Adaptive Asset Allocation (2)

This second installment of Sefirot Financial Research's Adaptive Asset Allocation series extends the analysis to a broader and more challenging time horizon - spanning 2012 to 2025 - across a diversified universe of ten global ETFs. The study stress-tests four core allocation strategies against real-world market disruptions, including the COVID-19 crash, the oil price shock, and the 2022 inflationary surge driven by rising interest rates. By examining how each strategy responds to structurally different crises, the report offers investors a nuanced understanding of resilience, recovery dynamics, and the practical trade-offs between return generation and risk control in multi-asset portfolios.

Key topics covered:

• Strategy performance across major macro shocks: COVID-19, energy crisis, and rate hike cycles

• Comparative backtesting of Equally Weighted, Risk Parity, Momentum, and Minimum Variance strategies

• Impact of rebalancing frequency on momentum capture and drawdown management

• Asset selection dynamics: how defensive ETFs (Gold, Health Care, Latin America) influence risk-adjusted outcomes

• Key takeaway: the six-month Momentum strategy is the only approach to meaningfully outperform the Equally Weighted benchmark