Bold Asset Allocation - Aggressive

BAA (Bold Asset Allocation), Aggressive is the same machinery as BAA Balanced, dialled to its extreme. It watches the same four "canary" assets, and every one of them still has to show positive momentum before the strategy will take any risk at all. When a canary weakens, it retreats to the same seven-asset defensive universe, takes the three strongest, and swaps out any that cannot outrun T-bills. Roughly 60% of months are spent on that defensive footing.

The difference is what happens when the canaries are healthy. Where Balanced buys the six strongest of twelve offensive assets, Aggressive picks from just four - the Nasdaq 100, developed international stocks, emerging markets, and U.S. aggregate bonds - and puts everything into the single strongest one. One asset, one hundred percent, until the next month-end.

That concentration runs in the direction most people would not choose deliberately. The portfolio is at its most concentrated precisely when it has decided conditions are favorable, and at its most diversified when it has decided they are not. A month that begins with the entire portfolio in the Nasdaq 100 has no cushion if the market turns, because the strategy does not look again until month-end. The bond asset in that offensive lineup is not a mistake, either: if aggregate bonds are simply the strongest of the four, Aggressive holds them at full weight while still counting itself as taking risk.

Turnover is close to total and gains are almost entirely short-term, which makes this the least tax-friendly strategy on the site. It belongs in a tax-deferred account or nowhere. The published backtest is impressive, and it is worth knowing that its four-asset offensive lineup was selected with the benefit of hindsight, including one substitution the authors themselves describe as optimized on the same history the results are drawn from.

Aggressive is best read alongside Balanced rather than on its own. Same rules, same signals, same defensive playbook, with the concentration turned all the way up so the trade-off is visible instead of theoretical.

BAA Aggressive uses no leverage. For more details, see Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation.