Renevier's Adaptive Hedge
Score TLT, PDBC, GLDM, UUP, FXF and SH: the mean of their 1, 3, 6, 9 and 12-month returns. Backtest max drawdown: -32.0%.
Strategy & methodology
Score TLT, PDBC, GLDM, UUP, FXF and SH: the mean of their 1, 3, 6, 9 and 12-month returns; Rank them; the top two are the candidates; A hedge passes the trend test when at least 3 of its 5 lookback returns are positive; Keep a hedge…
- Strategy type:
- Tactical asset allocation
- Rebalance frequency:
- Monthly
- Original publication:
- 2026-09-15; results after that are out-of-sample for the original research. All results are backtest simulations.
- Data through:
- Backtest data through 2026-10-23.
Simulated history
- Full history, since 1973
- 9.3% a year, worst fall -32.0% (Feb 13, 2024)
- Since SH launched (Jun 21, 2006)
- 6.1% a year, worst fall -32.0% (Feb 13, 2024)
Still partly simulated until Jun 2018: GLDM and PDBC are reconstructed before their own launch.
Stand-in funds and until when (4)
- GLDM: GLD before Jun 26, 2018
- PDBC: DBC before Nov 7, 2014
- SH: simulated inverse 1x SPY before Jun 21, 2006
- TLT: VUSTX before Jul 26, 2002
Before these dates the backtest uses a stand-in, not the fund itself, so the results over those stretches show how the rules would have behaved, not what the fund returned.
Research data and disclosures
Score TLT, PDBC, GLDM, UUP, FXF and SH: the mean of their 1, 3, 6, 9 and 12-month returns. Backtest max drawdown: -32.0%. This is a tactical asset allocation strategy. BestFolio supplies the public rule or approach and backtest context; current signals, allocations, and paid interactive data remain restricted to Pro access. Users review the published signal and place any resulting trades in their own brokerage. Displayed returns remain hypothetical and do not represent a customer's brokerage record. The facts above show how current the data is.
- BestFolio supplies
- The monthly signal email and this strategy page; current signals and email alerts require Pro access.
- Customer action
- Review the published signal and place any required trades in your own brokerage. BestFolio does not execute orders.
- Costs and exclusions
- Backtests are 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. No tax, no slippage beyond the stated cost. Methodology limitations
Published result: Engine drift-until-flip-v1, data version ea918a33, published 2026-10-25
Is Renevier's Adaptive Hedge still working in 2026?
Renevier's Adaptive Hedge returned 8.08% over the trailing 12 months and 46.05% over 36 months through 2026-10-23, compared with a full-backtest annualized return of 9.31%. Its full-backtest maximum drawdown was -31.96%. The full sample contains 13825 daily NAV observations from 1973-01-02. These are model results, not investor account returns or a promise. As of 2026-10-23 it is -7.71% below its high-water mark of 2026-01-29, 9 months ago, and its longest run below a previous high was 8.8 years. Recent returns do not establish that the strategy will keep working.
| Period | Return | CAGR | Max drawdown | Observations | Dates |
|---|---|---|---|---|---|
| Trailing 12 months | 8.08% | Not annualized | -19.89% | 252 | 2025-10-23 to 2026-10-23 |
| Trailing 36 months | 46.05% | Not annualized | -19.89% | 754 | 2023-10-23 to 2026-10-23 |
| Full backtest | 11916.82% | 9.31% | -31.96% | 13825 | 1973-01-02 to 2026-10-23 |
Last verified
Common questions about these results
Are these live investor returns?
No. These are the latest model NAV results from the published backtest. A recent date alone does not make a result an independently observed live record. Investor costs, taxes and execution can differ.
Why can a strategy lag for a year?
A tactical model can hold defensive assets during a rally or change positions during reversals. A short window can differ substantially from its full history. Compare cumulative returns over matching dates and inspect drawdowns as well.
How long has it spent below a previous high?
Its last high-water mark was 2026-01-29, 9 months before 2026-10-23, and it is -7.71% below that level now. The longest run below a previous high in the full backtest was 8.8 years. Recovering from a drawdown can take years, and a strong trailing return does not mean a past high has been regained.
Where can I check the signals behind these results?
The Signals tab on this page lists each dated model decision for the selected variant; for Pro strategies they are visible to Pro members. The methodology page explains the backtest assumptions.
Renevier's Adaptive Hedge at a glance
Renevier's Adaptive Hedge is a tactical asset allocation (TAA) strategy by Stéphane Renevier across Long-Term Treasuries, Commodities, Gold, US Dollar, rebalanced monthly. Backtested 1973-01-02 to 2026-10-23 (53.8 years): 9.3% CAGR, 0.41 Sharpe, -32.0% max drawdown, 13.5% volatility.
- Type
- Tactical (TAA)
- Author
- Stéphane Renevier
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1973-01-02 to 2026-10-23
- CAGR
- 9.3%
- Sharpe
- 0.41
- Max Drawdown
- -32.0%
- Volatility
- 13.5%
Renevier's Adaptive Hedge — Tactical Asset Allocation Strategy
Stéphane Renevier's Adaptive Hedge is a defensive sleeve for a stock-heavy portfolio. It starts from a simple observation: no single hedge works in every crisis. Long Treasuries gained 34% in 2008 and lost 31% in 2022. Recessions favour bonds, inflation shocks favour commodities, and financial stress favours the dollar or gold. So instead of owning every hedge all the time, the strategy owns the two that the current regime is rewarding.
Six hedges each cover a different shock: long Treasuries (TLT), broad commodities (PDBC), gold (GLDM), the US dollar (UUP), the Swiss franc (FXF) and a short S&P 500 position (SH). Each month they are ranked by the average of their 1, 3, 6, 9 and 12-month returns. The top two are held at 50% each, but only while at least 3 of their 5 lookback returns are positive; a slot that fails sits in T-bills. A hedge already held keeps its place while it still ranks in the top three, which roughly halves trading without changing the crash protection.
Renevier's Adaptive Hedge: frequently asked questions
- What is Renevier's Adaptive Hedge?
- A defensive sleeve for stock-heavy portfolios. Each month it ranks six hedges (Treasuries, commodities, gold, US dollar, Swiss franc, short S&P 500) by 1/3/6/9/12-month momentum and holds the top two at 50% each while their trend is positive, otherwise T-bills. A hedge already held stays while it ranks in the top three.
- Who created the Renevier's Adaptive Hedge strategy?
- Renevier's Adaptive Hedge was developed by Stéphane Renevier. It is based on Renevier, S. (2026). Adaptive Hedge: A Cheaper Way to Survive the Next Bear Market.
- What is the historical return and maximum drawdown of Renevier's Adaptive Hedge?
- Backtested from 1973-01-02 to 2026-10-23, Renevier's Adaptive Hedge returned 9.3% CAGR with a -32.0% maximum drawdown and a Sharpe ratio of 0.41. Past performance does not guarantee future results.
- How often is Renevier's Adaptive Hedge rebalanced?
- Renevier's Adaptive Hedge is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is Renevier's Adaptive Hedge a tactical asset allocation strategy?
- Yes. Renevier's Adaptive Hedge 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 (1973-01-02 to 2026-10-23)
| Metric | Renevier's Adaptive Hedge |
|---|---|
| CAGR | 9.3% |
| Max Drawdown | -32.0% |
| Sharpe | 0.41 |
| Sortino | 0.67 |
| Volatility | 13.5% |
| Calmar | 0.29 |
| Total Return | 11916.8% |
| Backtest Period | 53.8 years |
Every rebalance fills at the signal-day close, net of modeled transaction costs. Followers trade at the next open; the delayed-close line in the Rebalance Frequency Sensitivity card shows the effect of trading one session later. Execution assumption
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Stéphane Renevier
- Source
- Renevier, S. (2026). Adaptive Hedge: A Cheaper Way to Survive the Next Bear Market
Asset Classes
- Long-Term Treasuries
- Commodities
- Gold
- US Dollar
- Swiss Franc
- Short US Equity
- Cash
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
Holding Renevier's Adaptive Hedge alongside another strategy? Use the free portfolio overlap calculator to see how much of the two portfolios actually differs.
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