Adaptive Asset Allocation
Adaptive Asset Allocation is a tactical asset allocation strategy reviewed on a monthly cadence. Its hypothetical backtest runs through 2026-08-19. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. The recorded 2012-05-31 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical. Users review each scheduled signal and place any resulting trades in their own brokerage. BestFolio does not execute trades or provide personalized investment advice.
- Cadence
- Monthly
- Backtest data through
- 2026-08-19
- History boundary
- The recorded 2012-05-31 publication or construction boundary separates pre-publication simulation from later market observations under fixed rules; all returns remain hypothetical.
- Rule / approach
- 1. Rank all 10 ETFs (VTI, VGK, VPL, VWO, IEF, TLT, DBC, GLD, VNQ, RWX) by 6-month total return 2. Select the top 5 assets by return 3. Calculate 20-day rolling volatility for each selected asset 4. Weight the 5 selected assets by inverse…
- BestFolio supplies
- the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access
- Customer action
- Review each scheduled signal and place any required trades in your own brokerage; BestFolio does not execute orders.
- Costs and exclusions
- net of a modeled one-way transaction cost (10 bps, scaled up to 3x under stress); taxes, fund-expense drift, or market impact are not modeled
- Freshness
- The latest available backtest ends 2026-08-19. A run timestamp is not exposed here, so no stronger freshness claim is made.
- Next expected action
- First trading day of September; scheduled 2026-09-01 at 09:30 ET. Review the published signal before placing any trade.
Adaptive Asset Allocation at a glance
Adaptive Asset Allocation is a tactical asset allocation (TAA) strategy by ReSolve Asset Management across US Equity, International Equity, Emerging Markets, REITs, rebalanced monthly. Backtested 1985-08-30 to 2026-08-19 (40.8 years): 10.4% CAGR, 0.91 Sharpe, -21.9% max drawdown, 9.3% volatility.
- Type
- Tactical (TAA)
- Author
- ReSolve Asset Management
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1985-08-30 to 2026-08-19
- CAGR
- 10.4%
- Sharpe
- 0.91
- Max Drawdown
- -21.9%
- Volatility
- 9.3%
Adaptive Asset Allocation — Tactical Asset Allocation Strategy
Adaptive Asset Allocation (AAA) was developed by the ReSolve Asset Management team (Butler, Philbrick, Gordillo, and Varadi). It combines momentum-based asset selection with minimum-variance weighting to build a dynamically adapting portfolio.
Each month, the strategy ranks a universe of 10 diversified ETFs by their 6-month total return and selects the top 5. These top performers are then weighted using inverse 20-day volatility, which approximates a minimum-variance allocation. Assets with lower recent volatility receive proportionally larger allocations.
Adaptive Asset Allocation: frequently asked questions
- What is Adaptive Asset Allocation?
- Momentum selection with risk-based sizing. Ranks 10 global assets by 6-month momentum, selects the top 5, then weights them by inverse 20-day volatility. Combines return-chasing with volatility-aware position sizing. Monthly rebalancing.
- Who created the Adaptive Asset Allocation strategy?
- Adaptive Asset Allocation was developed by ReSolve Asset Management. It is based on Butler, Philbrick, Gordillo, Varadi. Adaptive Asset Allocation. ReSolve Asset Management..
- What is the historical return and maximum drawdown of Adaptive Asset Allocation?
- Backtested from 1985-08-30 to 2026-08-19, Adaptive Asset Allocation returned 10.4% CAGR with a -21.9% maximum drawdown and a Sharpe ratio of 0.91. Past performance does not guarantee future results.
- How often is Adaptive Asset Allocation rebalanced?
- Adaptive Asset Allocation is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Adaptive Asset Allocation a tactical asset allocation strategy?
- Yes. Adaptive Asset Allocation is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1985-08-30 to 2026-08-19)
| Metric | Adaptive Asset Allocation |
|---|---|
| CAGR | 10.4% |
| Max Drawdown | -21.9% |
| Sharpe | 0.91 |
| Sortino | 1.21 |
| Volatility | 9.3% |
| Calmar | 0.47 |
| Total Return | 5493.0% |
| Backtest Period | 40.8 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- ReSolve Asset Management
- Source
- Butler, Philbrick, Gordillo, Varadi. Adaptive Asset Allocation. ReSolve Asset Management.
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- REITs
- Commodities
- Gold
- Bonds
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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