This is a summary of the recent performance of a number of excellent asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. They range from simple, static portfolio allocations, to complex and dynamic portfolio optimization. AllocateSmartly is still its early days, so expect to see this list grow in the months and years ahead.
|Recent Performance of Asset Allocation Strategies
Use the Arrows to Sort this Table
|Traditional Dual Momentum||3.65%||2.28%|
|Varadi’s Minimum Correlation Portfolio||3.26%||17.96%|
|Davis’ Three Way Model||2.58%||6.03%|
|Glenn’s Paired Switching Strategy||2.10%||0.62%|
|Browne’s Permanent Portfolio||1.96%||13.42%|
|Faber’s Global Tactical Asset Alloc. 13||1.80%||7.68%|
|Gray’s Robust Asset Allocation – Aggressive||1.71%||3.09%|
|Dalio’s All-Weather Portfolio||1.56%||13.55%|
|Gray’s Robust Asset Allocation – Balanced||1.03%||3.56%|
|Faber’s Ivy Portfolio||0.88%||8.34%|
|Protective Asset Allocation||0.74%||8.72%|
|Elastic Asset Allocation – Defensive||0.55%||3.76%|
|Flexible Asset Allocation||0.31%||3.30%|
|Elastic Asset Allocation – Offensive||0.24%||1.47%|
|Faber’s Global Tactical Asset Alloc. 5||0.22%||3.75%|
|Faber’s Sector Relative Strength||-1.05%||-3.27%|
Static allocations (i.e. strategies that never change the optimal percentage allocated to assets) have been the top performers so far this year. The top three strategies YTD are Varadi’s Minimum Correlation, Dalio’s All-Weather and Browne’s Permanent Portfolio. Varadi’s strategy is not technically a static allocation, but it is always invested to some degree in all assets.
The outperformance of these static strategies is not surprising given the recent strength in significant asset classes such as US equities, Treasuries, real estate and gold. Generally speaking, the more dynamic tactical asset allocation strategies on this list will tend to shine during periods of market stress.
A note about these results:
There are two reasons why the results found here may not line up with tests found elsewhere:
- We make a number of strict assumptions in our backtests that we think make them more applicable to the real-world, but sometimes lead to less optimistic results. Read more in our FAQs.
- In select cases we’ve had to make small adjustments to strategies in order to fit the standardized approach that we take on this site. We detail any such changes in our strategy backtests.