U-BAA - Bold Asset Allocation - Balanced Overview
| CAGR | 12.3% |
|---|---|
| Maximum drawdown | -10.7% |
| MAR ratio | 1.15 |
| History | 46 years (561 months) |
U-BAA - Bold Asset Allocation - Balanced is a UCITS version of Keller & Keuning's BAA Balanced, for investors outside the United States who buy UCITS funds rather than US-listed ETFs.
The rules are unchanged: four canary assets that must all show positive momentum before it takes risk, the six strongest of twelve offensive assets when they do, and the three strongest defensive assets (each required to beat T-bills) when they do not. The full logic is on the BAA - Bold Asset Allocation - Balanced 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 |
|---|---|---|---|---|
| U.S. large cap (S&P 500) | iShares Core S&P 500 UCITS ETF (Acc) | CSPX | CSP1 | IE00B5BMR087 |
| Nasdaq 100 | iShares Nasdaq 100 UCITS ETF (Acc) | CNDX | CNX1 | IE00B53SZB19 |
| U.S. small cap (Russell 2000) | SPDR Russell 2000 US Small Cap UCITS ETF (Acc) | R2US | R2SC | IE00BJ38QD84 |
| Europe | Vanguard FTSE Developed Europe UCITS ETF (Acc) | VWCG | VEUA | IE00BK5BQX27 |
| Japan | Vanguard FTSE Japan UCITS ETF (Acc) | VJPA | VJPB | IE00BFMXYX26 |
| Emerging markets | iShares MSCI EM UCITS ETF (Acc) | IEMA | SEMA | IE00B4L5YC18 |
| U.S. real estate | iShares US Property Yield UCITS ETF (Dist) | IDUP | IUSP | IE00B1FZSF77 |
| Commodities | Invesco Bloomberg Commodity UCITS ETF (Acc) | CMOD | CMOP | IE00BD6FTQ80 |
| Gold | iShares Physical Gold ETC | IGLN | SGLN | IE00B4ND3602 |
| High yield bonds | iShares $ High Yield Corp Bond UCITS ETF (Acc) | IHYA | none | IE00BYXYYL56 |
| 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.
- Japan is held through a FTSE Japan fund in place of an MSCI Japan fund; the two indexes are very close.
- U.S. real estate is the loosest match: the UCITS fund screens U.S. REITs for dividend yield and only comes in a distributing share class.
- 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 - Balanced | +12.3% | -10.7% | 3.16 | 2.56 |
| BAA - Bold Asset Allocation - Balanced | +12.3% | -10.7% | 3.16 | 2.56 |
| 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.
- Gold is held as an ETC. UCITS rules do not allow a fund that holds only gold, so gold is held through the iShares Physical Gold ETC, a security backed by physical gold. It is not a UCITS fund, but it is UCITS eligible and widely available to investors in the UK, Europe and elsewhere.
- 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 - Balanced is for investors outside the US who want a highly defensive canary strategy with a broad offensive universe, held in a tax-advantaged account where possible, built from UCITS funds and a physical gold ETC.
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 - Balanced 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