We mentioned an interesting piece by Keller and Putten (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2193735) .

Here was our original take: http://alphaarchitect.com/2013/01/03/flexible-asset-allocation/

The strategy seemed worth a second look so my team at Empiritrage (Empirical-Based Arbitrage) went batsh&$ crazy.

What does the strategy look like? Here ya go:


How did our results stack up?


Sweet strategy…but is it curve-fitting?