Modern Portfolio Theory (MPT), as developed by Markowitz (1952) and others, is often described as a nice but impractical theory. The full MPT framework is very sensitive to parameters like the expected returns which are estimated with errors, resulting in allocations with even larger errors....

We improve on our Vigilant Asset Allocation (VAA) by the introduction of a separate “canary” universe for signaling the need for crash protection, using the concept of breadth momentum. The amount of cash is now governed by the number of canary assets with bad (non-positive) momentum. The...

Our aim is to develop a very offensive (‘aggressive’) tactical asset allocation strategy, by combining some of our previous models like Protected- (PAA), Vigilant- (VAA) and Defensive (DAA) Asset Allocation. We will call this new strategy the ‘Bold Asset Allocation’ (BAA). BAA combines a...

This paper follows Keller (2012), which introduced the Flexible Asset Allocation (FAA) concept. FAA is based on a weighted ranking score of historical asset returns (R), volatilities (V), and correlations to an equal weighted index (C). We call this “generalized momentum” since we assume...