Hybrid Asset Allocation
ActiveDefensiveupdateRebalanced: N/AAuthor: Wouter Keller
CAGR
trending_up20.7%
Compound Annual Growth Rate
Max Drawdown
water_drop-42.3%
Worst peak-to-trough decline
Sharpe Ratio
analytics1.02
Risk-adjusted return metric
Win Rate
verified70%
Percentage of positive months
Allocation Locked
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Strategy Methodology
Hybrid Asset Allocation (HAA) combines the best of "dual momentum" with a "canary" crash protection mechanism. It aims to participate in market uptrends while quickly exiting to safety during downturns.
- check_circleOffensive Assets: Selects top performing assets from a universe of US Stocks, International Stocks, Real Estate, and Commodities.
- check_circleCanary Universe: Monitors TIP (TIPS) as a "canary in the coal mine." If TIPS momentum is negative, the strategy shifts to defensive mode.
- check_circleRebalancing: Evaluated on the last trading day of every month. Trades are executed on the first trading day of the next month.
Academic Backing
Based on the paper "Hybrid Asset Allocation (HAA)" by Wouter Keller and JW Keuning. The strategy addresses the "cash trap" problem of traditional momentum strategies by using a specialized crash protection filter.
Parameters
Lookback Period
1, 3, 6, 12 Months (Weighted)
Top Assets Selected
Top 4 (in Bull Market)
Crash Protection
Yes (TIPS Momentum)
Asset Universe Size
8 ETFs
Monthly Rebalancing Process
5-Step ExecutionCheck Market Health
Is the Canary (TIP) trending up?
Rank Assets
Calculate momentum scores for all 8 assets.
Select Top 4
Safety Filter
Maximum Safety
Ignore all offensive assets.
Invest 100% in:
Check Market Health
Before buying stocks, we check a "Canary" indicator to see if the market is safe.
Why TIP?
Institutional investors often sell inflation-protected bonds (TIP) first when they sense financial stress. If TIP bonds are dropping in value, it's often a signal that a wider market crash is coming.
Offensive Mode
TIP Trend is Positive
Market is healthy. Go to Step 2.
Defensive Mode
TIP Trend is Negative
Market is risky. Skip to Step 5.
Offensive Mode: Find Strongest Investments
If the market is healthy, we compare 8 diverse investment types to see which are performing best.
The "Offensive" Menu
How we measure strength
We calculate a Strength Score for each asset. Instead of guessing, we average the returns over four different time periods to get a complete picture of momentum.
Pick Top Performers
We rank the 8 assets by their Strength Score and pick the top 4 winners.
Filter Weak Picks
Safety Check: If a "Top 4" winner is actually losing money (negative strength), we don't buy it. We buy safe bonds instead.
All top 4 assets are growing.
Asset #4 is down, so we swap it for safety.
Defensive Mode (Capital Preservation)
Triggered when the Canary (Step 1) says the market is risky. We ignore all stocks and offensive assets to protect your savings.
Historical Defense
Recent Monthly Returns
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +7.23% | +0.00% | - | - | - | - | - | - | - | - | - | - | +7.23% |
| 2025 | +3.99% | +0.96% | +4.34% | +2.99% | +2.82% | +3.25% | -0.28% | +2.83% | +6.95% | +2.47% | +1.19% | +1.90% | +38.75% |
| 2024 | -1.15% | +2.60% | +3.82% | -2.63% | +3.91% | +0.42% | +5.64% | +4.26% | +3.49% | +0.02% | +5.20% | -4.06% | +23.08% |