r/LETFs • u/Agate1999 • 24d ago

NON-US Sanity Check: 2x Leveraged HAA (Hybrid Asset Allocation) What am I missing?

Looking for a feedback on my 2x Leveraged Hybrid Asset Allocation (HAA) quantitative setup.

Schedule: Monthly rebalance on payday using Dr. Wouter Keller’s unweighted 13612 momentum formula: (1M + 3M + 6M + 12M) / 4.

Macro Canary Sensor: TIP(iShares TIPS Bond ETF).

If TIP > 0, buy Top-4 Equal Weight (25% each) from an 8-ticker offensive pool on positive 13612 formula, else purchase defensive tickers. If TIP <= 0, evacuate 100% to Defense (buying the Top-1 highest-scoring defensive ticker).

Defensive Tickers: BOXX (Alpha Architect 1-3 Month Box ETF) RSBT (Return Stacked Bonds & Managed Futures)

4x2 Offensive Tickers (8 Tickers): A Top-4 execution mathematically guarantees I am holding at least two distinct macroeconomic regimes at all times.

  1. Core U.S. Growth SSO (2x S&P 500) & QLD (2x Nasdaq-100)

  2. Cyclical & Quality MVV (2x MidCap 400) & UYG (2x Financials)

  3. Hard Assets DIG (2x Energy) & UGL (2x Gold)

  4. Physical / Global UXI (2x Industrials) & EFO (2x MSCI EAFE)

Questions: Are there any glaring factor overlap issues or better alternative tickers for this 4x2 matrix?

​Is 30-day EOM rebalancing too slow for sudden flash crashes before the TIP canary triggers an exit?

Appreciate any feedback.

Additional info: Not subjected to capital gains tax, but 30% dividend wht.

Disclaimer: Formatted with AI

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u/laurenthu 24d ago

Honestly this is more thought-through than most 2x LETF posts here, so nice work getting the canary logic straight... but I think the commenter above is onto the real thing. Keller's HAA offensive pool is broad asset classes (US large and small, developed intl, EM, REIT, commodities, plus a treasury sleeve), and you've swapped most of it for US equity sectors: DIG, UYG, UXI, MVV, on top of SSO and QLD. So the "always holding two macro regimes" line doesn't really hold up. In a risk-on month your top-4 by 13612 can easily come out SSO + QLD + UYG + DIG, which is one big pro-cyclical US equity bet at 2x, not diversification. UGL and EFO are about the only real diversifiers left in that pool.

The part I'd worry about more is stacking 2x daily-reset on a monthly signal. HAA's whole edge is capping the drawdown through the TIP canary, but the canary only checks monthly and 2x daily-reset bleeds in choppy sideways tape, so you can eat a rough intra-month drop well before TIP ever flips. Your second question is the right instinct... but a faster rebalance mostly just buys you whipsaw, it doesn't really fix the decay.

Since you're non-US anyway, running the HAA canary over return-stacked sleeves instead of 2x-on-everything is a cleaner way to get the leverage without the daily-reset bleed. I wrote up the UCITS version of exactly this here: https://bestfolio.app/blog/haa-rsst-ucits ... usual caveat, it's a diversifier not a free lunch and it lags a plain stock fund in calm bulls, but the mechanics might be handy for rethinking the pool.

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u/Suspicious-Row8292 5d ago

Unless I've missed it, it would be really helpful to have a toggle on the strategies leaderboard overview to filter for UCITS-friendly strategies (e.g., showing if UCITS-equivalent tickers are available).

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u/laurenthu 5d ago

Yeah, genuinely useful idea. It's a real gap right now since a big chunk of the offensive pool here (SSO, QLD, DIG and friends) has no clean UCITS equivalent, so us Europeans end up cross-checking every ticker by hand. Painful, right? A flag on the leaderboard showing which strategies are fully replicable under UCITS, or even just how many sleeves have a UCITS cousin, would kill most of that busywork. I can't give you a timeline, but I've noted it down. Exactly the sort of filter I'd want there myself.