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 2026-06-18 (52.3 years): 16.3% CAGR, 1.50 Sharpe, -19.7% max drawdown, 9.9% volatility.
- Type
- Tactical (TAA)
- Author
- Wouter Keller
- Rebalancing
- Monthly
- Risk
- Moderate
- Period
- 1974-02-28 to 2026-06-18
- CAGR
- 16.3%
- Sharpe
- 1.50
- Max Drawdown
- -19.7%
- Volatility
- 9.9%
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 (1974-02-28 to 2026-06-18)
| Metric | HAA (Hybrid Asset Allocation) |
|---|---|
| Compound Annual Growth Rate (CAGR) | 16.3% |
| Maximum Drawdown | -19.7% |
| Sharpe Ratio | 1.50 |
| Sortino Ratio | 2.46 |
| Annualized Volatility | 9.9% |
| Calmar Ratio | 0.83 |
| Total Return | 267157.3% |
| Backtest Period | 52.3 years |
Strategy Details
- Type
- Tactical (TAA)
- Rebalancing
- monthly
- Risk Level
- moderate
- Variants
- 11
- 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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