Adaptive Asset Allocation Policy Calculator

View Strategic Multi-Asset Allocation Policy over time, as it adapts to Global, US or UK Bond and Equity Market Movements.

Home

The AAAP Calculator has been developed by FTSE Russell in conjunction with Professor William F. Sharpe* based on his research into the merits of publicising strategic asset allocation policies that adapt to market movements by taking into account changes in the outstanding market values of major asset classes.

The AAAP Calculator provides users with a toolbox and series of charts to view the impact of varying their strategic asset allocation policy over a period ranging from initiation to the present time.

View Professor Sharpe speaking at the FTSE World Investment Forum in May 2011 on Adaptive Asset Allocation Policies.

Adaptive Asset Allocation Policies

Overview

The AAAP Calculator demonstrates the path of an adaptive asset allocation policy in three ways:

Adaptive policy weights compared to the market over time, both before and after policy date set.
Current adaptive policy weightings for an allocation set at different times.
Current adaptive asset allocation for any policy set on a given date.

More Information

Adaptive Asset Allocation Policy weights are calculated by FTSE Analytics based on data sourced from FTSE Russell and Thomson Reuters Datastream for bonds. Bond data generally reflects Datastream All Lives Total Market government bond data combined with market-leading corporate bond data.

A copy of the current Terms & Conditions for the AAAP Calculator can be downloaded here

Recommended Reading

Adaptive Asset Allocation Policies

Research paper by Professor William F. Sharpe, published in the Financial Analysts Journal, Volume 66, Number 3 (May/June 2010).

* William F. Sharpe is the STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business. He was one of the originators of the Capital Asset Pricing Model and developed the Sharpe Ratio for investment performance analysis. In 1990 he received the Nobel Prize in Economic Sciences.

Charts Included

Proportion of Total Market Value represented by Equity and Bond Markets along with the Asset Allocation Policy weights
Market Weights, Asset Allocation Policy weights and Adaptive Asset Allocation Policy weights over time for a policy set on a given date
Current Adaptive Asset Allocation Policy weights for all Asset Allocation Policy weight settings on a given date
Current Adaptive Asset Allocation Policy weights for an Asset Allocation Policy set at different points in time
Simulated performance of a given Asset Allocation Policy, and associated turnover of the Adaptive Asset Allocation Policy