Inverse-Volatility GTAA
GTAA Aggressive picks, sized by inverse volatility.
Holding now
Signal from Aug 2026 close- IWD54%
- DBC27%
- EEM19%
- IWDUS Large Value53.8%
- DBCCommodities27.4%
- EEMEmerging Markets18.8%
Signal preview: if the month ended today
- DBC38%
- EEM33%
- MTUM29%
Unofficial. The rules only trade on month-end closes.
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.3%
YTD
+7.8%
1Y
+13.6%
3Y
+13.1%
5Y
+6.8%
10Y
+9.2%
Growth of $100
Backtest from Nov 3, 2008 to Sep 25, 2026 (17.8 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
+8.4%
Volatility
13.9%
Max drawdown
-19.8%
Sharpe
0.55
Sortino
0.76
Calmar
0.42
Best year
+26.0%
Worst year
-11.0%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 60% 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), use managed futures instead of T-bills as the defensive asset, or swap a fund for a same-asset-class alternative.
The idea
The same top-3-of-13 selection and trend filter as GTAA Aggressive, but each pick is weighted in proportion to 1 / volatility (60 trading days), so a calm bond fund gets more capital than a volatile commodity.
The rules
- 1Select the top 3 of 13 by average 1, 3, 6, 12-month return.
- 2Weights ∝ 1 / 60-day volatility.
- 3A pick below its 10-month SMA is replaced by T-bills.
Funds used
- BWX Intl Treasuries
- DBC Commodities
- EEM Emerging Markets
- EFA Intl Developed (EAFE)
- GLD Gold
- IEF 7-10Y Treasuries
- IWD US Large Value
- IWM US Small Cap
- IWN US Small Value
- LQD IG Corporate Bonds
- MTUM US Momentum
- TLT 20+Y Treasuries
- VNQ US REITs
Early history uses proxy funds: SPY.
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
Adaptive Asset Allocation
Butler, Philbrick & Gordillo
Top 5 of 10 by momentum, weighted for minimum variance.
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.