Growth-Trend (GT) timing from Philosophical Economics is a brilliant timing strategy which only signals a bear market when both the trend in the unemployment (UE) rate and the SP500 index are bearish. As a result, it captures most market downturns while switching to cash in less than 15% of the...

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...

In this paper we extend the timeseries momentum (or trendfollowing) model towards a generalized momentum model, called Flexible Asset Allocation (FAA). This is done by adding new momentum factors to the traditional momentum factor R based on the relative returns among assets. These new factors...

Since the financial crisis of 2008 and the recent (end of 2015) pull back, investors are searching for less risky investments. Therefore, there is a growing demand for low risk/absolute return portfolios. In this paper we describe a simple dual-momentum model (called Protective Asset Allocation...

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):...