Elastic Asset Allocation

Generalized Elastic Asset Allocation, Golden parameterization (Keller & Butler, 'A Century of Generalized Momentum'): rank a 10-asset global universe (SPY/EFA/EEM/VNQ/DBC/GLD/TLT/IEF/LQD/HYG) by average 1/3/6/12-month total return each month and hold the top 3, elastic-weighted with the EAA Golden exponents (momentum wR=1, correlation wC=1, volatility wV=0). Elastic weighting tilts toward the strongest momentum while penalizing assets correlated to the rest of the held basket. Falls back to T-bills (BIL) when no candidate has positive trailing momentum.

• Type: Tactical
• Frequency: monthly
• Asset classes: US Equity, International Equity, Emerging Markets, REITs, Commodities, Gold, Treasuries, Credit
• Backtest window: 2007-05-30 to 2026-06-12

1Y

35.5%

3Y

97.9%

CAGR

12.7%

Max DD

-25.5%

Sharpe

0.58

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 2026-06-12.

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