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Gold Cross-Asset Momentum

Gold Cross-Asset Momentum 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 2026-01-04 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 2026-01-04 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
Rule / approach
1. Compute 12-month total return for GLD and IEF 2. If GLD 12m return > 0 AND IEF 12m return > 0 → 100% GLD 3. Otherwise → 100% BIL (cash)
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.

Gold Cross-Asset Momentum at a glance

Gold Cross-Asset Momentum is a tactical asset allocation (TAA) strategy by Cyril Dujava (Quantpedia) across Gold, Cash (T-Bills), rebalanced monthly. Backtested 1986-02-28 to 2026-08-19 (40.3 years): 7.6% CAGR, 0.68 Sharpe, -33.7% max drawdown, 11.4% volatility.

Type
Tactical (TAA)
Author
Cyril Dujava (Quantpedia)
Rebalancing
Monthly
Risk
Moderate
Period
1986-02-28 to 2026-08-19
CAGR
7.6%
Sharpe
0.68
Max Drawdown
-33.7%
Volatility
11.4%

Gold Cross-Asset Momentum Tactical Asset Allocation Strategy

Gold Cross-Asset Momentum, originally described by Cyril Dujava on Quantpedia, is a binary gold timing strategy that goes 100% long gold (GLD) only when BOTH gold and intermediate-term bonds (IEF) show positive 12-month returns. When either is negative, the portfolio moves entirely to BIL (cash). The intuition is that both gold and bonds benefit from falling real rates; when bonds confirm gold's trend, the signal is stronger.

Gold Cross-Asset Momentum: frequently asked questions

What is Gold Cross-Asset Momentum?
Cross-asset momentum strategy investing in gold only when both gold and intermediate bonds show positive 12-month momentum. Dual confirmation reduces false signals. 100% single-asset switching between gold and cash. Monthly rebalancing.
Who created the Gold Cross-Asset Momentum strategy?
Gold Cross-Asset Momentum was developed by Cyril Dujava (Quantpedia). It is based on Dujava, C. (Quantpedia). Gold Cross-Asset Momentum.
What is the historical return and maximum drawdown of Gold Cross-Asset Momentum?
Backtested from 1986-02-28 to 2026-08-19, Gold Cross-Asset Momentum returned 7.6% CAGR with a -33.7% maximum drawdown and a Sharpe ratio of 0.68. Past performance does not guarantee future results.
How often is Gold Cross-Asset Momentum rebalanced?
Gold Cross-Asset Momentum is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
Is Gold Cross-Asset Momentum a tactical asset allocation strategy?
Yes. Gold Cross-Asset Momentum 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)

MetricGold Cross-Asset Momentum
CAGR7.6%
Max Drawdown-33.7%
Sharpe0.68
Sortino0.82
Volatility11.4%
Calmar0.23
Total Return1829.3%
Backtest Period40.3 years

Strategy Details

Type
Tactical (TAA)
Rebalancing
monthly
Risk Level
moderate
Variants
1
Author
Cyril Dujava (Quantpedia)
Source
Dujava, C. (Quantpedia). Gold Cross-Asset Momentum

Asset Classes

  • Gold
  • Cash (T-Bills)

Categories

Further reading

New to this approach? Read what tactical asset allocation is and how it works.

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