BAA (Bold Asset Allocation) — Tactical Asset Allocation Strategy
Canary-based regime detection using weighted multi-period breadth momentum on four assets. Offense ranks by SMA(12) relative momentum; defense selects top bonds with underperformer replacement. Aggressive and Balanced variants. Monthly rebalancing.
Backtest Performance (1997-04-30 to 2026-04-07)
| Metric | BAA (Bold Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 11.2% |
| Maximum Drawdown | -14.4% |
| Sharpe Ratio | 1.12 |
| Sortino Ratio | 1.46 |
| Annualized Volatility | 9.9% |
| Calmar Ratio | 0.77 |
| Total Return | 2047.1% |
| Backtest Period | 28.9 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Wouter J. Keller
Categories
Track BAA (Bold Asset Allocation) in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.