EAA (Elastic Asset Allocation) — Tactical Asset Allocation Strategy
Multi-factor scoring combining return, low correlation, and low volatility. Cash fraction scales elastically with the number of assets showing negative momentum. Selects top 3 assets by composite score. Monthly rebalancing.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | EAA (Elastic Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.3% |
| Maximum Drawdown | -16.4% |
| Sharpe Ratio | 0.97 |
| Sortino Ratio | 1.18 |
| Annualized Volatility | 9.7% |
| Calmar Ratio | 0.57 |
| Total Return | 1883.3% |
| Backtest Period | 33.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Keller & Butler
Categories
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