Bold Asset Allocation (G12)
Bold Asset Allocation G12 (Keller 2023): four canary assets (SPY, VEA, VWO, BND) gate a 12-asset offensive universe ranked by SMA(12) momentum (price divided by 13-month simple moving average). When every canary shows positive 13612W momentum, hold the top 6 offensive tickers equal-weighted; otherwise rotate into the top 3 of the 7-asset defensive universe. BAA also replaces any individual defensive pick whose SMA(12) momentum is below BIL's with BIL itself.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Bonds, Credit, Commodities, Gold, REITs, Inflation-Linked
- Backtest window: 2007-05-30 to 2026-06-11
- 1Y
- 25.8%
- 3Y
- 44.0%
- CAGR
- 8.9%
- Max DD
- -10.5%
- Sharpe
- 0.55
Methodology
- Check 13612W momentum on canary assets SPY/VEA/VWO/BND.
- If every canary is positive, hold the top 6 offensive assets by SMA(12).
- Otherwise hold the top 3 of TIP/DBC/BIL/IEF/TLT/LQD/BND by SMA(12), replacing any defensive pick below BIL with BIL.
Source: Keller, W.J. (2022). Bold Asset Allocation (BAA)
Headline backtest performance as of 2026-06-10.