U-BAA - Bold Asset Allocation - Aggressive Overview
| CAGR | 15.7% |
|---|---|
| Maximum drawdown | -21.3% |
| MAR ratio | 0.74 |
| History | 46 years (561 months) |
U-BAA - Bold Asset Allocation - Aggressive is a UCITS version of Keller & Keuning's BAA Aggressive, for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The rules are unchanged: the same four canaries and defensive playbook as BAA Balanced, but when the canaries are healthy it puts the whole portfolio into the single strongest of four offensive assets. The full logic is on the BAA - Bold Asset Allocation - Aggressive page. Because only the funds that hold each position change, the backtest is identical to the original's, month for month.
The UCITS Funds
| Role | Fund | Ticker (London, USD) | GBP line | ISIN |
|---|---|---|---|---|
| Nasdaq 100 | iShares Nasdaq 100 UCITS ETF (Acc) | CNDX | CNX1 | IE00B53SZB19 |
| Developed markets ex US | Xtrackers MSCI World ex USA UCITS ETF 1C | EXUS | XMWX | IE0006WW1TQ4 |
| Emerging markets | iShares MSCI EM UCITS ETF (Acc) | IEMA | SEMA | IE00B4L5YC18 |
| Commodities | Invesco Bloomberg Commodity UCITS ETF (Acc) | CMOD | CMOP | IE00BD6FTQ80 |
| Investment grade bonds | iShares $ Corp Bond UCITS ETF (Acc) | LQDA | none | IE00BYXYYJ35 |
| U.S. aggregate bonds | iShares US Aggregate Bond UCITS ETF (Acc) | IUAA | none | IE00BYXYYM63 |
| U.S. TIPS | iShares $ TIPS UCITS ETF (Acc) | IDTP | ITPS | IE00B1FZSC47 |
| Long Treasuries | iShares $ Treasury Bond 20+yr UCITS ETF (Acc) | DTLA | none | IE00BFM6TC58 |
| Intermediate Treasuries | iShares $ Treasury Bond 7-10yr UCITS ETF (Acc) | CBU0 | none | IE00B3VWN518 |
| Short Treasuries (T-bills) | iShares $ Treasury Bond 0-1yr UCITS ETF (Acc) | IB01 | none | IE00BGSF1X88 |
How Closely the Funds Match
- Same or near-identical index. For most positions the UCITS fund tracks the same index, or the same index family, as the US fund it replaces.
- Developed markets ex US is held through an MSCI World ex USA fund, which holds large and mid caps only and leaves out South Korea; the US fund also holds small caps and Korea. The UCITS fund launched in 2024.
- Commodities are held through a Bloomberg Commodity index fund in place of the US fund's optimum-yield index, so returns will differ somewhat.
- Cash is held as a US T-bill fund in US dollars.
Performance Highlights
January 1980 through September 2026, net of trading friction:
| CAGR | Max Drawdown | Ulcer Index | UPI | |
|---|---|---|---|---|
| U-BAA - Bold Asset Allocation - Aggressive | +15.7% | -21.3% | 5.97 | 1.93 |
| BAA - Bold Asset Allocation - Aggressive | +15.7% | -21.3% | 5.97 | 1.93 |
| S&P 500 | +12.0% | -51.0% | 12.72 | 0.61 |
The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.
Notes for Investors Outside the US
- Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
- Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
- Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.
Who It's For
U-BAA - Bold Asset Allocation - Aggressive is for investors outside the US who accept full concentration in one asset at a time in exchange for BAA's defensive discipline, held in a tax-advantaged account where possible, built from UCITS funds.
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. U-BAA - Bold Asset Allocation - Aggressive is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. 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