QUANTUS STRATEGIES
BAA-G12 (Bold Asset Allocation)
The strategy in one sentence
BAA-G12: A dynamic asset allocation strategy that each month allocates across global equities, bonds and alternatives using risk signals from four assets and price relative to a moving average.
- CAGR
- 10.18%
- Max drawdown
- -26.8%
- Backtest period
- 13.4 yrs
2013-06-09 ~ 2026-10-21 · updated 2026-10-21
Cumulative return
Compares the weekly cumulative return of the strategy and its benchmark.
Weekly observations 2013-06-09 ~ 2026-10-21 · last values over the full period: strategy 266.1% · S&P500 489.6%. When you pick a period, both series are re-based to 0% at the first observation in that range. The scorecard uses the full backtest; the chart uses weekly observations.
Total return basis · 30 bp transaction costs included · taxes not included · Source: Quantus public strategy catalog
Calendar-year returns vs. benchmark
Drawdown
Shows how far weekly observations fell from their prior peak.
Max drawdown -26.8% · daily basis
The chart uses weekly observations, so it can look shallower than the daily maximum drawdown.
Current composition
Weights by asset group in the public catalog
Investment rules
Scores SPY, VWO, VEA and BND by multiplying their 1-, 3-, 6- and 12-month returns by 12, 4, 2 and 1 and summing. If any of the four is 0 or below, the strategy switches to the defensive allocation.
The offensive allocation ranks 12 candidates by the ratio of the current price to the average of the last 13 month-end prices, and splits equally among the top 6.
The defensive allocation ranks 7 candidates (inflation-protected bonds, commodities, Treasuries, corporate bonds and others) by the same price ratio and splits equally among the top 3.
If a defensive asset's current price is at or below the average of its last 13 month-end prices, its weight is replaced with BIL (short-term Treasuries).
Source cited in the reference code: Wouter Keller (2022), SSRN 4166845
Backtest results
Results calculated from past data. Past backtest results do not guarantee future returns.
| Metric | Strategy | S&P500 |
|---|---|---|
| Compound annual growth rate (CAGR) | 10.18% | 14.24% |
| Maximum drawdown (MDD) | -26.8% | -33.7% |
| Sharpe ratio | 0.6 | 0.9 |
| Sortino ratio | 0.8 | 1.2 |
| Last 1-year return | 10.8% | 17.6% |
| Cumulative return | 265.7% | 494.0% |
Period: 2013-06-09 to 2026-10-21
Total return basis · 30 bp transaction costs included · taxes not included · CAGR based on DB Securities
Source: Quantus public strategy catalog · Updated:
A dash (—) means the comparison figure is not provided or there are too few observations to calculate it.
Calendar-year returns
Calculated from each year's first and last observation. The formula is (100 + last cumulative return) / (100 + first cumulative return) - 1. Figures cover only the observed range shown in the table, so a partial year differs from the full calendar-year return. The benchmark is compared only when it has the same observation dates.
| Year | Observed range | Strategy | S&P500 |
|---|---|---|---|
| 2013 | 2013-06-09 ~ 2013-12-29 | -11.4% | 13.3% |
| 2014 | 2014-01-05 ~ 2014-12-28 | 21.8% | 16.2% |
| 2015 | 2015-01-04 ~ 2015-12-27 | 12.7% | 2.2% |
| 2016 | 2016-01-03 ~ 2016-12-25 | 3.1% | 13.1% |
| 2017 | 2017-01-01 ~ 2017-12-31 | -14.2% | 21.7% |
| 2018 | 2018-01-07 ~ 2018-12-30 | 18.9% | -7.7% |
| 2019 | 2019-01-06 ~ 2019-12-29 | 15.0% | 30.3% |
| 2020 | 2020-01-05 ~ 2020-12-27 | 7.6% | 16.6% |
| 2021 | 2021-01-03 ~ 2021-12-26 | 30.4% | 27.5% |
| 2022 | 2022-01-02 ~ 2022-12-25 | 18.5% | -18.1% |
| 2023 | 2023-01-01 ~ 2023-12-31 | 2.9% | 26.2% |
| 2024 | 2024-01-07 ~ 2024-12-29 | 25.0% | 28.8% |
| 2025 | 2025-01-05 ~ 2025-12-28 | 9.2% | 18.0% |
| 2026 | 2026-01-04 ~ 2026-10-21 | 5.8% | 14.0% |
Frequently asked questions
What are the backtest period, CAGR and maximum drawdown?
The backtest period runs from 2013-06-09 to 2026-10-21. CAGR is 10.18%, maximum drawdown is -26.8%. Past backtest results do not guarantee future returns.
What is the minimum investment?
The public catalog lists a minimum investment of USD 3,000. Check the strategy details before you apply it to your account.
How often does it rebalance?
Target allocations are calculated from month-end prices.
Which assets does it trade?
It trades SPDR S&P 500 (SPY-US), Invesco QQQ Trust (QQQ-US), iShares Russell 2000 (IWM-US), Vanguard FTSE Europe (VGK-US), iShares MSCI Japan (EWJ-US), Vanguard FTSE Emerging Markets (VWO-US), Vanguard Real Estate (VNQ-US), Invesco DB Commodity Index (DBC-US), SPDR Gold Shares (GLD-US), iShares 20+ Year Treasury Bond (TLT-US), iShares iBoxx High Yield Corporate Bond (HYG-US), iShares Investment Grade Corporate Bond (LQD-US), iShares TIPS Bond (TIP-US), SPDR Bloomberg 1-3 Month T-Bill (BIL-US), iShares 7-10 Year Treasury Bond (IEF-US), Vanguard Total Bond Market (BND-US), Vanguard FTSE Developed Markets (VEA-US). Actual holdings and weights can change over time.
Do the backtest results include fees?
Results are on a total-return basis with 30 bp (0.3%) transaction costs included and taxes not included. Your actual brokerage costs and service fees will differ, so check them before you apply the strategy.
How do I apply it to my own account?
Open the strategy details, sign in, review the strategy and connect your brokerage account. Then check the investment amount and execution conditions and apply it to your account.
Related strategies and resources
This service is for reference only and does not constitute investment advice or guarantee returns. All investment decisions and responsibility rest with the user. Past backtest results do not guarantee future returns.