When Markowitz proclaimed in his research paper, there were many crises in economic system. The
majority of economist and quant had suggested their own model of portfolio and theories. Our research
suggested a new portfolio which is named ‘T&M’ using elastic asset allocation, diversified investment, and
real momentum. Using Kelly Criterion, T&M portfolio’s efficiency and stability were verified. Market
indexes used in T&M portfolio are US 10 Year T-Note Futures, US 30 Year T-Bond Futures, S&P 500,
Canadian S&P 500,S&P/TSX Composite, DAX, Hang Seng, KOSPI, USD/KRW(Forex), and Gold Future.
The data was used from Jan 1st, 1988 to Sep 1st, 2016. The period verified was computed from 1989,
monthly. Microsoft Excel 2013’s inner Function was used as a main analysis program. Finally, T&M
Portfolio increased by about 15.503%(CAGR), and MDD decreased by about 6.3%. With this, this study
verified he high stability and efficiency of elastic asset allocation.
Both of two students got the data for completion of study. Taewan Kim had conducted for comparing,
sorting data, Back-Test, writing about elastic asset allocation and Kelly Criterion, and Mihyeop Lee had
conducted for writing the stock market, momentum, standard deviation, theory of portfolio, introduction
and conclusion.