Bold Asset Allocation (G12)
Bold Asset Allocation G12: when four market signals are positive, hold the top 6 of 12 offensive assets; otherwise hold the top three defensive assets. Replace any defensive pick that trails T-bills with BIL.
- 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 2026-11-10
- 1Y
- 10.2%
- 3Y
- 38.7%
- CAGR
- 10.4%
- Max DD
- -7.5%
- Sharpe
- 1.02
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 2026-11-10.