PAA Default

Notes


These are the default setting for Protective Asset Allocation.

How PAA Invests


Protective Asset Allocation (PAA) invests in risk assets when they are rising and shifts holdings to risk off assets and cash when risk assets begin to fall.

A momentum value is calculated for all assets and only positive momentum assets are eligible for investment.

Holdings


Risk Tickers

TLT QQQ LQD EEM EWJ SPY VGK GSG HYG GLD IWM IYR

Crash Tickers

SHY IEF

System Parameters


Strategy Type: Protective Asset Allocation

Lookback: 12 months

Number of Risk Assets Held: 6

Start Date: 2007-04-11

End Date: 2021-11-15

Risk Off Threshold: 50.0 %

Performance Statistics

Total Return CAGR Max Drawdown Sharpe Calmar Win % Avg. % Win Avg. % Loss Best Period Worst Period
150.10 % 7.00 % -6.22 % 1.08 1.12 65.24 % 1.50 % -1.24 % 6.18 % -4.49 %

Equity Curve

Drawdown

Monthly Returns


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