Protective Asset Allocation

This strategy invests in the asset classes with the highest momentum using a selection universe of 12 ETFs. 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 strongest momentum 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 7.4% per year, outperforming its benchmark by 1.0%

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Protective Asset Allocation
60/40 Allocation

Annual Return: 7.4% 60/40 Portfolio: 6.4%
Year To Date: -8.0% 60/40 Portfolio: -7.5%
Beta: 0.11 Standard Deviation: 11.5%
Full Return History

Portfolio Holdings

Ticker Date Added Return
IEF 2/7/2020 6.57%

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