P.A.A.
Protective
Asset Allocation
Eases out of risk as fewer assets trend up
PAA scores the 12 risky assets using a simpler signal than VAA/DAA: each asset's current price relative to its 12-month simple moving average (SMA12). The count of risky assets above their SMA12 (call it n) drives a bond fraction — the share of the portfolio rotated into the best-scoring cash asset.
The protection factor a chooses how cautious the rotation is: a=0 (Aggressive) only goes fully defensive when zero risky assets are bullish; a=1 (Moderate) ramps defensive at n ≤ 3; a=2 (Vigilant, Keller's recommended baseline) ramps defensive at n ≤ 6. Higher a means earlier de-risking. The page below lets you toggle between the three variants and see how the allocation changes.
Paper · Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits — 2016
Backtested results do not predict future returns.
PAA2 (a=2, Top6, L=12); site adds SHY and LQD to the cash sleeve, as reported in the source paper (Fig. 6). The fall is measured at month-end — within a month it ran deeper.
PROTECTION LEVEL