Portfolio Strategy
ARIA
Walk-forwardAdaptive Risk Investment Allocation
- Rebalancing
- Monthly
- Universe
- 5 ETFs
- As of
- ...
Backtest 2010 to present. Walk-forward test active since April 1, 2026.
The Strategy
ARIA (Adaptive Risk Investment Allocation) applies risk management independently across four equity segments: US large cap, US technology, US small cap, and international developed markets. Each segment is monitored using its own set of macroeconomic indicators. When conditions for a given segment deteriorate, that position exits to cash while the others remain invested.
The result is a portfolio that scales down total equity exposure as aggregate risk rises and scales back up when conditions are favorable. This granular approach can hold one or two segments while exiting others, rather than making an all-or-nothing equity call.
Walk-Forward Test Active Starting April 1, 2026, this strategy is being tested with market data in a walk-forward framework. All historical data before this date represents backtested performance.
How It Works
At each month-end, the model evaluates each of the four ETFs (SPY, QQQ, IWM, EFA) against macroeconomic data. Positions are either fully invested or fully in cash on a per-segment basis. When invested, each active segment receives equal weight in the portfolio.
The dashboard displays both backtested and walk-forward performance. The shaded area marks April 1, 2026, the start of the walk-forward test. All data to the left represents historical backtesting; all data to the right represents hypothetical out-of-sample performance.
Simulation Settings
Set your start date and initial capital. ARIA applies independent risk management across four equity segments with monthly rebalancing.
Model Performance
Drawdown
Peak-to-trough declineEquity Exposure
Total equity allocation over timeCurrent Positions
Walk-Forward Test
ARIA vs SPY Buy & Hold
Full backtest period comparison:
| Metric | ARIA | SPY B&H |
|---|---|---|
| Total Return | -- | -- |
| CAGR | -- | -- |
| Volatility | -- | -- |
| Sharpe Ratio | -- | -- |
| Max Drawdown | -- | -- |
| Exposure | -- | 100% |
Crisis Performance
Strategy behavior during major market downturns:
| Crisis | ARIA | SPY |
|---|---|---|
| 2020 Covid | -- | -34% |
| 2022 Bear | -- | -25% |
Detailed Metrics
Statistical Validation
Before deployment, ARIA was subjected to a rigorous multi-phase validation framework based on peer-reviewed statistical methods. All tests were conducted on the fixed production strategy without post-hoc parameter tuning.
10,000 random position sequences with identical average market exposure were compared against the strategy. Only 1 in 10,000 matched the observed risk-adjusted return. Based on White (2000).
10,000 block bootstrap samples (6-month blocks) produce a 95% confidence interval for the Sharpe ratio that lies entirely above zero. Based on Politis & Romano (1994).
Combinatorial Purged Cross-Validation with 12-month embargo across 230 paths. Every single path produced a positive out-of-sample Sharpe ratio (median: 1.60).
Statistically significant alpha (t > 2.0) against all six benchmarks tested: buy-and-hold, balanced 60/40, equal weight, inverse volatility, momentum, and trend following.
Conditional Value at Risk (95th percentile) of the strategy is −4.7% per month, compared to −8.6% for the SPY benchmark. Worst observed month since 2010 was −7.4%.
All underlying data sources are market-based and final upon release. Revision-prone series were systematically excluded. Publication lag is applied to ensure no look-ahead bias.
Validation framework based on White (2000), Politis & Romano (1994), and Bailey & Lopez de Prado (2014). All tests were conducted on the fixed production strategy without post-hoc parameter tuning. Past statistical performance does not guarantee future results.