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Protected Adaptive Asset Allocation

Highlights•A new tactical asset allocation model named Protected Adaptive Asset Allocation (PAAA) is presented.•PAAA targets an optimal risk/returns ratio using a momentum index to capture the short-run dynamics together with cash protection in negative market periods to reduce drawdowns.•PAAA improves upon the performance of alternative models in terms of the risk/return profile when applied to a well-diversified dataset in the long term.•PAAA superiority is confirmed in the full time horizon analysis, in the rolling period one, as well as for in/out-of-sample analyses and when the analysis is restricted to afinancial crisis period.•For less diversified portfolios, PAAA is equivalent to an adaptive asset allocation that includes a liquidity component.AbstractProtected Adaptive Asset Allocation (PAAA) is a tactical asset allocation model that targets an optimal risk/returns ratio using both a momentum index to capture the short-run dynamics and cash protection in negative market periods to reduce drawdowns. Empirical evidence shows that PAAA improves upon the performance of alternative models in terms of the risk/return profile when applied to a well-diversified dataset in the long term, based on the results of in/out-of-sample analyses, and when the analysis is restricted to a financial crisis period. For less diversified portfolios, PAAA is equivalent to an Adaptive Asset Allocation that includes a liquidity component.

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