Performance & Risk Metrics (2016-2026)
| Metric | Adaptive Allocation | GEM (Dual Momentum) |
|---|---|---|
| CAGR (10-Year Annualized Return) | 10.5% | 13.7% |
| Max Drawdown | -16.8% | -22.0% |
| Sharpe Ratio (Risk-Adjusted Return) | 0.67 | 0.72 |
| Volatility (Annualized StdDev) | 10.2% | 12.5% |
| Best Calendar Year | +25.1% | +33.4% |
| Worst Calendar Year | -12.4% | -10.3% |
| Strategy Type | Tactical Asset Allocation (Momentum + Volatility) | Tactical Asset Allocation (Trend following) |
| Rebalancing Frequency | Monthly (on momentum signals) | Monthly (on momentum signals) |
Adaptive Allocation Philosophy
Adaptive Allocation combines both momentum ranking (selecting top-performing assets) and volatility-adjusted position sizing (allocating more to less volatile assets). This dual approach aims to maximize risk-adjusted returns across a diversified multi-asset universe.
GEM Philosophy
GEM focuses on simplicity: one relative momentum comparison between two equity indices, plus one absolute momentum filter. The resulting portfolio is binary — 100% in one of three assets. Its power comes from its simplicity and systematic application.
Deep Dive
Want to master this strategy? Read our definitive Global Equity Momentum (GEM) Guide to understand the core rules, historical performance, and exact ETF implementations.
Which Strategy is Right For You?
Choose GEM if: You are comfortable with monthly monitoring, invest via tax-advantaged accounts (like IRAs or 401ks in the US, or tax-wrapped accounts in Europe), and want to maximize long-term growth while protecting capital from major multi-year bear markets.
Choose 60/40 if: You prefer a hands-off, "set and forget" approach, have a taxable investment account where frequent turnover triggers capital gains tax, and can emotionally tolerate drawdowns of 20-30% without panic-selling.