Flexible Asset Allocation (FAA) at a glance
Flexible Asset Allocation (FAA) is a tactical asset allocation (TAA) strategy by Wouter Keller & Hugo van Putten across US Equity, International Equity, Emerging Markets, US Bonds, rebalanced monthly. Backtested 1992-03-31 to 2026-04-24 (34.0 years): 8.9% CAGR, 0.97 Sharpe, -17.1% max drawdown, 9.3% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter Keller & Hugo van Putten
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1992-03-31 to 2026-04-24
- CAGR
- 8.9%
- Sharpe
- 0.97
- Max Drawdown
- -17.1%
- Volatility
- 9.3%
Flexible Asset Allocation (FAA) — Tactical Asset Allocation Strategy
Flexible Asset Allocation by Keller & van Putten ranks 7 assets by a composite of momentum, volatility, and correlation ranks. Top 3 selected, equal-weighted. Absolute momentum filter replaces negative-momentum assets with SHY.
Backtest Performance (1992-03-31 to 2026-04-24)
| Metric | Flexible Asset Allocation (FAA) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 8.9% |
| Maximum Drawdown | -17.1% |
| Sharpe Ratio | 0.97 |
| Sortino Ratio | 1.24 |
| Annualized Volatility | 9.3% |
| Calmar Ratio | 0.52 |
| Total Return | 1712.5% |
| Backtest Period | 34.0 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 1
- Author
- Wouter Keller & Hugo van Putten
- Source
- Keller, W.J. & van Putten, H. Flexible Asset Allocation (FAA)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- US Bonds
- REITs
- Commodities
- Cash
Categories
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