Gold Cross-Asset Momentum
Hold gold only when both gold and intermediate Treasuries show positive trailing momentum.
- Type: Tactical
- Frequency: monthly
- Asset classes: Gold, Treasuries, Cash
- Backtest window: 2007-05-30 to 2026-11-10
- 1Y
- 4.1%
- 3Y
- 80.4%
- CAGR
- 19.9%
- Max DD
- -26.4%
- Sharpe
- 1.01
Methodology
- If GLD and IEF both have positive 12-month returns, hold GLD.
- Otherwise hold BIL.
Source: Dujava. Cross-Asset Price-Based Regimes for Gold
Headline backtest performance as of 2026-11-10.