Adaptive Asset Allocation
The Adaptive Asset Allocation portfolio seeks to profit from a dynamic, rules-based asset allocation that adapts to changing market conditions by investing across minimally-correlated asset classes and adjusting asset class weightings based on volatility. The objective is to achieve the long-term returns of the respective asset classes while minimizing portfolio drawdowns.
Performance Chart
All performance information is of the Portfolio Manager account, net of management fees.
All performance information is of the Portfolio Manager account net of management fees, and not of any investing client accounts.
Actual client returns will differ based on client-specified security exclusions, client cash flow behavior (investments and divestments), and trading restrictions placed on client accounts by brokerage.
The management fees applicable to Interactive Advisors proprietary portfolios are actually charged to
the Interactive Advisors accounts managing those portfolios, whereas the management fees applicable to
Portfolio Manager portfolios are applied retroactively as simulated fees to the Portfolio Manager account returns (as
Interactive Advisors does not manage or control these accounts) for purposes of this net-of-fees performance presentation only.
Performance, composition and volatility could vary significantly from that of the benchmark(s), which are
provided for illustrative purposes only.
This information was calculated up to Apr 19, 2024.
Metrics
Performance
The performance table shows the returns over various time periods, including the time periods that are clickable on the chart, calendar years and also the Since inception (annualized) performance which is the year over year growth rate of portfolio asset value.
| Last 30 days | -0.9% |
| Last 90 days | 2.2% |
| Last 365 days | 5.9% |
| Since inception (Jul 16, 2020) | 7.6% |
| Since inception (annualized) | 2.0% |
| 2024 (YTD) | 1.4% |
| 2023 | 7.7% |
| 2022 | -14.2% |
| 2021 | 8.6% |
Risk metrics (last 365 days)
The risk metrics table is only present for portfolios with more than a 365 day track record which is needed to meaningfully compute the summary risk metrics.
You can learn more here.
| Volatility
The standard deviation of portfolio returns; a measure of risk. |
6.8% |
| Sharpe ratio
A measure of risk-adjusted portfolio return. |
0.10 |
| Sortino ratio
A measure of portfolio return adjusted for down-side volatility. |
0.18 |
| Maximum drawdown
Maximum value lost from peak to trough over the last year. |
-5.8% |
| Value-at-risk (95%, 1 week)
Estimates the potential loss of a portfolio with a specified confidence level and time horizon. |
-1.6% |
Estimate your costs
All costs shown are estimated and consist of the annual management fee applicable to the specific portfolio displayed. We compute the annual management fee applicable to your investments daily and charge it to you monthly in arrears or in conjunction with a withdrawal.
On a daily basis, the applicable fee associated with each portfolio you invest in will be applied to the end-of-day gross market value of your investment in that portfolio and the resulting amount will be divided by 365. At the end of each month, you will be charged a fee made up of the sum of all daily fees calculated during that month for each portfolio investment. The more assets you invest in a given portfolio with us, the higher the amount of the annual fee charged to you.
No trading commissions apply to trading in any of the portfolios due to the IBKR-LITE commissions structure we have selected for all of your clients. For portfolios including ETFs, additional expense ratios will need to be paid to the ETF issuer and they are not included in this calculation.
Portfolio information
The Adaptive Asset Allocation portfolio is based on decades of research on the construction of efficient portfolios and on extensive back testing and modeling. It builds on the principles of risk parity and the permanent portfolio with a goal of generating superior risk-adjusted returns.
The portfolio manager seeks to profit from a dynamic, rules-based asset allocation that adapts to changing market conditions. Using the principles of risk parity and the "permanent portfolio," the strategy encompasses the major investable asset classes, including large and mid-cap U.S. equities, fixed income, real estate and gold. The portfolio is rebalanced based on market and asset-class-specific volatility, changing correlations between asset classes, and relative performance and weightings of the respective asset classes. The manager may additionally incorporate a proprietary market risk model to manage market exposure and further reduce risk. The strategy is generally implemented via liquid, traded ETFs, though excess liquidity may be invested in U.S. Treasuries or other investment-grade-rated fixed-income securities.
Rebalancing is a critical aspect of the strategy. The portfolio will be rebalanced at a minimum annually and will be rebalanced more frequently when asset classes drift outside of our tolerance bands. Outside of regular rebalancing, securities may be sold or replaced when a superior security covering the same asset class is found or if, due to our risk management process, we make a tactical decision to exit an asset class.
We do not expect to make exceptions to our investment process or rebalancing discipline, though we understand that all models should be regularly reviewed for improvement. Risk management is only effective when it is actually followed.
Portfolio updates
Manager
Sizemore Capital
Sizemore Capital Management LLC is a registered investment advisory firm located in Dallas, Texas.
Charles Lewis Sizemore, CFA is the founder and Chief Investment Officer of the firm.
Investment process
Sizemore Capital Management generally takes a top-down, macro approach to the investment process. I attempt to identify durable macro trends and choose attractively-priced investments that stand to benefit from those trends. I take a global approach; all international markets and industries are considered for investment.
How I got started
I am a long-time financial writer and I founded Sizemore Capital Management in 2008 to grant my readers access to my investment insights.
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Disclosures
Past performance is no guarantee of future results, and all investments, including those in this portfolio, involve the risk of loss, including loss of principal and a reduction in earnings.
This portfolio was launched on Interactive Advisors on July 16, 2020, when clients were able to start investing in it. All performance information on this page is actual performance of the Portfolio Manager’s account and presented “net of fees”. The actual performance chart is provided for informational purposes only, and should not be used as the basis for making an investment decision. Actual client returns will differ. All Portfolio Manager information including personal data, profiles, and strategies has been provided by the Portfolio Manager. Interactive Advisors makes no representation or warranty of its accuracy, completeness or relevance and it does not represent the opinions of Interactive Advisors.
All performance information on this page is based on the performance of the Portfolio Manager’s account, using the manager’s own funds. Performance of the Portfolio Manager's account is calculated by Interactive Advisors on a daily time-weighted basis, including cash, dividends and earnings distributions and reflects the deduction of broker commissions (when commissions were charged). Manager returns include trades and positions that fail Interactive Advisors' trading rules, as a result, actual client returns will differ. Interactive Advisors’ advisory fees are simulated and applied retroactively to present the portfolio return “net-of-fees”.
In addition to Interactive Advisors’ management fees, clients will also be charged management fees and other expenses (custodian fees, brokerage commissions, and legal and accounting fees) by ETF issuers if the portfolio contains ETFs.