Bold Asset Allocation - Aggressive Overview

Bold Asset Allocation - Aggressive (BAA-A) is the concentrated version of Wouter Keller's Bold Asset Allocation. It uses the same four-asset alarm system and the same defensive machinery as the balanced version, and changes one thing: when the alarm is quiet, it holds a single fund chosen from four candidates, rather than six chosen from twelve.

The whole portfolio, in one position, every risk-on month. That is a design most tactical strategies would consider reckless, and the argument for it is worth understanding before deciding what you think of it.

Dual Momentum Systems tracks it as a benchmark and as the aggressive end of a published pair.

The Backstory

The full story of Bold Asset Allocation, including the canary concept, the two momentum speeds and the defensive universe that made the design work, is on the Balanced page. This page covers what makes the aggressive variant different.

Where the offensive four comes from

BAA-A's four offensive candidates are lifted almost directly from Vigilant Asset Allocation, the authors' 2017 model: U.S. equities, developed international equities, emerging market equities and aggregate bonds, with the strongest held alone.

The one substitution is the aggression. Where Vigilant used the S&P 500 for the U.S. slot, BAA-A uses the Nasdaq 100. That swaps the broadest available U.S. equity exposure for the most concentrated and highest-beta of the major index funds. When this strategy is risk-on and the U.S. is leading, it is not holding the American market, it is holding the growth end of it at full weight.

Why the concentration is defensible

Holding one fund only makes sense if something else is doing the protecting, and in BAA that is exactly the arrangement.

The four canary assets are checked first, and any one of them trending down moves the entire portfolio out of the offensive universe. By the time BAA-A is choosing what to hold, the question of whether it is safe to be invested has already been answered by a separate mechanism watching a separate set of assets. Selection is then free to be a pure question of what is leading, with no hedging built into it.

Compare that with a strategy where the holdings themselves must provide the defense. Such a strategy has to stay diversified, because it cannot know which holding will be the one that saves it. BAA-A does not carry that burden, which is the argument for spending risk-on months undiluted.

Risk-on does not always mean equities

One detail is easy to miss and changes how the strategy behaves. Aggregate bonds sit among the four offensive candidates. So a risk-on month where bonds are ranked strongest puts 100% of the portfolio into bonds.

That happens more often than you would guess, and it means the aggressive label describes the concentration rather than a permanent equity bet. The strategy is aggressive about committing to whatever is leading, not aggressive about always owning stocks.

What it costs

The honest counterweight is that one decision a month determines everything. A wrong pick is felt at full weight, with no other position to soften it. The historical record shows this plainly: BAA-A's worst decline is roughly double the balanced version's.

There is also a subtler point. With four candidates and one winner, a near-tie in the rankings decides the entire portfolio. In the balanced version a marginal call moves a sixth of the money; here it moves all of it. Small differences in how the momentum is measured, or which day the signal is taken, matter more in this variant than in almost any other strategy on this site.

Core Strategy Logic

BAA-A is evaluated once a month. Signals come from month-end data and set the holdings for the following month.

Step 1 - Check all four canaries

Score the four canary assets with the fast weighted measure, which leans heavily on the most recent month.

• All four positive: offensive mode.
• Any one at or below zero: defensive mode.

The canary assets are watched, not held on account of being watched.

Step 2a - Offensive mode

Score the four offensive candidates using the slow 12-month average measure, rank them, and put 100% of the portfolio into the top one. No additional test is applied. The canary has already done that job.

Step 2b - Defensive mode

Identical to the balanced version. Score the seven defensive assets with the slow measure, take the top three at a third each, and replace any pick that cannot beat cash with cash. Slots landing on the same asset combine, so defensive mode ranges from three positions down to a portfolio entirely in cash. Cash here is BOXX, the T-bill-equivalent fund used across this site.

The portfolio is rebalanced to fresh targets every month.

The three universes

Canary, signal only:

Asset	Role
VOO	U.S. equities
VEA	Developed international equities
EEM	Emerging market equities
BND	U.S. aggregate bonds

Offensive, four candidates, top one held at 100%:

Asset	Role
QQQ	Nasdaq 100, the aggressive substitution for the S&P 500
VEA	Developed international equities
EEM	Emerging market equities
BND	U.S. aggregate bonds

Defensive, seven candidates, top three held:

Asset	Role
TIP	Inflation-protected Treasuries
PDBC	Commodities
BOXX	Cash, also the yardstick every pick must beat
IEF	Intermediate Treasuries
TLT	Long Treasuries
LQD	Corporate bonds
BND	Aggregate bonds

Note that the canary watches broad U.S. equities while the offensive universe holds the Nasdaq. The alarm is deliberately measured on the wider market rather than on the narrower fund the strategy actually buys.

Aggressive against Balanced

	Aggressive	Balanced
Offensive candidates	4	12
Offensive holdings	Top 1, the whole portfolio	Top 6, a sixth each
U.S. equity exposure	Nasdaq 100	Large cap, Nasdaq and small cap all eligible
Canary	Identical	Identical
Defensive universe and rules	Identical	Identical

Everything the two versions share is the protective half. Everything that differs is how hard they press when protection is not needed.

Performance Highlights

Over the full published history, alongside the balanced version and the earlier model its offensive universe came from:

January 1980 through August 2026, net of trading friction:

	CAGR	Max Drawdown	UPI
Bold Asset Allocation - Aggressive	+15.4%	-21.3%	1.87
Bold Asset Allocation - Balanced	+11.7%	-11.8%	2.28
Vigilant Asset Allocation - Aggressive	+12.4%	-21.6%	1.26
Triad	+14.9%	-13.8%	3.94
S&P 500	+12.0%	-51.0%	0.61

The third column is the Ulcer Performance Index: return above cash divided by how deep the strategy went and how long it stayed there. Max Drawdown reports the worst single moment; UPI reports the experience of holding it. Higher is better.

The comparison with Vigilant is the one that justifies the strategy's existence. The two hold nearly the same offensive universe with the same top-one rule and take almost identical worst declines, yet BAA-A earns meaningfully more per year and scores far better on UPI. Nearly all of that difference comes from the defensive side, where Vigilant retreats into a small, conservative set and BAA ranks seven assets including commodities and inflation-protected Treasuries. Better defense, not bolder offense, is what separates them.

Against its own balanced sibling, BAA-A buys about three and a half points of annual return with roughly double the worst decline, and gives up ground on UPI. Concentration delivered more money and a rougher ride, which is what it promises to do.

Against the index, BAA-A earns more per year while cutting the worst decline to about 40% of the index's. Note that its worst decline is smaller in the shorter window below, which means BAA-A's deepest drawdown came before 2000, unlike most strategies on this site.

Triad is included as the closest comparison among strategies built here. It earns slightly less per year than BAA-A while taking about two thirds of the decline, and its UPI is roughly double. Concentration is not the only route to a high return, and this is the standard the strategies built here are held to.

One caution applies to every row except the index. BAA was published in 2022, so nearly all of this record is backtested, with the author having seen the full history when choosing the universes and momentum measures. That applies with extra force to a strategy whose entire portfolio turns on a single ranking.

The same five, measured from January 2000:

January 2000 through August 2026, net of trading friction:

	CAGR	Max Drawdown	UPI
Bold Asset Allocation - Aggressive	+11.9%	-19.0%	1.70
Bold Asset Allocation - Balanced	+9.9%	-11.8%	2.07
Vigilant Asset Allocation - Aggressive	+10.2%	-21.6%	1.09
Triad	+14.2%	-8.6%	4.93
S&P 500	+8.0%	-51.0%	0.39

The recent window narrows the gap between the two BAA versions considerably. Concentration bought about two points a year here rather than three and a half, at the same roughly doubled drawdown. An investor weighing the two should look hard at this table rather than the full-history one, since it covers the period that actually resembles today's markets.

Two cautions apply as always. A window starting in January 2000 begins shortly before a major bear market, which flatters strategies that step aside during one. And a single figure covering decades says nothing about the order the returns arrived in, which is most of what an investor lives through.

Portfolio Characteristics

• One holding when invested. The whole portfolio in a single fund during risk-on months.
• Protection is external. The canary, not diversification, is what keeps the strategy out of trouble.
• Growth-tilted U.S. exposure. The Nasdaq 100 rather than a broad index, which is the single most aggressive choice in the design.
• Not always an equity bet. Aggregate bonds are one of the four candidates, so risk-on months can be spent entirely in bonds.
• Defensive most of the time. The canary sends the strategy defensive in roughly 60% of months, exactly as in the balanced version.
• Defense that earns. Seven defensive candidates with a cash floor on every pick.
• Sensitive to near-ties. With four candidates and one winner, a marginal ranking decides the entire portfolio.
• Deeper drawdowns. Roughly double the balanced version's worst decline, though still a fraction of the index's.
• Monthly rebalancing. Fresh targets every month, with full portfolio turnover whenever the pick changes.
• No leverage. BAA-A never holds a leveraged fund.
• Best suited to tax-deferred accounts. Frequent full-portfolio switches generate short-term gains. In a taxable account, plan accordingly.
• Fully mechanical. Every allocation follows from published rules with no discretionary override.

Who It's For

BAA-A is designed for investors who want:

• Maximum commitment to whatever is leading, with protection handled by a separate mechanism.
• Higher returns than the balanced version and the willingness to hold through roughly twice the decline.
• Growth-tilted U.S. equity exposure when the U.S. leads.
• Simple execution during risk-on months, since there is only one position to hold.
• A rules-based process with no market-timing judgment calls.

It is a poor fit for investors who are uncomfortable holding a single fund, who need shallow drawdowns, or who would struggle to keep following the rules after one bad pick costs them at full weight. Those investors should look at BAA - Balanced, which shares all of the protection and spreads the offense across six positions, or Hybrid Asset Allocation, the authors' later and simpler model. Investors comfortable with this level of risk should compare it with Triad and Catalyst.

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Bold Asset Allocation was created by Wouter Keller and is presented here as an independent implementation, with standard fund substitutions. Dual Momentum Systems is not affiliated with or endorsed by the author. The original paper is available at SSRN.

Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Investors should carefully consider their risk tolerance and consult with a financial advisor.

For the latest details, visit www.DualMomentumSystems.com