Robust Asset Allocation — Tactical Asset Allocation Strategy
Five-asset equal-weight allocation (US/intl stocks, REITs, commodities, gold) with absolute momentum filter. Any asset with negative 12-month return is replaced by the best-performing safe bond ETF. Monthly rebalancing.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | Robust Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.7% |
| Maximum Drawdown | -22.0% |
| Sharpe Ratio | 0.97 |
| Sortino Ratio | 1.22 |
| Annualized Volatility | 10.0% |
| Calmar Ratio | 0.44 |
| Total Return | 2080.5% |
| Backtest Period | 33.4 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Wes Gray (Alpha Architect)
Categories
Track Robust Asset Allocation in Your Portfolio
Sign up for BestFolio to get monthly rebalancing signals, blend strategies into custom portfolios, and receive alerts when allocations change.