About

Wouter Keller

Wouter Keller is a Dutch quantitative researcher who has published extensively on tactical asset allocation via SSRN since the early 2010s. The six strategies featured on this site — VAA, DAA, PAA, HAA, BAA, and LAA — are all developed by Keller (some with co-authors Jan Willem Keuning and JW van Putten) and published as open papers between 2016 and 2023.

The unifying idea across his work is breadth momentum: counting how many assets in a universe are rising, and letting that count rather than a forecast decide when to take cover. The course works through what that means and why it is built the way it is — start the course →

This site implements those papers as a runnable tool on live market data. The strategy designs are Keller's; any implementation choices or errors here are mine.

Method

Most of the strategies score assets with one of two signals:

• 13612W — a weighted blend of 1-, 3-, 6-, and 12-month returns. Used by VAA, DAA, HAA, BAA's canary, and BAA's risky leg.
• SMA12 — current price relative to its 12-month simple moving average. Used by PAA and BAA's cash leg.

LAA is the exception: it doesn't rank assets by momentum at all. Instead, 75% of the portfolio sits in a fixed permanent sleeve, and the remaining 25% rotates between QQQ and SHY based on a Growth-Trend timing gate built from the SPY 200-day SMA and the FRED unemployment series.

All strategies use the original Keller US ticker universe. The companion iPhone app adds a UK UCITS substitution layer and holds the allocation currently in force, month to month; the web tool intentionally stays with the original US paper universe as an educational preview.

Papers

• VAA — Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less (2017)
• DAA — Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA) (2018)
• PAA — Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits (2016)
• HAA — Relative and Absolute Momentum in Times of Rising/Low Yields: Hybrid Asset Allocation (HAA) (2023)
• BAA — Bold Asset Allocation: A Tactical Asset Allocation Strategy with Aggressive Crash Protection (2022)
• LAA — Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA) (2019)