Gold Cross-Asset Momentum — Tactical Asset Allocation Strategy
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.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | Gold Cross-Asset Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.5% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.71 |
| Sortino Ratio | 0.64 |
| Annualized Volatility | 12.7% |
| Calmar Ratio | 0.25 |
| Total Return | 1435.9% |
| Backtest Period | 33.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Cyril Dujava (Quantpedia)
Categories
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