No. of Recommendations: 8
A Tactical Asset Allocation ETF screen Generalized Protective Asset Allocation Fuzzy a modified version of Keuning and Keller's Generalized Protective Momentum. An analysis of the GPM results for each period shows that a nonlinear what I call fuzzy decision threshold makes a better separator between safe and risk periods. This was developed with GTR1 help from robbie in 2020.
zi>0 K&K'sSafe FuzSafe
12 0.000 0.000
11 0.167 0.000
10 0.333 0.000
9 0.500 0.000
8 0.667 0.167
7 0.833 0.333
6 1.000 0.500
5 1.000 0.667
4 1.000 0.833
3 1.000 1.000
2 1.000 1.000
1 1.000 1.000
0 1.000 1.000
Compared to Vanguard’s VWELX balanced fund from 10/2007
GPMF VWELX
CAGR: 10.1 7.5
TR: 393.9 231.0
Log2TR: 2.3 1.7
SAWR( 8.2 6.0
GSD(42) 9.1 12.2
DIGSD 8.7 15.0
LDD 3.9 8.3
LDDD3 4.4 8.7
MDD -15.1 -36.0
UI(42) 2.5 7.2
Sharpe 1.0 0.6
Beta 0.1 0.7
TI 121.4 10.4
AT: 3.0 0.0
Year GPMF VWELX
20071231 8.1 -1.6
20081231 24.4 -22.3
20091231 9.4 22.2
20101231 10.2 10.9
20111230 9.5 3.9
20121231 0.4 12.6
20131231 17.3 19.7
20141231 5.6 9.8
20151231 -6.2 0.0
20161230 2.7 11.0
20171229 14.2 14.7
20181231 1.9 -3.4
20191231 14.5 22.5
20201231 21.7 10.6
20211231 22.5 19.0
20221230 2.1 -14.4
20231229 3.9 14.3
20240520 10.3 7.0
gtr1.net: GTR1 Backtester - Protective Asset Allocation Fuzzy V6I’m currently using a blend of 3 non correlated TAA strategies based on momentum and risk premium.
RAMc
