# Adaptive Hybrid Asset Allocation

> A monthly rotation among eight ETFs. A canary asset decides whether to hold the strongest risk assets or one defensive holding.

- Page: https://oxrun.xyz/strategies/adaptive-hybrid-asset-allocation
- Record: Backtest
- Data: Sep 2, 2008 to Oct 22, 2026 (as of 2026-10-22)
- Signals: Monthly
- Costs: 5 bp per side (OXrun standard)

## Key statistics

| Metric | Adaptive Hybrid Asset Allocation | SPY |
|---|---|---|
| Total return | +548.2% | +731.8% |
| CAGR | +10.9% | +12.4% |
| Volatility | 10.7% | 19.7% |
| Sharpe ratio | 1.02 | 0.69 |
| Sortino ratio | 1.20 | 0.84 |
| Max drawdown | −13.1% | −46.0% |
| Calmar ratio | 0.83 | 0.27 |
| Win rate (days) | 67% | 68% |

## Robustness score

**83 / 100.** How likely the record is to repeat, not how high it is. Method: https://oxrun.xyz/how-it-works#robustness

| Part | Weight | Score |
|---|---|---|
| Statistical evidence | 30% | 100 |
| Overfitting risk | 25% | 96 |
| Consistency over time | 20% | 100 |
| Live evidence | 15% | 0 |
| Implementability | 10% | 94 |

## About

After the last close of each month, the strategy scores eight ETFs (US and global stocks, real estate, gold, and long and intermediate Treasuries) by recent momentum relative to their own volatility. When the inflation-protected Treasury canary (TIP) is trending up, it holds the four top scorers in equal weights. When it is not, it holds the stronger of intermediate Treasuries and T-bills, all of the portfolio. Long-only, fully invested, no leverage. The trade is made at the close of the next trading day.

- Style: Long-only, no leverage, fully invested
- Trading frequency: Monthly rebalance

## Holdings it can use

- BIL: SPDR Bloomberg 1-3 Month T-Bill ETF
- GLD: SPDR Gold Shares
- IEF: iShares 7-10 Year Treasury Bond ETF
- IWM: iShares Russell 2000 ETF
- SPY: SPDR S&P 500 ETF Trust
- TIP: iShares TIPS Bond ETF
- TLT: iShares 20+ Year Treasury Bond ETF
- VEA: Vanguard FTSE Developed Markets ETF
- VNQ: Vanguard Real Estate ETF
- VWO: Vanguard FTSE Emerging Markets ETF

## Schedule

- Signal: Last trading day of each month, after the close
- Trade: First trading day of the next month
- Trade time: At market close

## Recent actions (latest 10)

| Date | Action | Ticker | Weight after |
|---|---|---|---|
| 2026-09-01 | SELL | IWM | 0.0% |
| 2026-09-01 | SELL | SPY | 0.0% |
| 2026-09-01 | SELL | VEA | 0.0% |
| 2026-09-01 | SELL | VNQ | 0.0% |
| 2026-09-01 | BUY | BIL | 100.0% |
| 2026-08-03 | SELL | SPY | 25.0% |
| 2026-08-03 | SELL | VNQ | 25.0% |
| 2026-08-03 | BUY | IWM | 25.0% |
| 2026-07-01 | SELL | IWM | 25.0% |
| 2026-07-01 | SELL | VWO | 0.0% |
| 2026-07-01 | BUY | SPY | 25.0% |
| 2026-07-01 | BUY | VEA | 25.0% |
| 2026-07-01 | BUY | VNQ | 25.0% |
| 2026-06-01 | SELL | IWM | 25.0% |
| 2026-06-01 | SELL | SPY | 25.0% |
| 2026-06-01 | SELL | VEA | 25.0% |
| 2026-06-01 | SELL | VNQ | 0.0% |
| 2026-06-01 | BUY | VWO | 25.0% |
| 2026-05-01 | SELL | GLD | 0.0% |
| 2026-05-01 | SELL | IWM | 25.0% |
| 2026-05-01 | SELL | VWO | 0.0% |
| 2026-05-01 | BUY | SPY | 25.0% |
| 2026-05-01 | BUY | VEA | 25.0% |
| 2026-05-01 | BUY | VNQ | 25.0% |
| 2026-04-01 | SELL | IEF | 0.0% |
| 2026-04-01 | SELL | VEA | 25.0% |
| 2026-04-01 | SELL | VWO | 25.0% |
| 2026-04-01 | BUY | GLD | 25.0% |
| 2026-04-01 | BUY | IWM | 25.0% |
| 2026-03-02 | SELL | GLD | 25.0% |
| 2026-03-02 | BUY | IEF | 25.0% |
| 2026-03-02 | BUY | VEA | 25.0% |
| 2026-03-02 | BUY | VWO | 25.0% |
| 2026-02-02 | SELL | GLD | 25.0% |
| 2026-02-02 | SELL | VEA | 25.0% |
| 2026-02-02 | BUY | IEF | 25.0% |
| 2026-02-02 | BUY | VWO | 25.0% |
| 2026-01-02 | SELL | VEA | 25.0% |
| 2026-01-02 | SELL | VWO | 25.0% |
| 2026-01-02 | BUY | GLD | 25.0% |
| 2026-01-02 | BUY | IEF | 25.0% |
| 2025-12-01 | SELL | GLD | 25.0% |
| 2025-12-01 | SELL | SPY | 0.0% |
| 2025-12-01 | BUY | IEF | 25.0% |
| 2025-12-01 | BUY | VEA | 25.0% |
| 2025-12-01 | BUY | VWO | 25.0% |

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Not investment advice. Signals are generic, informational, and identical for all subscribers. OXrun is not an RIA, broker-dealer, or CTA, and does not execute trades or hold funds. Backtested and forward-tested results are hypothetical, include modelled trading costs, and do not reflect actual trading. Past performance does not guarantee future results.