# Protective allocation: Rules and Paper Record

> Protective allocation: the rule, what it holds at the Nov 3, 2026 close, its signal and its paper record. A hypothetical ETF strategy.

Data as of Nov 3, 2026. Rebuilt every trading night.

Data as of Nov 3, 2026. Rebuilt every trading night.

## Protective allocation

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

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%.

Hypothetical. No money is invested.

| Fund | Name | Weight |
| --- | --- | --- |
| IEF | iShares 7-10 Year Treasury Bond ETF | 83.3% |
| QQQ | Invesco QQQ Trust, Series 1 | 2.8% |
| SPY | SPDR S&P 500 ETF Trust | 2.8% |
| GSG | iShares GSCI Commodity-Indexed Trust Fund | 2.8% |
| IWM | iShares Russell 2000 ETF | 2.8% |
| EWJ | iShares MSCI Japan ETF | 2.8% |
| VGK | Vanguard FTSE Europe ETF | 2.8% |

### The rule

- 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.

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

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo .

### Where to next

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Source: ETFIQ, independent ETF data. Recomputed nightly from public filings and prices.
Cite: ETFIQ Strategy Lab, Protective allocation, data as of Nov 3, 2026. https://etfiq.com/models/strategies/protective-allocation/
Licence: https://etfiq.com/license/ Data ETFIQ computes is free to use with attribution: ETFIQ (etfiq.com). Issuer data stays under its owner's terms.
HTML: https://etfiq.com/models/strategies/protective-allocation/