Bold Asset Allocation (Balanced)
Four trigger assets, a hair-trigger switch, and a trimmed defense.
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
+15.9%
1Y
+20.4%
3Y
+9.0%
5Y
+6.0%
10Y
+7.4%
Growth of $100
Backtest from Jun 1, 2007 to Sep 25, 2026 (19.2 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
+8.7%
Volatility
9.9%
Max drawdown
-13.9%
Sharpe
0.75
Sortino
1.06
Calmar
0.62
Best year
+15.7%
Worst year
-2.7%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 65% 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
BAA watches four trigger assets (SPY, VWO, VEA, BND) with 13612W; any negative score sends the whole portfolio defensive. Offense holds the top 6 of G12 ranked by price / 12-month SMA. Defense holds the top 3 of seven bond, inflation and cash assets, replacing any that rank below T-bills with T-bills.
The rules
- 1Trigger assets: SPY, VWO, VEA, BND (13612W). Any negative → defensive.
- 2Offense: top 6 of G12 by price / 12-month SMA − 1, equal weight.
- 3Defense: top 3 of TIP, DBC, BIL, IEF, TLT, LQD, BND by the same score; any ranking below BIL is replaced by BIL.
Funds used
- BIL T-Bills
- BND US Aggregate Bonds
- DBC Commodities
- EWJ Japan
- GLD Gold
- HYG High Yield Bonds
- IEF 7-10Y Treasuries
- IWM US Small Cap
- LQD IG Corporate Bonds
- QQQ Nasdaq 100
- SPY S&P 500
- TIP TIPS
- TLT 20+Y Treasuries
- VEA Intl Developed
- VGK Europe
- VNQ US REITs
- VWO Emerging Markets
Early history uses proxy funds: EFA.
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.