Research by Professor William F. Sharpe


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

Adaptive Asset Allocation Policies pdf - a research paper by Professor William F. Sharpe, published in the Financial Analysts Journal, Volume 66, Number 3(May/June 2010).
Copyright 2010, CFA Institute. Reproduced and Republished from Financial Analysts Journal with permission from CFA Institute. All rights reserved.

About the charts used in the Adaptive Asset Allocation Policy (AAAP) calculator


Click here to download user guide
Note: data in the AAAP Calculator are sourced from a variety of external sources (described below). The application is updated each month only after all the data are available. This can be as late as the middle of the month. When the data have updated, the date ranges in the control panel will show the latest month-end date in the drop-down menus.

Chart 1 Proportion of Bond and Equity Markets

This chart shows the proportion of total market value represented by the bond and equity markets along with the Asset Allocation Policy weights.

Chart 2 AAAP and Market Weights – Given Policy Date

This chart shows market weightings, Asset Allocation Policy weightings and Adaptive Asset Allocation Policy weightings through time for a policy set on a given date.

Chart 3 Current AAAP Weights – Given Policy Date

This chart shows the current Adaptive Asset Allocation Policy weights for all Asset Allocation Policy weight settings on a given date.

Chart 4 AAAP Weights: Variable Policy Date

This chart shows the current Adaptive Asset Allocation Policy weights for an Asset Allocation Policy set at different points in time.

Chart 5/6 Policy and AAAP Performance plus Turnover

These charts show the simulated performance of a given Asset Allocation Policy. The associated turnover of the Adaptive Asset Allocation Policy is also shown.

Data sources


Adaptive Asset Allocation Policy weights are calculated by FTSE Analytics based on data sourced from FTSE 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.

Terms & Conditions


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


Adaptive Asset Allocation Policy Calculator

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.
  • The current adaptive policy weightings for an allocation set at different times.
  • The current adaptive asset allocation for any policy set on a given date.
Data is presented in chart format and can also be downloaded in a spreadsheet.