BAA (Bold Asset Allocation)
TacticalPromoderateBased on research by Wouter J. Keller · Keller, W.J. (2022). Bold Asset Allocation (BAA)
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched Jul 18, 2022About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Compute 13612W momentum for canary assets (SPY, VEA, VWO, BND)
- 2If ANY canary has 13612W <= 0 → DEFENSIVE mode
- 3If ALL canary positive → OFFENSIVE mode
- 4OFFENSIVE: top N offensive assets by SMA(12) relative momentum, equal weight
- 5DEFENSIVE: top 3 defensive assets by SMA(12) momentum; replace each with BIL if its momentum < BIL momentum
- 6Variants: BAA-G4 (4 offensive, top 1) and BAA-G12 (12 offensive, top 6)
Asset Universe
Pro subscribers only
17 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Wouter J. Keller
Keller, W.J. (2022). Bold Asset Allocation (BAA)
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 2
- Risk Category
- moderate
- Tags
- momentum, multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 4 canary + 12 offensive + 7 defensive assets
- Regime Detection
- 13612W momentum on canary universe (any negative → defensive)
- Ranking Method
- SMA(12) relative momentum: price / SMA(13 month-end prices) - 1
- Offensive Concentration
- Top 6 by SMA(12) momentum, equal weight (BAA-G12 default)
- Defensive Mechanism
- Top 3 defensive by SMA(12); replaced with BIL if momentum < BIL
- Leverage Options
- 1x (standard) or 2x (leveraged ETF substitution)
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
Investment Universe
BAA (Bold Asset Allocation) at a glance
BAA (Bold Asset Allocation) is a tactical asset allocation (TAA) strategy by Wouter J. Keller across US Equity, Small Cap, Tech, Europe, rebalanced monthly. Backtested 1986-02-28 to 2026-05-20 (40.2 years): 10.8% CAGR, 1.18 Sharpe, -14.4% max drawdown, 8.9% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 10.8%
- Sharpe
- 1.18
- Max Drawdown
- -14.4%
- Volatility
- 8.9%
BAA (Bold Asset Allocation) — Tactical Asset Allocation Strategy
Bold Asset Allocation (BAA) is the latest in Keller's family of tactical strategies. It uses a 4-asset canary universe (SPY, VEA, VWO, BND) with 13612W momentum for regime detection, but uniquely employs SMA(12) relative momentum (price vs. 13-month simple moving average) for asset ranking in both offensive and defensive modes. In defensive mode, individual assets whose SMA momentum falls below that of BIL (T-bills) are replaced with BIL, providing an additional layer of crash protection.
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | BAA (Bold Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.8% |
| Maximum Drawdown | -14.4% |
| Sharpe Ratio | 1.18 |
| Sortino Ratio | 1.49 |
| Annualized Volatility | 8.9% |
| Calmar Ratio | 0.75 |
| Total Return | 6022.8% |
| Backtest Period | 40.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Wouter J. Keller
- Source
- Keller, W.J. (2022). Bold Asset Allocation (BAA)
Asset Classes
- US Equity
- Small Cap
- Tech
- Europe
- Japan
- Emerging Markets
- REITs
- Commodities
- Gold
- Long-Term Treasuries
- High Yield Bonds
- Corporate Bonds
- TIPS
- T-Bills
Categories
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- PAA (Protective Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.16
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