Adaptive Asset Allocation
Each month, hold the top five of 10 assets by six-month return, weighted by inverse volatility; hold T-bills when none qualify. This model also uses six months for volatility, rather than the published 20-day window.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity, International Equity, Emerging Markets, Treasuries, Gold, Commodities, REITs
- Backtest window: 2007-05-30 to 2026-11-10
- 1Y
- 13.5%
- 3Y
- 49.3%
- CAGR
- 12.3%
- Max DD
- -11.9%
- Sharpe
- 0.96
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 by volatility over the same 6-month lookback.
- Require positive trailing return; otherwise hold BIL.
Source: Adaptive Asset Allocation Whitepaper
Headline backtest performance as of 2026-11-10.