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 2026-07-03 (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 2026-07-03
- 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 2026-07-03, 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 2026-07-03)
| Metric | Gold Cross-Asset Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 7.6% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.68 |
| Sortino Ratio | 0.82 |
| Annualized Volatility | 11.4% |
| Calmar Ratio | 0.23 |
| Total Return | 1829.3% |
| Backtest Period | 40.3 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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