防禦型投資組合策略的概念時常被較不願承受高風險或是對於無法判斷金融市場趨勢的投資者所運用，這種策略既不但能保障原本所投資的本金，更能參與資本市場於多頭的上漲獲利。隨著近年來金融市場的發展與創新，許多新金融商品根據其概念設不斷的被開發，為投資人提供了更多較定期存款更好的投資選擇。
這篇論文主要探討的是Keller (2016)的 PAA模型（防禦型資產配置模型）應用於追蹤美國S&P500及Dow Jones不同產業ETF所組成的投資組合(如:科技、能源、生技醫療及不動產….等)以及模型衍生。論文中我們將描述一個具有”下跌保護機制”的簡單雙重動能模型，此模型是建立在以一個傳統60/40股債比例之戰術型變異的投資組合，其最適的股債比重決定於投資組合中風險性資產的雙重動能。為了使該策略與一年期定存風險相較，我們也運用Keller於2016年所使用的絕對報酬指標來衡量策略的安全性。最後，我們藉由納入資產波動度以及相關性以改進PAA模型，並找出風險性與一年期定存最相近，且報酬率比一年期定存高的策略。
依據Keller（2016）的方法，我們將PAA模型及MPAA模型(PAA的衍生模型)應用於美國S&P500及Dow Jones各類產業ETF並組成投資組合，研究樣本期間從2002年1月至2016年12月，自2003年1月，每月調整一次資產權重。實證結果顯示，PAA與MPAA模型表現出絕佳的風險調整能力，並且能夠擊敗均權模型與美國S&P大盤指數ETF (SPY)；此外，曝險程度也相對均權模型及SPY來的低。

Investors who are reluctant to bear high risk or are unable to recognize the future trends in the financial market often use the concept of a protected portfolio strategy. This strategy not only upholds the principal amount of the original investment but also leads to profit in a bull market. With the development of the market and the financial innovation that has occurred in recent years, many new financial products have been created based on the above-referenced concept. It also provides investors with various investment options that are better than time deposits.
In this paper, we utilize and extend the Protective Asset Allocation (PAA) model introduced by Keller (2016) and apply it on ETFs (exchange traded funds) in US markets for the S&P500 and Dow Jones within the different sectors. The PAA model has vigorous “crash protection,” which might be appropriate in this case. It is a tactical variation in the traditional 60/40 stock/bond portfolio, where the optimal stock/bond mix is determined by multi-market breadth using dual momentum. In order to approximate the risk for a one-year term deposit, we use the “absolute return” indicator created by Keller to evaluate the safety of the strategy in 2016. Eventually, we add the volatility and correlation effect into the PAA model to improve it and search for a strategy that is similar to the one-year term deposit on risk but creates the highest absolute return.
Following Keller (2016), we extend the PAA models to the various sector-universe ETFs of the US securities market and use the monthly data from January 2002 to December 2016. We also start to trade in January 2003 and rebalance every month. The empirical results show that our models demonstrate outstanding risk-adjusted as well as absolute performance over the equal weight portfolio and index ETF for the S&P 500 (SPY). In addition, the degree of exposure to risk is relatively low compared to both the equal weight model and SPY.

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