U-HAA - Hybrid Asset Allocation Overview

Keller & Keuning-UCITS
Results over the full published history, 1980 to September 2026. Net of trading friction.
CAGR14.2%
Maximum drawdown-10.8%
MAR ratio1.32
History46 years (561 months)

U-HAA - Hybrid Asset Allocation is a UCITS version of Keller & Keuning's HAA, for investors outside the United States who buy UCITS funds rather than US-listed ETFs.

The rules are unchanged: a single canary asset (U.S. TIPS) as its warning signal, the four strongest of eight offensive assets when the canary is healthy, and the stronger of intermediate Treasuries or cash when it is not. The full logic is on the HAA - Hybrid Asset Allocation page. Because only the funds that hold each position change, the backtest is identical to the original's, month for month.

The UCITS Funds

RoleFundTicker (London, USD)GBP lineISIN
U.S. large cap (S&P 500)iShares Core S&P 500 UCITS ETF (Acc)CSPXCSP1IE00B5BMR087
U.S. small cap (Russell 2000)SPDR Russell 2000 US Small Cap UCITS ETF (Acc)R2USR2SCIE00BJ38QD84
Developed markets ex USXtrackers MSCI World ex USA UCITS ETF 1CEXUSXMWXIE0006WW1TQ4
Emerging marketsiShares MSCI EM UCITS ETF (Acc)IEMASEMAIE00B4L5YC18
U.S. real estateiShares US Property Yield UCITS ETF (Dist)IDUPIUSPIE00B1FZSF77
CommoditiesInvesco Bloomberg Commodity UCITS ETF (Acc)CMODCMOPIE00BD6FTQ80
Long TreasuriesiShares $ Treasury Bond 20+yr UCITS ETF (Acc)DTLAnoneIE00BFM6TC58
Intermediate TreasuriesiShares $ Treasury Bond 7-10yr UCITS ETF (Acc)CBU0noneIE00B3VWN518
Short Treasuries (T-bills)iShares $ Treasury Bond 0-1yr UCITS ETF (Acc)IB01noneIE00BGSF1X88

How Closely the Funds Match

  • Same or near-identical index. For most positions the UCITS fund tracks the same index, or the same index family, as the US fund it replaces.
  • Developed markets ex US is held through an MSCI World ex USA fund, which holds large and mid caps only and leaves out South Korea; the US fund also holds small caps and Korea. The UCITS fund launched in 2024.
  • U.S. real estate is the loosest match: the UCITS fund screens U.S. REITs for dividend yield and only comes in a distributing share class.
  • Commodities are held through a Bloomberg Commodity index fund in place of the US fund's optimum-yield index, so returns will differ somewhat.
  • Cash is held as a US T-bill fund in US dollars.

Performance Highlights

January 1980 through September 2026, net of trading friction:

CAGRMax DrawdownUlcer IndexUPI
U-HAA - Hybrid Asset Allocation+14.2%-10.8%2.663.77
HAA - Hybrid Asset Allocation+14.2%-10.8%2.663.77
S&P 500+12.0%-51.0%12.720.61

The Ulcer Index measures how deep and how long drawdowns were, not just the single worst one: lower is better. UPI (Ulcer Performance Index) is return above T-bills per unit of Ulcer Index: higher is better.

Notes for Investors Outside the US

  • Results are in US dollars. The strategy is calculated on the history of the equivalent US funds, in US dollars. If you measure your portfolio in pounds, euros or another currency, your results will also move with the exchange rate.
  • Why UCITS funds. Irish-domiciled UCITS funds are the standard way for non-US investors to hold US markets. They often receive US dividends at a lower withholding rate than a non-US investor holding US-listed ETFs directly would, and they are not US assets for US estate tax purposes. Rules vary by country, so check with a tax adviser where you live.
  • The canary is read, not held. HAA's TIPS canary is only a signal. The strategy never holds it, so it does not appear in the fund list.
  • Listings. The tickers above are the London Stock Exchange USD lines unless noted. Most of the funds also trade in London in pounds and on European exchanges in euros, under the same ISIN, which is the surest way to find the right fund at any broker.

Who It's For

U-HAA - Hybrid Asset Allocation is for investors outside the US who want a canary-driven tactical strategy that stays broadly invested in calm markets and moves decisively to safety at the first sign of trouble, built from UCITS funds.

Past performance, including backtested results, is not indicative of future results. Backtested performance is hypothetical, does not reflect actual trading, and benefits from hindsight in the selection of strategy rules. U-HAA - Hybrid Asset Allocation is calculated on the history of the equivalent US-listed funds; the UCITS funds track the same or closely matching indexes but their returns will differ, including from fees, tax treatment and currency. Portions of the long-term history rely on reconstructed proxy data for funds that did not exist for the full period. Investors should carefully consider their risk tolerance and consult with a financial advisor.

For the latest details, visit www.DualMomentumSystems.com

Performance in detail

Growth of $10,000 (log scale)

Drawdown from previous high

Calendar-year returns

Selected range Jan 1980 to Sep 2026

PortfolioCAGRMax DDUlcerUPISortinoMAR
U-HAA - Hybrid Asset Allocation14.2%-10.8%2.663.773.111.32
HAA - Hybrid Asset Allocation14.2%-10.8%2.663.773.111.32
S&P 50012.0%-51.0%12.720.611.300.24
60/4010.0%-32.3%6.120.951.720.31

What the record shows

From Jan 1980 through Sep 2026, U-HAA - Hybrid Asset Allocation compounded at 14.2% a year after trading costs. $10,000 invested at the start grew to about $5,054,580.

That is 0.0 points a year more than HAA - Hybrid Asset Allocation, its default benchmark, over the same months, and it trailed HAA - Hybrid Asset Allocation in all 5 decades in the record.

Its deepest decline was 10.8%, from a peak in Jun 1983 to a low in Oct 1983, and it was back to its old high by Oct 1984.

Return is only half the picture. The Ulcer Performance Index measures return against the depth and length of drawdowns, and on it U-HAA - Hybrid Asset Allocation scores 3.77, essentially level with HAA - Hybrid Asset Allocation at 3.77.

In the 195 months the S&P 500 fell, U-HAA - Hybrid Asset Allocation still made money in 45% of them.

Since 2000

The modern half of the record, with the dot-com bust, 2008, the long zero-rate decade and the 2022 rate shock all inside it.

Jan 2000 to Sep 2026CAGRMax DDUlcerUPISortinoMAR
U-HAA - Hybrid Asset Allocation11.8%-9.4%2.523.952.501.25
HAA - Hybrid Asset Allocation11.8%-9.4%2.523.952.501.25
S&P 5008.1%-51.0%15.890.390.880.16
60/406.6%-32.3%7.620.621.110.20

Return by decade

Annual return1980s1990s2000s2010s2020s*
U-HAA - Hybrid Asset Allocation+21.9%+13.3%+14.5%+8.3%+13.3%
HAA - Hybrid Asset Allocation+21.9%+13.3%+14.5%+8.3%+13.3%
S&P 500+17.0%+18.1%-1.0%+12.9%+15.3%
60/40+15.5%+14.0%+2.1%+9.4%+9.4%

* Partial decade, annualized over the months available.

Through the hard stretches

Total return over each period, start of the first month to the end of the last.

PeriodU-KK-HAAKK-HAAS&P 50060/40
1987 crashSep 1987 to Nov 1987+1.4%+1.4%-29.8%-17.7%
Dot-com bear marketSep 2000 to Sep 2002+9.3%+9.3%-44.8%-23.5%
Global financial crisisNov 2007 to Feb 2009-1.3%-1.3%-51.0%-32.3%
COVID crashFeb 2020 to Mar 2020+2.9%+2.9%-19.6%-11.9%
2022 rate shockJan 2022 to Dec 2022+3.1%+3.1%-18.2%-15.9%

How it behaves month to month

Since Jan 1980Worst 12 monthsPositive monthsPositive when S&P 500 fellCorrelation to S&P 500
U-HAA - Hybrid Asset Allocation-8.7%71%45%0.46
HAA - Hybrid Asset Allocation-8.7%71%45%0.46
60/40-27.5%67%10%0.98

Every figure is net of trading costs and computed from the same monthly data as the rest of the site, over the months all the portfolios shown have in common (Jan 1980 to Sep 2026). Returns before an ETF's launch come from a matching index, as explained in where the data comes from. Backtests are hypothetical and are not a promise of future results.

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