Portfolio vs. 60/40 vs. S&P 500
All Data
10 Years
**S&P 500 backtest to 1972 and 60/40 backtest to 1970
Adaptive Asset Allocation
Details
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.
Average Asset Allocation & Recommended ETFs
Performance Metrics
All Data
10 Years
Annual Return
10.7%
Sharpe Ratio
0.81
10 Year Annual Return
5.4%
Volatility (annualized)
9.9%
Max Drawdown
-15.6%
Positive Periods
66.3%
Dot Com Annual Return
8.3%
Great Financial Crisis Return
12.0%
Trade Frequency
Monthly
Ulcer Performance Index
2.2
Strategy Rules
This strategy trades once a month.
- On the last trading day of the month, calculate the 6-month total return of the 10 assets listed above.
- Invest in the five assets with the highest 6-month return.
- The five assets are weighted in the portfolio according to their 6-month correlation and 1-month volatility outlined in the paper.
- Hold the positions until the final trading day of the next month.
- Rebalance the portfolio regardless of whether there are any position changes.
How to Invest in the Adaptive Asset Allocation Portfolio
M1 Finance is the recommended platform to invest in this portfolio. Find out why.
