Hybrid asset allocation (HAA) employs two strategies: asset cross-sectional momentum and strategic allocation. Both strategies use ETFs to generate signals. The positions and new signals are solely for informational purposes and do not constitute investment advice or actionable content. Read the full disclaimer here.
The asset cross-sectional momentum strategy (CSMOM) and the strategic allocation strategy (MOMMF) generate signals in the monthly timeframe. The MOMMF incorporates both tactical and passive elements and undergoes annual rebalancing.
The current allocation is detailed below. Unlocking the protected content requires a subscription to Monthly Signals, Market Signals, or All-in-One. After each month’s last trading day, you can check for updates here. The subscriptions allow access to monthly updates for both HAA and DYNMOM. Follow @priceactionlab on X for updates and announcements.
Last update: October 31, 2024, after the close of the market.
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Performance of HAA (no leverage, backtest results, January 2, 2020–October 31, 2024)
Relative performance of CSMOM, MOMMF, HAA, DYNMOM, and SPY ETF
The orange line shows the performance of the HAA with a 50% allocation to CSMOM (gray line) and MOMMF (blue line). Since 2020, the total return for HAA is 78.1%, and for SPY ETF, it is 90%. Below is a performance comparison table from January 2020 to October 2024 (in the monthly timeframe).
| HAA | SPY ETF | |
| Annualized return | 12.7% | 14.0% |
| Total return | 78.1% | 90.0% |
| Maximum drawdown | -5.9% | -23.9% |
| Equity volatility | 8.6% | 18.3% |
| Equity Sharpe ratio | 1.49 | 0.78 |
| Equity Beta (S&P 500) | 0.25 | 1.00 |
The Sharpe ratio of HAA is nearly double that of a buy-and-hold SPY ETF. The maximum drawdown of HAA is approximately 25% of the buy-and-hold SPY ETF’s drawdown. HAA’s annualized return is lower by 130 basis points compared to buy and hold, but there is a significant improvement in risk-adjusted returns.
Equity Performance (No leverage, backtest results, January 2, 2020–October 31, 2024)
The annualized return is 12.7%, with a 5.9% maximum drawdown. The Sharpe ratio is 1.49.
Drawdown Performance (No leverage, backtest results, January 2, 2020–October 31, 2024)
During the 2022 bear market, the HAA drawdown performance remained low compared to SPY, with a maximum difference of 23.2% (monthly timeframe).
Long-term backtests (December 31, 2007–December 29, 2023)
Equity Performance
Please keep in mind that using the underline index for the managed futures ETF may have resulted in small performance deviations in the last few years due to tracking errors.
The annualized return is 7.7%, with a 10.2% maximum drawdown. The Sharpe ratio stands at 0.97. These results allow the application of 2X leverage below.
The annualized return is 11.3%, with a 13.3% maximum drawdown. The Sharpe ratio stands at 0.97.
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