BAA (Bold Asset Allocation)
BAA (Bold Asset Allocation) is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-08-19. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2022-07-18 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-08-19
- History boundary
- The recorded 2022-07-18 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Compute 13612W momentum for canary assets (SPY, VEA, VWO, BND) 2. If ANY canary has 13612W <= 0 → DEFENSIVE mode 3. If ALL canary positive → OFFENSIVE mode 4. OFFENSIVE: top N offensive assets by SMA(12) relative momentum, equal weight…
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled
- Freshness
- The latest available backtest ends 2026-08-19. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of September; scheduled 2026-09-01 at 09:30 ET. Review the published signal before placing any trade.
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 2026-08-19 (40.3 years): 10.8% CAGR, 1.25 Sharpe, -14.4% max drawdown, 9.0% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-08-19
- CAGR
- 10.8%
- Sharpe
- 1.25
- Max Drawdown
- -14.4%
- Volatility
- 9.0%
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.
BAA (Bold Asset Allocation): frequently asked questions
- What is Bold Asset Allocation?
- 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.
- Who created the BAA (Bold Asset Allocation) strategy?
- BAA (Bold Asset Allocation) was developed by Wouter J. Keller. It is based on Keller, W.J. (2022). Bold Asset Allocation (BAA).
- What is the historical return and maximum drawdown of BAA (Bold Asset Allocation)?
- Backtested from 1986-02-28 to 2026-08-19, BAA (Bold Asset Allocation) returned 10.8% CAGR with a -14.4% maximum drawdown and a Sharpe ratio of 1.25. Past performance does not guarantee future results.
- How often is BAA (Bold Asset Allocation) rebalanced?
- BAA (Bold Asset Allocation) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is BAA (Bold Asset Allocation) a tactical asset allocation strategy?
- Yes. BAA (Bold Asset Allocation) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1986-02-28 to 2026-08-19)
| Metric | BAA (Bold Asset Allocation) |
|---|---|
| CAGR | 10.8% |
| Max Drawdown | -14.4% |
| Sharpe | 1.25 |
| Sortino | 1.99 |
| Volatility | 9.0% |
| Calmar | 0.75 |
| Total Return | 6078.1% |
| Backtest Period | 40.3 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
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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.
Related strategies
Related research
- Month-End Signal, Next-Day Trade: How Much Delay Can TAA Survive?We added 1 and 2 business sessions to GEM, HAA and BAA after their canonical next-session trade. HAA and BAA each lost about 1 CAGR point at the 2-session delay.
- Can Stock-Bond Correlation Warn You Before Treasuries Fail?Treasuries failed in 2 of 5 fast equity selloffs. We tested whether the prior 60-day stock-bond correlation warned us. The rule caught 2 cases out of 5 and fired constantly in calm markets.
- Replicating a Closed-Rules TAA Portfolio With Fully Open ModelsA subscriber asked us to add a tactical strategy whose rules are private. We can't implement rules we can't read, so we rebuilt the portfolio's shape from three fully published models. Same Sharpe, same max drawdown, 1.7 points less CAGR.