Generalized Protective Momentum

GPM (Generalized Protective Momentum) is Keller & Keuning's momentum model across a 12-asset global universe of equities, real assets, and bonds, and it's the strategy GPMv was built from. GPM's key refinement over simpler momentum models is that it scores each asset not just on momentum, but on how correlated that asset's returns are to the broader risk universe — an asset with strong momentum that's also highly correlated with everything else gets discounted, while a strong performer that moves independently is rewarded. The strategy concentrates conviction in its three highest-scoring assets rather than spreading across many holdings, and scales its defensive allocation to short or intermediate Treasuries based on the breadth of positive-momentum assets across the universe — the fewer assets in an uptrend, the larger the defensive cushion. This correlation-aware scoring is what "generalized" refers to in the name: a more adaptive evolution of protective momentum investing.

GPM uses no leverage. For more details, see Generalized Protective Momentum.