The Adaptive Asset Allocation strategy was developed by the team at ReSolve Asset Management and outlined in their paper Adaptive Asset Allocation: A Primer.
The strategy uses a momentum test to determine the best performing assets and then weights them based on correlation and volatility.
Weight | Ticker | ETF Name | Sector | |
|---|---|---|---|---|
30% | IEF | iShares 7-10 Year Treasury Bond ETF | Bond, U.S., Intermediate-Term | |
17% | SPY | SPDR S&P 500 ETF | Equity, U.S., Large Cap | |
10% | VNQ | Vanguard Real Estate Index Fund ETF | Real Estate, U.S. | |
8% | RWX | SPDR DJ Wilshire International Real Estate ETF | Real Estate, International | |
7% | DBC | Invesco DB Commodity Index Tracking Fund | Commodity, Blend | |
7% | EEM | iShares MSCI Emerging Markets ETF | Equity, Emerging Markets, Large Cap | |
6% | VGK | Vanguard FTSE Europe ETF | Equity, Europe, Large Cap | |
6% | TLT | iShares 20+ Year Treasury Bond ETF | Bond, U.S., Long-Term | |
5% | GLD | SPDR Gold Trust | Commodity, Gold | |
4% | EWJ | iShares MSCI Japan ETF | Equity, Japan, Large Cap |
This strategy trades once a month.
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Low | Average | High | |
|---|---|---|---|
1-Year | -13.7% | 10.8% | 42.2% |
3-Year | -1.7% | 11.0% | 23.8% |
5-Year | 2.4% | 11.4% | 22.3% |
10-Year | 4.5% | 12.3% | 18.0% |
Portfolio | 60/40 | S&P 500 | |
|---|---|---|---|
Annual Return | 10.7% | 9.3% | 10.3% |
10Y Annual Return | 5.4% | 7.9% | 12.2% |
Sharpe Ratio | 0.81 | 0.51 | 0.43 |
Max Drawdown | -15.6% | -29.7% | -50.97% |
Volatility (annualized) | 9.9% | 9.9% | 15.4% |
Dot Com Annual Return | 8.3% | -4.2% | -14.60% |
Great Financial Crisis Annual Return | 12.0% | -0.3% | -5.66% |
Positive Periods | 66.3% | 65.8% | 63.3% |
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
