Generalized Protective Momentum Strategy Explanation Video
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 3 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 6.4% per year, underperforming its benchmark by 1.6%
Year | Portfolio | 60/40 |
2007 | 12.3% | 6.0% |
2008 | 20.5% | -21.0% |
2009 | -4.6% | 17.3% |
2010 | 16.4% | 11.7% |
2011 | 7.2% | 5.0% |
Year | Portfolio | 60/40 |
2012 | -2.4% | 11.0% |
2013 | 0.9% | 17.5% |
2014 | 6.1% | 10.5% |
2015 | 1.9% | 1.1% |
2016 | -1.2% | 8.3% |
Year | Portfolio | 60/40 |
2017 | 10.6% | 14.2% |
2018 | 3.3% | -2.3% |
2019 | 8.7% | 22.0% |
2020 | 16.2% | 14.3% |
2021 YTD | 2.4% | 10.8% |