Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Core

Protective allocation

Based on Keller & Keuning, 2016

CorePartly inHypotheticalNext rebalance Dec 1, 2026

At the Nov 3, 2026 close Protective allocation is partly in and holds IEF 83%, QQQ 3%, SPY 3% and 4 more. Hypothetical back-test since 2010: +6.8% a year against AOR’s +7.6%, deepest fall −20.3%.

IQ · Nov 3, 2026

Scorecard window, Jan 15, 2010 to Nov 3, 2026

Paper recordNot startedStarts Nov 4, 2026

Back-test, a year+6.8%vs AOR +7.6%

Max drawdown−20.3%vs AOR −22.2%

Sharpe0.62vs AOR 0.62

Turnover256%a year

Funds7held now

Growth of $10,000

Jan 2010 to Nov 3, 2026 · after costs

Nov 3, 2026Back-testStrategy$29,949+199.5%AOR$34,281+242.8%

$10,000$20,000$34.3k$29.9k

Jan 2010May 2013Sep 2016Feb 2020Jun 2023Nov 2026

StrategyAORBack-testPaper record

Drawdown

Fall from the last high

Strategy worst −20.3%AOR worst −22.2%

−20%−10%0%

Jan 2010May 2013Sep 2016Feb 2020Jun 2023Nov 2026

Rolling 12-month return

+22.0%+8.2%

0%+10%+20%+30%

Nov 2024Jul 2025Mar 2026Nov 2026

Rolling 12-month Sharpe

1.830.82

0.01.02.03.0

Nov 2024Jul 2025Mar 2026Nov 2026

Holdings now

Nov 3, 2026 close

IEFiShares 7-10 Year Treasury Bond ETF83.3%QQQInvesco QQQ Trust, Series 12.8%SPYSPDR S&P 500 ETF Trust2.8%GSGiShares GSCI Commodity-Indexed Trust Fund2.8%IWMiShares Russell 2000 ETF2.8%EWJiShares MSCI Japan ETF2.8%VGKVanguard FTSE Europe ETF2.8%

Signals

Hold the six strongest of twelve assets. When fewer than half are rising, move the rest to Treasuries.

7 in · 6 out

Nearest to flipping

FundVs averageRankDistance to flipState

IEF+83.3%no flipIn

HYG−0.4%80.4 ptsOut

EEM−1.4%91.4 ptsOut

VGK+1.5%71.5 ptsOut

LQD−1.6%101.6 ptsOut

FundVs averageRankDistance to flipState

GSG+16.1%116.1 ptsIn

SPY+4.7%24.7 ptsIn

EWJ+3.2%33.2 ptsIn

IWM+2.7%42.7 ptsIn

QQQ+2.5%52.5 ptsIn

IYR+2.5%62.5 ptsIn

VGK+1.5%71.5 ptsOut

FundVs averageRankDistance to flipState

HYG−0.4%80.4 ptsOut

EEM−1.4%91.4 ptsOut

LQD−1.6%101.6 ptsOut

TLT−2.3%112.3 ptsOut

GLD−10.7%1210.7 ptsOut

IEF+83.3%no flipIn

Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Points (pts) are percentage points.

Date	Action	Fund	Price	Weight	Reason	Record
Oct 30, 2026	In	VGK	at close	2.8%	Rule added it. Next close, after costs.	Back-test
Oct 30, 2026	Out	EEM	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Aug 31, 2026	Out	VGK	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Aug 31, 2026	In	SPY	at close	11.1%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2026	In	VGK	at close	8.3%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2026	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 29, 2026	In	SPY	at close	13.9%	Rule added it. Next close, after costs.	Back-test
May 29, 2026	Out	GLD	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2026	Out	VGK	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2026	In	QQQ	at close	13.9%	Rule added it. Next close, after costs.	Back-test
Mar 31, 2026	In	IEF	at close	16.7%	Rule added it. Next close, after costs.	Back-test
Jan 30, 2026	Out	QQQ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jan 30, 2026	In	GSG	at close	16.7%	Rule added it. Next close, after costs.	Back-test
Nov 28, 2025	Out	SPY	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Nov 28, 2025	In	IWM	at close	16.7%	Rule added it. Next close, after costs.	Back-test
Nov 28, 2025	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Oct 31, 2025	In	IEF	at close	16.7%	Rule added it. Next close, after costs.	Back-test
Sep 30, 2025	Out	IEF	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 30, 2025	In	SPY	at close	8.3%	Rule added it. Next close, after costs.	Back-test
May 30, 2025	In	QQQ	at close	8.3%	Rule added it. Next close, after costs.	Back-test
May 30, 2025	Out	LQD	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
May 30, 2025	Out	HYG	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2025	In	LQD	at close	2.8%	Rule added it. Next close, after costs.	Back-test
Apr 30, 2025	Out	IYR	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test

No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3

Dec 2025	Jan 2026	Feb 2026	Mar 2026	Apr 2026	May 2026	Jun 2026	Jul 2026	Aug 2026	Sep 2026	Oct 2026	Nov 2026
1.3	6.3	5.5	−3.1	5.8	2.3	−1.1	−0.9	1.9	−0.7	2.1	−0.4

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year	AOR
2026*	6.3	5.5	−3.1	5.8	2.3	−1.1	−0.9	1.9	−0.7	2.1	−0.4		18.6	6.5
2025	1.8	−0.6	−1.7	0.2	−0.5	2.2	−0.2	2.8	4.5	3.1	0.7	1.3	14.4	15.7
2024	−0.5	2.1	2.3	−3.8	3.0	0.9	2.0	1.5	2.2	−1.6	3.0	−3.2	8.1	11.4
2023	3.6	−3.6	4.2	1.0	−0.7	−0.2	1.2	−3.1	−2.8	−1.9	4.6	3.9	5.9	15.8
2022	−3.1	0.1	−4.1	−4.2	0.6	−0.9	3.0	−3.9	−4.7	−1.5	3.6	−1.5	−15.7	−15.7
2021	0.6	2.6	0.1	2.9	0.9	1.1	1.7	1.1	−2.5	3.0	−2.1	1.4	10.8	11.2
2020	−1.2	−1.1	5.6	0.3	0.3	0.0	1.5	0.5	−1.9	−1.4	4.7	4.0	11.7	11.2
2019	0.7	−0.5	2.4	0.2	0.1	1.3	0.6	3.8	−0.9	1.3	0.3	1.2	10.8	19.8
2018	6.2	−3.9	−0.7	−0.9	1.4	0.6	−0.4	1.5	−1.3	−1.3	1.4	2.8	5.1	−6.3
2017	1.1	1.8	0.4	1.2	1.6	0.2	1.7	0.8	0.2	2.5	1.6	1.2	15.3	15.8
2016	3.3	1.5	−0.1	−0.2	−0.1	3.3	1.2	−1.0	0.5	−1.9	−1.7	−0.1	4.7	6.7
2015	4.3	−2.2	0.4	−0.7	−0.4	−2.0	2.2	−0.9	1.0	−0.6	−0.4	−0.5	0.0	−1.9
2014	2.0	2.0	−0.4	0.4	2.0	1.0	−1.9	2.2	−2.4	1.7	1.5	0.2	8.4	7.6
2013	1.9	0.5	1.7	2.6	−1.2	−2.2	0.4	−1.5	2.2	0.9	0.1	−1.4	3.9	16.5
2012	0.9	−0.7	−0.5	1.3	0.0	−1.5	1.5	0.1	0.0	−1.1	1.0	1.6	2.4	10.4
2011	0.0	3.2	0.5	3.9	−1.3	−1.7	0.8	−2.5	−0.5	−1.4	0.6	2.0	3.2	1.1
2010	−4.2	3.3	5.6	2.7	−4.3	−0.1	0.6	1.7	0.9	2.0	−1.1	5.8	12.9	8.8
2009	−3.9	−0.7	3.3	−2.7	−2.1	−0.6	0.8	−0.3	3.7	−2.0	4.9	0.5	0.6	n/a
2008						0.4	0.8	1.5	−0.1	−0.9	7.8	5.1	15.2	n/a

Scorecard

vs AOR · back-test Jan 15, 2010 to Nov 3, 2026 · after costs

+6.8% a year vs AOR +7.6%.Max drawdown −20.3% vs −22.2%.

Return

MeasureStrategyAOREdge

Total return+203%+244%AOR

Annualised+6.8%+7.6%AOR

Risk

MeasureStrategyAOREdge

Volatility8.7%10.1%Strategy

Max drawdown−20.3%−22.2%Strategy (slight)

Upside capture56.2%100.0%AOR

Downside capture59.7%100.0%Strategy

Beta0.471.00Lower

Risk-adjusted

MeasureStrategyAOREdge

Sharpe ratio0.620.62Tie

Sortino ratio0.890.89Tie

Calmar ratio0.330.34AOR (slight)

Alpha, a year+2.5%n/aNot significant

Costs and taxes

MeasureStrategyAOREdge

Turnover, a year256%n/a

Cost drag, a year−0.07%n/a

Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.5% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.

t = 1.37Alpha of +2.5% a year is not significant, on back-test data.

256%turnover a year. Costs take 0.1 points.

MethodSource, rules, funds and limitsOpen ↓

SourceKeller, W. J. and Keuning, J. W. (2016). Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits. SSRN 2759734. ↗

VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies

Exact rules

Hold the six strongest of twelve assets. When fewer than half are rising, move the rest to Treasuries.
A rule reads the close of the last trading day of the month and trades at the next close.
The universe is 13 funds; the benchmark is iShares Core 60/40 Balanced Allocation ETF (AOR).
It is checked at each month end.

What we cannot measure

Keller and Keuning pick the safe asset as the better of 10-year Treasuries and cash; this version holds Treasuries, with cash when they are unavailable.
Taxes.
Keller and Keuning test several top-N and protection settings; this uses top 6 of 12 and protection 2.

Fund list · 13 funds

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

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ETFIQ Strategy Lab, Protective allocation, data as of Nov 3, 2026. https://etfiq.com/models/strategies/protective-allocation/

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