BAA (Bold Asset Allocation)
Compute 13612W momentum for canary assets (SPY, VEA, VWO, BND). If ANY canary has 13612W of at most 0 then DEFENSIVE mode. Backtest max drawdown: -14.3%.
Strategy & methodology
Compute 13612W momentum for canary assets (SPY, VEA, VWO, BND); If ANY canary has 13612W <= 0 → DEFENSIVE mode; If ALL canary positive → OFFENSIVE mode; OFFENSIVE: top N offensive assets by SMA(12) relative momentum, equal weight…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2022-07-18; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-01.
Simulated history
Stand-in funds and until when (14)
- HYG: VWEHX before Apr 11, 2007
- BND: AGG before Apr 10, 2007
- VWO: EEM before Mar 10, 2005
- VGK: EFA x1.05 before Mar 10, 2005
- VNQ: VGSIX before Sep 29, 2004
- TIP: VIPSX before Dec 5, 2003
- TLT: VUSTX before Jul 26, 2002
- LQD: PIGIX before Jul 26, 2002
- IEF: VFITX before Jul 26, 2002
- TIP: PRTNX before Dec 5, 2003
- LQD: VWESX before Jul 26, 2002
- VNQ: FRESX before Sep 29, 2004
- EWJ: PRJPX before Mar 18, 1996
- SPY: VFINX before Jan 29, 1993
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Compute 13612W momentum for canary assets (SPY, VEA, VWO, BND). If ANY canary has 13612W of at most 0 then DEFENSIVE mode. Backtest max drawdown: -14.3%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are 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. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version 583bf0f6, published 2026-10-01
Is BAA (Bold Asset Allocation) still working in 2026?
BAA (Bold Asset Allocation) returned 18.51% over the trailing 12 months and 24.95% over 36 months through 2026-10-01, compared with a full-backtest annualized return of 11.40%. Its full-backtest maximum drawdown was -14.32%. The full sample contains 10341 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-01 it is -0.85% below its high-water mark of 2026-09-15, 16 days ago, and its longest run below a previous high was 3.5 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 18.51% | Not annualized | -6.64% | 252 | 2025-10-01 to 2026-10-01 |
| Trailing 36 months | 24.95% | Not annualized | -11.28% | 754 | 2023-09-29 to 2026-10-01 |
| Full backtest | 7907.32% | 11.40% | -14.32% | 10341 | 1986-02-28 to 2026-10-01 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-09-15, 16 days before 2026-10-01, and it is -0.85% below that level now. The longest run below a previous high in the full backtest was 3.5 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
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 2026-10-01 (40.6 years): 11.4% CAGR, 1.28 Sharpe, -14.3% max drawdown, 9.0% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter J. Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-01
- CAGR
- 11.4%
- Sharpe
- 1.28
- Max Drawdown
- -14.3%
- 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 2026-10-01, BAA (Bold Asset Allocation) returned 11.4% CAGR with a -14.3% maximum drawdown and a Sharpe ratio of 1.28. 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 2026-10-01)
| Metric | BAA (Bold Asset Allocation) |
|---|---|
| CAGR | 11.4% |
| Max Drawdown | -14.3% |
| Sharpe | 1.28 |
| Sortino | 2.44 |
| Volatility | 9.0% |
| Calmar | 0.80 |
| Total Return | 7869.7% |
| Backtest Period | 40.6 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
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.
Holding BAA (Bold Asset Allocation) alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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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 1.28
- PAA (Protective Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.27
- GPMv (DMS) by Randy Harris (DMS variant of Keller & Keuning's GPM)Sharpe 1.26
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