1. SHY (12.2%) have lower returns. In conclusion, we would suggest the SHY/IEF combination as the "safer bond" than our default bond IEF (as "cash" shelter in our PAA2 strategy). The SHY/IEF combination may show to be more resilient than IEF for rising rates in the future as it automatically switches to SHY (with a 1-3y duration) when IEF (7-10y) losses momentum over SHY. For investors with a stronger stomach, we still advise using IEF as safe bond in our highly protective strategy PAA2, since it also shows absolute returns (like SHY/IEF) while its results in a higher return and much lower risk than a traditional 60;Of the four (near) absolute-return strategies only IEF (R=13.7%) and SHY/IEF (R=13.1%) have returns above 13% over FS, while BIL/SHY (R=11.8%)
2. ) backtest with the most protective PAA strategy (PAA2). The results can be characterized as a successful absolute-return strategy which can compete with a traditional 1-year term deposit, even in times of rate hikes. Here, we define "absolute-return" as a 1year-rolling-return which is not below 0% at least 95% of all months as well as;SMA trend filter for both absolute and relative momentum and a risky universe of twelve global multi asset ETF-proxy funds, we did an In-Sample (IS,1970
3. Using IEF as safe bond, the resulting high-protective PAA2 strategy achieves the mentioned absolute-return targets, both on IS and OS, in contrast to the traditional dual-momentum strategy and our 60/40 benchmark. This makes PAA2 a successful absolute-return fund model in our opinion. Drawdown is limited to 10% while annual return (CAGR) is near 14% over the full-sample of 45 60/40 (and dual momentum) by applying our;Applying a simple market-regime indicator based on the number of positive trending assets (the
4. Optimal Momentum: A Global Cross Asset Approach