Adaptive Asset Allocation
TacticalPromoderateBased on research by ReSolve Asset Management · Butler, Philbrick, Gordillo, Varadi. Adaptive Asset Allocation. ReSolve Asset Management.
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Launched May 31, 2012About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Rank all 10 ETFs (VTI, VGK, VPL, VWO, IEF, TLT, DBC, GLD, VNQ, RWX) by 6-month total return
- 2Select the top 5 assets by return
- 3Calculate 20-day rolling volatility for each selected asset
- 4Weight the 5 selected assets by inverse volatility, normalized to sum to 100%
Asset Universe
Pro subscribers only
10 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by ReSolve Asset Management
Butler, Philbrick, Gordillo, Varadi. Adaptive Asset Allocation. ReSolve Asset Management.
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 1
- Risk Category
- moderate
- Tags
- momentum
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 10 ETFs
- Momentum Lookback
- 6 months (total return)
- Selection
- Top 5 by 6-month return
- Weighting
- Inverse 20-day volatility (min-variance approximation)
- Data Source
- Institutional-grade market data (7 months minimum history)
Asset Classes
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 2026-05-20 (40.7 years): 10.5% CAGR, 1.11 Sharpe, -21.9% max drawdown, 9.3% volatility.
- Type
- Tactical (TAA)
- Author
- ReSolve Asset Management
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1985-08-30 to 2026-05-20
- CAGR
- 10.5%
- Sharpe
- 1.11
- 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.
Backtest Performance (1985-08-30 to 2026-05-20)
| Metric | Adaptive Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 10.5% |
| Maximum Drawdown | -21.9% |
| Sharpe Ratio | 1.11 |
| Sortino Ratio | 1.39 |
| Annualized Volatility | 9.3% |
| Calmar Ratio | 0.48 |
| Total Return | 5835.9% |
| Backtest Period | 40.7 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
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