Gold Cross-Asset Momentum
TacticalPromoderateBased on research by Cyril Dujava (Quantpedia) · Dujava, C. (Quantpedia). Gold Cross-Asset Momentum
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched Jan 4, 2026About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Compute 12-month total return for GLD and IEF
- 2If GLD 12m return > 0 AND IEF 12m return > 0 → 100% GLD
- 3Otherwise → 100% BIL (cash)
Key Differentiators
Research Source
Based on research by Cyril Dujava (Quantpedia)
Dujava, C. (Quantpedia). Gold Cross-Asset Momentum
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 1
- Risk Category
- moderate
- Tags
- momentum
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Momentum Lookback
- 12 months
- Signal Logic
- Dual momentum confirmation (gold AND bonds must be positive)
- Concentration
- 100% single asset (GLD or BIL)
- Universe Size
- 2 signal assets + 1 cash proxy
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
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 2026-05-20 (40.2 years): 8.0% CAGR, 0.72 Sharpe, -33.7% max drawdown, 11.4% volatility.
- Type
- Tactical (TAA)
- Author
- Cyril Dujava (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 8.0%
- Sharpe
- 0.72
- 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.
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | Gold Cross-Asset Momentum |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.0% |
| Maximum Drawdown | -33.7% |
| Sharpe Ratio | 0.72 |
| Sortino Ratio | 0.65 |
| Annualized Volatility | 11.4% |
| Calmar Ratio | 0.24 |
| Total Return | 2072.9% |
| Backtest Period | 40.2 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
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