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 13612W momentum scoring.
The 13612W scoring combines 1-month, 3-month, 6-month, and 12-month returns with weights (1,3,6,12) to rank assets. This multi-period scoring captures both short-term and long-term momentum signals.
Backtest Performance (1992-11-30 to 2026-04-07)
| Metric | HAA (Hybrid Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 14.2% |
| Maximum Drawdown | -19.8% |
| Sharpe Ratio | 1.18 |
| Sortino Ratio | 1.45 |
| Annualized Volatility | 11.8% |
| Calmar Ratio | 0.72 |
| Total Return | 8130.3% |
| Backtest Period | 33.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 6
- Author
- Wouter Keller
- Source
- Keller, W.J. (2022). Hybrid Asset Allocation (HAA)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- REITs
- Commodities
- Bonds
Categories
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