Adaptive Asset Allocation
Adaptive Asset Allocation (Butler/Philbrick/Gordillo): rank the canonical 10-asset universe by 6-month total return each month, hold the top 5 weighted inversely by volatility over the same lookback, falling back to T-bills when no candidate has a positive trailing return. The published rule uses a 20-day volatility window for the weighting; v1 of the ranked primitive uses the primary lookback for both ranking and inverse-vol sizing, so the sizing volatility window here is 6-month. Documented as a v1 limitation.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Gold, Commodities, REITs
- Backtest window: 2007-05-30 to 2026-08-06
- 1Y
- 26.2%
- 3Y
- 50.0%
- CAGR
- 7.2%
- Max DD
- -23.5%
- Sharpe
- 0.30
Methodology
- Rank 10 global assets (VTI/VGK/VPL/VWO/IEF/TLT/DBC/GLD/VNQ/RWX) by 6-month total return each month.
- Hold top 5 weighted inversely to volatility (6-month window in v1; canonical recipe uses 20 days).
- Require positive trailing return; otherwise hold BIL.
Source: Adaptive Asset Allocation Whitepaper
Headline backtest performance as of 2026-08-06.