So my first question would be, how much experience do you have with mechanical trading systems? Statistics? Backtesting? Robustness testing? Market history? Trading psychology? Momentum? I'm not saying you have to be an expert in all those areas, but it sure doesn't hurt.
The problem you'll run into with this system, or any system really, is that it will go through a period where it doesn't do well. Or, it at least doesn't do well compared to the general market. You'll then be tempted to throw the system in the trash and put your money in index funds which have been doing well for some time. Then, shortly after that, just when you've written off that stupid AAA (adaptive asset allocation) strategy, the market tanks and AAA starts to perform well again. You realize you were dumb for ever doubting AAA, and you put your money back into the strat. And then the cycle starts all over again...
Strategies are easy (relatively). The hard part is sticking to them when they suck (which they will at some point). This specific AAA strategy has provided stable returns but has underperformed the S&P the past 3 years. Will you continue to trade it, month in and month out, for 3 straight years? While your friends are making more money than you being 100% invested in US stocks? While they mock you for all that hard work but less returns? Will you understand where the risks and returns come from in a system like this, and when they come?
What I'm getting at, is that yes, I trade a system very similar to this paper. I am indebted to the guys who wrote it, and all their papers and blog posts really. They helped me understand concepts (and the math behind them) that I could not find elsewhere at the time. However, I spent literally thousands of hours understanding all the ins and outs of diversified trend following and momentum trading before I started live trading it. I know what to expect, and I have reasonable expectations based on all the research that I've done. It fits my personality and I know what I'm getting myself into. I would never tell someone else to trade my strategy unless they had the same conviction I had and understood how it works and what to expect.
Don't ever blindly trade someone else's system. Ever. You need to trade the system that fits you and your personality. You'll have to go on a soul-searching mission to really figure that out. Personally, the system as presented in this paper is too complex IMO. Simpler is almost always better. You can do just as good or better on the return side by intelligently deciding which assets to trade (this is the most important and takes the most research and thought time), then just buying the assets that have done well recently and holding them equal weight. No correlation, no risk-parity, no volatility targeting or mean-variance whatever. Simple. Works. The more complex, the easier it is to break. Simpler is more robust. But that's just me.
I recommend reading everything from Mebane Faber and Gary Antonnacci as they have papers, books and blog posts dealing with these types of diversified momentum systems. I also recommend reading Michael Covel's books, Following the Trend by Andreas Clenow, and The Way of the Turtle by Curtis Faith. You need to know the good, the bad and the ugly. Know WHY something works, not just how it works.