Hybrid Asset Allocation (HAA)
Monthly rotation across stocks, real estate, commodities and Treasuries, using TIPS momentum to select growth or defensive exposure.
Complete holding months: December 2015 through September 2026 · Starting equity: $100,000 · Net of modeled trading costs
Strategy FAQ
What is HAA?
Hybrid Asset Allocation was developed by Wouter Keller and JW Keuning. It combines momentum-based ETF selection with a TIPS filter that determines whether to use growth or defensive exposure.
How does it allocate?
Each month, average the trailing 1, 3, 6 and 12-month total returns. Positive TIP momentum allows four 25% slots from SPY, IWM, EFA, EEM, VNQ, PDBC, IEF and TLT. Nonpositive slots move to whichever of IEF or the cash ETF has stronger momentum. Cash uses BIL before SGOV is available, then SGOV; momentum links their total-return histories at the first SGOV close. If TIP momentum is nonpositive, the entire portfolio moves to that defensive choice.
Why does the backtest start in December 2015?
BIL supplies cash history before SGOV becomes available. PDBC limits the main common history. The backtest uses actual ETF history and reserves the first 12 months of common data for momentum calculations. Reconstructed pre-ETF histories are excluded.
What do Sharpe and drawdown mean here?
Sharpe uses daily returns, 252 trading sessions per year and a zero risk-free rate, matching ETF1. Maximum drawdown measures the largest peak-to-trough decline using daily portfolio values.
When are these results updated?
HAA refreshes in the shared weekday update batch, starting at 3:00 PM Pacific. Performance statistics use complete months; current positions are marked to the latest completed trading session. Always check the displayed dates. Email delivery is not enabled.
Equity Curve
HAA and SPY, starting with $100,000. Daily equity and drawdowns through 2026-09-30.
Monthly Returns
Net returns. Annual columns compound only the months shown; boundary years may be partial. 60/40 means SPY/IEF rebalanced at the next session open.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year Return | SPY Year | 60/40 Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.0% | 4.2% | -1.7% | 9.2% | 2.9% | -1.7% | -1.8% | 4.1% | 0.1% | — | — | — | 21.6% | 12.7% | 5.6% |
| 2025 | 0.6% | 1.1% | -1.7% | -1.1% | 2.0% | 3.9% | 0.7% | 1.7% | 4.5% | 2.2% | 0.1% | 1.1% | 15.9% | 17.7% | 13.9% |
| 2024 | -2.0% | 2.8% | 3.0% | -5.5% | 0.3% | -0.0% | 0.3% | 1.9% | 1.7% | -2.3% | 4.7% | -5.2% | -1.1% | 24.9% | 14.1% |
| 2023 | 0.3% | 0.4% | 0.4% | 1.1% | -1.8% | 0.6% | 0.4% | 0.5% | 0.4% | 0.4% | 0.5% | 5.9% | 9.2% | 26.2% | 16.8% |
| 2022 | -2.8% | -0.0% | 4.0% | 0.2% | 0.0% | 0.1% | 0.0% | 0.2% | 0.2% | 0.2% | 0.3% | 0.4% | 2.8% | -18.2% | -16.6% |
| 2021 | 1.6% | 3.0% | 1.3% | 4.1% | 1.3% | 2.6% | 1.2% | 1.4% | -2.0% | 5.9% | -3.9% | 5.5% | 23.6% | 28.7% | 15.0% |
| 2020 | -3.1% | -0.9% | 4.4% | 0.5% | 1.4% | 0.6% | 4.6% | 0.9% | -2.6% | -0.6% | 9.8% | 5.6% | 21.9% | 18.3% | 16.4% |
| 2019 | 0.5% | -0.7% | 3.6% | 0.3% | -1.9% | 1.2% | -0.2% | 4.2% | 0.0% | 0.6% | 0.3% | 1.1% | 9.1% | 31.2% | 22.0% |
| 2018 | 5.5% | -4.5% | -0.1% | 1.1% | -0.3% | 0.7% | 0.9% | 2.7% | -0.3% | 0.3% | 0.2% | 0.2% | 6.3% | -4.6% | -2.0% |
| 2017 | 2.1% | 1.9% | 0.2% | 1.6% | 1.5% | 1.3% | 0.2% | 0.1% | 2.3% | -0.1% | 0.9% | 1.5% | 14.2% | 21.7% | 13.7% |
| 2016 | 3.3% | 1.5% | -0.1% | 0.1% | 1.2% | 4.3% | -0.1% | -0.9% | 0.1% | -3.1% | 2.5% | 2.2% | 11.3% | 12.0% | 7.7% |
| 2015 | — | — | — | — | — | — | — | — | — | — | — | -0.5% | -0.5% | -2.1% | -1.5% |
Portfolio Comparison
| Portfolio | CAGR | Annualized Volatility | Daily Max Drawdown | Final Equity ($100k) |
|---|---|---|---|---|
| HAA net 5bp | 12.14% | 8.39% | -13.23% | $346,123 |
| SPY | 14.54% | 15.01% | -33.72% | $435,345 |
| 60 SPY 40 IEF | 9.16% | 9.77% | -21.20% | $258,486 |
After Publication: April 2023–September 2026
First full month after the public article; a historical check, not recorded live performance. Each portfolio is rebased to $100,000.
| Portfolio | CAGR | Annualized Volatility | Daily Max Drawdown | Final Equity ($100k) |
|---|---|---|---|---|
| HAA net 5bp | 12.40% | 9.75% | -13.23% | $150,540 |
| SPY | 20.95% | 12.46% | -18.76% | $194,562 |
| 60 SPY 40 IEF | 12.55% | 8.89% | -10.58% | $151,248 |
Methodology
Hypothetical backtest using Yahoo Finance dividend/split-adjusted ETF closes, with dividends reinvested, no leverage and no taxes. The main result uses 0.05% per dollar bought or sold, monthly rebalancing from drifted weights and BIL before SGOV is available, then SGOV, as the cash ETF. ETF expenses are embedded in prices. Signals use month-end closes and execute at the next trading session open. Historical opening prices are adjusted by the same distribution/split factor as each day’s close; they are proxies for auction fills. Existing holdings earn the overnight gap before the rebalance. The same-close comparison is idealized. Annualized volatility is calculated from monthly returns. The first 12 months of common ETF history are reserved for momentum. Initial signal: November 30, 2015; first opening fill: December 1, 2015. BIL and SGOV total returns are linked at SGOV’s first available close (June 1, 2020) for momentum. SGOV becomes eligible at the June 30, 2020 signal, with execution July 1. Actual BIL and SGOV holdings are tracked separately, including switch costs; raw price levels are never spliced.
Reconstructed pre-ETF histories are excluded. Results depend on vendor adjustments and have not been cross-validated with a second vendor. This is our implementation of the published HAA rules, including the corrected defensive fallback, not a replication of Allocate Smartly’s proprietary data.
Member Signals
Members can view the dated allocation snapshot, confirmed monthly alert, position calculator and complete allocation history.