Bold Asset Allocation G4 (BAA aggressive)

Wouter Keller's Bold Asset Allocation, aggressive version. The same four canaries decide the regime; while all are positive it holds the single strongest of the Nasdaq 100, emerging stocks, developed stocks, and US bonds, and otherwise the three strongest defensive funds, using Treasury bills for any that trail them.

Designed by Wouter Keller, 2022. Implemented and tracked by Tactfolio.

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1×2×3×5×20082012201620202024
Growth of $1, log scale. Strategy SPY. Hypothetical results on daily ETF prices with trading costs, through Sep 2026.
Jul 2008 – Sep 2026StrategySPY
Annual return (CAGR)9.3%12.6%
Worst drawdown-21.8%-47.2%
Sharpe ratio0.740.70
Volatility13.2%19.7%
Annual return since publication (Aug 2022)-1.7%18.0%

BAA-G4 is the aggressive version of Wouter Keller's Bold Asset Allocation, published in 2022. It shares the canary and the defensive side of the balanced version, but while conditions are good it holds just one fund: the strongest of the Nasdaq 100, emerging-market stocks, developed-market stocks, and US bonds.

The idea#

Bold Asset Allocation separates two jobs. A fast canary signal decides whether to be offensive or defensive, and a slower momentum signal picks what to hold. The aggressive version concentrates the offensive side in a single fund, aiming for higher returns in strong markets at the cost of more risk.

How it works#

At the close of the last trading day of each month:

  1. Check the canaries. Score SPY, VWO, VEA, and BND by 13612W momentum. If all four are positive, the portfolio is offensive; if any is zero or negative, it is defensive.
  2. Offensive: hold 100% of the single strongest of QQQ, VWO, VEA, and BND, ranked by their price relative to their 12-month average.
  3. Defensive: hold the three strongest of TIP, DBC, BIL, IEF, TLT, LQD, and BND by the same measure, a third each. Any of the three that is weaker than BIL is replaced by BIL.

What the backtest shows#

Over the ETF era, from 2008, BAA-G4 compounded near 9% a year. It trailed a 60/40 portfolio on risk-adjusted return. It had excellent years, such as 2020, when the Nasdaq 100 led, and 2022, when its defensive side kept it slightly positive while the S&P 500 fell by almost a fifth.

Since its publication in 2022 it has done poorly. It lost money over that period, trailing a strongly rising stock market by a wide margin, and it fell about 22% from late 2024 to late 2025. The canary's switches and the single-fund bet both cost it.

With simulated history the test starts in 1987 and looks far better, near 15% a year, helped by the Nasdaq's rise in the 1990s. Its worst simulated drawdown, about 32%, came in the dot-com crash of 2000.

When it struggles#

  • Wrong single pick. One fund decides every offensive month.
  • Canary false alarms. A brief dip in any of the four canaries moves the whole portfolio to defense.
  • Rising rates. Several of its defensive funds are bonds.

Using it on Tactfolio#

The live strategy above implements the canary, the ranking, and the BIL replacement exactly. Copy it to hold two or three offensive funds instead of one, or compare it with the balanced version.

Year by year

YearStrategySPY
2026*3.2%14.0%
2025-12.2%17.7%
20242.5%24.9%
20233.8%26.2%
20221.5%-18.2%
20215.8%28.7%
202027.8%18.3%
201918.5%31.2%
201813.4%-4.6%
201716.7%21.7%
201611.3%12.0%
2015-2.6%1.2%
201415.6%13.5%
20138.3%32.3%
201217.5%16.0%
20115.7%1.9%
20108.3%15.1%
200922.6%26.4%
2008*7.6%-27.1%

* Partial year.

The rules as implemented

This is the exact tree Tactfolio runs, rebalanced monthly with signals and trades at the close. Open it to inspect or copy it.

  • StrategyKeller BAA-G4
    • WeightEqual
      • IfAll of 4 conditions
        • 1/3/6/12-month weighted momentum of SPY is above 0
        • 1/3/6/12-month weighted momentum of VWO is above 0
        • 1/3/6/12-month weighted momentum of VEA is above 0
        • 1/3/6/12-month weighted momentum of BND is above 0
        Then
        • WeightEqual
          • RankTop 1 · 13-point relative SMA momentum
            • TickerQQQ
            • TickerVWO
            • TickerVEA
            • TickerBND
        Otherwise
        • WeightEqual
          • IfAt least 2 of 6 conditions
            • 13-point relative SMA momentum of TIP is above 13-point relative SMA momentum of BIL
            • 13-point relative SMA momentum of DBC is above 13-point relative SMA momentum of BIL
            • 13-point relative SMA momentum of IEF is above 13-point relative SMA momentum of BIL
            • 13-point relative SMA momentum of TLT is above 13-point relative SMA momentum of BIL
            • 13-point relative SMA momentum of LQD is above 13-point relative SMA momentum of BIL
            • 13-point relative SMA momentum of BND is above 13-point relative SMA momentum of BIL
            Then
            • WeightEqual
              • RankTop 3 · 13-point relative SMA momentum
                • TickerTIP
                • TickerDBC
                • TickerBIL
                • TickerIEF
                • TickerTLT
                • TickerLQD
                • TickerBND
            Otherwise
            • WeightEqual
              • IfAt least 1 of 6 conditions
                • 13-point relative SMA momentum of TIP is above 13-point relative SMA momentum of BIL
                • 13-point relative SMA momentum of DBC is above 13-point relative SMA momentum of BIL
                • 13-point relative SMA momentum of IEF is above 13-point relative SMA momentum of BIL
                • 13-point relative SMA momentum of TLT is above 13-point relative SMA momentum of BIL
                • 13-point relative SMA momentum of LQD is above 13-point relative SMA momentum of BIL
                • 13-point relative SMA momentum of BND is above 13-point relative SMA momentum of BIL
                Then
                • WeightSpecified
                  • RankTop 1 · 13-point relative SMA momentum33.33%
                    • TickerTIP
                    • TickerDBC
                    • TickerBIL
                    • TickerIEF
                    • TickerTLT
                    • TickerLQD
                    • TickerBND
                  • TickerBIL66.67%
                Otherwise
                • WeightEqual
                  • TickerBIL

Sources and caveats

  • Offensive universe QQQ, VWO, VEA, BND with top 1, defensive universe TIP, DBC, BIL, IEF, TLT, LQD, BND with top 3, as in the source.
  • In the defensive half, any pick with weaker SMA12 momentum than BIL is replaced by BIL, as in the source.
  • Signals and trades use the close of the last trading day of each month, as in the source.

Common questions#

What is Bold Asset Allocation G4?#

It is the aggressive version of Wouter Keller's 2022 Bold Asset Allocation: a four-fund canary decides between offense and defense, and while offensive it holds the single strongest of QQQ, VWO, VEA, and BND.

What is the difference between BAA-G4 and BAA-G12?#

BAA-G12 holds six of twelve funds while offensive; BAA-G4 holds one of four. They share the canaries and the defensive side.

Does BAA-G4 still work?#

It has lost money since it was published in 2022, after strong results in earlier decades. The live record on Tactfolio shows how it is doing now.