Conservative Breadth Rule for Asset Class Momentum Crash Protection
August 3, 2017 - Momentum Investing, Strategic Allocation, Technical Trading
Does an asset class breadth rule work better than a class-by-class exclusion rule for momentum strategy crash protection? In their July 2017 paper entitled “Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less”, Wouter Keller and Jan Keuning introduce VAA as a dual momentum asset class strategy aiming at returns above 10% with drawdowns… Keep Reading