HAA (Hybrid Asset Allocation)
TacticalPromoderateBased on research by Wouter Keller · Keller, W.J. (2022). Hybrid Asset Allocation (HAA)
This is BestFolio's independent implementation. Not affiliated with or endorsed by the original author.
Launched Feb 3, 2023About this Strategy
Momentum-based tactical allocation with canary crash protection. TIP momentum gates risk-on/off; offense selects top-4 assets by equal-weighted 13612 momentum score (1m + 3m + 6m + 12m returns, equal weights) from a broad multi-asset universe.
The complete strategy logic, asset universe, and rebalancing rules are available to Pro subscribers. This includes the full methodology description, author notes, and implementation details.
Pro subscribers also get access to current signals, full backtest history, and the ability to blend this strategy into custom portfolios.
Strategy Rules
Pro subscribers only
- 1Check canary trigger: Is TIP 13612 equal-weighted momentum positive?
- 2If YES → Select top 4 from offensive universe by 13612 equal-weighted score, equal weight 25% each
- 3If NO → Allocate to best of defensive candidates (IEF or BIL) by momentum
- 4Leveraged variant: substitute all ETFs using the 2x leverage table
Asset Universe
Pro subscribers only
11 instruments this strategy can hold
Key Differentiators
Research Source
Based on research by Wouter Keller
Keller, W.J. (2022). Hybrid Asset Allocation (HAA)
Strategy Info
- Type
- Tactical (TAA)
- Frequency
- monthly
- Next Rebalance
- Jun 109:30 ET (10d)
- Variants
- 7
- Risk Category
- moderate
- Tags
- momentum, multi asset
- Type
- Tactical Asset Allocation (TAA)
- Trading Frequency
- Monthly (last trading day)
- Rebalancing
- Full portfolio rebalance each month
- Universe Size
- 9 offensive + 3 canary + 2 defensive assets
- Scoring Method
- 13612 momentum (equal-weighted: 1m + 3m + 6m + 12m returns)
- Concentration
- Top 4 assets (equal weight 25% each)
- Leverage Options
- 1x (standard) or 2x (leveraged ETFs)
- Data Source
- Institutional-grade market data (13 months minimum history)
Asset Classes
Investment Universe
HAA (Hybrid Asset Allocation) at a glance
HAA (Hybrid Asset Allocation) is a tactical asset allocation (TAA) strategy by Wouter Keller across US Equity, International Equity, Emerging Markets, REITs, rebalanced monthly. Backtested 1981-02-27 to 2026-05-20 (45.2 years): 15.8% CAGR, 1.42 Sharpe, -19.7% max drawdown, 10.6% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1981-02-27 to 2026-05-20
- CAGR
- 15.8%
- Sharpe
- 1.42
- Max Drawdown
- -19.7%
- Volatility
- 10.6%
HAA (Hybrid Asset Allocation) — Tactical Asset Allocation Strategy
Hybrid Asset Allocation (HAA) is a momentum-based tactical strategy developed by Wouter Keller, published in 2022. It uses a 'canary' universe of protective assets (TIP, BIL, IEF) to gauge market risk. When the canary trigger (TIP) shows negative momentum, the portfolio shifts to defensive bonds. Otherwise, the top 4 assets from a 9-asset offensive universe are selected based on 13612 equal-weighted momentum scoring.
Note: HAA differs from VAA/DAA/BAA by using equal-weighted 13612 (1m + 3m + 6m + 12m returns, all equal weights), NOT the weighted 13612W (which uses weights 12,4,2,1) those strategies use. This gives more equal influence to longer-horizon momentum signals.
Backtest Performance (1981-02-27 to 2026-05-20)
| Metric | HAA (Hybrid Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 15.8% |
| Maximum Drawdown | -19.7% |
| Sharpe Ratio | 1.42 |
| Sortino Ratio | 1.67 |
| Annualized Volatility | 10.6% |
| Calmar Ratio | 0.80 |
| Total Return | 77001.2% |
| Backtest Period | 45.2 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 7
- Author
- Wouter Keller
- Source
- Keller, W.J. (2022). Hybrid Asset Allocation (HAA)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- REITs
- Commodities
- Bonds
Categories
Track HAA (Hybrid Asset Allocation) in Your Portfolio
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- VAA (Vigilant Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.26
- DAA (Defensive Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.22
- BAA (Bold Asset Allocation) by Wouter J. KellerSharpe 1.18
- PAA (Protective Asset Allocation) by Wouter J. Keller & Jan Willem KeuningSharpe 1.16
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