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Hybrid Asset Allocation (HAA)
single TIPS "canary" gates a top-4 dual-momentum basket
The most recent (2023) Keller/Keuning model streamlines the earlier canary designs; a single TIPS momentum switch captures both real-yield and inflation regime shifts, and Allocate Smartly flags it as having unusually low exposure to rising-rate blowups — directly relevant to the 2026 stock/bond co-movement problem.
Universe
Canary = TIP. Offensive = SPY, IWM, EFA, EEM, VNQ, PDBC (or DBC), IEF, TLT. Defensive = IEF or cash (BIL), whichever has higher momentum.
How it works
Monthly, if TIP's momentum (unweighted avg of 1/3/6/12-month returns) > 0, hold the top-4 offensive assets by that same momentum at 25% each (any with negative momentum swapped to IEF/cash); if TIP momentum < 0, go 100% defensive; hold one month.
Expected performance
Research-derived Sharpe estimate: 0.7–1.1.
Backtest this idea with SignalChain
This is a research lead — not a finished backtest. SignalChain takes an idea like this and runs the whole pipeline inside Claude Code: it researches the concept against academic and practitioner sources, sets benchmarks, writes and lints a VectorBT backtest, runs it, and grades the result PASS/FAIL. One command:
/signalchain HAA: monthly, TIP momentum >0 hold top-4 of SPY/IWM/EFA/EEM/VNQ/DBC/IEF/TLT by 1/3/6/12-mo avg, else IEF/cash
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Research & sources
- papers.ssrn.com — papers.ssrn.com
- allocatesmartly.com — allocatesmartly.com
- gold.org — gold.org
More Dual-momentum / tactical asset allocation ideas
Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.