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.
TLT QQQ LQD EEM EWJ SPY VGK GSG HYG GLD IWM IYR
SHY IEF
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 %
| 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 % |