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...

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...