Elastic Asset Allocation

Each month, hold the top three of 10 global assets by average one-, three-, six-, and 12-month return. Weight stronger trends more heavily while reducing weight for correlated assets; hold T-bills when none have positive momentum.

• Type: Tactical
• Frequency: monthly
• Asset classes: US Equity, International Equity, Emerging Markets, REITs, Commodities, Gold, Treasuries, Credit
• Backtest window: 2007-05-30 to 2026-11-10

1Y

19.2%

3Y

95.2%

CAGR

22.5%

Max DD

-12.2%

Sharpe

1.49

Methodology

• Average 1-, 3-, 6-, and 12-month total return across 10 global assets each month.
• Hold the top 3, elastic-weighted with EAA Golden exponents (wR=1, wC=1, wV=0).
• Elastic weighting tilts to momentum and penalizes correlation to the held basket.
• Require positive composite momentum; otherwise hold BIL.

Source: Keller, W.J. & Butler, A. (2014). A Century of Generalized Momentum: From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA).

Headline backtest performance as of 2026-11-10.

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