Gold Cross-Asset Momentum
Compute 12-month total return for GLD and IEF. If GLD 12m return > 0 AND IEF 12m return > 0 then 100% GLD. Backtest max drawdown: -33.7%.
Strategy & methodology
Compute 12-month total return for GLD and IEF; If GLD 12m return > 0 AND IEF 12m return > 0 → 100% GLD; Otherwise → 100% BIL (cash).
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2026-01-04; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-02.
Research data and disclosures
Compute 12-month total return for GLD and IEF. If GLD 12m return > 0 AND IEF 12m return > 0 then 100% GLD. Backtest max drawdown: -33.7%. 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 121dd691, published 2026-10-01
Is Gold Cross-Asset Momentum still working in 2026?
Gold Cross-Asset Momentum returned 7.25% over the trailing 12 months and 80.06% over 36 months through 2026-10-02, compared with a full-backtest annualized return of 7.63%. Its full-backtest maximum drawdown was -33.68%. The full sample contains 10340 daily NAV observations from 1986-02-28. These are model results, not investor account returns or a promise. As of 2026-10-02 it is -23.27% below its high-water mark of 2026-01-29, 8 months ago, and its longest run below a previous high was 8.7 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 7.25% | Not annualized | -26.40% | 252 | 2025-10-02 to 2026-10-02 |
| Trailing 36 months | 80.06% | Not annualized | -26.40% | 754 | 2023-10-02 to 2026-10-02 |
| Full backtest | 1880.84% | 7.63% | -33.68% | 10340 | 1986-02-28 to 2026-10-02 |
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 2026-01-29, 8 months before 2026-10-02, and it is -23.27% below that level now. The longest run below a previous high in the full backtest was 8.7 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.
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 2026-10-02 (40.6 years): 7.6% CAGR, 0.67 Sharpe, -33.7% max drawdown, 11.6% volatility.
- Type
- Tactical (TAA)
- Author
- Cyril Dujava (Quantpedia)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-10-02
- CAGR
- 7.6%
- Sharpe
- 0.67
- Max Drawdown
- -33.7%
- Volatility
- 11.6%
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 2026-10-02, Gold Cross-Asset Momentum returned 7.6% CAGR with a -33.7% maximum drawdown and a Sharpe ratio of 0.67. 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 2026-10-02)
| Metric | Gold Cross-Asset Momentum |
|---|---|
| CAGR | 7.6% |
| Max Drawdown | -33.7% |
| Sharpe | 0.67 |
| Sortino | 1.16 |
| Volatility | 11.6% |
| Calmar | 0.23 |
| Total Return | 1880.4% |
| 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
- 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.
Holding Gold Cross-Asset Momentum alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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