momentum and correlation. The asset classes covered are the S&P 500, the Russell 2000, the NASDAQ 100, European Equities, Japanese Equities, emerging market equities, long-term treasury bonds, high yield bonds, corporate bonds, commodities, gold, and real estate. The strategy will invest in the 6 asset classes with the highest combined momentum and correlation score on each rebalancing date. It will also move toward a crash protection asset (short or intermediate-term bonds) as the number of asset classes that are in a downtrend rises. Once more than half the assets in the selection universe are in a downtrend, the portfolio will invest 100% of its value in the crash protection asset.

Since 2006, this portfolio has returned 6.7% per year, underperforming its benchmark by 0.4%

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Generalized Protective Momentum
60/40 Allocation

Annual Return: 6.7% 60/40 Portfolio: 7.1%
Year To Date: 13.5% 60/40 Portfolio: 1.1%
Beta: -0.06 Standard Deviation: 18.5%
Full Return History

Portfolio Holdings

Ticker Date Added Return
IEF 2/7/2020 6.96%

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