Robust Asset Allocation
TacticalPromoderateBased on research by Wes Gray (Alpha Architect) · Gray, W. (Alpha Architect). Robust Asset Allocation
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched Dec 2, 2014About this 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.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Universe: 5 risky (VTI, VEU, VNQ, DBC, GLD) + 5 safe (IEF, TLT, TIP, AGG, SHY)
- 2Compute 12-month total return for all assets
- 3For each risky asset: if 12m return > 0 → hold it (20% slot)
- 4If 12m return < 0 → replace that 20% slot with the best safe asset
- 5Aggressive variant: only replace if 12m return < 0 AND price < 12-month SMA
Key Differentiators
Research Source
Based on research by Wes Gray (Alpha Architect)
Gray, W. (Alpha Architect). Robust Asset Allocation
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 2
- Risk Category
- moderate
- Tags
- multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Momentum Filter
- 12-month absolute momentum (positive = hold, negative = replace)
- Weighting
- Equal weight across 5 slots (20% each)
- Safe Asset Selection
- Best 12-month return from 5 bond candidates
- Universe Size
- 5 risky + 5 safe assets
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
Robust Asset Allocation at a glance
Robust Asset Allocation is a tactical asset allocation (TAA) strategy by Wes Gray (Alpha Architect) across US Equity, International Equity, REITs, Commodities, rebalanced monthly. Backtested 1986-02-28 to 2026-05-20 (40.2 years): 9.4% CAGR, 1.01 Sharpe, -22.0% max drawdown, 9.3% volatility.
- Type
- Tactical (TAA)
- Author
- Wes Gray (Alpha Architect)
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1986-02-28 to 2026-05-20
- CAGR
- 9.4%
- Sharpe
- 1.01
- Max Drawdown
- -22.0%
- Volatility
- 9.3%
Robust Asset Allocation — Tactical Asset Allocation Strategy
Robust Asset Allocation by Wes Gray of Alpha Architect applies absolute momentum as a binary filter across five risky asset classes, with a best-safe-asset replacement mechanism for failing assets.
Each risky asset gets an equal 20% slot. If its 12-month return is positive, it is held. If negative, that 20% slot is replaced by the single best-performing safe asset. An optional aggressive variant adds a second filter: a risky asset is only replaced if its 12-month return is negative AND its price is below the 12-month SMA.
Backtest Performance (1986-02-28 to 2026-05-20)
| Metric | Robust Asset Allocation |
|---|---|
| Compound Annual Growth Rate (CAGR) | 9.4% |
| Maximum Drawdown | -22.0% |
| Sharpe Ratio | 1.01 |
| Sortino Ratio | 1.22 |
| Annualized Volatility | 9.3% |
| Calmar Ratio | 0.43 |
| Total Return | 3671.1% |
| Backtest Period | 40.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 2
- Author
- Wes Gray (Alpha Architect)
- Source
- Gray, W. (Alpha Architect). Robust Asset Allocation
Asset Classes
- US Equity
- International Equity
- REITs
- Commodities
- Gold
- Bonds
Categories
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