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 2026-07-03, 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.

Adaptive Asset Allocation Strategy by ReSolve Asset Management

Name: Adaptive Asset Allocation, Backtest Time Series
Creator: BestFolio
License: https://creativecommons.org/licenses/by-nc/4.0/

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 2026-07-03 (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 2026-07-03
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 2026-07-03, 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 2026-07-03)

Metric	Adaptive Asset Allocation
Compound Annual Growth Rate (CAGR)	10.4%
Maximum Drawdown	-21.9%
Sharpe Ratio	0.91
Sortino Ratio	1.21
Annualized Volatility	9.3%
Calmar Ratio	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

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