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.

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.

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 pdf

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.


* 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