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 2026-07-03 (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 2026-07-03
- 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 2026-07-03, 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 2026-07-03)
| Metric | BAA (Bold Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.8% |
| Maximum Drawdown | -14.4% |
| Sharpe Ratio | 1.25 |
| Sortino Ratio | 1.99 |
| Annualized Volatility | 9.0% |
| Calmar Ratio | 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.
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Related strategies
- HAA (Hybrid Asset Allocation) by Wouter KellerSharpe 1.49
- DAA (Defensive Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.32
- PAA (Protective Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.29
- GPMv (DMS) by Randy Harris (DMS variant of Keller & Keuning's GPM)Sharpe 1.26
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