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 1974-02-28 to 2026-07-03 (52.3 years): 16.2% CAGR, 1.49 Sharpe, -19.7% max drawdown, 10.0% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1974-02-28 to 2026-07-03
- CAGR
- 16.2%
- Sharpe
- 1.49
- Max Drawdown
- -19.7%
- Volatility
- 10.0%
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.
HAA (Hybrid Asset Allocation): frequently asked questions
- What is Hybrid Asset Allocation?
- Hybrid Asset Allocation (HAA) is Wouter Keller's tactical strategy: a single TIP canary gates risk-on or risk-off, and when risk-on it holds the top 4 assets by 13612 momentum (the 1, 3, 6, and 12-month returns, equally weighted) from a broad multi-asset universe, rotating to the best of bonds or cash when the canary turns negative. Monthly rebalancing.
- Who created the HAA (Hybrid Asset Allocation) strategy?
- HAA (Hybrid Asset Allocation) was developed by Wouter Keller. It is based on Keller, W.J. (2022). Hybrid Asset Allocation (HAA).
- What is the historical return and maximum drawdown of HAA (Hybrid Asset Allocation)?
- Backtested from 1974-02-28 to 2026-07-03, HAA (Hybrid Asset Allocation) returned 16.2% CAGR with a -19.7% maximum drawdown and a Sharpe ratio of 1.49. Past performance does not guarantee future results.
- How often is HAA (Hybrid Asset Allocation) rebalanced?
- HAA (Hybrid Asset Allocation) is rebalanced monthly. BestFolio publishes the updated allocation signal each period.
- Is HAA (Hybrid Asset Allocation) a tactical asset allocation strategy?
- Yes. HAA (Hybrid Asset Allocation) is a tactical asset allocation (TAA) strategy: it adjusts its holdings based on market signals each period rather than holding a fixed allocation.
Backtest Performance (1974-02-28 to 2026-07-03)
| Metric | HAA (Hybrid Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 16.2% |
| Maximum Drawdown | -19.7% |
| Sharpe Ratio | 1.49 |
| Sortino Ratio | 2.46 |
| Annualized Volatility | 10.0% |
| Calmar Ratio | 0.82 |
| Total Return | 259125.4% |
| Backtest Period | 52.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 14
- Author
- Wouter Keller
- Source
- Keller, W.J. (2022). Hybrid Asset Allocation (HAA)
Asset Classes
- US Equity
- International Equity
- Emerging Markets
- REITs
- Commodities
- Bonds
Categories
Further reading
New to this approach? Read what tactical asset allocation is and how it works.
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