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...

In this paper we will try to improve on the Modern Portfolio Theory (MPT) as developed by Markowitz (1952). As a first step, we combine the MPT model with generalized momentum (see Keller 2012) in order to arrive at a "tactical" MPT. In our second step, we will use the single index model (Elton,...

Mean-Variance Optimization (MVO) as introduced by Markowitz (1952) is often presented as an elegant but impractical theory. MVO is "an unstable and error-maximizing" procedure (Michaud 1989), and "is nearly always beaten by simple 1/N portfolios" (DeMiguel, 2007). And to quote Ang (2014):...

VAA (Vigilant Asset Allocation) is a dual-momentum based investment strategy with a vigorous crash protection and a fast momentum filter. Dual momentum combines absolute (trendfollowing) and relative (strength) momentum. Compared to the traditional dual momentum approaches, we have replaced the...

Our new Hybrid Asset Allocation (HAA) is a follow-up on our Bold Asset Allocation (BAA). Using BAA as our inspiration, we try to compose a much simpler strategy for retail investors. We aim for a balanced but aggressive strategy and much lower cash-fractions than BAA. An important role for his...

Our new Hybrid Asset Allocation (HAA) is a follow-up on our Bold Asset Allocation (BAA). Using BAA as our inspiration, we try to compose a much simpler strategy for retail investors. We aim for a balanced but aggressive strategy and much lower cash-fractions than BAA. An important role for his...

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....

Resilient Asset Allocation (RAA) is a more aggressive version of our Lethargic Asset Allocation (LAA) strategy. It combines a more robust “All Weather” portfolio with even slower growth-trend (GT) filter and a faster market crash-protection. GT timing goes risk-off only when both the US...