Bold Asset Allocation (Aggressive)
BAA's trigger assets with a single concentrated offensive pick.
Higher overfitting risk: these models have many parameters chosen with hindsight. Expect live results to trail the backtest.
Published versions of this model differ in the details. This implementation is still being checked against the original paper, so treat its numbers as provisional.
Holding now
Signal from Aug 2026 close- BIL67%
- DBC33%
- BILT-Bills66.7%
- DBCCommodities33.3%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+1.6%
YTD
+9.2%
1Y
+8.2%
3Y
+3.7%
5Y
+2.2%
10Y
+6.5%
Growth of $100
Backtest from Sep 1, 2004 to Sep 25, 2026 (22.0 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+11.8%
Volatility
14.7%
Max drawdown
-26.0%
Sharpe
0.73
Sortino
1.04
Calmar
0.45
Best year
+32.7%
Worst year
-8.8%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 63% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
Same trigger assets and defense as BAA Balanced, but the offense holds only the best of QQQ, VWO, VEA and BND by price / 12-month SMA.
The rules
- 1Trigger assets: SPY, VWO, VEA, BND (13612W). Any negative → defensive.
- 2Offense: 100% the best of QQQ, VWO, VEA, BND by price / 12-month SMA − 1.
- 3Defense: top 3 of TIP, DBC, BIL, IEF, TLT, LQD, BND; any ranking below BIL → BIL.
Funds used
- BIL T-Bills
- BND US Aggregate Bonds
- DBC Commodities
- IEF 7-10Y Treasuries
- LQD IG Corporate Bonds
- QQQ Nasdaq 100
- SPY S&P 500
- TIP TIPS
- TLT 20+Y Treasuries
- VEA Intl Developed
- VWO Emerging Markets
Early history uses proxy funds: AGG, EEM, EFA, SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025
More crash protection
Protective Asset Allocation
Wouter Keller & JW Keuning
The bond share rises as more assets lose momentum.
Vigilant Asset Allocation (G4)
Wouter Keller & JW Keuning
Fully defensive the moment any risk asset turns down.
Defensive Asset Allocation
Wouter Keller & JW Keuning
Two trigger assets decide how much of a 12-asset book stays at risk.