Adaptive Asset Allocation: A Primer

32 Pages Posted: 21 Sep 2013 Last revised: 5 Apr 2016

Adam Butler

ReSolve Asset Management

Mike Philbrick

ReSolve Asset Management

Rodrigo Gordillo

ReSolve Asset Management

David Varadi

Independent

Date Written: May 31, 2012

Abstract

The paper addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. Estimates of parameters for portfolio optimization based on long-term observed average values are shown to be inferior to alternative estimates based on observations over much shorter time frames. An Adaptive Asset Allocation portfolio assembly framework is then proposed to coherently integrate portfolio parameters in a way that delivers substantially improved performance relative to SAA over the testing horizon.

Keywords: Adaptive Asset Allocation, Asset Allocation, Risk Parity

JEL Classification: G11, G12, G14

Suggested Citation

Butler, Adam and Philbrick, Mike and Gordillo, Rodrigo and Varadi, David, Adaptive Asset Allocation: A Primer (May 31, 2012). Available at SSRN: https://ssrn.com/abstract=2328254 or http://dx.doi.org/10.2139/ssrn.2328254

Adam Butler (Contact Author)

ReSolve Asset Management ( email )

1 Adelaide St. East, Suite 2000
Toronto, Ontario M5C 2V9
Canada
4165725477 (Phone)

HOME PAGE: http://www.investresolve.com

Mike Philbrick

ReSolve Asset Management ( email )

1 Adelaide St. East, Suite 2000
Toronto, Ontario M5C 2V9
Canada
4165725478 (Phone)

HOME PAGE: http://www.investresolve.com

Rodrigo Gordillo

ReSolve Asset Management ( email )

1 Adelaide Street East
Suite 2100
Toronto, Ontario M5C 2V9
Canada
416-864-3597 (Phone)

HOME PAGE: http://www.investresolve.com

David Varadi

Independent

No Address Available

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