BAA-G12 (Bold Asset Allocation)
The predecessor of HAA - four canary assets watch the market and, if any of them fails, the portfolio moves to defensive bonds. It spends more than half of its time out of risk.
What BAA-G12 is
BAA stands for Bold Asset Allocation. It was published by Wouter Keller in 2022 (SSRN 4166845). "G12" means the offensive universe is global and has 12 assets; its balanced version ("Balanced") selects the best 6.
HAA, the other main strategy on this site, started life as a simplification of BAA: fewer assets, a single canary and less time in the safe asset.
Quick facts
- Author
- Wouter J. Keller
- Year
- 2022
- Origin
- Paper
- Access
- Public and free
- Type
- Tactical
- Assets
- 17
- Frequency
- Monthly
- Difficulty
- High
Who it is for
Anyone who wants to study the strategy HAA grew out of and accepts more complex rules and high turnover.
Who it is not for
Anyone looking for simplicity or tax efficiency - it switches mode very often.
Current signal
BAA-G12 (Bold Asset Allocation)
Calculated with the closes of September 30, 2026.
No portfolio changes from last month.
Rules, step by step
At the close of the last business day of each month:
- Canaries. Calculate the fast momentum (13612W: weighted average of the 1, 3, 6 and 12-month returns with weights 12, 4, 2 and 1) of four assets: SPY, VWO, VEA and BND.
- Mode switch. If at least one of the four canaries has negative momentum, move to the defensive universe. If none, go offensive.
- Asset ranking. Within the chosen universe, assets are ranked by a slower momentum: the current price divided by its 12-month moving average (13 monthly closes) minus 1.
- Offensive mode: buy, in equal parts (1/6 each), the best 6 of: SPY, QQQ, IWM, VGK, EWJ, VWO, VNQ, DBC, GLD, TLT, HYG and LQD.
- Defensive mode: buy, in equal parts (1/3 each), the best 3 of: TIP, DBC, BIL, IEF, TLT, LQD and BND. If any of the 3 has worse momentum than BIL (Treasury bills), it is replaced by BIL.
- Hold until the close of the following month and repeat.
Backtest and out-of-sample period
With real ETFs from Sep 2008, BAA-G12 returns 7.5% a year with a maximum drawdown of -13.4% and volatility of 8.0%. It spends 54% of months in defensive mode. Average annual turnover is 512%, higher than HAA's, because it changes mode very often.
Since February 2023, the period after its publication, it returns 5.2% a year (maximum drawdown -9.4%); the S&P 500, 20.3%.
To check our implementation we compare it with the paper over Dec 2012 - Dec 2022: they report 7.1% a year and -7.7% maximum drawdown; our replication gives 6.6% and -7.5% (table below). The authors also use pre-ETF indices to reach back to 1970, so our full-period figures, which start in Sep 2008, are not comparable with their longer-period ones.
5.2% a year · max drawdown -9.4% · S&P 500 over the same period: 20.3%
An "out-of-sample" result: the period after the rule was published, which could not have been used to tune the rules.
Growth of $100 (logarithmic scale) since , with 0.1% costs per trade. Data: US-listed ETFs, total return (dividends reinvested), before taxes.
Drawdowns from peak
| Strategy | CAGR | Volatility | Max drawdown | Sharpe |
|---|
Year by year
| Year | BAA-G12 (Bold Asset Allocation) | S&P 500 | 60/40 |
|---|---|---|---|
| 2026 (to Sep 2026) | +13.1% | +12.7% | +5.8% |
| 2025 | +7.4% | +17.7% | +13.8% |
| 2024 | -3.2% | +24.9% | +14.7% |
| 2023 | +2.6% | +26.2% | +17.2% |
| 2022 | +0.9% | -18.2% | -17.0% |
| 2021 | +7.4% | +28.7% | +15.9% |
| 2020 | +16.4% | +18.3% | +15.0% |
| 2019 | +9.8% | +31.2% | +21.9% |
| 2018 | +6.8% | -4.6% | -2.4% |
| 2017 | +11.4% | +21.7% | +14.0% |
| 2016 | +3.4% | +12.0% | +7.6% |
| 2015 | -1.4% | +1.2% | +1.3% |
| 2014 | +6.6% | +13.5% | +11.7% |
| 2013 | +5.6% | +32.3% | +16.9% |
| 2012 | +7.8% | +16.0% | +11.1% |
| 2011 | +5.4% | +1.9% | +7.4% |
| 2010 | +14.3% | +15.1% | +12.8% |
| 2009 | +13.1% | +26.4% | +13.1% |
| 2008 | +9.5% | -36.8% | -14.9% |
The first year may be partial. Returns are net of trading costs.
Replication against the paper
To check that our engine applies the rules correctly, we replicate the period shown in the paper (Dec 2012 – Dec 2022, 0.1% costs):
| CAGR | Worst monthly drawdown | |
|---|---|---|
| Paper (Fig. 8 del paper de HAA) | 7.1% | -7.7% |
| Our replication | 6.6% | -7.5% |
The paper figures for BAA come from the recalculation with data to December 2022 that Keller and Keuning publish in the HAA paper (Fig. 8).
Small differences come from the data provider, the exact dates of the closes and rounding. More in the methodology.
Taxes on rotating
The results above are before taxes. This strategy re-assesses the portfolio every month: historically it turns over an average of 512% of the portfolio a year and spends 54% of months in defensive mode. Every change is a sale.
In most countries each sale of an ETF in a taxable account realises a gain or loss that may be taxed, so rotating monthly is best done inside a tax-advantaged account (such as an IRA or 401(k) in the US, or an ISA or SIPP in the UK) where one is available. Rules vary by country and by account: check yours, or ask a tax adviser. See our methodology for how the results are calculated.
Criticisms and limits
It combines four canaries, two momentum measures and three asset universes - more rules, more risk of overfitting. It trades more than HAA and spends over half its time in the safe asset, with false alarms. The authors of HAA themselves present it as a simplification of BAA because of its complexity.
- Very fast protection: four canaries with "fast" momentum take the portfolio out of risk at the first signs.
- Diversified defence: 7 defensive assets, including TIPS and commodities, rather than hiding only in cash.
- Cost: the fast protection is paid for in false alarms and high turnover, with the trading and tax cost that implies.
- Complexity: 4 canaries, 12 offensive assets, 7 defensive ones and two different momentum measures. More rules mean more risk that the performance does not hold up in future.
How to run it
- Wait for the close of the last business day of the month: the signal is calculated with that close.
- Check the current portfolio in this page's signal and compare it with yours.
- Work out the orders with the rebalancing calculator, which flags the tax effect.
- Place them with ETFs on the first business day of the following month.
Similar strategies
HAA Balanced
Top 4 of 8 assets, with TIP as the canary
Tactical · MonthlyFaber GTAA 5
5 assets at 20% each, held only while trading above their 10-month average
Tactical · MonthlyVAA-G12 (Vigilant Asset Allocation)
Top 2 of 12 assets; cash enters gradually with the number of assets in negative momentum
Frequently asked questions
What is the difference between BAA and HAA?
BAA uses four canaries, 12 offensive and 7 defensive assets and spends more than half its time in defensive mode. HAA simplifies: a single canary (TIP), 8 offensive assets and a much simpler defence, with less time out of the market.
What does G12 mean?
That the offensive universe is global and contains 12 assets. The authors also publish versions with 4 assets (more aggressive).
Why is the canaries' momentum different from the ranking?
The authors found that combining a fast filter to decide whether to flee (13612W on the canaries) with a slow one to choose what to buy (12-month moving average) worked better than using the same one for everything. It is a choice made in the paper, not a universal truth.
Can it hold several "bad" assets at once in offensive mode?
In this version absolute momentum is not applied to the offensive assets: protection depends entirely on the canaries. That is why the canaries' signals are so sensitive.
Sources and review date
- Keller, "Relative and Absolute Momentum in Times of Rising/Low Yields: Bold Asset Allocation (BAA)", SSRN 4166845 · accessed October 10, 2026
- Keller and Keuning, HAA, SSRN 4346906 (Fig. 8 - BAA recalculated to December 2022) · accessed October 10, 2026
Page last reviewed on October 10, 2026; figures and signal are recalculated at every monthly close (latest: September 30, 2026). How we work: editorial policy and methodology.
Educational and informational content. It is not investment advice or a personal recommendation. The results shown are historical simulations (backtests) using US-listed ETFs; past performance does not guarantee future results and you may lose some or all of the capital invested. Real returns will depend on your costs, taxes, currency and execution timing.