Authors of momentum-based tactical asset-allocation papers

Wouter J. Keller & Jan Willem Keuning

Wouter J. Keller and Jan Willem Keuning have published a series of SSRN papers on momentum-driven asset allocation, including Vigilant Asset Allocation (VAA, July 2017), Defensive Asset Allocation (DAA, July 2018) and Hybrid Asset Allocation (HAA, February 2023). Keller had earlier co-written the Flexible Asset Allocation (FAA) paper with Hugo van Putten, reviewed by Alpha Architect in January 2013.

What they argue

Momentum should lean on recent months: their 13612W filter averages annualised 1-, 3-, 6- and 12-month returns, which weights the shortest look-backs most.
Crash protection comes from breadth: when enough risky or 'canary' assets show negative momentum, move to cash or bonds.

Sources

CXO Advisory: Conservative breadth rule for asset class momentum crash protection (VAA, July 2017)CXO Advisory: Multi-class momentum portfolio with canary crash protection (DAA, July 2018)CXO Advisory: Hybrid Asset Allocation (HAA, February 2023)Alpha Architect: Flexible Asset Allocation (Keller & van Putten)

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less (SSRN) (2017)
Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA) (SSRN) (2018)

The full reading list

Keller & Keuning 13612W momentum filter

Rule and full record

Momentum · month-end

A fast momentum score that blends the 1, 3, 6 and 12-month returns and leans hardest on the most recent. Hold while the score is above zero.

Calls right34%24,318 closed calls on 377 stocks.

Beat buy and hold (Sharpe)128 of 373On raw return: 100 of 373.

In right now178 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

APPOUT GPROIN DCBOIN BSXOUT BTEIN NAOUT NFIIN CVEIN PYPLIN SJOUT MAUIN BEI.UNOUT All 377 stocks →