Adaptive Asset Allocation
Top 5 of 10 by momentum, weighted for minimum variance.
Holding now
Signal from Aug 2026 close- SPY42%
- VGK30%
- DBC28%
- SPYS&P 50041.6%
- VGKEurope29.9%
- DBCCommodities28.5%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.8%
YTD
+11.8%
1Y
+16.7%
3Y
+15.4%
5Y
+6.5%
10Y
+8.2%
Growth of $100
Backtest from Jul 2, 2007 to Sep 25, 2026 (19.1 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+7.3%
Volatility
9.7%
Max drawdown
-23.0%
Sharpe
0.64
Sortino
0.88
Calmar
0.32
Best year
+21.4%
Worst year
-18.9%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 59% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
ReSolve's Adaptive Asset Allocation: pick the five strongest of ten global asset classes by 6-month return, then size them with long-only minimum-variance weights estimated from the last 60 trading days, so correlated or volatile winners get smaller slices.
The rules
- 1Universe: US, Europe, Japan and EM stocks; US and international REITs; 7-10Y and 20+Y Treasuries; commodities; gold.
- 2Hold the top 5 by 6-month return.
- 3Weights: long-only minimum variance from 60 days of daily returns.
Funds used
- DBC Commodities
- EEM Emerging Markets
- EWJ Japan
- GLD Gold
- IEF 7-10Y Treasuries
- RWX Intl REITs
- SPY S&P 500
- TLT 20+Y Treasuries
- VGK Europe
- VNQ US REITs
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025
More risk-aware momentum
Inverse-Volatility GTAA
Risk-weighted variant
GTAA Aggressive picks, sized by inverse volatility.
Elastic Asset Allocation
Wouter Keller & Adam Butler
Weights ∝ return × diversification ÷ volatility.
Classical Asset Allocation
Wouter Keller et al.
Momentum picks, then mean-variance to a 10% volatility target.