Hybrid Asset Allocation
A single TIPS trigger guards a top-4 rotation.
Higher overfitting risk: these models have many parameters chosen with hindsight. Expect live results to trail the backtest.
Holding now
Signal from Aug 2026 close- BIL100%
- BILT-Bills100.0%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+0.2%
YTD
+18.6%
1Y
+22.1%
3Y
+12.7%
5Y
+10.0%
10Y
+12.0%
Growth of $100
Backtest from Aug 1, 2003 to Sep 25, 2026 (23.0 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+8.9%
Volatility
10.5%
Max drawdown
-14.3%
Sharpe
0.71
Sortino
1.01
Calmar
0.62
Best year
+24.2%
Worst year
-4.3%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 66% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), or swap a fund for a same-asset-class alternative.
The idea
HAA uses TIPS momentum as its trigger. When TIPS momentum is positive it holds the top four of eight global assets, swapping any with negative momentum for the better of T-bills and IEF. When TIPS momentum is negative it goes fully to the better of T-bills and IEF.
The rules
- 1Trigger asset: TIP, scored by the average of 1, 3, 6, 12-month returns.
- 2Positive → top 4 of SPY, IWM, VEA, VWO, VNQ, DBC, IEF, TLT; any with a negative score → best of BIL/IEF.
- 3Negative → 100% the best of BIL/IEF.
Funds used
- BIL T-Bills
- DBC Commodities
- IEF 7-10Y Treasuries
- IWM US Small Cap
- SPY S&P 500
- TIP TIPS
- TLT 20+Y Treasuries
- VEA Intl Developed
- VNQ US REITs
- VWO Emerging Markets
Early history uses proxy funds: EEM, EFA, IEF, IYR, SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025
More crash protection
Protective Asset Allocation
Wouter Keller & JW Keuning
The bond share rises as more assets lose momentum.
Vigilant Asset Allocation (G4)
Wouter Keller & JW Keuning
Fully defensive the moment any risk asset turns down.
Defensive Asset Allocation
Wouter Keller & JW Keuning
Two trigger assets decide how much of a 12-asset book stays at risk.