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Hybrid Asset Allocation

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Hybrid asset allocation (HAA) employs two strategies: asset cross-sectional momentum and strategic allocation. Both strategies use ETFs to generate signals.

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. One subscription allows access to monthly updates for both HAA and DYNMOM. Follow @priceactionlab on X for updates and announcements.

Last update: April 30, 2024, after the close of the market.

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Performance of HAA (no leverage, backtest results, January 2, 2020–April 30, 2024

Relative performance of CSMOM and MOMMF 


The orange line shows the performance of the HAA with a 50% allocation to CSMOM (gray line) and MOMMF (blue line). The total return for HAA is 63.2%, and for SPY ETF, it is 66.7%. Below is a performance comparison table.

Annualized return 12.2% 12.5%
Total return 63.2% 67.0%
Maximum drawdown -5.9% -23.9%
Equity volatility 8.9% 19.0%
Equity Sharpe ratio 1.37 0.66
Equity Beta (S&P 500) 0.23 1.00

The Sharpe ratio of HAA is more than double that of a buy-and-hold SPY ETF. The maximum drawdown is 25% of the drawdown of the buy-and-hold SPY ETF. The annualized return of HAA is lower by 30 basis points as compared to buy and hold, but there is a significant improvement in risk-adjusted returns.

Equity Performance (No leverage, backtest results, January 2, 2020–April 30, 2024) 


The annualized return is 12.2%, with a 5.9% maximum drawdown. The Sharpe ratio is 1.37.

Long-term backtests (December 31, 2007–December 29, 2023)

Equity Performance

Note that due to using the underline index for the managed futures ETF, there may have been small deviations in performance 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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