Adaptive Asset Allocation — Tactical Asset Allocation Strategy
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.
Backtest Performance (1996-10-31 to 2026-04-07)
| Metric | Adaptive Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.1% |
| Maximum Drawdown | -21.9% |
| Sharpe Ratio | 0.96 |
| Sortino Ratio | 1.26 |
| Annualized Volatility | 10.7% |
| Calmar Ratio | 0.46 |
| Total Return | 1610.6% |
| Backtest Period | 29.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- ReSolve Asset Management
Categories
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