Defensive Asset Allocation
Keller–Keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails.
Definition
Defensive Asset Allocation refers to keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails. Keep that definition fixed when comparing series, managers, or regimes — renaming the same tape does not create a new signal.
Why it matters
It is a named object desks use to frame risk, positioning, or process. When keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails shifts, related hedges, limits, and narratives usually need an explicit update rather than a quiet assumption.
Case
Suppose a desk is positioned for the opposite of what defensive asset allocation is saying. If keuning DAA: a canary universe that de-risks the risky sleeve when breadth/momentum in the canaries fails moves against that book, the first question is not “is the story clever?” but whether size, hedges, and stop logic still match the observation.
How to read it
Keep the definition fixed, then challenge it with cross-checks before sizing. Prefer a short written null hypothesis for Defensive Asset Allocation: what would falsify the current reading in the next window?